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, 2022
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 | (19.68)% | (14.90)% | 6.71% | 10.48% |
Class F at NAV | 10/01/2007 | 05/03/1999 | (19.76) | (15.07) | 6.47 | 10.22 |
S&P MidCap 400® Index | — | — | (19.54)% | (14.64)% | 7.02% | 10.89% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.43% | 0.63% |
Net | 0.33 | 0.53 |
Top 10 Holdings (% of net assets)* | |
Targa Resources Corp. | 0.7% |
SPDR S&P MidCap 400 ETF Trust | 0.6 |
Carlisle Cos., Inc. | 0.6 |
Steel Dynamics, Inc. | 0.6 |
First Horizon Corp. | 0.6 |
Alleghany Corp. | 0.6 |
Service Corp. International | 0.5 |
United Therapeutics Corp. | 0.5 |
Essential Utilities, Inc. | 0.5 |
Reliance Steel & Aluminum Co. | 0.5 |
Total | 5.7% |
* | 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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 803.20 | $1.48 ** | 0.33% |
Class F | $1,000.00 | $ 802.40 | $2.37 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 96.7% |
Security | Shares | Value | |
Aerospace & Defense — 1.3% | |||
Axon Enterprise, Inc.(1) | 18,938 | $ 1,764,454 | |
Curtiss-Wright Corp. | 10,253 | 1,354,011 | |
Hexcel Corp. | 22,211 | 1,161,857 | |
Mercury Systems, Inc.(1) | 15,180 | 976,529 | |
Woodward, Inc. | 16,173 | 1,495,841 | |
$ 6,752,692 | |||
Air Freight & Logistics — 0.2% | |||
GXO Logistics, Inc.(1) | 27,162 | $ 1,175,300 | |
$ 1,175,300 | |||
Airlines — 0.1% | |||
JetBlue Airways Corp.(1) | 84,241 | $ 705,097 | |
$ 705,097 | |||
Auto Components — 1.4% | |||
Adient PLC(1) | 24,958 | $ 739,506 | |
Dana, Inc. | 38,470 | 541,273 | |
Fox Factory Holding Corp.(1) | 11,153 | 898,263 | |
Gentex Corp. | 62,527 | 1,748,880 | |
Goodyear Tire & Rubber Co. (The)(1) | 74,488 | 797,766 | |
Lear Corp. | 15,940 | 2,006,687 | |
Visteon Corp.(1) | 7,413 | 767,838 | |
$ 7,500,213 | |||
Automobiles — 0.4% | |||
Harley-Davidson, Inc. | 39,304 | $ 1,244,365 | |
Thor Industries, Inc. | 14,848 | 1,109,591 | |
$ 2,353,956 | |||
Banks — 6.8% | |||
Associated Banc-Corp. | 40,126 | $ 732,701 | |
Bank of Hawaii Corp. | 10,722 | 797,717 | |
Bank OZK | 30,104 | 1,129,803 | |
Cadence Bank | 48,934 | 1,148,970 | |
Cathay General Bancorp | 20,235 | 792,200 | |
Commerce Bancshares, Inc. | 29,300 | 1,923,545 | |
Cullen/Frost Bankers, Inc. | 15,162 | 1,765,615 | |
East West Bancorp, Inc. | 37,943 | 2,458,706 | |
F.N.B. Corp. | 90,238 | 979,985 | |
First Financial Bankshares, Inc. | 33,939 | 1,332,785 | |
First Horizon Corp. | 142,648 | 3,118,285 | |
Fulton Financial Corp. | 43,197 | 624,197 | |
Glacier Bancorp, Inc. | 28,699 | 1,360,907 |
Security | Shares | Value | |
Banks (continued) | |||
Hancock Whitney Corp. | 23,006 | $ 1,019,856 | |
Home BancShares, Inc. | 50,454 | 1,047,930 | |
International Bancshares Corp. | 14,101 | 565,168 | |
Old National Bancorp | 78,800 | 1,165,452 | |
PacWest Bancorp | 31,321 | 835,018 | |
Pinnacle Financial Partners, Inc. | 20,357 | 1,472,015 | |
Prosperity Bancshares, Inc. | 24,616 | 1,680,534 | |
Synovus Financial Corp. | 38,792 | 1,398,452 | |
Texas Capital Bancshares, Inc.(1) | 13,672 | 719,694 | |
UMB Financial Corp. | 11,398 | 981,368 | |
Umpqua Holdings Corp. | 58,311 | 977,875 | |
United Bankshares, Inc. | 36,125 | 1,266,904 | |
Valley National Bancorp | 112,579 | 1,171,947 | |
Washington Federal, Inc. | 17,418 | 522,888 | |
Webster Financial Corp. | 47,496 | 2,001,956 | |
Wintrust Financial Corp. | 16,010 | 1,283,201 | |
$ 36,275,674 | |||
Beverages — 0.1% | |||
Boston Beer Co., Inc. (The), Class A(1)(2) | 2,487 | $ 753,486 | |
$ 753,486 | |||
Biotechnology — 1.8% | |||
Arrowhead Pharmaceuticals, Inc.(1) | 28,172 | $ 991,936 | |
Exelixis, Inc.(1) | 85,537 | 1,780,881 | |
Halozyme Therapeutics, Inc.(1) | 36,789 | 1,618,716 | |
Neurocrine Biosciences, Inc.(1) | 25,365 | 2,472,580 | |
United Therapeutics Corp.(1) | 12,042 | 2,837,577 | |
$ 9,701,690 | |||
Building Products — 2.3% | |||
Builders FirstSource, Inc.(1) | 46,074 | $ 2,474,174 | |
Carlisle Cos., Inc. | 13,787 | 3,289,716 | |
Lennox International, Inc. | 8,810 | 1,820,058 | |
Owens Corning | 25,889 | 1,923,812 | |
Simpson Manufacturing Co., Inc. | 11,507 | 1,157,719 | |
Trex Co., Inc.(1) | 30,189 | 1,642,885 | |
$ 12,308,364 | |||
Capital Markets — 1.9% | |||
Affiliated Managers Group, Inc. | 10,314 | $ 1,202,612 | |
Evercore, Inc., Class A | 10,826 | 1,013,422 | |
Federated Hermes, Inc., Class B | 24,446 | 777,138 | |
Interactive Brokers Group, Inc., Class A | 23,138 | 1,272,821 | |
Janus Henderson Group PLC | 45,099 | 1,060,278 | |
Jefferies Financial Group, Inc. | 51,686 | 1,427,567 |
Security | Shares | Value | |
Capital Markets (continued) | |||
SEI Investments Co. | 28,071 | $ 1,516,396 | |
Stifel Financial Corp. | 28,423 | 1,592,257 | |
$ 9,862,491 | |||
Chemicals — 2.6% | |||
Ashland Global Holdings, Inc. | 13,525 | $ 1,393,751 | |
Avient Corp. | 24,184 | 969,295 | |
Cabot Corp. | 15,026 | 958,509 | |
Chemours Co. (The) | 41,461 | 1,327,581 | |
Ingevity Corp.(1) | 10,469 | 661,013 | |
Minerals Technologies, Inc. | 8,792 | 539,301 | |
NewMarket Corp. | 1,847 | 555,873 | |
Olin Corp. | 37,013 | 1,712,962 | |
RPM International, Inc. | 34,683 | 2,730,246 | |
Scotts Miracle-Gro Co. (The), Class A | 10,790 | 852,302 | |
Sensient Technologies Corp. | 11,167 | 899,613 | |
Valvoline, Inc. | 47,882 | 1,380,438 | |
$ 13,980,884 | |||
Commercial Services & Supplies — 1.5% | |||
Brink's Co. (The) | 12,540 | $ 761,303 | |
Clean Harbors, Inc.(1) | 13,258 | 1,162,329 | |
IAA, Inc.(1) | 35,707 | 1,170,118 | |
MillerKnoll, Inc. | 19,970 | 524,612 | |
MSA Safety, Inc. | 9,654 | 1,168,810 | |
Stericycle, Inc.(1) | 24,331 | 1,066,914 | |
Tetra Tech, Inc. | 14,316 | 1,954,850 | |
$ 7,808,936 | |||
Communications Equipment — 0.8% | |||
Calix, Inc.(1) | 14,600 | $ 498,444 | |
Ciena Corp.(1) | 40,570 | 1,854,049 | |
Lumentum Holdings, Inc.(1) | 18,401 | 1,461,407 | |
ViaSat, Inc.(1) | 19,873 | 608,710 | |
$ 4,422,610 | |||
Construction & Engineering — 1.8% | |||
AECOM | 37,757 | $ 2,462,512 | |
Dycom Industries, Inc.(1) | 7,902 | 735,202 | |
EMCOR Group, Inc. | 13,639 | 1,404,272 | |
Fluor Corp.(1) | 37,460 | 911,776 | |
MasTec, Inc.(1) | 15,240 | 1,092,098 | |
MDU Resources Group, Inc. | 54,372 | 1,467,500 | |
Valmont Industries, Inc. | 5,619 | 1,262,196 | |
$ 9,335,556 |
Security | Shares | Value | |
Construction Materials — 0.2% | |||
Eagle Materials, Inc. | 10,553 | $ 1,160,197 | |
$ 1,160,197 | |||
Consumer Finance — 0.5% | |||
FirstCash Holdings, Inc. | 10,715 | $ 744,800 | |
Navient Corp. | 39,440 | 551,766 | |
SLM Corp. | 71,795 | 1,144,412 | |
$ 2,440,978 | |||
Containers & Packaging — 0.9% | |||
AptarGroup, Inc. | 17,472 | $ 1,803,285 | |
Greif, Inc., Class A | 7,033 | 438,719 | |
Silgan Holdings, Inc. | 22,227 | 919,086 | |
Sonoco Products Co. | 26,045 | 1,485,607 | |
$ 4,646,697 | |||
Diversified Consumer Services — 1.1% | |||
Graham Holdings Co., Class B | 1,069 | $ 605,952 | |
Grand Canyon Education, Inc.(1) | 8,619 | 811,824 | |
H&R Block, Inc. | 42,561 | 1,503,254 | |
Service Corp. International | 42,333 | 2,926,057 | |
$ 5,847,087 | |||
Diversified Financial Services — 0.3% | |||
Voya Financial, Inc. | 27,249 | $ 1,622,133 | |
$ 1,622,133 | |||
Diversified Telecommunication Services — 0.2% | |||
Iridium Communications, Inc.(1) | 34,134 | $ 1,282,073 | |
$ 1,282,073 | |||
Electric Utilities — 1.5% | |||
ALLETE, Inc. | 15,198 | $ 893,338 | |
Hawaiian Electric Industries, Inc. | 28,956 | 1,184,300 | |
IDACORP, Inc. | 13,381 | 1,417,316 | |
OGE Energy Corp. | 53,522 | 2,063,808 | |
PNM Resources, Inc. | 22,737 | 1,086,374 | |
Portland General Electric Co. | 23,750 | 1,147,838 | |
$ 7,792,974 | |||
Electrical Equipment — 1.8% | |||
Acuity Brands, Inc. | 9,222 | $ 1,420,557 | |
EnerSys | 11,019 | 649,680 | |
Hubbell, Inc. | 14,311 | 2,555,658 | |
nVent Electric PLC | 44,530 | 1,395,125 | |
Regal Rexnord Corp. | 17,869 | 2,028,489 |
Security | Shares | Value | |
Electrical Equipment (continued) | |||
Sunrun, Inc.(1) | 55,349 | $ 1,292,953 | |
Vicor Corp.(1) | 5,734 | 313,822 | |
$ 9,656,284 | |||
Electronic Equipment, Instruments & Components — 3.2% | |||
Arrow Electronics, Inc.(1) | 17,611 | $ 1,974,017 | |
Avnet, Inc. | 26,358 | 1,130,231 | |
Belden, Inc. | 12,092 | 644,141 | |
Cognex Corp. | 46,333 | 1,970,079 | |
Coherent, Inc.(1) | 6,618 | 1,761,844 | |
II-VI, Inc.(1)(2) | 28,379 | 1,445,910 | |
IPG Photonics Corp.(1) | 9,269 | 872,491 | |
Jabil, Inc. | 37,660 | 1,928,568 | |
Littelfuse, Inc. | 6,586 | 1,673,107 | |
National Instruments Corp. | 34,982 | 1,092,488 | |
TD SYNNEX Corp. | 11,006 | 1,002,647 | |
Vishay Intertechnology, Inc. | 35,870 | 639,203 | |
Vontier Corp. | 42,938 | 987,145 | |
$ 17,121,871 | |||
Energy Equipment & Services — 0.5% | |||
ChampionX Corp. | 54,244 | $ 1,076,743 | |
NOV, Inc. | 104,893 | 1,773,741 | |
$ 2,850,484 | |||
Entertainment — 0.1% | |||
World Wrestling Entertainment, Inc., Class A(2) | 11,533 | $ 720,697 | |
$ 720,697 | |||
Equity Real Estate Investment Trusts (REITs) — 8.5% | |||
American Campus Communities, Inc. | 37,208 | $ 2,398,800 | |
Apartment Income REIT Corp. | 41,974 | 1,746,118 | |
Brixmor Property Group, Inc. | 79,564 | 1,607,988 | |
Corporate Office Properties Trust | 30,361 | 795,155 | |
Cousins Properties, Inc. | 39,386 | 1,151,253 | |
Douglas Emmett, Inc. | 46,481 | 1,040,245 | |
EastGroup Properties, Inc. | 11,115 | 1,715,378 | |
EPR Properties | 19,815 | 929,918 | |
First Industrial Realty Trust, Inc. | 35,203 | 1,671,438 | |
Healthcare Realty Trust, Inc. | 40,431 | 1,099,723 | |
Highwoods Properties, Inc. | 28,020 | 958,004 | |
Hudson Pacific Properties, Inc. | 38,569 | 572,364 | |
Independence Realty Trust, Inc. | 58,860 | 1,220,168 | |
JBG SMITH Properties | 28,995 | 685,442 | |
Kilroy Realty Corp. | 28,061 | 1,468,432 | |
Kite Realty Group Trust | 57,800 | 999,362 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Lamar Advertising Co., Class A | 23,213 | $ 2,042,048 | |
Life Storage, Inc. | 22,499 | 2,512,238 | |
Macerich Co. (The) | 56,424 | 491,453 | |
Medical Properties Trust, Inc. | 159,437 | 2,434,603 | |
National Retail Properties, Inc. | 46,956 | 2,019,108 | |
National Storage Affiliates Trust | 22,440 | 1,123,571 | |
Omega Healthcare Investors, Inc. | 62,729 | 1,768,330 | |
Park Hotels & Resorts, Inc. | 62,645 | 850,093 | |
Pebblebrook Hotel Trust | 34,802 | 576,669 | |
Physicians Realty Trust | 60,083 | 1,048,448 | |
PotlatchDeltic Corp. | 18,449 | 815,261 | |
PS Business Parks, Inc. | 5,332 | 997,884 | |
Rayonier, Inc. | 38,834 | 1,451,615 | |
Rexford Industrial Realty, Inc. | 44,009 | 2,534,478 | |
Sabra Health Care REIT, Inc. | 61,143 | 854,168 | |
SL Green Realty Corp.(2) | 17,124 | 790,273 | |
Spirit Realty Capital, Inc. | 35,818 | 1,353,204 | |
STORE Capital Corp. | 67,341 | 1,756,253 | |
$ 45,479,485 | |||
Food & Staples Retailing — 1.4% | |||
BJ's Wholesale Club Holdings, Inc.(1) | 35,978 | $ 2,242,149 | |
Casey's General Stores, Inc. | 9,920 | 1,835,002 | |
Grocery Outlet Holding Corp.(1) | 23,599 | 1,006,025 | |
Performance Food Group Co.(1) | 41,260 | 1,897,135 | |
Sprouts Farmers Market, Inc.(1) | 29,235 | 740,230 | |
$ 7,720,541 | |||
Food Products — 1.8% | |||
Darling Ingredients, Inc.(1) | 43,264 | $ 2,587,187 | |
Flowers Foods, Inc. | 53,220 | 1,400,751 | |
Hain Celestial Group, Inc. (The)(1) | 24,367 | 578,473 | |
Ingredion, Inc. | 17,749 | 1,564,752 | |
Lancaster Colony Corp. | 5,286 | 680,731 | |
Pilgrim's Pride Corp.(1) | 12,910 | 403,179 | |
Post Holdings, Inc.(1) | 14,904 | 1,227,344 | |
Sanderson Farms, Inc. | 5,619 | 1,211,063 | |
$ 9,653,480 | |||
Gas Utilities — 1.6% | |||
National Fuel Gas Co. | 24,428 | $ 1,613,469 | |
New Jersey Resources Corp. | 25,565 | 1,138,409 | |
ONE Gas, Inc. | 14,392 | 1,168,487 | |
Southwest Gas Holdings, Inc. | 17,828 | 1,552,462 | |
Spire, Inc. | 13,969 | 1,038,875 |
Security | Shares | Value | |
Gas Utilities (continued) | |||
UGI Corp. | 55,908 | $ 2,158,608 | |
$ 8,670,310 | |||
Health Care Equipment & Supplies — 3.2% | |||
Enovis Corp.(1) | 12,536 | $ 689,480 | |
Envista Holdings Corp.(1) | 43,106 | 1,661,305 | |
Globus Medical, Inc., Class A(1) | 21,134 | 1,186,463 | |
Haemonetics Corp.(1) | 13,500 | 879,930 | |
ICU Medical, Inc.(1) | 5,281 | 868,144 | |
Inari Medical, Inc.(1) | 9,067 | 616,465 | |
Integra LifeSciences Holdings Corp.(1) | 19,067 | 1,030,190 | |
LivaNova PLC(1) | 14,206 | 887,449 | |
Masimo Corp.(1) | 13,584 | 1,775,021 | |
Neogen Corp.(1) | 28,470 | 685,842 | |
NuVasive, Inc.(1) | 13,686 | 672,804 | |
Penumbra, Inc.(1) | 9,390 | 1,169,243 | |
QuidelOrtho Corp.(1) | 13,336 | 1,295,992 | |
Shockwave Medical, Inc.(1) | 9,545 | 1,824,718 | |
STAAR Surgical Co.(1) | 12,555 | 890,526 | |
Tandem Diabetes Care, Inc.(1) | 16,987 | 1,005,461 | |
$ 17,139,033 | |||
Health Care Providers & Services — 2.5% | |||
Acadia Healthcare Co., Inc.(1) | 24,142 | $ 1,632,723 | |
Amedisys, Inc.(1) | 8,644 | 908,657 | |
Chemed Corp. | 3,992 | 1,873,805 | |
Encompass Health Corp. | 26,358 | 1,477,366 | |
HealthEquity, Inc.(1) | 22,499 | 1,381,214 | |
LHC Group, Inc.(1) | 8,275 | 1,288,748 | |
Option Care Health, Inc.(1) | 36,705 | 1,020,032 | |
Patterson Cos., Inc. | 22,840 | 692,052 | |
Progyny, Inc.(1) | 18,618 | 540,853 | |
R1 RCM, Inc.(1) | 35,458 | 743,200 | |
Tenet Healthcare Corp.(1) | 28,643 | 1,505,476 | |
$ 13,064,126 | |||
Hotels, Restaurants & Leisure — 2.5% | |||
Boyd Gaming Corp. | 21,334 | $ 1,061,366 | |
Choice Hotels International, Inc. | 8,694 | 970,511 | |
Churchill Downs, Inc. | 9,183 | 1,758,820 | |
Cracker Barrel Old Country Store, Inc.(2) | 6,288 | 524,985 | |
Marriott Vacations Worldwide Corp. | 11,049 | 1,283,894 | |
Papa John's International, Inc. | 8,620 | 719,942 | |
Scientific Games Corp., Class A(1) | 25,528 | 1,199,561 | |
Six Flags Entertainment Corp.(1) | 20,472 | 444,242 | |
Texas Roadhouse, Inc. | 18,179 | 1,330,703 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Travel + Leisure Co. | 22,860 | $ 887,425 | |
Wendy's Co. (The) | 45,709 | 862,986 | |
Wingstop, Inc. | 7,879 | 589,113 | |
Wyndham Hotels & Resorts, Inc. | 24,773 | 1,628,082 | |
$ 13,261,630 | |||
Household Durables — 1.4% | |||
Helen of Troy, Ltd.(1) | 6,384 | $ 1,036,825 | |
KB Home | 22,916 | 652,189 | |
Leggett & Platt, Inc. | 35,662 | 1,233,192 | |
Taylor Morrison Home Corp.(1) | 31,906 | 745,324 | |
Tempur Sealy International, Inc. | 46,815 | 1,000,437 | |
Toll Brothers, Inc. | 29,405 | 1,311,463 | |
TopBuild Corp.(1) | 8,803 | 1,471,510 | |
$ 7,450,940 | |||
Household Products — 0.1% | |||
Energizer Holdings, Inc. | 17,510 | $ 496,408 | |
$ 496,408 | |||
Insurance — 4.4% | |||
Alleghany Corp.(1) | 3,588 | $ 2,989,163 | |
American Financial Group, Inc. | 17,687 | 2,455,132 | |
Brighthouse Financial, Inc.(1) | 19,973 | 819,292 | |
CNO Financial Group, Inc. | 30,906 | 559,089 | |
First American Financial Corp. | 28,643 | 1,515,787 | |
Hanover Insurance Group, Inc. (The) | 9,458 | 1,383,232 | |
Kemper Corp. | 15,843 | 758,880 | |
Kinsale Capital Group, Inc. | 5,679 | 1,304,126 | |
Mercury General Corp. | 7,040 | 311,872 | |
Old Republic International Corp. | 76,341 | 1,706,985 | |
Primerica, Inc. | 10,262 | 1,228,259 | |
Reinsurance Group of America, Inc. | 17,865 | 2,095,386 | |
RenaissanceRe Holdings, Ltd. | 11,749 | 1,837,191 | |
RLI Corp. | 10,542 | 1,229,092 | |
Selective Insurance Group, Inc. | 15,922 | 1,384,259 | |
Unum Group | 53,629 | 1,824,459 | |
$ 23,402,204 | |||
Interactive Media & Services — 0.3% | |||
TripAdvisor, Inc.(1) | 26,076 | $ 464,153 | |
Ziff Davis, Inc.(1) | 12,769 | 951,673 | |
$ 1,415,826 | |||
IT Services — 2.0% | |||
Bread Financial Holdings, Inc. | 13,180 | $ 488,451 |
Security | Shares | Value | |
IT Services (continued) | |||
Concentrix Corp. | 11,471 | $ 1,555,926 | |
Euronet Worldwide, Inc.(1) | 13,481 | 1,356,054 | |
Genpact, Ltd. | 45,548 | 1,929,413 | |
Kyndryl Holdings, Inc.(1) | 47,450 | 464,061 | |
MAXIMUS, Inc. | 16,541 | 1,033,978 | |
Sabre Corp.(1)(2) | 85,547 | 498,739 | |
Western Union Co. (The) | 102,950 | 1,695,587 | |
WEX, Inc.(1) | 11,973 | 1,862,520 | |
$ 10,884,729 | |||
Leisure Products — 1.2% | |||
Brunswick Corp. | 20,196 | $ 1,320,415 | |
Callaway Golf Co.(1) | 31,446 | 641,498 | |
Mattel, Inc.(1) | 93,673 | 2,091,718 | |
Polaris, Inc. | 14,915 | 1,480,761 | |
YETI Holdings, Inc.(1) | 22,978 | 994,258 | |
$ 6,528,650 | |||
Life Sciences Tools & Services — 1.7% | |||
Azenta, Inc. | 19,879 | $ 1,433,276 | |
Bruker Corp. | 26,669 | 1,673,747 | |
Medpace Holdings, Inc.(1) | 7,179 | 1,074,481 | |
Repligen Corp.(1) | 13,748 | 2,232,675 | |
Sotera Health Co.(1) | 26,398 | 517,137 | |
Syneos Health, Inc.(1) | 27,355 | 1,960,806 | |
$ 8,892,122 | |||
Machinery — 4.1% | |||
AGCO Corp. | 16,375 | $ 1,616,212 | |
Chart Industries, Inc.(1) | 9,500 | 1,590,110 | |
Crane Holdings Co. | 12,706 | 1,112,537 | |
Donaldson Co., Inc. | 33,266 | 1,601,425 | |
Esab Corp. | 12,001 | 525,044 | |
Flowserve Corp. | 34,506 | 987,907 | |
Graco, Inc. | 45,130 | 2,681,173 | |
ITT, Inc. | 22,268 | 1,497,300 | |
Kennametal, Inc. | 22,149 | 514,521 | |
Lincoln Electric Holdings, Inc. | 15,494 | 1,911,340 | |
Middleby Corp. (The)(1) | 14,505 | 1,818,347 | |
Oshkosh Corp. | 17,547 | 1,441,311 | |
Terex Corp. | 18,489 | 506,044 | |
Timken Co. (The) | 17,990 | 954,370 | |
Toro Co. (The) | 28,025 | 2,124,015 | |
Watts Water Technologies, Inc., Class A | 7,350 | 902,874 | |
$ 21,784,530 |
Security | Shares | Value | |
Marine — 0.2% | |||
Kirby Corp.(1) | 16,246 | $ 988,407 | |
$ 988,407 | |||
Media — 0.9% | |||
Cable One, Inc. | 1,311 | $ 1,690,299 | |
John Wiley & Sons, Inc., Class A | 11,529 | 550,625 | |
New York Times Co. (The), Class A | 44,677 | 1,246,488 | |
TEGNA, Inc. | 58,563 | 1,228,066 | |
$ 4,715,478 | |||
Metals & Mining — 2.8% | |||
Alcoa Corp. | 49,179 | $ 2,241,579 | |
Cleveland-Cliffs, Inc.(1) | 127,722 | 1,963,087 | |
Commercial Metals Co. | 32,451 | 1,074,128 | |
Reliance Steel & Aluminum Co. | 16,521 | 2,806,257 | |
Royal Gold, Inc. | 17,534 | 1,872,280 | |
Steel Dynamics, Inc. | 47,805 | 3,162,301 | |
United States Steel Corp. | 69,703 | 1,248,381 | |
Worthington Industries, Inc. | 8,772 | 386,845 | |
$ 14,754,858 | |||
Multiline Retail — 0.8% | |||
Kohl's Corp. | 34,293 | $ 1,223,917 | |
Macy's, Inc. | 75,968 | 1,391,734 | |
Nordstrom, Inc. | 29,424 | 621,729 | |
Ollie's Bargain Outlet Holdings, Inc.(1) | 15,663 | 920,201 | |
$ 4,157,581 | |||
Multi-Utilities — 0.4% | |||
Black Hills Corp. | 17,290 | $ 1,258,193 | |
NorthWestern Corp. | 14,447 | 851,362 | |
$ 2,109,555 | |||
Oil, Gas & Consumable Fuels — 3.3% | |||
Antero Midstream Corp. | 86,003 | $ 778,327 | |
CNX Resources Corp.(1) | 52,018 | 856,216 | |
DT Midstream, Inc. | 25,658 | 1,257,755 | |
EQT Corp. | 78,840 | 2,712,096 | |
Equitrans Midstream Corp. | 107,697 | 684,953 | |
HF Sinclair Corp. | 39,599 | 1,788,291 | |
Matador Resources Co. | 29,500 | 1,374,405 | |
Murphy Oil Corp. | 38,949 | 1,175,870 | |
PDC Energy, Inc. | 25,450 | 1,567,975 | |
Range Resources Corp.(1) | 69,124 | 1,710,819 | |
Targa Resources Corp. | 60,801 | 3,627,996 | |
$ 17,534,703 |
Security | Shares | Value | |
Paper & Forest Products — 0.2% | |||
Louisiana-Pacific Corp. | 21,900 | $ 1,147,779 | |
$ 1,147,779 | |||
Personal Products — 0.4% | |||
BellRing Brands, Inc.(1) | 29,182 | $ 726,340 | |
Coty, Inc., Class A(1) | 91,866 | 735,846 | |
Nu Skin Enterprises, Inc., Class A | 13,526 | 585,676 | |
$ 2,047,862 | |||
Pharmaceuticals — 0.8% | |||
Jazz Pharmaceuticals PLC(1) | 16,620 | $ 2,592,886 | |
Perrigo Co. PLC | 35,883 | 1,455,773 | |
$ 4,048,659 | |||
Professional Services — 1.9% | |||
ASGN, Inc.(1) | 13,628 | $ 1,229,927 | |
CACI International, Inc., Class A(1) | 6,238 | 1,757,744 | |
FTI Consulting, Inc.(1) | 9,193 | 1,662,554 | |
Insperity, Inc. | 9,510 | 949,383 | |
KBR, Inc. | 37,292 | 1,804,560 | |
ManpowerGroup, Inc. | 14,065 | 1,074,707 | |
Science Applications International Corp. | 14,886 | 1,385,886 | |
$ 9,864,761 | |||
Real Estate Management & Development — 0.4% | |||
Jones Lang LaSalle, Inc.(1) | 13,031 | $ 2,278,601 | |
$ 2,278,601 | |||
Road & Rail — 1.7% | |||
Avis Budget Group, Inc.(1) | 9,143 | $ 1,344,753 | |
Knight-Swift Transportation Holdings, Inc. | 43,621 | 2,019,216 | |
Landstar System, Inc. | 9,901 | 1,439,804 | |
Ryder System, Inc. | 13,637 | 969,045 | |
Saia, Inc.(1) | 7,042 | 1,323,896 | |
Werner Enterprises, Inc. | 15,789 | 608,508 | |
XPO Logistics, Inc.(1) | 26,377 | 1,270,316 | |
$ 8,975,538 | |||
Semiconductors & Semiconductor Equipment — 3.2% | |||
Amkor Technology, Inc. | 26,537 | $ 449,802 | |
Cirrus Logic, Inc.(1) | 15,257 | 1,106,743 | |
CMC Materials, Inc. | 7,600 | 1,326,124 | |
First Solar, Inc.(1) | 26,439 | 1,801,289 | |
Lattice Semiconductor Corp.(1) | 36,615 | 1,775,827 | |
MKS Instruments, Inc. | 14,829 | 1,521,900 | |
Power Integrations, Inc. | 15,550 | 1,166,406 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Semtech Corp.(1) | 17,198 | $ 945,374 | |
Silicon Laboratories, Inc.(1) | 9,756 | 1,367,986 | |
SiTime Corp.(1) | 4,153 | 677,064 | |
SunPower Corp.(1)(2) | 22,000 | 347,820 | |
Synaptics, Inc.(1) | 10,500 | 1,239,525 | |
Universal Display Corp. | 11,483 | 1,161,391 | |
Wolfspeed, Inc.(1) | 33,011 | 2,094,548 | |
$ 16,981,799 | |||
Software — 3.3% | |||
ACI Worldwide, Inc.(1) | 31,120 | $ 805,697 | |
Aspen Technology, Inc.(1) | 7,496 | 1,376,865 | |
Blackbaud, Inc.(1) | 11,942 | 693,472 | |
CDK Global, Inc. | 31,197 | 1,708,660 | |
Commvault Systems, Inc.(1) | 12,151 | 764,298 | |
Envestnet, Inc.(1) | 14,441 | 762,052 | |
Fair Isaac Corp.(1) | 6,916 | 2,772,624 | |
Manhattan Associates, Inc.(1) | 16,920 | 1,939,032 | |
NCR Corp.(1) | 36,429 | 1,133,306 | |
Paylocity Holding Corp.(1) | 10,593 | 1,847,631 | |
Qualys, Inc.(1) | 8,872 | 1,119,114 | |
SailPoint Technologies Holdings, Inc.(1) | 25,142 | 1,575,901 | |
Teradata Corp.(1) | 27,922 | 1,033,393 | |
$ 17,532,045 | |||
Specialty Retail — 2.7% | |||
American Eagle Outfitters, Inc. | 40,799 | $ 456,133 | |
AutoNation, Inc.(1) | 9,488 | 1,060,379 | |
Dick's Sporting Goods, Inc.(2) | 15,482 | 1,166,878 | |
Five Below, Inc.(1) | 14,804 | 1,679,218 | |
Foot Locker, Inc. | 22,294 | 562,923 | |
GameStop Corp., Class A(1)(2) | 16,482 | 2,015,749 | |
Gap, Inc. (The) | 57,000 | 469,680 | |
Lithia Motors, Inc., Class A | 7,716 | 2,120,434 | |
Murphy USA, Inc. | 5,938 | 1,382,782 | |
RH (1) | 4,638 | 984,462 | |
Victoria's Secret & Co.(1) | 18,113 | 506,621 | |
Williams-Sonoma, Inc. | 18,676 | 2,072,102 | |
$ 14,477,361 | |||
Technology Hardware, Storage & Peripherals — 0.1% | |||
Xerox Holdings Corp. | 32,786 | $ 486,872 | |
$ 486,872 | |||
Textiles, Apparel & Luxury Goods — 1.6% | |||
Capri Holdings, Ltd.(1) | 39,433 | $ 1,617,147 |
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods (continued) | |||
Carter's, Inc. | 10,745 | $ 757,308 | |
Columbia Sportswear Co. | 8,886 | 636,060 | |
Crocs, Inc.(1) | 16,421 | 799,210 | |
Deckers Outdoor Corp.(1) | 7,258 | 1,853,330 | |
Hanesbrands, Inc. | 93,370 | 960,777 | |
Skechers USA, Inc., Class A(1) | 35,732 | 1,271,345 | |
Under Armour, Inc., Class A(1) | 50,315 | 419,124 | |
Under Armour, Inc., Class C(1) | 54,063 | 409,797 | |
$ 8,724,098 | |||
Thrifts & Mortgage Finance — 0.6% | |||
Essent Group, Ltd. | 28,696 | $ 1,116,274 | |
MGIC Investment Corp. | 82,566 | 1,040,332 | |
New York Community Bancorp, Inc.(2) | 123,183 | 1,124,661 | |
$ 3,281,267 | |||
Trading Companies & Distributors — 0.9% | |||
GATX Corp. | 9,404 | $ 885,481 | |
MSC Industrial Direct Co., Inc., Class A | 12,448 | 934,969 | |
Univar Solutions, Inc.(1) | 45,132 | 1,122,433 | |
Watsco, Inc. | 8,830 | 2,108,780 | |
$ 5,051,663 | |||
Water Utilities — 0.5% | |||
Essential Utilities, Inc. | 61,496 | $ 2,819,592 | |
$ 2,819,592 | |||
Total Common Stocks (identified cost $422,834,623) | $515,900,917 |
Exchange-Traded Funds — 0.6% |
Security | Shares | Value | |
Equity Funds — 0.6% | |||
SPDR S&P MidCap 400 ETF Trust(2) | 8,000 | $ 3,307,920 | |
Total Exchange-Traded Funds (identified cost $3,060,309) | $ 3,307,920 |
Short-Term Investments — 3.7% | |||
Affiliated Fund — 2.2% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(3) | 11,815,347 | $ 11,815,347 | |
Total Affiliated Fund (identified cost $11,815,347) | $ 11,815,347 | ||
Securities Lending Collateral — 1.1% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(4) | 5,723,889 | $ 5,723,889 | |
Total Securities Lending Collateral (identified cost $5,723,889) | $ 5,723,889 | ||
U.S. Treasury Obligations — 0.4% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 1/26/23(5) | $ | 2,000 | $ 1,971,785 |
Total U.S. Treasury Obligations (identified cost $1,991,373) | $ 1,971,785 | ||
Total Short-Term Investments (identified cost $19,530,609) | $ 19,511,021 | ||
Total Investments — 101.0% (identified cost $445,425,541) | $538,719,858 | ||
Other Assets, Less Liabilities — (1.0)% | $ (5,423,183) | ||
Net Assets — 100.0% | $ 533,296,675 |
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, 2022. The aggregate market value of securities on loan at June 30, 2022 was $10,788,859. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(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 | 59 | Long | 9/16/22 | $13,381,200 | $ (1,231,555) |
$(1,231,555) |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $433,610,194) - including $10,788,859 of securities on loan | $ 526,904,511 |
Investments in securities of affiliated issuers, at value (identified cost $11,815,347) | 11,815,347 |
Receivable for capital shares sold | 210,225 |
Dividends receivable | 555,084 |
Dividends receivable - affiliated | 9,481 |
Securities lending income receivable | 66,231 |
Receivable from affiliate | 113,630 |
Directors' deferred compensation plan | 260,832 |
Total assets | $539,935,341 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 130,980 |
Payable for capital shares redeemed | 166,112 |
Deposits for securities loaned | 5,723,889 |
Payable to affiliates: | |
Investment advisory fee | 90,208 |
Administrative fee | 54,911 |
Distribution and service fees | 52,586 |
Sub-transfer agency fee | 181 |
Directors' deferred compensation plan | 260,832 |
Accrued expenses | 158,967 |
Total liabilities | $ 6,638,666 |
Net Assets | $533,296,675 |
Sources of Net Assets | |
Paid-in capital | $ 362,435,246 |
Distributable earnings | 170,861,429 |
Net Assets | $533,296,675 |
Class I Shares | |
Net Assets | $ 227,164,346 |
Shares Outstanding | 1,957,609 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 116.04 |
Class F Shares | |
Net Assets | $ 306,132,329 |
Shares Outstanding | 2,636,049 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 116.13 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income | $ 4,661,841 |
Dividend income - affiliated issuers | 19,433 |
Interest income | 6,306 |
Securities lending income, net | 82,875 |
Total investment income | $ 4,770,455 |
Expenses | |
Investment advisory fee | $ 604,830 |
Administrative fee | 362,898 |
Distribution and service fees: | |
Class F | 346,690 |
Directors' fees and expenses | 14,333 |
Custodian fees | 7,014 |
Transfer agency fees and expenses | 193,462 |
Accounting fees | 68,132 |
Professional fees | 22,948 |
Reports to shareholders | 11,370 |
Miscellaneous | 63,072 |
Total expenses | $ 1,694,749 |
Waiver and/or reimbursement of expenses by affiliate | $ (352,800) |
Net expenses | $ 1,341,949 |
Net investment income | $ 3,428,506 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 10,158,838 |
Investment securities - affiliated issuers | 616 |
Futures contracts | (1,385,280) |
Net realized gain | $ 8,774,174 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (142,564,957) |
Investment securities - affiliated issuers | (35) |
Futures contracts | (1,963,570) |
Net change in unrealized appreciation (depreciation) | $(144,528,562) |
Net realized and unrealized loss | $(135,754,388) |
Net decrease in net assets from operations | $(132,325,882) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 3,428,506 | $ 6,162,372 |
Net realized gain | 8,774,174 | 60,097,278 |
Net change in unrealized appreciation (depreciation) | (144,528,562) | 71,501,104 |
Net increase (decrease) in net assets from operations | $(132,325,882) | $137,760,754 |
Distributions to shareholders: | ||
Class I | $ — | $ (10,392,540) |
Class F | — | (13,609,987) |
Total distributions to shareholders | $ — | $ (24,002,527) |
Capital share transactions: | ||
Class I | $ (9,888,202) | $ (15,837,733) |
Class F | (5,806,526) | (621,362) |
Net decrease in net assets from capital share transactions | $ (15,694,728) | $ (16,459,095) |
Net increase (decrease) in net assets | $(148,020,610) | $ 97,299,132 |
Net Assets | ||
At beginning of period | $ 681,317,285 | $ 584,018,153 |
At end of period | $ 533,296,675 | $681,317,285 |
Class I | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 144.47 | $ 120.57 | $ 111.74 | $ 97.01 | $ 117.50 | $ 106.11 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.81 | $ 1.47 | $ 1.42 | $ 1.63 | $ 1.58 | $ 1.44 |
Net realized and unrealized gain (loss) | (29.24) | 27.67 | 12.48 | 22.45 | (13.43) | 15.18 |
Total income (loss) from operations | $ (28.43) | $ 29.14 | $ 13.90 | $ 24.08 | $ (11.85) | $ 16.62 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.19) | $ (1.29) | $ (1.34) | $ (1.40) | $ (0.81) |
From net realized gain | — | (4.05) | (3.78) | (8.01) | (7.24) | (4.42) |
Total distributions | $ — | $ (5.24) | $ (5.07) | $ (9.35) | $ (8.64) | $ (5.23) |
Net asset value — End of period | $ 116.04 | $ 144.47 | $ 120.57 | $ 111.74 | $ 97.01 | $ 117.50 |
Total Return(2) | (19.68)% (3) | 24.41% | 13.31% | 25.82% | (11.33)% | 15.88% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $227,164 | $293,422 | $259,042 | $233,933 | $202,330 | $256,043 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.45% (5) | 0.43% | 0.45% | 0.43% | 0.44% | 0.43% |
Net expenses | 0.33% (5)(6) | 0.33% | 0.33% | 0.32% | 0.30% | 0.30% |
Net investment income | 1.25% (5) | 1.06% | 1.40% | 1.48% | 1.35% | 1.29% |
Portfolio Turnover | 4% (3) | 15% | 20% | 15% | 14% | 16% |
(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) | The investment adviser reduced a portion of its advisory fee (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 144.73 | $ 121.01 | $ 112.35 | $ 97.71 | $ 118.58 | $ 107.30 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.68 | $ 1.20 | $ 1.22 | $ 1.40 | $ 1.31 | $ 1.18 |
Net realized and unrealized gain (loss) | (29.28) | 27.76 | 12.51 | 22.59 | (13.54) | 15.33 |
Total income (loss) from operations | $ (28.60) | $ 28.96 | $ 13.73 | $ 23.99 | $ (12.23) | $ 16.51 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.19) | $ (1.29) | $ (1.34) | $ (1.40) | $ (0.81) |
From net realized gain | — | (4.05) | (3.78) | (8.01) | (7.24) | (4.42) |
Total distributions | $ — | $ (5.24) | $ (5.07) | $ (9.35) | $ (8.64) | $ (5.23) |
Net asset value — End of period | $ 116.13 | $ 144.73 | $ 121.01 | $ 112.35 | $ 97.71 | $ 118.58 |
Total Return(2) | (19.76)% (3) | 24.17% | 13.10% | 25.55% | (11.57)% | 15.63% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $306,132 | $387,895 | $324,976 | $297,113 | $246,076 | $294,786 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.65% (5) | 0.63% | 0.65% | 0.63% | 0.64% | 0.64% |
Net expenses | 0.53% (5)(6) | 0.53% | 0.53% | 0.54% | 0.55% | 0.55% |
Net investment income | 1.05% (5) | 0.86% | 1.20% | 1.26% | 1.11% | 1.05% |
Portfolio Turnover | 4% (3) | 15% | 20% | 15% | 14% | 16% |
(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) | The investment adviser reduced a portion of its advisory fee (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 515,900,917(1) | $ — | $ — | $ 515,900,917 |
Exchange-Traded Funds | 3,307,920 | — | — | 3,307,920 |
Short-Term Investments: | ||||
Affiliated Fund | 11,815,347 | — | — | 11,815,347 |
Securities Lending Collateral | 5,723,889 | — | — | 5,723,889 |
U.S. Treasury Obligations | — | 1,971,785 | — | 1,971,785 |
Total Investments | $536,748,073 | $1,971,785 | $ — | $538,719,858 |
Liability Description | ||||
Futures Contracts | $ (1,231,555) | $ — | $ — | $ (1,231,555) |
Total | $ (1,231,555) | $ — | $ — | $ (1,231,555) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $444,674,346 |
Gross unrealized appreciation | $ 137,356,186 |
Gross unrealized depreciation | (44,542,229) |
Net unrealized appreciation | $ 92,813,957 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ — | $(1,231,555) (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 | $ (1,385,280) | $ (1,963,570) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $ 2,774,239 | $ — | $ — | $ — | $ 2,774,239 |
Exchange-Traded Funds | 2,949,650 | — | — | — | 2,949,650 |
Total | $5,723,889 | $ — | $ — | $ — | $5,723,889 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $17,905,958 | $18,680,433 | $(36,586,972) | $ 616 | $ (35) | $ — | $ 3,011 | — |
Liquidity Fund | — | 34,245,740 | (22,430,393) | — | — | 11,815,347 | 16,422 | 11,815,347 |
Total | $ 616 | $ (35) | $11,815,347 | $19,433 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 64,508 | $ 8,341,458 | 147,712 | $ 20,487,908 | |
Reinvestment of distributions | — | — | 75,913 | 10,392,540 | |
Shares redeemed | (137,922) | (18,229,660) | (341,118) | (46,718,181) | |
Net decrease | (73,414) | $ (9,888,202) | (117,493) | $(15,837,733) | |
Class F | |||||
Shares sold | 54,569 | $ 7,154,183 | 127,650 | $ 17,794,835 | |
Reinvestment of distributions | — | — | 99,191 | 13,609,987 | |
Shares redeemed | (98,699) | (12,960,709) | (232,102) | (32,026,184) | |
Net decrease | (44,130) | $ (5,806,526) | (5,261) | $ (621,362) |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (23.43)% | (25.28)% | 4.90% | 8.88% |
Class F at NAV | 10/04/2005 | 04/27/2000 | (23.51) | (25.42) | 4.68 | 8.64 |
Russell 2000® Index | — | — | (23.43)% | (25.20)% | 5.16% | 9.35% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.57% | 0.77% |
Net | 0.39 | 0.59 |
Top 10 Holdings (% of net assets)* | |
iShares Russell 2000 ETF | 1.3% |
Biohaven Pharmaceutical Holding Co., Ltd. | 0.4 |
Shockwave Medical, Inc. | 0.3 |
Chart Industries, Inc. | 0.3 |
Halozyme Therapeutics, Inc. | 0.2 |
SailPoint Technologies Holdings, Inc. | 0.2 |
SouthState Corp. | 0.2 |
Southwest Gas Holdings, Inc. | 0.2 |
STAG Industrial, Inc. | 0.2 |
Agree Realty Corp. | 0.2 |
Total | 3.5% |
* | 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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 765.70 | $1.71 ** | 0.39% |
Class F | $1,000.00 | $ 764.90 | $2.58 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 91.2% |
Security | Shares | Value | |
Aerospace & Defense — 0.9% | |||
AAR Corp.(1) | 2,667 | $ 111,587 | |
Aerojet Rocketdyne Holdings, Inc.(1) | 6,015 | 244,209 | |
AeroVironment, Inc.(1) | 1,761 | 144,754 | |
AerSale Corp.(1) | 1,234 | 17,905 | |
Archer Aviation, Inc., Class A(1) | 9,338 | 28,761 | |
Astra Space, Inc.(1) | 10,792 | 14,030 | |
Astronics Corp.(1) | 2,153 | 21,896 | |
Cadre Holdings, Inc. | 1,239 | 24,371 | |
Ducommun, Inc.(1) | 914 | 39,339 | |
Kaman Corp. | 2,245 | 70,156 | |
Kratos Defense & Security Solutions, Inc.(1) | 9,405 | 130,542 | |
Maxar Technologies, Inc. | 5,624 | 146,730 | |
Momentus, Inc.(1) | 4,088 | 8,830 | |
Moog, Inc., Class A | 2,219 | 176,167 | |
National Presto Industries, Inc. | 420 | 27,569 | |
Park Aerospace Corp. | 1,804 | 23,019 | |
Parsons Corp.(1) | 2,523 | 101,980 | |
Redwire Corp.(1)(2) | 1,451 | 4,411 | |
Rocket Lab USA, Inc.(1) | 15,994 | 60,617 | |
Terran Orbital Corp.(1)(2) | 1,796 | 8,226 | |
Triumph Group, Inc.(1) | 4,884 | 64,908 | |
Vectrus, Inc.(1) | 987 | 33,025 | |
Virgin Galactic Holdings, Inc.(1)(2) | 17,120 | 103,062 | |
$ 1,606,094 | |||
Air Freight & Logistics — 0.4% | |||
Air Transport Services Group, Inc.(1) | 4,525 | $ 130,003 | |
Atlas Air Worldwide Holdings, Inc.(1) | 2,101 | 129,653 | |
Forward Air Corp. | 2,084 | 191,645 | |
Hub Group, Inc., Class A(1) | 2,559 | 181,535 | |
Radiant Logistics, Inc.(1) | 3,434 | 25,480 | |
$ 658,316 | |||
Airlines — 0.4% | |||
Allegiant Travel Co.(1) | 1,188 | $ 134,351 | |
Blade Air Mobility, Inc.(1) | 4,209 | 18,772 | |
Frontier Group Holdings, Inc.(1)(2) | 2,730 | 25,580 | |
Hawaiian Holdings, Inc.(1) | 3,989 | 57,083 | |
Joby Aviation, Inc.(1)(2) | 18,838 | 92,495 | |
SkyWest, Inc.(1) | 3,905 | 82,981 | |
Spirit Airlines, Inc.(1) | 8,178 | 194,963 | |
Sun Country Airlines Holdings, Inc.(1) | 2,490 | 45,667 | |
Wheels Up Experience, Inc.(1) | 11,938 | 23,279 | |
$ 675,171 |
Security | Shares | Value | |
Auto Components — 1.2% | |||
Adient PLC(1) | 7,121 | $ 210,995 | |
American Axle & Manufacturing Holdings, Inc.(1) | 8,845 | 66,603 | |
Dana, Inc. | 9,683 | 136,240 | |
Dorman Products, Inc.(1) | 2,051 | 225,015 | |
Fox Factory Holding Corp.(1) | 3,182 | 256,278 | |
Gentherm, Inc.(1) | 2,608 | 162,765 | |
Goodyear Tire & Rubber Co. (The)(1) | 21,674 | 232,129 | |
Holley, Inc.(1)(2) | 3,857 | 40,499 | |
LCI Industries | 1,864 | 208,544 | |
Luminar Technologies, Inc.(1) | 17,907 | 106,189 | |
Modine Manufacturing Co.(1) | 4,047 | 42,615 | |
Motorcar Parts of America, Inc.(1) | 1,400 | 18,368 | |
Patrick Industries, Inc. | 1,647 | 85,380 | |
Solid Power, Inc.(1) | 4,258 | 22,908 | |
Standard Motor Products, Inc. | 1,640 | 73,784 | |
Stoneridge, Inc.(1) | 2,174 | 37,284 | |
Tenneco, Inc., Class A(1) | 6,190 | 106,220 | |
Visteon Corp.(1) | 2,087 | 216,171 | |
XPEL, Inc.(1) | 1,474 | 67,701 | |
$ 2,315,688 | |||
Automobiles — 0.2% | |||
Canoo, Inc.(1) | 8,156 | $ 15,089 | |
Cenntro Electric Group, Ltd.(1)(2) | 13,805 | 20,845 | |
Faraday Future Intelligent Electric, Inc.(1)(2) | 7,449 | 19,367 | |
Fisker, Inc.(1)(2) | 12,446 | 106,662 | |
Lordstown Motors Corp., Class A(1) | 11,997 | 18,955 | |
Mullen Automotive, Inc.(1)(2) | 1,138 | 1,161 | |
Winnebago Industries, Inc. | 2,534 | 123,051 | |
Workhorse Group, Inc.(1)(2) | 11,961 | 31,099 | |
$ 336,229 | |||
Banks — 8.8% | |||
1st Source Corp. | 1,262 | $ 57,295 | |
ACNB Corp. | 634 | 18,823 | |
Allegiance Bancshares, Inc. | 1,477 | 55,772 | |
Amalgamated Financial Corp. | 1,217 | 24,072 | |
Amerant Bancorp, Inc. | 2,132 | 59,952 | |
American National Bankshares, Inc. | 942 | 32,603 | |
Ameris Bancorp | 4,964 | 199,454 | |
Arrow Financial Corp. | 1,193 | 37,949 | |
Associated Banc-Corp. | 11,494 | 209,880 | |
Atlantic Union Bankshares Corp. | 5,618 | 190,563 | |
Banc of California, Inc. | 4,366 | 76,929 | |
BancFirst Corp. | 1,475 | 141,172 | |
Bancorp, Inc. (The)(1) | 4,094 | 79,915 |
Security | Shares | Value | |
Banks (continued) | |||
Bank First Corp. | 510 | $ 38,663 | |
Bank of Marin Bancorp | 1,090 | 34,640 | |
Bank of NT Butterfield & Son, Ltd. (The) | 3,729 | 116,308 | |
BankUnited, Inc. | 6,129 | 218,009 | |
Bankwell Financial Group, Inc. | 423 | 13,134 | |
Banner Corp. | 2,564 | 144,122 | |
Bar Harbor Bankshares | 1,146 | 29,636 | |
Baycom Corp. | 964 | 19,936 | |
BCB Bancorp, Inc. | 1,078 | 18,358 | |
Berkshire Hills Bancorp, Inc. | 3,744 | 92,739 | |
Blue Ridge Bankshares, Inc. | 1,360 | 20,835 | |
Brookline Bancorp, Inc. | 6,307 | 83,946 | |
Business First Bancshares, Inc. | 1,656 | 35,289 | |
Byline Bancorp, Inc. | 1,998 | 47,552 | |
Cadence Bank | 14,025 | 329,307 | |
Cambridge Bancorp | 500 | 41,350 | |
Camden National Corp. | 1,153 | 50,790 | |
Capital Bancorp, Inc. | 525 | 11,392 | |
Capital City Bank Group, Inc. | 1,232 | 34,360 | |
Capstar Financial Holdings, Inc. | 1,274 | 24,996 | |
Carter Bankshares, Inc.(1) | 1,998 | 26,374 | |
Cathay General Bancorp | 5,401 | 211,449 | |
CBTX, Inc. | 1,510 | 40,151 | |
Central Pacific Financial Corp. | 2,337 | 50,129 | |
Citizens & Northern Corp. | 1,125 | 27,191 | |
City Holding Co. | 1,154 | 92,182 | |
Civista Bancshares, Inc. | 1,318 | 28,021 | |
CNB Financial Corp. | 1,282 | 31,012 | |
Coastal Financial Corp.(1) | 740 | 28,209 | |
Colony Bankcorp, Inc. | 1,228 | 18,531 | |
Columbia Banking System, Inc. | 6,118 | 175,281 | |
Community Bank System, Inc. | 4,105 | 259,764 | |
Community Trust Bancorp, Inc. | 1,316 | 53,219 | |
ConnectOne Bancorp, Inc. | 2,830 | 69,193 | |
CrossFirst Bankshares, Inc.(1) | 3,418 | 45,118 | |
Customers Bancorp, Inc.(1) | 2,287 | 77,529 | |
CVB Financial Corp. | 10,140 | 251,573 | |
Dime Community Bancshares, Inc. | 2,653 | 78,661 | |
Eagle Bancorp, Inc. | 2,481 | 117,624 | |
Eastern Bankshares, Inc. | 12,065 | 222,720 | |
Enterprise Bancorp, Inc. | 790 | 25,430 | |
Enterprise Financial Services Corp. | 2,646 | 109,809 | |
Equity Bancshares, Inc., Class A | 1,296 | 37,791 | |
Esquire Financial Holdings, Inc. | 519 | 17,283 | |
Farmers & Merchants Bancorp, Inc. | 908 | 30,137 | |
Farmers National Banc Corp. | 2,422 | 36,330 | |
FB Financial Corp. | 2,671 | 104,757 |
Security | Shares | Value | |
Banks (continued) | |||
Financial Institutions, Inc. | 1,360 | $ 35,387 | |
First Bancorp, Inc. (The) | 691 | 20,820 | |
First Bancorp. | 2,711 | 94,614 | |
First BanCorp. / Puerto Rico | 14,709 | 189,893 | |
First Bancshares, Inc. (The) | 1,589 | 45,445 | |
First Bank / Hamilton | 1,315 | 18,384 | |
First Busey Corp. | 3,985 | 91,057 | |
First Business Financial Services, Inc. | 601 | 18,745 | |
First Commonwealth Financial Corp. | 7,005 | 94,007 | |
First Community Bankshares, Inc. | 1,464 | 43,056 | |
First Financial Bancorp | 7,256 | 140,766 | |
First Financial Bankshares, Inc. | 9,749 | 382,843 | |
First Financial Corp. / IN | 891 | 39,649 | |
First Foundation, Inc. | 3,883 | 79,524 | |
First Guaranty Bancshares, Inc. | 455 | 11,061 | |
First Internet Bancorp | 680 | 25,038 | |
First Interstate BancSystem, Inc., Class A | 7,114 | 271,115 | |
First Merchants Corp. | 4,445 | 158,331 | |
First Mid Bancshares, Inc. | 1,248 | 44,516 | |
First of Long Island Corp. (The) | 2,051 | 35,954 | |
First Western Financial, Inc.(1) | 592 | 16,096 | |
Five Star Bancorp | 963 | 25,442 | |
Flushing Financial Corp. | 2,270 | 48,260 | |
Fulton Financial Corp. | 11,771 | 170,091 | |
FVCBankcorp, Inc.(1) | 896 | 16,872 | |
German American Bancorp, Inc. | 2,058 | 70,342 | |
Glacier Bancorp, Inc. | 8,510 | 403,544 | |
Great Southern Bancorp, Inc. | 796 | 46,614 | |
Guaranty Bancshares, Inc. | 732 | 26,535 | |
Hancock Whitney Corp. | 6,466 | 286,638 | |
Hanmi Financial Corp. | 2,358 | 52,914 | |
HarborOne Bancorp, Inc. | 3,960 | 54,608 | |
HBT Financial, Inc. | 782 | 13,974 | |
Heartland Financial USA, Inc. | 3,161 | 131,308 | |
Heritage Commerce Corp. | 4,704 | 50,286 | |
Heritage Financial Corp. | 2,776 | 69,844 | |
Hilltop Holdings, Inc. | 4,785 | 127,568 | |
Home BancShares, Inc. | 14,264 | 296,263 | |
HomeStreet, Inc. | 1,583 | 54,883 | |
HomeTrust Bancshares, Inc. | 1,190 | 29,750 | |
Hope Bancorp, Inc. | 9,119 | 126,207 | |
Horizon Bancorp | 3,023 | 52,661 | |
Independent Bank Corp. | 3,592 | 285,313 | |
Independent Bank Corp. / MI | 1,901 | 36,651 | |
Independent Bank Group, Inc. | 2,757 | 187,228 | |
International Bancshares Corp. | 4,217 | 169,017 | |
John Marshall Bancorp, Inc. | 855 | 19,272 |
Security | Shares | Value | |
Banks (continued) | |||
Lakeland Bancorp, Inc. | 4,784 | $ 69,942 | |
Lakeland Financial Corp. | 1,841 | 122,279 | |
Live Oak Bancshares, Inc. | 2,492 | 84,454 | |
Macatawa Bank Corp. | 2,061 | 18,219 | |
Mercantile Bank Corp. | 1,185 | 37,861 | |
Meta Financial Group, Inc. | 2,280 | 88,168 | |
Metrocity Bankshares, Inc. | 1,365 | 27,723 | |
Metropolitan Bank Holding Corp.(1) | 758 | 52,620 | |
Mid Penn Bancorp, Inc. | 1,112 | 29,991 | |
Midland States Bancorp, Inc. | 1,739 | 41,806 | |
MidWestOne Financial Group, Inc. | 980 | 29,126 | |
MVB Financial Corp. | 740 | 23,021 | |
National Bank Holdings Corp., Class A | 2,394 | 91,618 | |
NBT Bancorp, Inc. | 3,309 | 124,385 | |
Nicolet Bankshares, Inc.(1) | 962 | 69,591 | |
Northeast Bank | 504 | 18,411 | |
Northwest Bancshares, Inc. | 9,114 | 116,659 | |
OceanFirst Financial Corp. | 4,703 | 89,968 | |
OFG Bancorp | 3,572 | 90,729 | |
Old National Bancorp | 22,000 | 325,380 | |
Old Second Bancorp, Inc. | 3,177 | 42,508 | |
Origin Bancorp, Inc. | 1,666 | 64,641 | |
Orrstown Financial Services, Inc. | 900 | 21,753 | |
Pacific Premier Bancorp, Inc. | 7,033 | 205,645 | |
Park National Corp. | 1,076 | 130,465 | |
Parke Bancorp, Inc. | 758 | 15,888 | |
PCB Bancorp | 873 | 16,308 | |
Peapack-Gladstone Financial Corp. | 1,387 | 41,194 | |
Peoples Bancorp, Inc. | 1,946 | 51,764 | |
Peoples Financial Services Corp. | 676 | 37,748 | |
Preferred Bank / Los Angeles | 1,081 | 73,530 | |
Premier Financial Corp. | 2,799 | 70,955 | |
Primis Financial Corp. | 1,573 | 21,440 | |
Professional Holding Corp., Class A(1) | 970 | 19,448 | |
QCR Holdings, Inc. | 1,290 | 69,647 | |
RBB Bancorp | 1,147 | 23,708 | |
Red River Bancshares, Inc. | 422 | 22,822 | |
Renasant Corp. | 4,333 | 124,834 | |
Republic Bancorp, Inc., Class A | 737 | 35,560 | |
Republic First Bancorp, Inc.(1) | 4,071 | 15,511 | |
S&T Bancorp, Inc. | 2,930 | 80,370 | |
Sandy Spring Bancorp, Inc. | 3,460 | 135,182 | |
Seacoast Banking Corp. of Florida | 4,539 | 149,969 | |
ServisFirst Bancshares, Inc. | 3,828 | 302,106 | |
Shore Bancshares, Inc. | 1,334 | 24,679 | |
Sierra Bancorp | 1,243 | 27,010 | |
Silvergate Capital Corp., Class A(1) | 2,351 | 125,849 |
Security | Shares | Value | |
Banks (continued) | |||
Simmons First National Corp., Class A | 9,386 | $ 199,546 | |
SmartFinancial, Inc. | 1,098 | 26,528 | |
South Plains Financial, Inc. | 868 | 20,954 | |
Southern First Bancshares, Inc.(1) | 613 | 26,721 | |
Southside Bancshares, Inc. | 2,444 | 91,454 | |
SouthState Corp. | 5,624 | 433,892 | |
Stock Yards Bancorp, Inc. | 2,147 | 128,434 | |
Summit Financial Group, Inc. | 955 | 26,530 | |
Texas Capital Bancshares, Inc.(1) | 3,814 | 200,769 | |
Third Coast Bancshares, Inc.(1) | 958 | 20,980 | |
Tompkins Financial Corp. | 1,120 | 80,752 | |
TowneBank | 5,051 | 137,135 | |
TriCo Bancshares | 2,280 | 104,059 | |
Triumph Bancorp, Inc.(1) | 1,845 | 115,423 | |
Trustmark Corp. | 4,595 | 134,128 | |
UMB Financial Corp. | 3,303 | 284,388 | |
United Bankshares, Inc. | 9,938 | 348,526 | |
United Community Banks, Inc. | 8,055 | 243,180 | |
Unity Bancorp, Inc. | 528 | 13,981 | |
Univest Financial Corp. | 2,262 | 57,545 | |
USCB Financial Holdings, Inc.(1) | 808 | 9,324 | |
Valley National Bancorp | 32,315 | 336,399 | |
Veritex Holdings, Inc. | 3,730 | 109,140 | |
Washington Federal, Inc. | 4,861 | 145,927 | |
Washington Trust Bancorp, Inc. | 1,312 | 63,461 | |
WesBanco, Inc. | 4,379 | 138,858 | |
West BanCorp, Inc. | 1,387 | 33,760 | |
Westamerica BanCorp. | 1,954 | 108,760 | |
$ 16,706,634 | |||
Beverages — 0.5% | |||
Celsius Holdings, Inc.(1)(2) | 4,135 | $ 269,850 | |
Coca-Cola Consolidated, Inc. | 363 | 204,696 | |
Duckhorn Portfolio, Inc. (The)(1) | 2,773 | 58,399 | |
MGP Ingredients, Inc.(2) | 1,083 | 108,397 | |
National Beverage Corp. | 1,771 | 86,673 | |
Primo Water Corp. | 12,333 | 165,016 | |
Vintage Wine Estates, Inc.(1) | 2,429 | 19,092 | |
Vita Coco Co., Inc. (The)(1) | 2,091 | 20,471 | |
$ 932,594 | |||
Biotechnology — 6.4% | |||
2seventy bio, Inc.(1)(2) | 2,804 | $ 37,013 | |
4D Molecular Therapeutics, Inc.(1) | 2,159 | 15,070 | |
Aadi Bioscience, Inc.(1) | 1,086 | 13,380 | |
ACADIA Pharmaceuticals, Inc.(1) | 9,384 | 132,221 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Adagio Therapeutics, Inc.(1) | 4,566 | $ 14,976 | |
Adicet Bio, Inc.(1)(2) | 1,640 | 23,944 | |
ADMA Biologics, Inc.(1) | 13,938 | 27,597 | |
Aerovate Therapeutics, Inc.(1) | 772 | 12,066 | |
Affimed NV(1) | 9,178 | 25,423 | |
Agenus, Inc.(1) | 20,257 | 39,299 | |
Agios Pharmaceuticals, Inc.(1) | 4,200 | 93,114 | |
Akero Therapeutics, Inc.(1) | 2,016 | 19,051 | |
Albireo Pharma, Inc.(1)(2) | 1,419 | 28,181 | |
Alector, Inc.(1) | 4,559 | 46,319 | |
Alkermes PLC(1) | 12,229 | 364,302 | |
Allogene Therapeutics, Inc.(1)(2) | 6,037 | 68,822 | |
Allovir, Inc.(1)(2) | 2,408 | 9,391 | |
Alpine Immune Sciences, Inc.(1) | 911 | 7,753 | |
ALX Oncology Holdings, Inc.(1) | 1,419 | 11,480 | |
Amicus Therapeutics, Inc.(1) | 20,619 | 221,448 | |
AnaptysBio, Inc.(1)(2) | 1,512 | 30,694 | |
Anavex Life Sciences Corp.(1)(2) | 4,866 | 48,709 | |
Anika Therapeutics, Inc.(1) | 1,202 | 26,829 | |
Apellis Pharmaceuticals, Inc.(1) | 6,819 | 308,355 | |
Arbutus Biopharma Corp.(1) | 6,124 | 16,596 | |
Arcellx, Inc.(1) | 705 | 12,746 | |
Arcturus Therapeutics Holdings, Inc.(1)(2) | 1,638 | 25,782 | |
Arcus Biosciences, Inc.(1) | 3,592 | 91,021 | |
Arcutis Biotherapeutics, Inc.(1) | 2,627 | 55,981 | |
Arrowhead Pharmaceuticals, Inc.(1) | 7,925 | 279,039 | |
Atara Biotherapeutics, Inc.(1) | 6,782 | 52,832 | |
Aura Biosciences, Inc.(1)(2) | 1,374 | 19,470 | |
Aurinia Pharmaceuticals, Inc.(1) | 10,061 | 101,113 | |
Avid Bioservices, Inc.(1) | 4,695 | 71,646 | |
Avidity Biosciences, Inc.(1) | 3,667 | 53,281 | |
Beam Therapeutics, Inc.(1)(2) | 4,767 | 184,531 | |
BioCryst Pharmaceuticals, Inc.(1) | 13,940 | 147,485 | |
Biohaven Pharmaceutical Holding Co., Ltd.(1) | 4,672 | 680,757 | |
Bioxcel Therapeutics, Inc.(1)(2) | 1,350 | 17,820 | |
Bluebird Bio, Inc.(1) | 5,296 | 21,925 | |
Blueprint Medicines Corp.(1) | 4,576 | 231,134 | |
Bridgebio Pharma, Inc.(1) | 8,200 | 74,456 | |
C4 Therapeutics, Inc.(1) | 2,962 | 22,333 | |
CareDx, Inc.(1) | 3,924 | 84,287 | |
Caribou Biosciences, Inc.(1) | 3,945 | 21,421 | |
Catalyst Pharmaceuticals, Inc.(1) | 7,603 | 53,297 | |
Celldex Therapeutics, Inc.(1) | 3,525 | 95,034 | |
Celularity, Inc. | 1,169 | 3,975 | |
Century Therapeutics, Inc.(1) | 905 | 7,602 | |
Cerevel Therapeutics Holdings, Inc.(1) | 4,076 | 107,769 | |
ChemoCentryx, Inc.(1) | 4,740 | 117,457 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Chimerix, Inc.(1) | 4,840 | $ 10,067 | |
Chinook Therapeutics, Inc.(1) | 3,020 | 52,820 | |
Cogent Biosciences, Inc.(1) | 2,913 | 26,275 | |
Coherus Biosciences, Inc.(1)(2) | 5,115 | 37,033 | |
Crinetics Pharmaceuticals, Inc.(1) | 3,987 | 74,358 | |
CTI BioPharma Corp.(1) | 6,947 | 41,474 | |
Cullinan Oncology, Inc.(1)(2) | 1,984 | 25,435 | |
Cytokinetics, Inc.(1) | 6,145 | 241,437 | |
Day One Biopharmaceuticals, Inc.(1)(2) | 1,764 | 31,576 | |
Deciphera Pharmaceuticals, Inc.(1) | 3,305 | 43,461 | |
Denali Therapeutics, Inc.(1) | 7,469 | 219,813 | |
Design Therapeutics, Inc.(1) | 2,055 | 28,770 | |
Dynavax Technologies Corp.(1)(2) | 8,984 | 113,109 | |
Dyne Therapeutics, Inc.(1)(2) | 2,355 | 16,179 | |
Eagle Pharmaceuticals, Inc.(1) | 867 | 38,521 | |
Editas Medicine, Inc.(1)(2) | 5,352 | 63,314 | |
Eiger BioPharmaceuticals, Inc.(1) | 2,068 | 13,028 | |
Emergent BioSolutions, Inc.(1) | 3,841 | 119,225 | |
Enanta Pharmaceuticals, Inc.(1) | 1,477 | 69,818 | |
Enochian Biosciences, Inc.(1)(2) | 1,482 | 2,860 | |
EQRx, Inc.(1)(2) | 10,255 | 48,096 | |
Erasca, Inc.(1) | 4,957 | 27,610 | |
Fate Therapeutics, Inc.(1)(2) | 6,294 | 155,965 | |
FibroGen, Inc.(1) | 7,057 | 74,522 | |
Foghorn Therapeutics, Inc.(1) | 1,534 | 20,862 | |
Forma Therapeutics Holdings, Inc.(1) | 2,458 | 16,936 | |
Gelesis Holdings, Inc.(1) | 739 | 1,145 | |
Generation Bio Co.(1) | 3,277 | 21,497 | |
Geron Corp.(1)(2) | 24,481 | 37,946 | |
Global Blood Therapeutics, Inc.(1)(2) | 4,693 | 149,941 | |
Gossamer Bio, Inc.(1) | 4,379 | 36,652 | |
GreenLight Biosciences Holdings PBC(1) | 1,053 | 2,327 | |
Halozyme Therapeutics, Inc.(1) | 10,178 | 447,832 | |
Heron Therapeutics, Inc.(1)(2) | 7,128 | 19,887 | |
HilleVax, Inc.(1)(2) | 972 | 10,624 | |
Humacyte, Inc.(1) | 1,323 | 4,247 | |
Icosavax, Inc.(1) | 1,875 | 10,744 | |
Ideaya Biosciences, Inc.(1) | 2,556 | 35,273 | |
IGM Biosciences, Inc.(1) | 627 | 11,305 | |
Imago Biosciences, Inc.(1) | 1,556 | 20,835 | |
ImmunityBio, Inc.(1)(2) | 5,244 | 19,508 | |
ImmunoGen, Inc.(1) | 15,644 | 70,398 | |
Immunovant, Inc.(1) | 3,141 | 12,250 | |
Inhibrx, Inc.(1)(2) | 2,189 | 24,845 | |
Inovio Pharmaceuticals, Inc.(1)(2) | 16,212 | 28,047 | |
Insmed, Inc.(1)(2) | 9,219 | 181,799 | |
Instil Bio, Inc.(1) | 4,179 | 19,307 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Intellia Therapeutics, Inc.(1) | 5,656 | $ 292,755 | |
Intercept Pharmaceuticals, Inc.(1)(2) | 2,290 | 31,625 | |
Iovance Biotherapeutics, Inc.(1) | 11,308 | 124,840 | |
Ironwood Pharmaceuticals, Inc.(1) | 10,251 | 118,194 | |
iTeos Therapeutics, Inc.(1) | 1,605 | 33,063 | |
IVERIC bio, Inc.(1) | 8,892 | 85,541 | |
Janux Therapeutics, Inc.(1)(2) | 1,014 | 12,381 | |
Jounce Therapeutics, Inc.(1) | 2,585 | 7,833 | |
KalVista Pharmaceuticals, Inc.(1) | 1,550 | 15,252 | |
Karuna Therapeutics, Inc.(1) | 1,972 | 249,478 | |
Karyopharm Therapeutics, Inc.(1) | 6,194 | 27,935 | |
Keros Therapeutics, Inc.(1) | 1,092 | 30,172 | |
Kezar Life Sciences, Inc.(1) | 2,937 | 24,289 | |
Kiniksa Pharmaceuticals, Ltd., Class A(1) | 2,278 | 22,074 | |
Kinnate Biopharma, Inc.(1) | 1,973 | 24,880 | |
Kodiak Sciences, Inc.(1) | 2,568 | 19,620 | |
Kronos Bio, Inc.(1) | 3,044 | 11,080 | |
Krystal Biotech, Inc.(1) | 1,560 | 102,430 | |
Kura Oncology, Inc.(1) | 4,759 | 87,232 | |
Kymera Therapeutics, Inc.(1)(2) | 2,634 | 51,863 | |
Lexicon Pharmaceuticals, Inc.(1) | 5,367 | 9,983 | |
Ligand Pharmaceuticals, Inc.(1) | 1,219 | 108,759 | |
Lyell Immunopharma, Inc.(1) | 12,976 | 84,603 | |
MacroGenics, Inc.(1) | 4,499 | 13,272 | |
Madrigal Pharmaceuticals, Inc.(1) | 890 | 63,706 | |
MannKind Corp.(1)(2) | 18,965 | 72,257 | |
MeiraGTx Holdings PLC(1) | 2,356 | 17,835 | |
Mersana Therapeutics, Inc.(1) | 5,400 | 24,948 | |
MiMedx Group, Inc.(1) | 8,710 | 30,224 | |
Mirum Pharmaceuticals, Inc.(1) | 1,192 | 23,196 | |
Monte Rosa Therapeutics, Inc.(1)(2) | 2,241 | 21,670 | |
Morphic Holding, Inc.(1) | 1,626 | 35,284 | |
Myriad Genetics, Inc.(1) | 6,066 | 110,219 | |
Nkarta, Inc.(1) | 2,431 | 29,950 | |
Nurix Therapeutics, Inc.(1) | 3,325 | 42,128 | |
Nuvalent, Inc., Class A(1) | 1,431 | 19,404 | |
Ocugen, Inc.(1) | 14,478 | 32,865 | |
Organogenesis Holdings, Inc.(1) | 5,386 | 26,284 | |
Outlook Therapeutics, Inc.(1)(2) | 6,867 | 7,004 | |
Pardes Biosciences, Inc.(1) | 2,125 | 6,524 | |
PepGen, Inc.(1) | 625 | 6,206 | |
PMV Pharmaceuticals, Inc.(1)(2) | 2,762 | 39,358 | |
Point Biopharma Global, Inc.(1)(2) | 5,554 | 37,823 | |
Praxis Precision Medicines, Inc.(1)(2) | 2,483 | 6,083 | |
Precigen, Inc.(1)(2) | 7,437 | 9,966 | |
Prometheus Biosciences, Inc.(1) | 2,316 | 65,381 | |
Protagonist Therapeutics, Inc.(1) | 3,501 | 27,693 |
Security | Shares | Value | |
Biotechnology (continued) | |||
Prothena Corp. PLC(1) | 2,702 | $ 73,359 | |
PTC Therapeutics, Inc.(1) | 5,446 | 218,167 | |
Radius Health, Inc.(1) | 3,845 | 39,873 | |
Rallybio Corp.(1) | 1,410 | 10,645 | |
Rapt Therapeutics, Inc.(1) | 1,664 | 30,368 | |
Recursion Pharmaceuticals, Inc., Class A(1) | 10,141 | 82,548 | |
REGENXBIO, Inc.(1) | 2,991 | 73,878 | |
Relay Therapeutics, Inc.(1)(2) | 5,798 | 97,116 | |
Replimune Group, Inc.(1) | 2,280 | 39,854 | |
REVOLUTION Medicines, Inc.(1) | 4,657 | 90,765 | |
Rigel Pharmaceuticals, Inc.(1)(2) | 14,810 | 16,735 | |
Rocket Pharmaceuticals, Inc.(1) | 3,009 | 41,404 | |
Sage Therapeutics, Inc.(1) | 3,907 | 126,196 | |
Sana Biotechnology, Inc.(1)(2) | 6,618 | 42,554 | |
Sangamo Therapeutics, Inc.(1) | 9,803 | 40,584 | |
Seres Therapeutics, Inc.(1) | 5,457 | 18,717 | |
Sierra Oncology, Inc.(1) | 1,111 | 61,094 | |
Sorrento Therapeutics, Inc.(1)(2) | 28,515 | 57,315 | |
SpringWorks Therapeutics, Inc.(1)(2) | 2,634 | 64,849 | |
Stoke Therapeutics, Inc.(1) | 1,497 | 19,775 | |
Sutro Biopharma, Inc.(1) | 3,400 | 17,714 | |
Syndax Pharmaceuticals, Inc.(1) | 3,525 | 67,821 | |
Talaris Therapeutics, Inc.(1) | 1,647 | 7,428 | |
Tango Therapeutics, Inc.(1) | 3,498 | 15,846 | |
Tenaya Therapeutics, Inc.(1) | 2,217 | 12,482 | |
TG Therapeutics, Inc.(1) | 9,827 | 41,765 | |
Travere Therapeutics, Inc.(1) | 4,501 | 109,059 | |
Turning Point Therapeutics, Inc.(1) | 3,433 | 258,333 | |
Twist Bioscience Corp.(1) | 4,293 | 150,083 | |
Tyra Biosciences, Inc.(1)(2) | 940 | 6,721 | |
Vanda Pharmaceuticals, Inc.(1) | 4,281 | 46,663 | |
Vaxart, Inc.(1)(2) | 9,366 | 32,781 | |
Vaxcyte, Inc.(1) | 3,953 | 86,017 | |
VBI Vaccines, Inc.(1) | 14,103 | 11,402 | |
Vera Therapeutics, Inc.(1) | 1,061 | 14,440 | |
Veracyte, Inc.(1) | 5,172 | 102,923 | |
Vericel Corp.(1) | 3,645 | 91,781 | |
Verve Therapeutics, Inc.(1) | 2,827 | 43,197 | |
Vir Biotechnology, Inc.(1) | 5,439 | 138,531 | |
Viridian Therapeutics, Inc.(1) | 1,935 | 22,388 | |
VistaGen Therapeutics, Inc.(1)(2) | 15,000 | 13,200 | |
Xencor, Inc.(1) | 4,334 | 118,622 | |
Y-mAbs Therapeutics, Inc.(1)(2) | 2,645 | 40,019 | |
Zentalis Pharmaceuticals, Inc.(1) | 2,752 | 77,331 | |
$ 12,172,705 |
Security | Shares | Value | |
Building Products — 1.2% | |||
AAON, Inc. | 3,340 | $ 182,898 | |
American Woodmark Corp.(1) | 1,377 | 61,979 | |
Apogee Enterprises, Inc. | 1,667 | 65,380 | |
Caesarstone, Ltd. | 1,950 | 17,804 | |
Cornerstone Building Brands, Inc.(1) | 4,745 | 116,205 | |
CSW Industrials, Inc. | 1,163 | 119,824 | |
Gibraltar Industries, Inc.(1) | 2,573 | 99,704 | |
Griffon Corp. | 3,455 | 96,844 | |
Insteel Industries, Inc. | 1,366 | 45,993 | |
Janus International Group, Inc.(1) | 6,126 | 55,318 | |
JELD-WEN Holding, Inc.(1) | 6,466 | 94,339 | |
Masonite International Corp.(1) | 1,692 | 129,996 | |
PGT Innovations, Inc.(1) | 4,639 | 77,193 | |
Quanex Building Products Corp. | 2,627 | 59,764 | |
Resideo Technologies, Inc.(1) | 10,848 | 210,668 | |
Simpson Manufacturing Co., Inc. | 3,252 | 327,184 | |
UFP Industries, Inc. | 4,566 | 311,127 | |
View, Inc.(1)(2) | 10,783 | 17,468 | |
Zurn Water Solutions Corp. | 9,407 | 256,247 | |
$ 2,345,935 | |||
Capital Markets — 1.4% | |||
Artisan Partners Asset Management, Inc., Class A | 4,606 | $ 163,835 | |
Assetmark Financial Holdings(1) | 1,445 | 27,123 | |
Associated Capital Group, Inc., Class A | 224 | 8,026 | |
B. Riley Financial, Inc.(2) | 1,590 | 67,178 | |
BGC Partners, Inc., Class A | 24,450 | 82,397 | |
Blucora, Inc.(1) | 3,770 | 69,594 | |
Brightsphere Investment Group, Inc. | 2,506 | 45,133 | |
Celularity, Inc.(1) | 4,263 | 8,952 | |
Cohen & Steers, Inc. | 1,907 | 121,266 | |
Cowen, Inc., Class A | 2,148 | 50,886 | |
Diamond Hill Investment Group, Inc. | 250 | 43,410 | |
Donnelley Financial Solutions, Inc.(1) | 2,310 | 67,660 | |
Federated Hermes, Inc., Class B | 6,586 | 209,369 | |
Focus Financial Partners, Inc., Class A(1) | 4,351 | 148,195 | |
GAMCO Investors, Inc., Class A | 342 | 7,148 | |
GCM Grosvenor, Inc., Class A(2) | 3,365 | 23,050 | |
Hamilton Lane, Inc., Class A | 2,688 | 180,580 | |
Houlihan Lokey, Inc. | 3,826 | 301,986 | |
Manning & Napier, Inc. | 1,190 | 14,839 | |
MarketWise, Inc.(1) | 1,277 | 4,597 | |
Moelis & Co., Class A | 4,797 | 188,762 | |
Open Lending Corp., Class A(1) | 8,176 | 83,640 | |
Oppenheimer Holdings, Inc., Class A | 724 | 23,921 | |
Perella Weinberg Partners | 3,494 | 20,370 |
Security | Shares | Value | |
Capital Markets (continued) | |||
Piper Sandler Cos. | 1,341 | $ 152,016 | |
PJT Partners, Inc., Class A | 1,843 | 129,526 | |
Pzena Investment Management, Inc., Class A | 1,231 | 8,112 | |
Sculptor Capital Management, Inc. | 1,486 | 12,408 | |
Silvercrest Asset Management Group, Inc., Class A | 744 | 12,209 | |
StepStone Group, Inc., Class A | 3,954 | 102,923 | |
StoneX Group, Inc.(1) | 1,391 | 108,595 | |
Value Line, Inc. | 91 | 6,011 | |
Victory Capital Holdings, Inc. | 1,237 | 29,812 | |
Virtus Investment Partners, Inc. | 560 | 95,771 | |
WisdomTree Investments, Inc. | 11,656 | 59,096 | |
$ 2,678,396 | |||
Chemicals — 2.0% | |||
AdvanSix, Inc. | 2,111 | $ 70,592 | |
American Vanguard Corp. | 2,506 | 56,009 | |
Amyris, Inc.(1)(2) | 13,112 | 24,257 | |
Aspen Aerogels, Inc.(1) | 1,806 | 17,843 | |
Avient Corp. | 6,828 | 273,666 | |
Balchem Corp. | 2,390 | 310,078 | |
Cabot Corp. | 4,172 | 266,132 | |
Chase Corp. | 627 | 48,787 | |
Danimer Scientific, Inc.(1)(2) | 7,000 | 31,920 | |
Diversey Holdings, Ltd.(1) | 5,861 | 38,683 | |
Ecovyst, Inc. | 4,861 | 47,881 | |
FutureFuel Corp. | 1,874 | 13,643 | |
GCP Applied Technologies, Inc.(1) | 3,733 | 116,768 | |
Hawkins, Inc. | 1,498 | 53,973 | |
HB Fuller Co. | 4,089 | 246,199 | |
Ingevity Corp.(1) | 2,919 | 184,306 | |
Innospec, Inc. | 1,881 | 180,181 | |
Intrepid Potash, Inc.(1) | 831 | 37,636 | |
Koppers Holdings, Inc. | 1,571 | 35,567 | |
Kronos Worldwide, Inc. | 1,877 | 34,537 | |
Livent Corp.(1) | 12,423 | 281,878 | |
LSB Industries, Inc.(1) | 2,378 | 32,959 | |
Minerals Technologies, Inc. | 2,459 | 150,835 | |
Origin Materials, Inc.(1) | 7,980 | 40,858 | |
Orion Engineered Carbons S.A. | 4,752 | 73,798 | |
Perimeter Solutions SA(1)(2) | 9,139 | 99,067 | |
PureCycle Technologies, Inc.(1)(2) | 7,970 | 59,137 | |
Quaker Chemical Corp. | 1,058 | 158,192 | |
Rayonier Advanced Materials, Inc.(1) | 5,330 | 13,965 | |
Schweitzer-Mauduit International, Inc. | 2,615 | 65,689 | |
Sensient Technologies Corp. | 3,147 | 253,522 | |
Stepan Co. | 1,602 | 162,363 | |
Tredegar Corp. | 2,145 | 21,450 |
Security | Shares | Value | |
Chemicals (continued) | |||
Trinseo PLC | 2,712 | $ 104,303 | |
Tronox Holdings PLC, Class A | 8,787 | 147,622 | |
Valhi, Inc. | 189 | 8,569 | |
$ 3,762,865 | |||
Commercial Services & Supplies — 1.4% | |||
ABM Industries, Inc. | 5,029 | $ 218,359 | |
ACCO Brands Corp. | 7,737 | 50,523 | |
ACV Auctions, Inc.(1) | 8,457 | 55,309 | |
Aris Water Solution, Inc. | 1,504 | 25,087 | |
Brady Corp., Class A | 3,699 | 174,741 | |
BrightView Holdings, Inc.(1) | 3,485 | 41,820 | |
Brink's Co. (The) | 3,481 | 211,331 | |
Casella Waste Systems, Inc., Class A(1) | 3,858 | 280,399 | |
Cimpress PLC(1) | 1,294 | 50,337 | |
CompX International, Inc. | 124 | 2,876 | |
CoreCivic, Inc.(1) | 9,406 | 104,501 | |
Deluxe Corp. | 3,303 | 71,576 | |
Ennis, Inc. | 2,271 | 45,942 | |
GEO Group, Inc. (The)(1)(2) | 9,238 | 60,971 | |
Harsco Corp.(1) | 6,141 | 43,662 | |
Healthcare Services Group, Inc. | 5,559 | 96,782 | |
Heritage-Crystal Clean, Inc.(1) | 1,244 | 33,538 | |
HNI Corp. | 3,365 | 116,732 | |
Interface, Inc. | 4,493 | 56,342 | |
KAR Auction Services, Inc.(1) | 9,114 | 134,614 | |
Kimball International, Inc., Class B | 3,203 | 24,567 | |
Li-Cycle Holdings Corp.(1) | 9,920 | 68,250 | |
Matthews International Corp., Class A | 2,426 | 69,553 | |
MillerKnoll, Inc. | 5,702 | 149,792 | |
Montrose Environmental Group, Inc.(1) | 2,024 | 68,330 | |
NL Industries, Inc. | 532 | 5,251 | |
Pitney Bowes, Inc. | 14,661 | 53,073 | |
Quad / Graphics, Inc.(1) | 2,612 | 7,183 | |
SP Plus Corp.(1) | 1,895 | 58,214 | |
Steelcase, Inc., Class A | 7,018 | 75,303 | |
UniFirst Corp. | 1,123 | 193,358 | |
Viad Corp.(1) | 1,592 | 43,955 | |
VSE Corp. | 830 | 31,191 | |
$ 2,723,462 | |||
Communications Equipment — 0.7% | |||
ADTRAN, Inc. | 4,115 | $ 72,136 | |
Aviat Networks, Inc.(1) | 756 | 18,930 | |
Calix, Inc.(1) | 4,281 | 146,153 | |
Cambium Networks Corp.(1) | 659 | 9,654 |
Security | Shares | Value | |
Communications Equipment (continued) | |||
Casa Systems, Inc.(1) | 2,241 | $ 8,807 | |
Clearfield, Inc.(1) | 881 | 54,578 | |
CommScope Holding Co., Inc.(1) | 15,384 | 94,150 | |
Comtech Telecommunications Corp. | 2,055 | 18,639 | |
Digi International, Inc.(1) | 2,713 | 65,709 | |
DZS, Inc.(1) | 1,018 | 16,563 | |
Extreme Networks, Inc.(1) | 9,679 | 86,337 | |
Harmonic, Inc.(1) | 7,210 | 62,511 | |
Infinera Corp.(1) | 13,753 | 73,716 | |
Inseego Corp.(1)(2) | 6,022 | 11,382 | |
NETGEAR, Inc.(1) | 2,438 | 45,152 | |
NetScout Systems, Inc.(1) | 5,503 | 186,276 | |
Ondas Holdings, Inc.(1)(2) | 2,564 | 13,820 | |
Plantronics, Inc.(1) | 3,236 | 128,404 | |
Ribbon Communications, Inc.(1) | 5,864 | 17,827 | |
Viavi Solutions, Inc.(1) | 17,071 | 225,849 | |
$ 1,356,593 | |||
Construction & Engineering — 1.2% | |||
Ameresco, Inc., Class A(1) | 2,423 | $ 110,392 | |
API Group Corp.(1) | 15,597 | 233,487 | |
Arcosa, Inc. | 3,800 | 176,434 | |
Argan, Inc. | 1,051 | 39,223 | |
Comfort Systems USA, Inc. | 2,659 | 221,096 | |
Concrete Pumping Holdings, Inc.(1)(2) | 2,145 | 12,999 | |
Construction Partners, Inc., Class A(1) | 3,089 | 64,684 | |
Dycom Industries, Inc.(1) | 2,166 | 201,525 | |
EMCOR Group, Inc. | 3,802 | 391,454 | |
Fluor Corp.(1) | 10,677 | 259,878 | |
Granite Construction, Inc. | 3,588 | 104,554 | |
Great Lakes Dredge & Dock Corp.(1) | 5,123 | 67,162 | |
IES Holdings, Inc.(1) | 610 | 18,404 | |
Infrastructure and Energy Alternatives, Inc.(1) | 1,639 | 13,161 | |
MYR Group, Inc.(1) | 1,295 | 114,128 | |
Northwest Pipe Co.(1) | 837 | 25,060 | |
NV5 Global, Inc.(1) | 1,020 | 119,075 | |
Primoris Services Corp. | 4,194 | 91,261 | |
Sterling Infrastructure, Inc.(1) | 2,268 | 49,715 | |
Tutor Perini Corp.(1) | 3,186 | 27,973 | |
$ 2,341,665 | |||
Construction Materials — 0.1% | |||
Summit Materials, Inc., Class A(1) | 8,895 | $ 207,164 | |
United States Lime & Minerals, Inc. | 156 | 16,474 | |
$ 223,638 |
Security | Shares | Value | |
Consumer Finance — 0.6% | |||
Atlanticus Holdings Corp.(1) | 446 | $ 15,686 | |
Consumer Portfolio Services, Inc.(1) | 1,073 | 10,998 | |
Curo Group Holdings Corp. | 1,544 | 8,538 | |
Encore Capital Group, Inc.(1) | 1,916 | 110,687 | |
Enova International, Inc.(1) | 2,388 | 68,822 | |
EZCORP, Inc., Class A(1) | 4,319 | 32,436 | |
FirstCash Holdings, Inc. | 2,895 | 201,231 | |
Green Dot Corp., Class A(1) | 3,643 | 91,476 | |
LendingClub Corp.(1) | 7,566 | 88,447 | |
LendingTree, Inc.(1) | 911 | 39,920 | |
Moneylion, Inc.(1) | 10,839 | 14,307 | |
Navient Corp. | 8,712 | 121,881 | |
Nelnet, Inc., Class A | 1,120 | 95,480 | |
NerdWallet, Inc.(1) | 1,921 | 15,234 | |
Oportun Financial Corp.(1) | 1,717 | 14,200 | |
OppFi, Inc.(1) | 1,009 | 3,320 | |
PRA Group, Inc.(1) | 2,977 | 108,244 | |
PROG Holdings, Inc.(1) | 4,385 | 72,352 | |
Regional Management Corp. | 671 | 25,075 | |
Sunlight Financial Holdings, Inc.(1) | 1,823 | 5,378 | |
World Acceptance Corp.(1) | 366 | 41,080 | |
$ 1,184,792 | |||
Containers & Packaging — 0.3% | |||
Cryptyde, Inc. | 1,377 | $ 2,795 | |
Greif, Inc., Class A | 2,023 | 126,195 | |
Greif, Inc., Class B | 446 | 27,781 | |
Myers Industries, Inc. | 2,722 | 61,871 | |
O-I Glass, Inc.(1) | 11,675 | 163,450 | |
Pactiv Evergreen, Inc. | 3,313 | 32,997 | |
Ranpak Holdings Corp.(1) | 2,883 | 20,181 | |
TriMas Corp. | 3,443 | 95,337 | |
$ 530,607 | |||
Distributors — 0.0% | |||
Funko, Inc., Class A(1) | 2,097 | $ 46,805 | |
Weyco Group, Inc. | 443 | 10,831 | |
$ 57,636 | |||
Diversified Consumer Services — 0.9% | |||
2U, Inc.(1)(2) | 5,625 | $ 58,894 | |
Adtalem Global Education, Inc.(1) | 3,366 | 121,075 | |
American Public Education, Inc.(1) | 1,323 | 21,380 | |
Beachbody Co., Inc. (The)(1) | 7,850 | 9,420 | |
Carriage Services, Inc. | 1,188 | 47,104 | |
Chegg, Inc.(1) | 9,330 | 175,217 |
Security | Shares | Value | |
Diversified Consumer Services (continued) | |||
Coursera, Inc.(1) | 8,458 | $ 119,934 | |
Duolingo, Inc.(1) | 1,766 | 154,613 | |
European Wax Center, Inc., Class A | 1,586 | 27,945 | |
frontdoor, Inc.(1) | 6,209 | 149,513 | |
Graham Holdings Co., Class B | 282 | 159,849 | |
Laureate Education, Inc., Class A | 8,501 | 98,357 | |
Nerdy, Inc.(1) | 4,065 | 8,658 | |
OneSpaWorld Holdings, Ltd.(1)(2) | 4,007 | 28,730 | |
Perdoceo Education Corp.(1) | 5,120 | 60,314 | |
PowerSchool Holdings, Inc., Class A(1) | 3,319 | 39,994 | |
Rover Group, Inc.(1) | 6,955 | 26,151 | |
StoneMor, Inc.(1) | 2,522 | 8,625 | |
Strategic Education, Inc. | 1,726 | 121,821 | |
Stride, Inc.(1) | 3,159 | 128,856 | |
Udemy, Inc.(1) | 5,412 | 55,257 | |
Universal Technical Institute, Inc.(1) | 2,430 | 17,326 | |
Vivint Smart Home, Inc.(1) | 7,248 | 25,223 | |
WW International, Inc.(1) | 4,129 | 26,384 | |
$ 1,690,640 | |||
Diversified Financial Services — 0.3% | |||
Alerus Financial Corp. | 1,321 | $ 31,453 | |
A-Mark Precious Metals, Inc. | 1,368 | 44,118 | |
Banco Latinoamericano de Comercio Exterior S.A. | 2,614 | 34,688 | |
Cannae Holdings, Inc.(1) | 5,668 | 109,619 | |
Compass Diversified Holdings | 4,544 | 97,332 | |
Jackson Financial, Inc. | 5,665 | 151,539 | |
SWK Holdings Corp.(1) | 267 | 4,665 | |
$ 473,414 | |||
Diversified Telecommunication Services — 0.6% | |||
Anterix, Inc.(1) | 926 | $ 38,031 | |
ATN International, Inc. | 967 | 45,362 | |
Bandwidth, Inc., Class A(1) | 1,790 | 33,688 | |
Charge Enterprises, Inc.(2) | 8,110 | 38,685 | |
Cogent Communications Holdings, Inc. | 3,270 | 198,685 | |
Consolidated Communications Holdings, Inc.(1) | 5,584 | 39,088 | |
EchoStar Corp., Class A(1) | 2,885 | 55,680 | |
Globalstar, Inc.(1)(2) | 47,604 | 58,553 | |
IDT Corp., Class B(1) | 1,125 | 28,294 | |
Iridium Communications, Inc.(1) | 9,554 | 358,848 | |
Liberty Latin America, Ltd., Class A(1) | 3,362 | 26,223 | |
Liberty Latin America, Ltd., Class C(1) | 11,849 | 92,304 | |
Ooma, Inc.(1) | 1,488 | 17,618 | |
Radius Global Infrastructure, Inc., Class A(1) | 5,581 | 85,166 |
Security | Shares | Value | |
Diversified Telecommunication Services (continued) | |||
Starry Group Holdings, Inc., Class A(1)(2) | 1,784 | $ 7,350 | |
$ 1,123,575 | |||
Electric Utilities — 0.7% | |||
ALLETE, Inc. | 4,300 | $ 252,754 | |
MGE Energy, Inc. | 2,731 | 212,553 | |
Otter Tail Corp. | 3,085 | 207,096 | |
PNM Resources, Inc. | 6,410 | 306,270 | |
Portland General Electric Co. | 6,712 | 324,391 | |
Via Renewables, Inc.(2) | 1,012 | 7,752 | |
$ 1,310,816 | |||
Electrical Equipment — 1.0% | |||
Allied Motion Technologies, Inc. | 952 | $ 21,744 | |
Array Technologies, Inc.(1) | 11,309 | 124,512 | |
Atkore, Inc.(1) | 3,226 | 267,790 | |
AZZ, Inc. | 1,841 | 75,150 | |
Babcock & Wilcox Enterprises, Inc.(1) | 4,352 | 26,243 | |
Blink Charging Co.(1) | 2,863 | 47,325 | |
Bloom Energy Corp., Class A(1)(2) | 12,213 | 201,514 | |
Encore Wire Corp. | 1,428 | 148,398 | |
Energy Vault Holdings, Inc.(1) | 1,887 | 18,908 | |
EnerSys | 3,215 | 189,556 | |
Enovix Corp.(1) | 8,159 | 72,697 | |
ESS Tech, Inc.(1)(2) | 6,050 | 17,001 | |
Fluence Energy, Inc.(1)(2) | 2,695 | 25,549 | |
FTC Solar, Inc.(1)(2) | 3,174 | 11,490 | |
FuelCell Energy, Inc.(1)(2) | 28,578 | 107,167 | |
GrafTech International, Ltd. | 15,608 | 110,349 | |
Heliogen, Inc.(1) | 1,434 | 3,026 | |
NuScale Power Corp.(1) | 1,286 | 12,847 | |
Powell Industries, Inc. | 811 | 18,953 | |
Preformed Line Products Co. | 222 | 13,653 | |
Shoals Technologies Group, Inc.(1) | 8,389 | 138,251 | |
Stem, Inc.(1)(2) | 10,809 | 77,392 | |
Thermon Group Holdings, Inc.(1) | 2,669 | 37,499 | |
TPI Composites, Inc.(1) | 2,801 | 35,012 | |
Vicor Corp.(1) | 1,651 | 90,359 | |
$ 1,892,385 | |||
Electronic Equipment, Instruments & Components — 2.0% | |||
908 Devices, Inc.(1) | 1,442 | $ 29,691 | |
Advanced Energy Industries, Inc. | 2,818 | 205,658 | |
Aeva Technologies, Inc.(1) | 8,168 | 25,566 | |
AEye, Inc.(1) | 1,981 | 3,784 | |
Akoustis Technologies, Inc.(1)(2) | 4,010 | 14,837 |
Security | Shares | Value | |
Electronic Equipment, Instruments & Components (continued) | |||
Arlo Technologies, Inc.(1) | 6,268 | $ 39,300 | |
Badger Meter, Inc. | 2,290 | 185,238 | |
Belden, Inc. | 3,292 | 175,365 | |
Benchmark Electronics, Inc. | 2,968 | 66,958 | |
Cepton, Inc.(1)(2) | 583 | 909 | |
CTS Corp. | 2,503 | 85,227 | |
ePlus, Inc.(1) | 2,086 | 110,808 | |
Evolv Technologies Holdings, Inc.(1) | 6,304 | 16,769 | |
Fabrinet (1) | 2,770 | 224,647 | |
FARO Technologies, Inc.(1) | 1,514 | 46,677 | |
Focus Universal, Inc.(1)(2) | 1,328 | 15,166 | |
Identiv, Inc.(1) | 1,620 | 18,760 | |
Insight Enterprises, Inc.(1) | 2,356 | 203,276 | |
Itron, Inc.(1) | 3,384 | 167,271 | |
Kimball Electronics, Inc.(1) | 2,097 | 42,150 | |
Knowles Corp.(1) | 7,204 | 124,845 | |
Lightwave Logic, Inc.(1) | 8,384 | 54,831 | |
Methode Electronics, Inc. | 2,719 | 100,712 | |
MicroVision, Inc.(1)(2) | 12,416 | 47,677 | |
Mirion Technologies, Inc.(1) | 10,275 | 59,184 | |
Napco Security Technologies, Inc.(1) | 2,090 | 43,033 | |
nLight, Inc.(1) | 3,335 | 34,084 | |
Novanta, Inc.(1) | 2,665 | 323,185 | |
OSI Systems, Inc.(1) | 1,215 | 103,810 | |
Ouster, Inc.(1) | 9,965 | 16,143 | |
PAR Technology Corp.(1)(2) | 1,860 | 69,731 | |
PC Connection, Inc. | 941 | 41,451 | |
Plexus Corp.(1) | 2,060 | 161,710 | |
Rogers Corp.(1) | 1,407 | 368,761 | |
Sanmina Corp.(1) | 4,503 | 183,407 | |
ScanSource, Inc.(1) | 2,089 | 65,051 | |
SmartRent, Inc.(1) | 8,925 | 40,341 | |
TTM Technologies, Inc.(1) | 8,062 | 100,775 | |
Velodyne Lidar, Inc.(1) | 14,482 | 13,833 | |
Vishay Intertechnology, Inc. | 9,919 | 176,757 | |
Vishay Precision Group, Inc.(1) | 1,011 | 29,450 | |
$ 3,836,828 | |||
Energy Equipment & Services — 1.4% | |||
Archrock, Inc. | 10,154 | $ 83,973 | |
Borr Drilling, Ltd.(1)(2) | 10,079 | 46,464 | |
Bristow Group, Inc.(1) | 1,813 | 42,424 | |
Cactus, Inc., Class A | 4,280 | 172,356 | |
ChampionX Corp. | 15,327 | 304,241 | |
Diamond Offshore Drilling, Inc.(1) | 7,492 | 44,128 | |
DMC Global, Inc.(1) | 1,457 | 26,270 | |
Dril-Quip, Inc.(1) | 2,558 | 65,996 |
Security | Shares | Value | |
Energy Equipment & Services (continued) | |||
Expro Group Holdings NV(1) | 5,815 | $ 66,989 | |
Helix Energy Solutions Group, Inc.(1) | 12,468 | 38,651 | |
Helmerich & Payne, Inc. | 7,711 | 332,036 | |
Liberty Energy, Inc., Class A(1) | 10,709 | 136,647 | |
Nabors Industries, Ltd.(1) | 680 | 91,052 | |
National Energy Services Reunited Corp.(1) | 2,911 | 19,737 | |
Newpark Resources, Inc.(1) | 7,671 | 23,703 | |
NexTier Oilfield Solutions, Inc.(1) | 13,416 | 127,586 | |
Noble Corp.(1) | 2,822 | 71,538 | |
Oceaneering International, Inc.(1) | 7,810 | 83,411 | |
Oil States International, Inc.(1) | 5,061 | 27,431 | |
Patterson-UTI Energy, Inc. | 16,091 | 253,594 | |
ProPetro Holding Corp.(1) | 6,820 | 68,200 | |
RPC, Inc.(1) | 5,124 | 35,407 | |
Select Energy Services, Inc., Class A(1) | 5,076 | 34,618 | |
Solaris Oilfield Infrastructure, Inc., Class A | 2,541 | 27,646 | |
TETRA Technologies, Inc.(1) | 9,623 | 39,069 | |
Tidewater, Inc.(1) | 3,229 | 68,100 | |
US Silica Holdings, Inc.(1) | 5,760 | 65,779 | |
Valaris, Ltd.(1) | 4,570 | 193,037 | |
Weatherford International PLC(1) | 5,302 | 112,243 | |
$ 2,702,326 | |||
Entertainment — 0.3% | |||
Cinemark Holdings, Inc.(1) | 8,475 | $ 127,294 | |
IMAX Corp.(1) | 3,908 | 66,006 | |
Liberty Braves Group, Series A(1)(2) | 713 | 17,932 | |
Liberty Braves Group, Series C(1) | 3,012 | 72,288 | |
Lions Gate Entertainment Corp., Class A(1) | 4,567 | 42,519 | |
Lions Gate Entertainment Corp., Class B(1) | 9,036 | 79,788 | |
Madison Square Garden Entertainment Corp.(1) | 2,038 | 107,240 | |
Marcus Corp. (The)(1)(2) | 1,876 | 27,708 | |
Playstudios, Inc.(1) | 5,943 | 25,436 | |
Redbox Entertainment, Inc.(1) | 491 | 3,633 | |
Reservoir Media, Inc.(1) | 1,534 | 10,002 | |
Skillz, Inc.(1) | 22,921 | 28,422 | |
$ 608,268 | |||
Equity Real Estate Investment Trusts (REITs) — 6.0% | |||
Acadia Realty Trust | 6,900 | $ 107,778 | |
Agree Realty Corp. | 5,632 | 406,236 | |
Alexander & Baldwin, Inc. | 5,556 | 99,730 | |
Alexander's, Inc. | 184 | 40,877 | |
American Assets Trust, Inc. | 3,916 | 116,305 | |
Apartment Investment and Management Co., Class A(1) | 11,681 | 74,758 | |
Apple Hospitality REIT, Inc. | 16,468 | 241,586 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Armada Hoffler Properties, Inc. | 4,892 | $ 62,813 | |
Ashford Hospitality Trust, Inc.(1)(2) | 2,580 | 15,428 | |
Bluerock Residential Growth REIT, Inc. | 2,150 | 56,524 | |
Braemar Hotels & Resorts, Inc. | 3,489 | 14,968 | |
Brandywine Realty Trust | 13,308 | 128,289 | |
Broadstone Net Lease, Inc. | 12,852 | 263,595 | |
BRT Apartments Corp. | 682 | 14,656 | |
CareTrust REIT, Inc. | 7,568 | 139,554 | |
CatchMark Timber Trust, Inc., Class A | 4,393 | 44,194 | |
CBL & Associates Properties, Inc.(1) | 1,997 | 46,910 | |
Cedar Realty Trust, Inc. | 806 | 23,205 | |
Centerspace | 1,104 | 90,031 | |
Chatham Lodging Trust(1) | 3,800 | 39,710 | |
City Office REIT, Inc. | 3,686 | 47,734 | |
Clipper Realty, Inc. | 1,313 | 10,136 | |
Community Healthcare Trust, Inc. | 1,862 | 67,423 | |
Corporate Office Properties Trust | 8,451 | 221,332 | |
CTO Realty Growth, Inc.(2) | 466 | 28,482 | |
DiamondRock Hospitality Co.(1) | 16,248 | 133,396 | |
Diversified Healthcare Trust | 18,611 | 33,872 | |
Easterly Government Properties, Inc. | 6,683 | 127,244 | |
Empire State Realty Trust, Inc., Class A | 11,214 | 78,834 | |
Equity Commonwealth(1) | 8,094 | 222,828 | |
Essential Properties Realty Trust, Inc. | 9,792 | 210,430 | |
Farmland Partners, Inc. | 3,435 | 47,403 | |
Four Corners Property Trust, Inc. | 5,983 | 159,088 | |
Franklin Street Properties Corp. | 9,022 | 37,622 | |
Getty Realty Corp. | 3,183 | 84,349 | |
Gladstone Commercial Corp. | 2,560 | 48,230 | |
Gladstone Land Corp. | 2,444 | 54,159 | |
Global Medical REIT, Inc. | 4,446 | 49,929 | |
Global Net Lease, Inc. | 8,143 | 115,305 | |
Healthcare Realty Trust, Inc. | 11,320 | 307,904 | |
Hersha Hospitality Trust(1) | 3,227 | 31,657 | |
Independence Realty Trust, Inc. | 16,628 | 344,698 | |
Indus Realty Trust, Inc.(2) | 445 | 26,415 | |
Industrial Logistics Properties Trust | 4,982 | 70,147 | |
Innovative Industrial Properties, Inc. | 2,083 | 228,859 | |
InvenTrust Properties Corp. | 5,083 | 131,091 | |
iStar, Inc. | 5,550 | 76,091 | |
Kite Realty Group Trust | 16,779 | 290,109 | |
LTC Properties, Inc. | 2,921 | 112,137 | |
LXP Industrial Trust | 21,605 | 232,038 | |
Macerich Co. (The) | 16,397 | 142,818 | |
National Health Investors, Inc. | 3,431 | 207,953 | |
Necessity Retail REIT, Inc. (The) | 9,434 | 68,680 | |
NETSTREIT Corp. | 3,610 | 68,121 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
NexPoint Residential Trust, Inc. | 1,745 | $ 109,080 | |
Office Properties Income Trust | 3,755 | 74,912 | |
One Liberty Properties, Inc. | 1,306 | 33,930 | |
Orion Office REIT, Inc. | 4,280 | 46,909 | |
Outfront Media, Inc. | 11,413 | 193,450 | |
Paramount Group, Inc. | 14,640 | 105,847 | |
Pebblebrook Hotel Trust | 10,195 | 168,931 | |
Phillips Edison & Co., Inc. | 8,577 | 286,558 | |
Physicians Realty Trust | 16,980 | 296,301 | |
Piedmont Office Realty Trust, Inc., Class A | 9,509 | 124,758 | |
Plymouth Industrial REIT, Inc. | 2,417 | 42,394 | |
Postal Realty Trust, Inc., Class A | 945 | 14,081 | |
PotlatchDeltic Corp. | 5,063 | 223,734 | |
PS Business Parks, Inc. | 1,514 | 283,345 | |
Retail Opportunity Investments Corp. | 9,412 | 148,521 | |
RLJ Lodging Trust | 12,682 | 139,882 | |
RPT Realty | 6,804 | 66,883 | |
Ryman Hospitality Properties, Inc.(1) | 4,037 | 306,933 | |
Sabra Health Care REIT, Inc. | 17,853 | 249,406 | |
Safehold, Inc. | 1,606 | 56,804 | |
Saul Centers, Inc. | 978 | 46,074 | |
Service Properties Trust | 12,870 | 67,310 | |
SITE Centers Corp. | 14,610 | 196,797 | |
STAG Industrial, Inc. | 13,533 | 417,899 | |
Summit Hotel Properties, Inc.(1) | 7,954 | 57,826 | |
Sunstone Hotel Investors, Inc.(1) | 16,856 | 167,212 | |
Tanger Factory Outlet Centers, Inc. | 7,847 | 111,584 | |
Terreno Realty Corp. | 5,701 | 317,717 | |
UMH Properties, Inc. | 3,714 | 65,589 | |
Uniti Group, Inc. | 17,800 | 167,676 | |
Universal Health Realty Income Trust | 1,113 | 59,223 | |
Urban Edge Properties | 8,878 | 135,034 | |
Urstadt Biddle Properties, Inc., Class A | 2,599 | 42,104 | |
Veris Residential, Inc.(1) | 6,888 | 91,197 | |
Washington Real Estate Investment Trust | 6,640 | 141,498 | |
Whitestone REIT | 3,231 | 34,733 | |
Xenia Hotels & Resorts, Inc.(1) | 8,580 | 124,667 | |
$ 11,360,460 | |||
Food & Staples Retailing — 0.6% | |||
Andersons, Inc. (The) | 2,432 | $ 80,232 | |
Chefs' Warehouse, Inc. (The)(1) | 2,573 | 100,064 | |
HF Foods Group, Inc.(1) | 3,141 | 16,396 | |
Ingles Markets, Inc., Class A | 1,077 | 93,430 | |
Natural Grocers by Vitamin Cottage, Inc. | 875 | 13,956 | |
PriceSmart, Inc. | 1,850 | 132,515 | |
Rite Aid Corp.(1) | 4,628 | 31,193 |
Security | Shares | Value | |
Food & Staples Retailing (continued) | |||
SpartanNash Co. | 2,800 | $ 84,476 | |
Sprouts Farmers Market, Inc.(1) | 8,231 | 208,409 | |
United Natural Foods, Inc.(1) | 4,376 | 172,414 | |
Village Super Market, Inc., Class A | 640 | 14,598 | |
Weis Markets, Inc. | 1,290 | 96,157 | |
$ 1,043,840 | |||
Food Products — 1.3% | |||
Alico, Inc. | 470 | $ 16,746 | |
AppHarvest, Inc.(1)(2) | 5,348 | 18,665 | |
B&G Foods, Inc. | 5,023 | 119,447 | |
Benson Hill, Inc.(1) | 12,841 | 35,184 | |
Beyond Meat, Inc.(1) | 4,605 | 110,244 | |
BRC, Inc. | 1,925 | 15,708 | |
Calavo Growers, Inc. | 1,424 | 59,409 | |
Cal-Maine Foods, Inc. | 2,844 | 140,522 | |
Fresh Del Monte Produce, Inc. | 2,289 | 67,594 | |
Hain Celestial Group, Inc. (The)(1) | 5,640 | 133,894 | |
Hostess Brands, Inc.(1) | 10,500 | 222,705 | |
J&J Snack Foods Corp. | 1,156 | 161,447 | |
John B. Sanfilippo & Son, Inc. | 716 | 51,903 | |
Lancaster Colony Corp. | 1,489 | 191,753 | |
Landec Corp.(1) | 2,282 | 22,752 | |
Local Bounti Corp.(1) | 1,406 | 4,471 | |
Mission Produce, Inc.(1) | 2,908 | 41,439 | |
Sanderson Farms, Inc. | 1,593 | 343,339 | |
Seneca Foods Corp., Class A(1) | 439 | 24,382 | |
Simply Good Foods Co. (The)(1) | 6,676 | 252,153 | |
Sovos Brands, Inc.(1) | 1,988 | 31,550 | |
SunOpta, Inc.(1) | 7,325 | 56,988 | |
Tattooed Chef, Inc.(1)(2) | 3,667 | 23,102 | |
Tootsie Roll Industries, Inc. | 1,256 | 44,400 | |
TreeHouse Foods, Inc.(1) | 3,815 | 159,543 | |
Utz Brands, Inc. | 4,623 | 63,890 | |
Vital Farms, Inc.(1) | 1,946 | 17,027 | |
Whole Earth Brands, Inc.(1) | 2,930 | 18,166 | |
$ 2,448,423 | |||
Gas Utilities — 1.2% | |||
Brookfield Infrastructure Corp., Class A | 7,449 | $ 316,583 | |
Chesapeake Utilities Corp. | 1,306 | 169,192 | |
New Jersey Resources Corp. | 7,408 | 329,878 | |
Northwest Natural Holding Co. | 2,559 | 135,883 | |
ONE Gas, Inc. | 4,136 | 335,802 | |
South Jersey Industries, Inc. | 9,213 | 314,532 | |
Southwest Gas Holdings, Inc. | 4,952 | 431,220 |
Security | Shares | Value | |
Gas Utilities (continued) | |||
Spire, Inc. | 3,887 | $ 289,076 | |
$ 2,322,166 | |||
Health Care Equipment & Supplies — 3.4% | |||
Alphatec Holdings, Inc.(1) | 5,397 | $ 35,296 | |
AngioDynamics, Inc.(1) | 2,837 | 54,896 | |
Artivion, Inc.(1) | 3,149 | 59,453 | |
AtriCure, Inc.(1) | 3,557 | 145,339 | |
Atrion Corp. | 107 | 67,288 | |
Avanos Medical, Inc.(1) | 3,690 | 100,885 | |
AxoGen, Inc.(1) | 3,047 | 24,955 | |
Axonics, Inc.(1)(2) | 3,513 | 199,082 | |
BioLife Solutions, Inc.(1) | 2,528 | 34,912 | |
Bioventus, Inc., Class A(1)(2) | 2,087 | 14,233 | |
Butterfly Network, Inc.(1) | 9,650 | 29,626 | |
Cardiovascular Systems, Inc.(1) | 3,081 | 44,243 | |
Cerus Corp.(1) | 13,159 | 69,611 | |
CONMED Corp. | 2,116 | 202,628 | |
CryoPort, Inc.(1)(2) | 3,246 | 100,561 | |
Cue Health, Inc.(1) | 8,082 | 25,862 | |
Cutera, Inc.(1) | 1,245 | 46,687 | |
Embecta Corp.(1) | 4,302 | 108,927 | |
Figs, Inc.(1) | 9,565 | 87,137 | |
Glaukos Corp.(1) | 3,577 | 162,467 | |
Haemonetics Corp.(1) | 3,809 | 248,271 | |
Heska Corp.(1) | 751 | 70,977 | |
Inari Medical, Inc.(1) | 3,619 | 246,056 | |
Inogen, Inc.(1) | 1,598 | 38,640 | |
Integer Holdings Corp.(1) | 2,576 | 182,020 | |
iRadimed Corp. | 490 | 16,631 | |
iRhythm Technologies, Inc.(1) | 2,238 | 241,771 | |
Lantheus Holdings, Inc.(1) | 5,125 | 338,404 | |
LeMaitre Vascular, Inc. | 1,477 | 67,277 | |
LivaNova PLC(1) | 4,027 | 251,567 | |
Meridian Bioscience, Inc.(1) | 3,224 | 98,074 | |
Merit Medical Systems, Inc.(1) | 4,192 | 227,500 | |
Mesa Laboratories, Inc. | 404 | 82,392 | |
Nano-X Imaging, Ltd.(1)(2) | 3,153 | 35,629 | |
Natus Medical, Inc.(1) | 2,645 | 86,677 | |
Neogen Corp.(1) | 8,253 | 198,815 | |
Nevro Corp.(1) | 2,713 | 118,911 | |
NuVasive, Inc.(1) | 4,062 | 199,688 | |
Omnicell, Inc.(1) | 3,294 | 374,692 | |
OraSure Technologies, Inc.(1) | 6,111 | 16,561 | |
Orthofix Medical, Inc.(1) | 1,619 | 38,111 | |
OrthoPediatrics Corp.(1) | 1,056 | 45,566 | |
Outset Medical, Inc.(1)(2) | 3,587 | 53,303 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
Owlet, Inc.(1) | 1,235 | $ 2,100 | |
Paragon 28, Inc.(1)(2) | 3,458 | 54,878 | |
PROCEPT BioRobotics Corp.(1)(2) | 1,920 | 62,765 | |
Pulmonx Corp.(1) | 2,565 | 37,757 | |
RxSight, Inc.(1) | 1,370 | 19,290 | |
SeaSpine Holdings Corp.(1) | 2,490 | 14,069 | |
Senseonics Holdings, Inc.(1)(2) | 32,570 | 33,547 | |
Shockwave Medical, Inc.(1) | 2,697 | 515,585 | |
SI-BONE, Inc.(1) | 2,542 | 33,554 | |
Sight Sciences, Inc.(1)(2) | 1,732 | 15,571 | |
Silk Road Medical, Inc.(1) | 2,660 | 96,797 | |
STAAR Surgical Co.(1) | 3,597 | 255,135 | |
SurModics, Inc.(1) | 1,145 | 42,628 | |
Tactile Systems Technology, Inc.(1) | 1,650 | 12,045 | |
Tenon Medical, Inc. | 242 | 547 | |
TransMedics Group, Inc.(1) | 2,122 | 66,737 | |
Treace Medical Concepts, Inc.(1) | 2,325 | 33,340 | |
UFP Technologies, Inc.(1) | 499 | 39,705 | |
Utah Medical Products, Inc. | 296 | 25,426 | |
Varex Imaging Corp.(1) | 2,939 | 62,865 | |
Vicarious Surgical, Inc.(1) | 4,091 | 12,028 | |
ViewRay, Inc.(1) | 10,682 | 28,307 | |
Zimvie, Inc.(1) | 1,561 | 24,992 | |
Zynex, Inc.(2) | 1,511 | 12,058 | |
$ 6,393,347 | |||
Health Care Providers & Services — 2.6% | |||
1Life Healthcare, Inc.(1)(2) | 13,525 | $ 106,036 | |
23andMe Holding Co.(1) | 12,893 | 31,975 | |
Accolade, Inc.(1) | 3,947 | 29,208 | |
AdaptHealth Corp.(1) | 5,494 | 99,112 | |
Addus HomeCare Corp.(1) | 1,220 | 101,602 | |
Agiliti, Inc.(1) | 1,772 | 36,344 | |
AirSculpt Technologies, Inc.(1) | 508 | 3,012 | |
Alignment Healthcare, Inc.(1)(2) | 6,131 | 69,955 | |
AMN Healthcare Services, Inc.(1) | 3,354 | 367,967 | |
Apollo Medical Holdings, Inc.(1)(2) | 2,944 | 113,609 | |
ATI Physical Therapy, Inc.(1) | 5,611 | 7,911 | |
Aveanna Healthcare Holdings, Inc.(1) | 3,026 | 6,839 | |
Brookdale Senior Living, Inc.(1) | 14,512 | 65,884 | |
Cano Health, Inc.(1) | 12,142 | 53,182 | |
CareMax, Inc.(1) | 4,473 | 16,237 | |
Castle Biosciences, Inc.(1) | 1,671 | 36,678 | |
Clover Health Investments Corp.(1) | 28,616 | 61,238 | |
Community Health Systems, Inc.(1) | 9,743 | 36,536 | |
CorVel Corp.(1) | 676 | 99,555 | |
Covetrus, Inc.(1) | 8,115 | 168,386 |
Security | Shares | Value | |
Health Care Providers & Services (continued) | |||
Cross Country Healthcare, Inc.(1) | 2,877 | $ 59,928 | |
DocGo, Inc.(1) | 6,039 | 43,118 | |
Ensign Group, Inc. (The) | 4,029 | 296,011 | |
Fulgent Genetics, Inc.(1) | 1,591 | 86,757 | |
Hanger, Inc.(1) | 3,196 | 45,767 | |
HealthEquity, Inc.(1) | 6,226 | 382,214 | |
Hims & Hers Health, Inc.(1) | 9,102 | 41,232 | |
Innovage Holding Corp.(1)(2) | 1,437 | 6,294 | |
Invitae Corp.(1)(2) | 15,672 | 38,240 | |
Joint Corp. (The)(1) | 1,060 | 16,229 | |
LHC Group, Inc.(1) | 2,237 | 348,390 | |
LifeStance Health Group, Inc.(1) | 5,575 | 30,997 | |
MEDNAX, Inc.(1) | 6,445 | 135,409 | |
ModivCare, Inc.(1) | 983 | 83,063 | |
National HealthCare Corp. | 943 | 65,916 | |
National Research Corp. | 1,192 | 45,630 | |
Oncology Institute, Inc. (The)(1) | 1,409 | 7,130 | |
OPKO Health, Inc.(1)(2) | 32,353 | 81,853 | |
Option Care Health, Inc.(1) | 10,775 | 299,437 | |
Owens & Minor, Inc. | 5,688 | 178,888 | |
P3 Health Partners, Inc.(1) | 1,908 | 7,098 | |
Patterson Cos., Inc. | 6,720 | 203,616 | |
Pennant Group, Inc. (The)(1) | 2,149 | 27,529 | |
PetIQ, Inc.(1) | 2,070 | 34,755 | |
Privia Health Group, Inc.(1) | 3,251 | 94,669 | |
Progyny, Inc.(1) | 5,611 | 163,000 | |
R1 RCM, Inc.(1) | 10,137 | 212,472 | |
RadNet, Inc.(1) | 3,530 | 60,998 | |
Select Medical Holdings Corp. | 8,102 | 191,369 | |
Sema4 Holdings Corp.(1) | 11,857 | 14,940 | |
Surgery Partners, Inc.(1) | 2,976 | 86,066 | |
US Physical Therapy, Inc. | 1,002 | 109,418 | |
$ 5,009,699 | |||
Health Care Technology — 0.8% | |||
Allscripts Healthcare Solutions, Inc.(1) | 8,546 | $ 126,737 | |
American Well Corp., Class A(1) | 17,204 | 74,321 | |
Babylon Holdings, Ltd./Jersey, Class A | 8,167 | 7,986 | |
Computer Programs and Systems, Inc.(1) | 938 | 29,988 | |
Convey Health Solutions Holdings, Inc.(1) | 1,032 | 10,733 | |
Evolent Health, Inc., Class A(1) | 6,141 | 188,590 | |
Health Catalyst, Inc.(1) | 4,079 | 59,105 | |
HealthStream, Inc.(1) | 1,939 | 42,096 | |
Inspire Medical Systems, Inc.(1) | 2,040 | 372,647 | |
Multiplan Corp.(1)(2) | 28,341 | 155,592 | |
NextGen Healthcare, Inc.(1) | 4,587 | 79,997 | |
Nutex Health, Inc. | 2,908 | 9,378 |
Security | Shares | Value | |
Health Care Technology (continued) | |||
OptimizeRx Corp.(1) | 1,258 | $ 34,456 | |
Phreesia, Inc.(1) | 3,747 | 93,712 | |
Schrodinger, Inc.(1) | 4,048 | 106,908 | |
Sharecare, Inc.(1) | 4,603 | 7,273 | |
Simulations Plus, Inc. | 1,252 | 61,761 | |
$ 1,461,280 | |||
Hotels, Restaurants & Leisure — 1.9% | |||
Accel Entertainment, Inc.(1) | 4,464 | $ 47,408 | |
Bally's Corp.(1) | 3,020 | 59,736 | |
Biglari Holdings, Inc., Class B(1) | 80 | 9,816 | |
BJ's Restaurants, Inc.(1) | 1,896 | 41,105 | |
Bloomin' Brands, Inc. | 6,621 | 110,041 | |
Bluegreen Vacations Holding Corp. | 1,107 | 27,631 | |
Bowlero Corp.(1)(2) | 2,917 | 30,891 | |
Brinker International, Inc.(1) | 3,483 | 76,730 | |
Century Casinos, Inc.(1) | 1,662 | 11,966 | |
Cheesecake Factory, Inc. (The) | 3,773 | 99,683 | |
Chuy's Holdings, Inc.(1) | 1,681 | 33,485 | |
Cracker Barrel Old Country Store, Inc.(2) | 1,740 | 145,273 | |
Dave & Buster's Entertainment, Inc.(1) | 3,314 | 108,633 | |
Denny's Corp.(1) | 4,997 | 43,374 | |
Dine Brands Global, Inc. | 1,184 | 77,055 | |
El Pollo Loco Holdings, Inc.(1) | 1,580 | 15,547 | |
Everi Holdings, Inc.(1) | 6,554 | 106,896 | |
F45 Training Holdings, Inc.(1) | 2,461 | 9,672 | |
First Watch Restaurant Group, Inc.(1) | 848 | 12,228 | |
Full House Resorts, Inc.(1) | 2,565 | 15,595 | |
Golden Entertainment, Inc.(1) | 1,551 | 61,342 | |
Hilton Grand Vacations, Inc.(1) | 6,710 | 239,748 | |
Inspirato, Inc. | 770 | 3,565 | |
Inspired Entertainment, Inc.(1) | 1,661 | 14,301 | |
International Game Technology PLC | 7,729 | 143,450 | |
Jack in the Box, Inc. | 1,673 | 93,788 | |
Krispy Kreme, Inc. | 5,387 | 73,263 | |
Kura Sushi USA, Inc., Class A(1) | 280 | 13,868 | |
Life Time Group Holdings, Inc.(1) | 3,007 | 38,730 | |
Lindblad Expeditions Holdings, Inc.(1) | 2,177 | 17,634 | |
Monarch Casino & Resort, Inc.(1) | 1,097 | 64,361 | |
NeoGames S.A.(1)(2) | 799 | 10,715 | |
Noodles & Co.(1) | 3,189 | 14,988 | |
ONE Group Hospitality, Inc. (The)(1) | 1,532 | 11,291 | |
Papa John's International, Inc. | 2,478 | 206,963 | |
Portillo's, Inc., Class A(1) | 1,818 | 29,724 | |
RCI Hospitality Holdings, Inc. | 655 | 31,676 | |
Red Rock Resorts, Inc., Class A | 4,163 | 138,878 | |
Rush Street Interactive, Inc.(1) | 4,103 | 19,161 |
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Ruth's Hospitality Group, Inc. | 2,742 | $ 44,585 | |
Scientific Games Corp., Class A(1) | 7,513 | 353,036 | |
SeaWorld Entertainment, Inc.(1) | 3,390 | 149,770 | |
Shake Shack, Inc., Class A(1) | 2,959 | 116,821 | |
Sonder Holdings, Inc.(1) | 3,275 | 3,406 | |
Sweetgreen, Inc.(1) | 957 | 11,149 | |
Target Hospitality Corp.(1) | 2,913 | 16,633 | |
Texas Roadhouse, Inc. | 5,129 | 375,443 | |
Vacasa, Inc., Class A(1) | 3,068 | 8,836 | |
Wingstop, Inc. | 2,288 | 171,074 | |
Xponential Fitness, Inc., Class A(1) | 710 | 8,918 | |
$ 3,569,882 | |||
Household Durables — 1.4% | |||
Aterian, Inc.(1)(2) | 1,551 | $ 3,350 | |
Beazer Homes USA, Inc.(1) | 2,263 | 27,314 | |
Cavco Industries, Inc.(1) | 708 | 138,761 | |
Century Communities, Inc. | 2,378 | 106,939 | |
Dream Finders Homes, Inc.(1) | 1,572 | 16,726 | |
Ethan Allen Interiors, Inc. | 1,924 | 38,884 | |
GoPro, Inc., Class A(1) | 10,449 | 57,783 | |
Green Brick Partners, Inc.(1) | 2,495 | 48,827 | |
Helen of Troy, Ltd.(1) | 1,783 | 289,577 | |
Hovnanian Enterprises, Inc., Class A(1) | 401 | 17,159 | |
Installed Building Products, Inc. | 1,819 | 151,268 | |
iRobot Corp.(1) | 2,193 | 80,593 | |
KB Home | 6,143 | 174,830 | |
Landsea Homes Corp.(1) | 471 | 3,137 | |
La-Z-Boy, Inc. | 3,224 | 76,441 | |
Legacy Housing Corp.(1) | 380 | 4,959 | |
LGI Homes, Inc.(1) | 1,565 | 135,998 | |
Lifetime Brands, Inc. | 858 | 9,472 | |
Lovesac Co. (The)(1) | 1,001 | 27,527 | |
M / I Homes, Inc.(1) | 2,268 | 89,949 | |
MDC Holdings, Inc. | 4,484 | 144,878 | |
Meritage Homes Corp.(1) | 2,724 | 197,490 | |
Purple Innovation, Inc.(1)(2) | 4,415 | 13,510 | |
Skyline Champion Corp.(1) | 4,028 | 191,008 | |
Snap One Holdings Corp.(1) | 1,018 | 9,335 | |
Sonos, Inc.(1) | 9,948 | 179,462 | |
Taylor Morrison Home Corp.(1) | 8,666 | 202,438 | |
Traeger, Inc.(1) | 1,729 | 7,348 | |
TRI Pointe Homes, Inc.(1) | 7,701 | 129,916 | |
Tupperware Brands Corp.(1) | 4,044 | 25,639 | |
Universal Electronics, Inc.(1) | 1,001 | 25,596 | |
Vizio Holding Corp.(1) | 5,089 | 34,707 | |
Vuzix Corp.(1)(2) | 4,601 | 32,667 |
Security | Shares | Value | |
Household Durables (continued) | |||
Weber, Inc., Class A(2) | 1,304 | $ 9,402 | |
$ 2,702,890 | |||
Household Products — 0.3% | |||
Central Garden & Pet Co.(1) | 789 | $ 33,469 | |
Central Garden & Pet Co., Class A(1) | 3,253 | 130,153 | |
Energizer Holdings, Inc. | 5,002 | 141,807 | |
WD-40 Co.(2) | 1,025 | 206,394 | |
$ 511,823 | |||
Independent Power and Renewable Electricity Producers — 0.4% | |||
Altus Power, Inc.(1)(2) | 3,142 | $ 19,826 | |
Clearway Energy, Inc., Class A | 2,672 | 85,424 | |
Clearway Energy, Inc., Class C | 6,153 | 214,371 | |
Montauk Renewables, Inc.(1) | 4,830 | 48,541 | |
Ormat Technologies, Inc.(2) | 3,402 | 266,547 | |
Sunnova Energy International, Inc.(1)(2) | 7,447 | 137,248 | |
$ 771,957 | |||
Industrial Conglomerates — 0.0%(3) | |||
Brookfield Business Corp., Class A(2) | 1,948 | $ 44,824 | |
$ 44,824 | |||
Insurance — 2.0% | |||
Ambac Financial Group, Inc.(1) | 3,798 | $ 43,107 | |
American Equity Investment Life Holding Co. | 5,845 | 213,752 | |
AMERISAFE, Inc. | 1,433 | 74,530 | |
Argo Group International Holdings, Ltd. | 2,431 | 89,607 | |
Bright Health Group, Inc.(1) | 14,478 | 26,350 | |
BRP Group, Inc., Class A(1) | 4,386 | 105,922 | |
CNO Financial Group, Inc. | 8,625 | 156,026 | |
Crawford & Co., Class A | 1,459 | 11,380 | |
Donegal Group, Inc., Class A | 916 | 15,618 | |
eHealth, Inc.(1) | 1,915 | 17,867 | |
Employers Holdings, Inc. | 2,071 | 86,754 | |
Enstar Group, Ltd.(1) | 868 | 185,735 | |
Genworth Financial, Inc., Class A(1) | 39,760 | 140,353 | |
Goosehead Insurance, Inc., Class A(2) | 1,389 | 63,436 | |
Greenlight Capital Re, Ltd., Class A(1) | 2,647 | 20,461 | |
HCI Group, Inc. | 444 | 30,085 | |
Hippo Holdings, Inc.(1) | 19,092 | 16,774 | |
Horace Mann Educators Corp. | 3,199 | 122,778 | |
Investors Title Co. | 111 | 17,415 | |
James River Group Holdings, Ltd. | 2,807 | 69,558 | |
Kinsale Capital Group, Inc. | 1,624 | 372,935 | |
Lemonade, Inc.(1)(2) | 3,020 | 55,145 |
Security | Shares | Value | |
Insurance (continued) | |||
MBIA, Inc.(1) | 3,800 | $ 46,930 | |
Mercury General Corp. | 2,007 | 88,910 | |
National Western Life Group, Inc., Class A | 193 | 39,121 | |
NI Holdings, Inc.(1) | 903 | 14,836 | |
Oscar Health, Inc.(1) | 8,860 | 37,655 | |
Palomar Holdings, Inc.(1) | 1,927 | 124,099 | |
ProAssurance Corp. | 4,215 | 99,601 | |
RLI Corp. | 2,929 | 341,492 | |
Root, Inc.(1) | 10,475 | 12,465 | |
Safety Insurance Group, Inc. | 1,067 | 103,606 | |
Selective Insurance Group, Inc. | 4,477 | 389,230 | |
Selectquote, Inc.(1)(2) | 10,628 | 26,357 | |
SiriusPoint, Ltd.(1) | 7,085 | 38,401 | |
Stewart Information Services Corp. | 2,046 | 101,789 | |
Tiptree, Inc. | 2,311 | 24,543 | |
Trean Insurance Group, Inc.(1) | 1,026 | 6,392 | |
Trupanion, Inc.(1)(2) | 2,994 | 180,418 | |
United Fire Group, Inc. | 1,601 | 54,802 | |
Universal Insurance Holdings, Inc. | 2,530 | 32,966 | |
$ 3,699,201 | |||
Interactive Media & Services — 0.6% | |||
Arena Group Holdings, Inc. (The)(1) | 850 | $ 7,650 | |
Bumble, Inc.(1) | 6,471 | 182,159 | |
CarGurus, Inc.(1) | 7,736 | 166,247 | |
Cars.com, Inc.(1) | 5,290 | 49,885 | |
DHI Group, Inc.(1) | 3,207 | 15,939 | |
Eventbrite, Inc., Class A(1)(2) | 5,885 | 60,439 | |
EverQuote, Inc., Class A(1) | 1,239 | 10,953 | |
fuboTV, Inc.(1)(2) | 13,361 | 33,002 | |
Leafly Holdings, Inc.(1) | 327 | 1,471 | |
MediaAlpha, Inc., Class A(1) | 1,490 | 14,676 | |
Outbrain, Inc.(1)(2) | 1,884 | 9,476 | |
QuinStreet, Inc.(1) | 4,141 | 41,658 | |
TrueCar, Inc.(1) | 7,838 | 20,300 | |
Vimeo, Inc.(1) | 10,738 | 64,643 | |
Wejo Group, Ltd.(1)(2) | 1,720 | 2,047 | |
Yelp, Inc.(1) | 5,158 | 143,238 | |
Ziff Davis, Inc.(1) | 3,400 | 253,402 | |
ZipRecruiter, Inc.(1) | 5,993 | 88,816 | |
$ 1,166,001 | |||
Internet & Direct Marketing Retail — 0.4% | |||
1-800-Flowers.com, Inc., Class A(1) | 2,081 | $ 19,790 | |
1stdibs.com, Inc.(1) | 1,580 | 8,990 | |
aka Brands Holding Corp.(1) | 737 | 2,034 |
Security | Shares | Value | |
Internet & Direct Marketing Retail (continued) | |||
BARK, Inc.(1) | 3,865 | $ 4,947 | |
Boxed, Inc.(1) | 867 | 1,604 | |
CarParts.com, Inc.(1) | 3,715 | 25,782 | |
ContextLogic, Inc.(1) | 42,685 | 68,296 | |
Duluth Holdings, Inc., Class B(1) | 634 | 6,048 | |
Groupon, Inc.(1)(2) | 2,006 | 22,668 | |
Lands' End, Inc.(1) | 1,134 | 12,043 | |
Liquidity Services, Inc.(1) | 2,122 | 28,520 | |
Lulu's Fashion Lounge Holdings, Inc.(1) | 448 | 4,861 | |
Overstock.com, Inc.(1)(2) | 3,371 | 84,309 | |
PetMed Express, Inc. | 1,778 | 35,382 | |
Porch Group, Inc.(1)(2) | 5,911 | 15,132 | |
Poshmark, Inc.(1) | 3,447 | 34,849 | |
Quotient Technology, Inc.(1) | 7,590 | 22,542 | |
Qurate Retail, Inc., Series A | 26,261 | 75,369 | |
RealReal, Inc. (The)(1)(2) | 6,166 | 15,353 | |
Rent the Runway, Inc., Class A(1) | 3,536 | 10,856 | |
Revolve Group, Inc.(1) | 3,096 | 80,218 | |
RumbleON, Inc.(1) | 776 | 11,415 | |
Shutterstock, Inc. | 1,794 | 102,814 | |
Stitch Fix, Inc., Class A(1) | 6,294 | 31,092 | |
ThredUp, Inc.(1) | 4,403 | 11,008 | |
Vivid Seats, Inc. | 1,855 | 13,857 | |
Xometry, Inc., Class A(1)(2) | 2,534 | 85,979 | |
$ 835,758 | |||
IT Services — 2.0% | |||
AvidXchange Holdings, Inc.(1) | 10,995 | $ 67,509 | |
BigCommerce Holdings, Inc., Series 1(1) | 4,810 | 77,922 | |
Bread Financial Holdings, Inc. | 3,756 | 139,197 | |
Brightcove, Inc.(1) | 3,175 | 20,066 | |
Cantaloupe, Inc.(1) | 4,569 | 25,586 | |
Cass Information Systems, Inc. | 1,244 | 42,047 | |
Cerberus Cyber Sentinel Corp.(1) | 3,426 | 12,334 | |
Conduent, Inc.(1) | 13,421 | 57,979 | |
Core Scientific, Inc.(1) | 16,413 | 24,455 | |
CSG Systems International, Inc. | 2,496 | 148,961 | |
Cyxtera Technologies, Inc.(1) | 3,193 | 36,209 | |
DigitalOcean Holdings, Inc.(1) | 5,724 | 236,745 | |
Edgio, Inc.(1) | 10,253 | 23,684 | |
EVERTEC, Inc. | 4,508 | 166,255 | |
Evo Payments, Inc., Class A(1) | 3,485 | 81,967 | |
ExlService Holdings, Inc.(1) | 2,429 | 357,865 | |
Fastly, Inc., Class A(1) | 8,369 | 97,164 | |
Flywire Corp.(1) | 4,360 | 76,867 | |
Grid Dynamics Holdings, Inc.(1) | 3,515 | 59,122 | |
Hackett Group, Inc. (The) | 1,931 | 36,631 |
Security | Shares | Value | |
IT Services (continued) | |||
I3 Verticals, Inc., Class A(1) | 1,552 | $ 38,831 | |
IBEX Holdings, Ltd.(1) | 410 | 6,917 | |
Information Services Group, Inc. | 2,665 | 18,015 | |
International Money Express, Inc.(1) | 2,539 | 51,973 | |
Marqeta, Inc., Class A(1) | 32,564 | 264,094 | |
MAXIMUS, Inc. | 4,607 | 287,984 | |
MoneyGram International, Inc.(1) | 6,865 | 68,650 | |
Paya Holdings, Inc.(1) | 6,446 | 42,350 | |
Payoneer Global, Inc.(1) | 16,238 | 63,653 | |
Paysafe, Ltd.(1)(2) | 25,365 | 49,462 | |
Perficient, Inc.(1) | 2,590 | 237,477 | |
PFSweb, Inc.(1) | 1,239 | 14,571 | |
Priority Technology Holdings, Inc.(1) | 578 | 1,907 | |
Rackspace Technology, Inc.(1)(2) | 4,217 | 30,236 | |
Remitly Global, Inc.(1) | 6,309 | 48,327 | |
Repay Holdings Corp.(1)(2) | 6,641 | 85,337 | |
Sabre Corp.(1) | 24,461 | 142,608 | |
SolarWinds Corp. | 3,622 | 37,126 | |
Squarespace, Inc.(1)(2) | 2,350 | 49,162 | |
StoneCo, Ltd., Class A(1) | 20,789 | 160,075 | |
TTEC Holdings, Inc. | 1,476 | 100,206 | |
Tucows, Inc., Class A(1) | 790 | 35,163 | |
Unisys Corp.(1) | 5,033 | 60,547 | |
Verra Mobility Corp.(1) | 10,961 | 172,197 | |
$ 3,855,433 | |||
Leisure Products — 0.4% | |||
Acushnet Holdings Corp. | 2,628 | $ 109,535 | |
AMMO, Inc.(1)(2) | 6,601 | 25,414 | |
Callaway Golf Co.(1) | 10,494 | 214,078 | |
Clarus Corp. | 1,811 | 34,391 | |
Johnson Outdoors, Inc., Class A | 405 | 24,770 | |
Latham Group, Inc.(1) | 3,322 | 23,021 | |
Malibu Boats, Inc., Class A(1) | 1,589 | 83,756 | |
Marine Products Corp. | 813 | 7,732 | |
MasterCraft Boat Holdings, Inc.(1) | 1,615 | 33,996 | |
Smith + Wesson Brands, Inc. | 3,675 | 48,253 | |
Solo Brands, Inc., Class A(1) | 906 | 3,678 | |
Sturm Ruger & Co., Inc.(2) | 1,347 | 85,736 | |
Vinco Ventures, Inc.(1)(2) | 13,766 | 18,997 | |
Vista Outdoor, Inc.(1) | 4,408 | 122,983 | |
$ 836,340 | |||
Life Sciences Tools & Services — 0.6% | |||
AbCellera Biologics, Inc.(1) | 15,532 | $ 165,416 | |
Absci Corp.(1) | 4,312 | 14,316 |
Security | Shares | Value | |
Life Sciences Tools & Services (continued) | |||
Adaptive Biotechnologies Corp.(1) | 8,362 | $ 67,649 | |
Akoya Biosciences, Inc.(1) | 599 | 7,697 | |
Alpha Teknova, Inc.(1) | 534 | 4,486 | |
Berkeley Lights, Inc.(1)(2) | 3,760 | 18,687 | |
Bionano Genomics, Inc.(1)(2) | 22,055 | 30,436 | |
Codexis, Inc.(1) | 4,645 | 48,587 | |
Cytek Biosciences, Inc.(1) | 8,564 | 91,892 | |
Inotiv, Inc.(1)(2) | 1,365 | 13,104 | |
MaxCyte, Inc.(1) | 7,417 | 35,082 | |
Medpace Holdings, Inc.(1) | 2,066 | 309,218 | |
NanoString Technologies, Inc.(1) | 3,557 | 45,174 | |
Nautilus Biotechnology, Inc.(1) | 3,575 | 9,617 | |
NeoGenomics, Inc.(1) | 8,828 | 71,948 | |
Pacific Biosciences of California, Inc.(1)(2) | 16,941 | 74,879 | |
Quanterix Corp.(1) | 2,420 | 39,180 | |
Quantum-Si, Inc.(1) | 6,850 | 15,892 | |
Science 37 Holdings, Inc.(1) | 4,669 | 9,385 | |
Seer, Inc.(1)(2) | 3,190 | 28,550 | |
Singular Genomics Systems, Inc.(1)(2) | 3,653 | 13,954 | |
SomaLogic, Inc.(1) | 11,224 | 50,732 | |
$ 1,165,881 | |||
Machinery — 3.5% | |||
Alamo Group, Inc. | 804 | $ 93,610 | |
Albany International Corp., Class A | 2,359 | 185,866 | |
Altra Industrial Motion Corp. | 5,081 | 179,105 | |
Astec Industries, Inc. | 1,870 | 76,259 | |
Barnes Group, Inc. | 3,822 | 119,017 | |
Berkshire Grey, Inc.(1) | 3,661 | 5,308 | |
Blue Bird Corp.(1) | 1,311 | 12,074 | |
Chart Industries, Inc.(1) | 2,755 | 461,132 | |
CIRCOR International, Inc.(1) | 1,669 | 27,355 | |
Columbus McKinnon Corp. | 2,183 | 61,932 | |
Desktop Metal, Inc., Class A(1)(2) | 19,831 | 43,628 | |
Douglas Dynamics, Inc. | 1,952 | 56,100 | |
Energy Recovery, Inc.(1) | 4,185 | 81,273 | |
Enerpac Tool Group Corp. | 4,678 | 88,976 | |
EnPro Industries, Inc. | 1,619 | 132,645 | |
ESCO Technologies, Inc. | 1,961 | 134,074 | |
Evoqua Water Technologies Corp.(1) | 9,075 | 295,028 | |
Fathom Digital Manufacturing C(1) | 757 | 2,937 | |
Federal Signal Corp. | 4,620 | 164,472 | |
Franklin Electric Co., Inc. | 3,555 | 260,439 | |
Gorman-Rupp Co. (The) | 1,774 | 50,204 | |
Greenbrier Cos., Inc. (The) | 2,388 | 85,944 | |
Helios Technologies, Inc. | 2,542 | 168,407 | |
Hillenbrand, Inc. | 5,594 | 229,130 |
Security | Shares | Value | |
Machinery (continued) | |||
Hillman Solutions Corp.(1) | 10,095 | $ 87,221 | |
Hydrofarm Holdings Group, Inc.(1)(2) | 2,984 | 10,384 | |
Hyliion Holdings Corp.(1) | 9,193 | 29,601 | |
Hyster-Yale Materials Handling, Inc. | 806 | 25,969 | |
Hyzon Motors, Inc.(1)(2) | 6,585 | 19,360 | |
John Bean Technologies Corp. | 2,373 | 262,027 | |
Kadant, Inc. | 883 | 161,015 | |
Kennametal, Inc. | 6,410 | 148,904 | |
Lightning eMotors, Inc.(1) | 2,936 | 8,133 | |
Lindsay Corp. | 855 | 113,561 | |
Luxfer Holdings PLC | 2,400 | 36,288 | |
Manitowoc Co., Inc. (The)(1) | 2,727 | 28,715 | |
Markforged Holding Corp.(1) | 8,259 | 15,279 | |
Meritor, Inc.(1) | 5,202 | 188,989 | |
Microvast Holdings, Inc.(1) | 12,790 | 28,394 | |
Miller Industries, Inc. | 1,050 | 23,804 | |
Mueller Industries, Inc. | 4,308 | 229,573 | |
Mueller Water Products, Inc., Class A | 12,351 | 144,877 | |
Nikola Corp.(1)(2) | 21,901 | 104,249 | |
Omega Flex, Inc. | 248 | 26,690 | |
Proterra, Inc.(1) | 16,583 | 76,945 | |
Proto Labs, Inc.(1) | 2,175 | 104,052 | |
RBC Bearings, Inc.(1) | 2,180 | 403,191 | |
REV Group, Inc. | 2,574 | 27,979 | |
Sarcos Technology and Robotics Corp.(1) | 5,691 | 15,138 | |
Shyft Group, Inc. (The) | 2,714 | 50,453 | |
SPX Corp.(1) | 3,321 | 175,482 | |
Standex International Corp. | 895 | 75,878 | |
Tennant Co. | 1,415 | 83,839 | |
Terex Corp. | 5,366 | 146,867 | |
Titan International, Inc.(1) | 3,959 | 59,781 | |
Trinity Industries, Inc. | 6,042 | 146,337 | |
Velo3D, Inc.(1) | 4,228 | 5,835 | |
Wabash National Corp. | 3,910 | 53,098 | |
Watts Water Technologies, Inc., Class A | 2,053 | 252,191 | |
Welbilt, Inc.(1) | 10,023 | 238,648 | |
Xos, Inc.(1) | 4,104 | 7,551 | |
$ 6,631,213 | |||
Marine — 0.3% | |||
Costamare, Inc. | 4,298 | $ 52,006 | |
Eagle Bulk Shipping, Inc. | 1,007 | 52,243 | |
Eneti, Inc. | 1,717 | 10,542 | |
Genco Shipping & Trading, Ltd. | 2,519 | 48,667 | |
Golden Ocean Group, Ltd. | 9,208 | 107,181 | |
Matson, Inc. | 3,007 | 219,150 |
Security | Shares | Value | |
Marine (continued) | |||
Safe Bulkers, Inc. | 4,225 | $ 16,140 | |
$ 505,929 | |||
Media — 0.9% | |||
AdTheorent Holding Co., Inc.(1) | 1,203 | $ 3,717 | |
Advantage Solutions, Inc.(1)(2) | 5,990 | 22,762 | |
AMC Networks, Inc., Class A(1) | 2,381 | 69,335 | |
Audacy, Inc.(1) | 10,833 | 10,207 | |
Boston Omaha Corp., Class A(1) | 1,383 | 28,559 | |
Cardlytics, Inc.(1) | 2,507 | 55,931 | |
Clear Channel Outdoor Holdings, Inc.(1) | 28,478 | 30,472 | |
Cumulus Media, Inc., Class A(1) | 1,386 | 10,714 | |
Daily Journal Corp.(1) | 88 | 22,774 | |
Entravision Communications Corp., Class A | 5,618 | 25,618 | |
EW Scripps Co. (The), Class A(1) | 4,675 | 58,297 | |
Gambling.com Group, Ltd.(1) | 651 | 5,123 | |
Gannett Co., Inc.(1) | 10,067 | 29,194 | |
Gray Television, Inc. | 6,701 | 113,180 | |
iHeartMedia, Inc., Class A(1) | 8,782 | 69,290 | |
Innovid Corp.(1) | 1,679 | 2,787 | |
Integral Ad Science Holding Corp.(1) | 2,499 | 24,815 | |
John Wiley & Sons, Inc., Class A | 3,384 | 161,620 | |
Loyalty Ventures, Inc.(1) | 1,504 | 5,369 | |
Magnite, Inc.(1) | 9,955 | 88,400 | |
PubMatic, Inc.(1) | 3,130 | 49,736 | |
Scholastic Corp. | 2,038 | 73,307 | |
Sinclair Broadcast Group, Inc., Class A | 3,125 | 63,750 | |
Stagwell, Inc.(1) | 4,901 | 26,613 | |
TechTarget, Inc.(1) | 1,981 | 130,191 | |
TEGNA, Inc. | 16,713 | 350,472 | |
Thryv Holdings, Inc.(1) | 1,906 | 42,675 | |
Urban One, Inc.(1) | 900 | 3,852 | |
Urban One, Inc.(1) | 621 | 3,391 | |
WideOpenWest, Inc.(1) | 4,110 | 74,843 | |
$ 1,656,994 | |||
Metals & Mining — 1.3% | |||
5E Advanced Materials, Inc. | 2,423 | $ 29,512 | |
Allegheny Technologies, Inc.(1) | 9,310 | 211,430 | |
Alpha Metallurgical Resources, Inc. | 1,342 | 173,292 | |
Arconic Corp.(1) | 8,259 | 231,665 | |
Carpenter Technology Corp. | 3,863 | 107,816 | |
Century Aluminum Co.(1) | 4,012 | 29,568 | |
Coeur Mining, Inc.(1) | 19,006 | 57,778 | |
Commercial Metals Co. | 9,208 | 304,785 | |
Compass Minerals International, Inc. | 2,622 | 92,793 |
Security | Shares | Value | |
Metals & Mining (continued) | |||
Constellium SE(1) | 9,626 | $ 127,159 | |
Dakota Gold, Corp. | 3,810 | 12,764 | |
Ferroglobe Representation & Warranty Insurance Trust(4) | 5,015 | 0 | |
Haynes International, Inc. | 1,062 | 34,802 | |
Hecla Mining Co. | 41,687 | 163,413 | |
Hycroft Mining Holding Corp.(1) | 11,322 | 12,567 | |
Kaiser Aluminum Corp. | 1,239 | 97,993 | |
Materion Corp. | 1,598 | 117,821 | |
Novagold Resources, Inc.(1) | 19,333 | 92,992 | |
Olympic Steel, Inc. | 846 | 21,784 | |
Piedmont Lithium, Inc.(1) | 1,302 | 47,406 | |
PolyMet Mining Corp.(1) | 2,264 | 6,226 | |
Ramaco Resources, Inc. | 1,681 | 22,105 | |
Ryerson Holding Corp. | 1,274 | 27,123 | |
Schnitzer Steel Industries, Inc., Class A | 2,033 | 66,764 | |
SunCoke Energy, Inc. | 6,534 | 44,497 | |
TimkenSteel Corp.(1) | 3,716 | 69,526 | |
Warrior Met Coal, Inc. | 3,946 | 120,787 | |
Worthington Industries, Inc. | 2,386 | 105,223 | |
$ 2,429,591 | |||
Mortgage Real Estate Investment Trusts (REITs) — 1.3% | |||
AFC Gamma, Inc. | 969 | $ 14,855 | |
Angel Oak Mortgage, Inc.(2) | 557 | 7,219 | |
Apollo Commercial Real Estate Finance, Inc. | 11,004 | 114,882 | |
Arbor Realty Trust, Inc. | 11,775 | 154,370 | |
Ares Commercial Real Estate Corp. | 3,355 | 41,032 | |
ARMOUR Residential REIT, Inc. | 7,704 | 54,236 | |
Blackstone Mortgage Trust, Inc., Class A(2) | 12,773 | 353,429 | |
BrightSpire Capital, Inc. | 6,877 | 51,921 | |
Broadmark Realty Capital, Inc. | 10,466 | 70,227 | |
Chicago Atlantic Real Estate Finance, Inc. | 450 | 6,777 | |
Chimera Investment Corp.(2) | 18,054 | 159,236 | |
Claros Mortgage Trust, Inc. | 6,900 | 115,575 | |
Dynex Capital, Inc. | 2,384 | 37,953 | |
Ellington Financial, Inc.(2) | 4,162 | 61,057 | |
Franklin BSP Realty Trust, Inc. | 6,315 | 85,126 | |
Granite Point Mortgage Trust, Inc. | 4,738 | 45,343 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(2) | 6,392 | 242,001 | |
Invesco Mortgage Capital, Inc.(2) | 2,236 | 32,824 | |
KKR Real Estate Finance Trust, Inc. | 3,881 | 67,723 | |
Ladder Capital Corp. | 9,254 | 97,537 | |
MFA Financial, Inc. | 7,699 | 82,764 | |
New York Mortgage Trust, Inc. | 29,773 | 82,174 | |
Nexpoint Real Estate Finance, Inc. | 588 | 11,919 | |
Orchid Island Capital, Inc.(2) | 13,347 | 38,039 | |
PennyMac Mortgage Investment Trust(2) | 6,900 | 95,427 |
Security | Shares | Value | |
Mortgage Real Estate Investment Trusts (REITs) (continued) | |||
Ready Capital Corp. | 5,615 | $ 66,931 | |
Redwood Trust, Inc. | 9,115 | 70,277 | |
TPG RE Finance Trust, Inc. | 5,301 | 47,762 | |
Two Harbors Investment Corp. | 26,598 | 132,458 | |
$ 2,441,074 | |||
Multiline Retail — 0.1% | |||
Big Lots, Inc.(2) | 2,101 | $ 44,058 | |
Dillard's, Inc., Class A(2) | 323 | 71,244 | |
Franchise Group, Inc. | 2,222 | 77,926 | |
$ 193,228 | |||
Multi-Utilities — 0.5% | |||
Avista Corp. | 5,527 | $ 240,480 | |
Black Hills Corp. | 4,945 | 359,847 | |
NorthWestern Corp. | 4,133 | 243,558 | |
Unitil Corp. | 1,244 | 73,048 | |
$ 916,933 | |||
Oil, Gas & Consumable Fuels — 3.6% | |||
Aemetis, Inc.(1) | 1,820 | $ 8,936 | |
Alto Ingredients, Inc.(1) | 5,608 | 20,806 | |
Amplify Energy Corp.(1) | 2,675 | 17,494 | |
Arch Resources, Inc. | 1,159 | 165,841 | |
Archaea Energy, Inc.(1) | 4,469 | 69,404 | |
Ardmore Shipping Corp.(1) | 2,615 | 18,227 | |
Battalion Oil Corp.(1) | 188 | 1,604 | |
Berry Corp. | 5,491 | 41,841 | |
Brigham Minerals, Inc., Class A | 3,825 | 94,210 | |
California Resources Corp. | 5,869 | 225,956 | |
Callon Petroleum Co.(1) | 3,675 | 144,060 | |
Centennial Resource Development, Inc., Class A(1) | 15,598 | 93,276 | |
Centrus Energy Corp., Class A(1) | 741 | 18,340 | |
Civitas Resources, Inc. | 5,532 | 289,268 | |
Clean Energy Fuels Corp.(1) | 12,133 | 54,356 | |
CNX Resources Corp.(1) | 14,458 | 237,979 | |
Comstock Resources, Inc.(1) | 7,181 | 86,746 | |
CONSOL Energy, Inc.(1) | 2,677 | 132,190 | |
Crescent Energy Co., Class A(2) | 2,320 | 28,954 | |
CVR Energy, Inc. | 2,315 | 77,552 | |
Delek US Holdings, Inc.(1) | 5,349 | 138,218 | |
Denbury, Inc.(1) | 3,808 | 228,442 | |
DHT Holdings, Inc. | 11,353 | 69,594 | |
Dorian LPG, Ltd. | 2,343 | 35,614 | |
Earthstone Energy, Inc., Class A(1)(2) | 3,243 | 44,267 | |
Empire Petroleum Corp. | 508 | 6,030 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
Energy Fuels, Inc.(1)(2) | 11,554 | $ 56,730 | |
Equitrans Midstream Corp. | 32,071 | 203,972 | |
Excelerate Energy, Inc., Class A(1) | 1,391 | 27,709 | |
FLEX LNG, Ltd.(2) | 2,139 | 58,587 | |
Frontline, Ltd. / Bermuda(1) | 9,366 | 82,983 | |
Gevo, Inc.(1)(2) | 15,305 | 35,967 | |
Golar LNG, Ltd.(1) | 7,912 | 179,998 | |
Green Plains, Inc.(1) | 4,004 | 108,789 | |
Gulfport Energy Corp.(1) | 893 | 71,002 | |
HighPeak Energy, Inc. | 391 | 10,017 | |
International Seaways, Inc. | 3,696 | 78,355 | |
Kinetik Holdings, Inc., Class A | 1,242 | 42,402 | |
Kosmos Energy, Ltd.(1) | 34,681 | 214,675 | |
Laredo Petroleum, Inc.(1) | 1,280 | 88,243 | |
Magnolia Oil & Gas Corp., Class A | 12,515 | 262,690 | |
Matador Resources Co. | 8,444 | 393,406 | |
Murphy Oil Corp. | 11,056 | 333,781 | |
NACCO Industries, Inc., Class A | 304 | 11,522 | |
NextDecade Corp.(1) | 2,319 | 10,296 | |
Nordic American Tankers, Ltd.(2) | 11,683 | 24,885 | |
Northern Oil and Gas, Inc. | 4,741 | 119,758 | |
Oasis Petroleum, Inc. | 1,475 | 179,434 | |
Par Pacific Holdings, Inc.(1) | 3,668 | 57,184 | |
PBF Energy, Inc., Class A(1) | 7,520 | 218,230 | |
Peabody Energy Corp.(1) | 8,831 | 188,365 | |
Ranger Oil Corp.(1) | 1,641 | 53,940 | |
REX American Resources Corp.(1) | 441 | 37,397 | |
Riley Exploration Permian, Inc. | 821 | 19,852 | |
Ring Energy, Inc.(1) | 6,484 | 17,247 | |
SandRidge Energy, Inc.(1) | 2,384 | 37,357 | |
Scorpio Tankers, Inc. | 3,824 | 131,966 | |
SFL Corp., Ltd. | 8,615 | 81,756 | |
SilverBow Resources, Inc.(1) | 880 | 24,957 | |
Sitio Royalties Corp. | 851 | 19,726 | |
SM Energy Co. | 9,284 | 317,420 | |
Talos Energy, Inc.(1) | 4,961 | 76,747 | |
Teekay Corp.(1) | 5,446 | 15,684 | |
Teekay Tankers, Ltd., Class A(1) | 1,870 | 32,968 | |
Tellurian, Inc.(1)(2) | 38,270 | 114,045 | |
Uranium Energy Corp.(1)(2) | 19,805 | 60,999 | |
Ur-Energy, Inc.(1)(2) | 14,187 | 15,038 | |
VAALCO Energy, Inc. | 4,384 | 30,425 | |
Vertex Energy, Inc.(1) | 4,056 | 42,669 | |
W&T Offshore, Inc.(1) | 8,233 | 35,567 | |
Whiting Petroleum Corp. | 2,951 | 200,757 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
World Fuel Services Corp. | 4,892 | $ 100,090 | |
$ 6,874,792 | |||
Paper & Forest Products — 0.1% | |||
Clearwater Paper Corp.(1) | 1,465 | $ 49,268 | |
Glatfelter Corp. | 3,755 | 25,834 | |
Neenah, Inc. | 1,433 | 48,923 | |
Resolute Forest Products, Inc.(1) | 3,447 | 43,984 | |
Sylvamo Corp. | 2,663 | 87,027 | |
$ 255,036 | |||
Personal Products — 0.7% | |||
Beauty Health Co. (The)(1)(2) | 7,481 | $ 96,206 | |
BellRing Brands, Inc.(1) | 8,823 | 219,604 | |
Edgewell Personal Care Co. | 4,259 | 147,021 | |
elf Beauty, Inc.(1) | 3,854 | 118,241 | |
Herbalife Nutrition, Ltd.(1) | 7,430 | 151,943 | |
Honest Co. Inc. (The)(1) | 6,574 | 19,196 | |
Inter Parfums, Inc. | 1,382 | 100,969 | |
Medifast, Inc. | 852 | 153,794 | |
Nature's Sunshine Products, Inc.(1) | 1,018 | 10,862 | |
Nu Skin Enterprises, Inc., Class A | 3,897 | 168,740 | |
Thorne HealthTech, Inc.(1) | 519 | 2,512 | |
USANA Health Sciences, Inc.(1) | 927 | 67,078 | |
Veru, Inc.(1)(2) | 5,029 | 56,828 | |
$ 1,312,994 | |||
Pharmaceuticals — 1.4% | |||
Aclaris Therapeutics, Inc.(1) | 4,539 | $ 63,364 | |
Aerie Pharmaceuticals, Inc.(1)(2) | 3,106 | 23,295 | |
Amneal Pharmaceuticals, Inc.(1) | 8,537 | 27,148 | |
Amphastar Pharmaceuticals, Inc.(1) | 3,073 | 106,910 | |
Amylyx Pharmaceuticals, Inc.(1)(2) | 744 | 14,329 | |
AN2 Therapeutics, Inc.(1) | 348 | 2,697 | |
ANI Pharmaceuticals, Inc.(1) | 781 | 23,172 | |
Arvinas, Inc.(1) | 3,641 | 153,250 | |
Atea Pharmaceuticals, Inc.(1)(2) | 5,064 | 35,954 | |
Athira Pharma, Inc.(1)(2) | 2,529 | 7,713 | |
Axsome Therapeutics, Inc.(1)(2) | 2,179 | 83,456 | |
Cara Therapeutics, Inc.(1) | 3,311 | 30,229 | |
Cassava Sciences, Inc.(1)(2) | 3,000 | 84,360 | |
CinCor Pharma, Inc.(1)(2) | 900 | 16,956 | |
Collegium Pharmaceutical, Inc.(1) | 2,817 | 49,917 | |
Corcept Therapeutics, Inc.(1) | 6,395 | 152,073 | |
DICE Therapeutics, Inc.(1)(2) | 2,129 | 33,042 | |
Edgewise Therapeutics, Inc.(1) | 2,990 | 23,800 |
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Endo International PLC(1) | 18,425 | $ 8,581 | |
Esperion Therapeutics, Inc.(1) | 4,480 | 28,493 | |
Evolus, Inc.(1) | 2,529 | 29,336 | |
EyePoint Pharmaceuticals, Inc.(1)(2) | 1,657 | 13,041 | |
Fulcrum Therapeutics, Inc.(1)(2) | 2,042 | 10,006 | |
Harmony Biosciences Holdings, Inc.(1) | 1,967 | 95,931 | |
Innoviva, Inc.(1) | 4,746 | 70,051 | |
Intra-Cellular Therapies, Inc.(1) | 6,871 | 392,197 | |
Liquidia Corp.(1) | 3,579 | 15,604 | |
Nektar Therapeutics(1)(2) | 13,610 | 51,718 | |
NGM Biopharmaceuticals, Inc.(1) | 2,499 | 32,037 | |
Nuvation Bio, Inc.(1)(2) | 8,729 | 28,282 | |
Ocular Therapeutix, Inc.(1) | 5,745 | 23,095 | |
Pacira BioSciences, Inc.(1) | 3,468 | 202,184 | |
Phathom Pharmaceuticals, Inc.(1)(2) | 1,588 | 13,403 | |
Phibro Animal Health Corp., Class A | 1,619 | 30,972 | |
Prestige Consumer Healthcare, Inc.(1) | 3,774 | 221,911 | |
Provention Bio, Inc.(1)(2) | 3,744 | 14,976 | |
Reata Pharmaceuticals, Inc., Class A(1)(2) | 2,153 | 65,430 | |
Relmada Therapeutics, Inc.(1) | 1,926 | 36,575 | |
Revance Therapeutics, Inc.(1) | 5,362 | 74,103 | |
SIGA Technologies, Inc. | 3,774 | 43,703 | |
Supernus Pharmaceuticals, Inc.(1) | 3,766 | 108,913 | |
Tarsus Pharmaceuticals, Inc.(1) | 1,360 | 19,856 | |
Theravance Biopharma, Inc.(1) | 4,637 | 42,011 | |
Theseus Pharmaceuticals, Inc.(1) | 889 | 4,916 | |
Tricida, Inc.(1) | 2,497 | 24,171 | |
Ventyx Biosciences, Inc.(1)(2) | 1,681 | 20,559 | |
Xeris Biopharma Holdings, Inc.(1) | 9,930 | 15,292 | |
$ 2,669,012 | |||
Professional Services — 1.7% | |||
Alight, Inc.(1) | 25,466 | $ 171,896 | |
ASGN, Inc.(1) | 3,764 | 339,701 | |
Atlas Technical Consultants, Inc.(1) | 1,056 | 5,555 | |
Barrett Business Services, Inc. | 606 | 44,159 | |
CBIZ, Inc.(1) | 3,836 | 153,287 | |
CRA International, Inc. | 558 | 49,841 | |
Exponent, Inc. | 3,867 | 353,714 | |
First Advantage Corp.(1) | 4,254 | 53,898 | |
Forrester Research, Inc.(1) | 966 | 46,213 | |
Franklin Covey Co.(1) | 1,007 | 46,503 | |
Heidrick & Struggles International, Inc. | 1,525 | 49,349 | |
HireRight Holdings Corp.(1) | 1,733 | 24,626 | |
Huron Consulting Group, Inc.(1) | 1,577 | 102,489 | |
ICF International, Inc. | 1,384 | 131,480 | |
Insperity, Inc. | 2,722 | 271,737 |
Security | Shares | Value | |
Professional Services (continued) | |||
Kelly Services, Inc., Class A | 2,680 | $ 53,144 | |
Kforce, Inc. | 1,567 | 96,120 | |
Korn Ferry | 4,165 | 241,653 | |
Legalzoom.com, Inc.(1)(2) | 7,347 | 80,744 | |
ManTech International Corp. / VA, Class A | 2,242 | 213,999 | |
Planet Labs PBC(1) | 11,662 | 50,496 | |
Red Violet, Inc.(1) | 711 | 13,537 | |
Resources Connection, Inc. | 2,400 | 48,888 | |
Skillsoft Corp.(1) | 6,088 | 21,430 | |
Spire Global, Inc.(1) | 9,381 | 10,882 | |
Sterling Check Corp.(1)(2) | 1,796 | 29,293 | |
TriNet Group, Inc.(1) | 2,809 | 218,035 | |
TrueBlue, Inc.(1) | 2,943 | 52,680 | |
Upwork, Inc.(1) | 9,146 | 189,139 | |
Willdan Group, Inc.(1) | 898 | 24,767 | |
$ 3,189,255 | |||
Real Estate Management & Development — 0.7% | |||
American Realty Investors, Inc.(1) | 112 | $ 1,589 | |
Anywhere Real Estate, Inc.(1) | 9,326 | 91,675 | |
Compass, Inc.(1) | 19,550 | 70,576 | |
Cushman & Wakefield PLC(1) | 11,924 | 181,722 | |
DigitalBridge Group, Inc.(1) | 44,351 | 216,433 | |
Doma Holdings, Inc.(1) | 10,271 | 10,579 | |
Douglas Elliman, Inc. | 5,632 | 26,977 | |
eXp World Holdings, Inc.(2) | 4,867 | 57,285 | |
Forestar Group, Inc.(1) | 1,430 | 19,577 | |
FRP Holdings, Inc.(1) | 588 | 35,486 | |
Kennedy-Wilson Holdings, Inc. | 8,858 | 167,771 | |
Marcus & Millichap, Inc. | 1,962 | 72,574 | |
Newmark Group, Inc., Class A | 11,087 | 107,211 | |
Offerpad Solutions, Inc.(1) | 5,120 | 11,162 | |
RE / MAX Holdings, Inc., Class A | 1,564 | 38,349 | |
Redfin Corp.(1)(2) | 7,977 | 65,731 | |
RMR Group, Inc. (The), Class A | 1,361 | 38,584 | |
Seritage Growth Properties, Class A(1) | 2,944 | 15,338 | |
St. Joe Co. (The) | 2,613 | 103,370 | |
Stratus Properties, Inc.(1) | 442 | 14,243 | |
Tejon Ranch Co.(1) | 1,572 | 24,397 | |
Transcontinental Realty Investors, Inc.(1) | 94 | 3,740 | |
$ 1,374,369 | |||
Road & Rail — 0.5% | |||
ArcBest Corp. | 1,957 | $ 137,714 | |
Bird Global, Inc.(1) | 12,857 | 5,606 | |
Covenant Logistics Group, Inc. | 905 | 22,706 |
Security | Shares | Value | |
Road & Rail (continued) | |||
Daseke, Inc.(1) | 3,140 | $ 20,064 | |
Heartland Express, Inc. | 3,887 | 54,068 | |
Marten Transport, Ltd. | 4,424 | 74,412 | |
PAM Transportation Services, Inc.(1) | 748 | 20,488 | |
Saia, Inc.(1) | 1,992 | 374,496 | |
TuSimple Holdings, Inc.(1) | 10,494 | 75,872 | |
Universal Truckload Services, Inc. | 475 | 12,972 | |
Werner Enterprises, Inc. | 4,874 | 187,844 | |
$ 986,242 | |||
Semiconductors & Semiconductor Equipment — 2.6% | |||
ACM Research, Inc., Class A(1) | 3,596 | $ 60,521 | |
Alpha & Omega Semiconductor, Ltd.(1) | 1,700 | 56,678 | |
Ambarella, Inc.(1) | 2,735 | 179,033 | |
Amkor Technology, Inc. | 7,612 | 129,023 | |
Atomera, Inc.(1)(2) | 1,466 | 13,751 | |
Axcelis Technologies, Inc.(1) | 2,553 | 140,006 | |
AXT, Inc.(1) | 3,267 | 19,145 | |
CEVA, Inc.(1) | 1,882 | 63,160 | |
CMC Materials, Inc. | 2,141 | 373,583 | |
Cohu, Inc.(1) | 3,598 | 99,844 | |
Credo Technology Group Holding, Ltd.(1) | 1,710 | 19,973 | |
CyberOptics Corp.(1) | 538 | 18,798 | |
Diodes, Inc.(1) | 3,342 | 215,793 | |
FormFactor, Inc.(1) | 5,853 | 226,687 | |
Ichor Holdings, Ltd.(1) | 2,200 | 57,156 | |
Impinj, Inc.(1) | 1,504 | 88,240 | |
indie Semiconductor, Inc.(1) | 7,484 | 42,659 | |
Kulicke & Soffa Industries, Inc. | 4,360 | 186,652 | |
MACOM Technology Solutions Holdings, Inc.(1) | 3,818 | 176,010 | |
MaxLinear, Inc.(1) | 5,440 | 184,851 | |
NeoPhotonics Corp.(1) | 4,198 | 66,035 | |
Onto Innovation, Inc.(1) | 3,734 | 260,409 | |
PDF Solutions, Inc.(1) | 2,532 | 54,463 | |
Photronics, Inc.(1) | 4,620 | 89,998 | |
Power Integrations, Inc. | 4,338 | 325,393 | |
Rambus, Inc.(1) | 8,317 | 178,732 | |
Rigetti Computing, Inc.(2) | 2,404 | 8,823 | |
Rockley Photonics Holdings, Ltd.(1)(2) | 7,645 | 16,666 | |
Semtech Corp.(1) | 4,747 | 260,943 | |
Silicon Laboratories, Inc.(1) | 2,723 | 381,819 | |
SiTime Corp.(1) | 1,202 | 195,962 | |
SkyWater Technology, Inc.(1)(2) | 616 | 3,708 | |
SMART Global Holdings, Inc.(1)(2) | 3,784 | 61,944 | |
SunPower Corp.(1)(2) | 6,461 | 102,148 | |
Synaptics, Inc.(1) | 2,976 | 351,317 | |
Transphorm, Inc. | 1,608 | 6,126 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Ultra Clean Holdings, Inc.(1) | 3,443 | $ 102,498 | |
Veeco Instruments, Inc.(1) | 4,143 | 80,374 | |
$ 4,898,921 | |||
Software — 4.8% | |||
8x8, Inc.(1) | 8,347 | $ 42,987 | |
A10 Networks, Inc. | 4,968 | 71,440 | |
ACI Worldwide, Inc.(1) | 8,591 | 222,421 | |
Agilysys, Inc.(1) | 1,551 | 73,316 | |
Alarm.com Holdings, Inc.(1) | 3,708 | 229,377 | |
Alkami Technology, Inc.(1) | 2,198 | 30,530 | |
Altair Engineering, Inc., Class A(1) | 3,898 | 204,645 | |
American Software, Inc., Class A | 2,315 | 37,410 | |
Amplitude, Inc.(1) | 4,194 | 59,932 | |
Appfolio, Inc., Class A(1) | 1,469 | 133,150 | |
Appian Corp.(1)(2) | 3,084 | 146,058 | |
Applied Blockchain, Inc. | 605 | 635 | |
Arteris, Inc.(1) | 390 | 2,718 | |
Asana, Inc., Class A(1) | 5,706 | 100,312 | |
Avaya Holdings Corp.(1) | 6,471 | 14,495 | |
AvePoint, Inc.(1) | 9,660 | 41,924 | |
Benefitfocus, Inc.(1)(2) | 2,338 | 18,190 | |
Blackbaud, Inc.(1) | 3,484 | 202,316 | |
Blackline, Inc.(1) | 4,193 | 279,254 | |
Blend Labs, Inc.(1) | 13,875 | 32,745 | |
Box, Inc., Class A(1) | 9,683 | 243,431 | |
BTRS Holdings, Inc.(1) | 7,375 | 36,728 | |
C3.ai, Inc.(1) | 5,162 | 94,258 | |
Cerence, Inc.(1)(2) | 2,967 | 74,857 | |
ChannelAdvisor Corp.(1) | 2,410 | 35,138 | |
Cipher Mining, Inc.(1) | 2,930 | 4,014 | |
Cleanspark, Inc.(1) | 2,567 | 10,063 | |
Clear Secure, Inc., Class A(1)(2) | 4,667 | 93,340 | |
Commvault Systems, Inc.(1) | 3,339 | 210,023 | |
Consensus Cloud Solutions, Inc.(1) | 1,133 | 49,489 | |
Couchbase, Inc.(1) | 1,822 | 29,917 | |
CS Disco, Inc.(1)(2) | 1,668 | 30,091 | |
Cvent Holding Corp.(1) | 6,305 | 29,129 | |
Digimarc Corp.(1)(2) | 926 | 13,094 | |
Digital Turbine, Inc.(1) | 7,101 | 124,055 | |
Domo, Inc., Class B(1) | 2,113 | 58,741 | |
Duck Creek Technologies, Inc.(1) | 5,793 | 86,026 | |
E2open Parent Holdings, Inc.(1)(2) | 15,369 | 119,571 | |
Ebix, Inc. | 2,269 | 38,346 | |
eGain Corp.(1) | 1,491 | 14,537 | |
Enfusion, Inc., Class A(1) | 1,682 | 17,173 | |
EngageSmart, Inc.(1) | 2,617 | 42,081 |
Security | Shares | Value | |
Software (continued) | |||
Envestnet, Inc.(1) | 4,165 | $ 219,787 | |
Everbridge, Inc.(1) | 2,969 | 82,805 | |
EverCommerce, Inc.(1) | 2,327 | 21,036 | |
ForgeRock, Inc.(1) | 2,100 | 44,982 | |
Greenidge Generation Holdings, Inc.(1) | 960 | 2,438 | |
GTY Technology Holdings, Inc.(1) | 2,543 | 15,919 | |
Instructure Holdings, Inc.(1) | 1,314 | 29,828 | |
Intapp, Inc.(1) | 1,077 | 15,767 | |
InterDigital, Inc. | 2,318 | 140,934 | |
IronNet, Inc.(1)(2) | 4,862 | 10,745 | |
Kaleyra, Inc.(1) | 2,211 | 4,510 | |
KnowBe4, Inc.(1) | 5,463 | 85,332 | |
Latch, Inc.(1) | 5,277 | 6,016 | |
LivePerson, Inc.(1) | 5,071 | 71,704 | |
LiveRamp Holdings, Inc.(1) | 5,104 | 131,734 | |
LiveVox Holdings, Inc.(1) | 1,668 | 2,769 | |
Marathon Digital Holdings, Inc.(1)(2) | 7,486 | 39,975 | |
Matterport, Inc.(1)(2) | 16,419 | 60,094 | |
MeridianLink, Inc.(1) | 1,759 | 29,375 | |
MicroStrategy, Inc., Class A(1) | 729 | 119,775 | |
Mitek Systems, Inc.(1) | 3,089 | 28,542 | |
Model N, Inc.(1) | 2,795 | 71,496 | |
Momentive Global, Inc.(1) | 9,991 | 87,921 | |
N-able, Inc.(1) | 5,114 | 46,026 | |
NextNav, Inc.(1) | 3,659 | 8,306 | |
Olo, Inc., Class A(1) | 6,745 | 66,573 | |
ON24, Inc.(1) | 3,120 | 29,609 | |
OneSpan, Inc.(1) | 2,735 | 32,547 | |
PagerDuty, Inc.(1)(2) | 6,330 | 156,857 | |
Ping Identity Holding Corp.(1) | 5,797 | 105,158 | |
Progress Software Corp. | 3,448 | 156,194 | |
PROS Holdings, Inc.(1) | 3,289 | 86,271 | |
Q2 Holdings, Inc.(1) | 4,288 | 165,388 | |
Qualys, Inc.(1) | 2,928 | 369,338 | |
Rapid7, Inc.(1) | 4,392 | 293,386 | |
Rimini Street, Inc.(1) | 3,438 | 20,662 | |
Riot Blockchain, Inc.(1)(2) | 8,339 | 34,940 | |
SailPoint Technologies Holdings, Inc.(1) | 6,985 | 437,820 | |
Sapiens International Corp. NV | 2,300 | 55,637 | |
SecureWorks Corp., Class A(1) | 472 | 5,126 | |
ShotSpotter, Inc.(1) | 604 | 16,254 | |
Sprout Social, Inc., Class A(1) | 3,464 | 201,155 | |
SPS Commerce, Inc.(1) | 2,720 | 307,496 | |
Sumo Logic, Inc.(1) | 6,397 | 47,914 | |
Telos Corp.(1) | 4,086 | 33,015 | |
Tenable Holdings, Inc.(1) | 8,245 | 374,406 | |
Terawulf, Inc.(1) | 1,603 | 1,924 |
Security | Shares | Value | |
Software (continued) | |||
Upland Software, Inc.(1) | 2,219 | $ 32,220 | |
UserTesting, Inc.(1)(2) | 3,548 | 17,811 | |
Varonis Systems, Inc.(1) | 8,251 | 241,919 | |
Verint Systems, Inc.(1) | 4,772 | 202,094 | |
Veritone, Inc.(1)(2) | 2,028 | 13,243 | |
Viant Technology, Inc., Class A(1) | 874 | 4,440 | |
Vonage Holdings Corp.(1) | 19,681 | 370,790 | |
Weave Communications, Inc.(1) | 361 | 1,097 | |
WM Technology, Inc.(1) | 5,383 | 17,710 | |
Workiva, Inc.(1) | 3,576 | 235,980 | |
Xperi Holding Corp. | 8,231 | 118,773 | |
Yext, Inc.(1) | 8,933 | 42,700 | |
Zeta Global Holdings Corp.(1) | 2,335 | 10,554 | |
Zuora, Inc., Class A(1) | 8,630 | 77,239 | |
$ 9,160,013 | |||
Specialty Retail — 2.0% | |||
Aaron's Co., Inc. (The) | 2,660 | $ 38,703 | |
Abercrombie & Fitch Co., Class A(1) | 3,722 | 62,976 | |
Academy Sports & Outdoors, Inc. | 6,292 | 223,618 | |
American Eagle Outfitters, Inc. | 11,935 | 133,433 | |
America's Car-Mart, Inc.(1) | 476 | 47,886 | |
Arko Corp. | 6,464 | 52,746 | |
Asbury Automotive Group, Inc.(1) | 1,662 | 281,443 | |
Bed Bath & Beyond, Inc.(1) | 5,978 | 29,711 | |
Big 5 Sporting Goods Corp. | 1,632 | 18,295 | |
Boot Barn Holdings, Inc.(1) | 2,323 | 160,078 | |
Buckle, Inc. (The) | 2,282 | 63,189 | |
Build-A-Bear Workshop, Inc. | 1,064 | 17,471 | |
Caleres, Inc. | 2,732 | 71,688 | |
Camping World Holdings, Inc., Class A(2) | 2,887 | 62,330 | |
Cato Corp. (The), Class A | 1,550 | 17,995 | |
Chico's FAS, Inc.(1) | 9,433 | 46,882 | |
Children's Place, Inc. (The)(1) | 1,078 | 41,956 | |
Citi Trends, Inc.(1) | 699 | 16,531 | |
Conn's, Inc.(1) | 1,614 | 12,944 | |
Container Store Group, Inc. (The)(1) | 2,581 | 16,080 | |
Designer Brands, Inc., Class A | 4,336 | 56,628 | |
Destination XL Group, Inc.(1) | 4,482 | 15,194 | |
EVgo, Inc.(1)(2) | 5,097 | 30,633 | |
Express, Inc.(1) | 4,818 | 9,443 | |
Foot Locker, Inc. | 6,232 | 157,358 | |
Genesco, Inc.(1) | 983 | 49,062 | |
Group 1 Automotive, Inc. | 1,206 | 204,779 | |
GrowGeneration Corp.(1)(2) | 4,242 | 15,229 | |
Guess?, Inc. | 2,554 | 43,546 | |
Haverty Furniture Cos., Inc. | 1,371 | 31,780 |
Security | Shares | Value | |
Specialty Retail (continued) | |||
Hibbett, Inc. | 1,064 | $ 46,507 | |
JOANN, Inc.(2) | 910 | 7,052 | |
LL Flooring Holdings, Inc.(1) | 2,470 | 23,144 | |
MarineMax, Inc.(1) | 1,632 | 58,948 | |
Monro, Inc. | 2,683 | 115,047 | |
Murphy USA, Inc. | 1,681 | 391,454 | |
National Vision Holdings, Inc.(1) | 6,087 | 167,392 | |
ODP Corp. (The)(1) | 3,224 | 97,494 | |
OneWater Marine, Inc., Class A(1) | 718 | 23,730 | |
Party City Holdco, Inc.(1)(2) | 8,666 | 11,439 | |
Rent-A-Center, Inc. | 3,982 | 77,450 | |
Sally Beauty Holdings, Inc.(1) | 8,712 | 103,847 | |
Shoe Carnival, Inc. | 1,384 | 29,908 | |
Signet Jewelers, Ltd. | 3,499 | 187,057 | |
Sleep Number Corp.(1)(2) | 1,771 | 54,812 | |
Sonic Automotive, Inc., Class A | 1,716 | 62,857 | |
Sportsman's Warehouse Holdings, Inc.(1) | 3,542 | 33,968 | |
Tile Shop Holdings, Inc. | 2,729 | 8,378 | |
Tilly's, Inc., Class A | 1,890 | 13,268 | |
Torrid Holdings, Inc.(1) | 979 | 4,229 | |
TravelCenters of America, Inc.(1) | 979 | 33,746 | |
Urban Outfitters, Inc.(1) | 4,945 | 92,274 | |
Volta, Inc.(1)(2) | 9,165 | 11,914 | |
Warby Parker, Inc.(1) | 6,260 | 70,488 | |
Winmark Corp. | 214 | 41,852 | |
Zumiez, Inc.(1) | 1,173 | 30,498 | |
$ 3,828,360 | |||
Technology Hardware, Storage & Peripherals — 0.3% | |||
3D Systems Corp.(1)(2) | 9,520 | $ 92,344 | |
Avid Technology, Inc.(1) | 2,835 | 73,568 | |
CompoSecure, Inc.(1) | 583 | 3,032 | |
Corsair Gaming, Inc.(1)(2) | 2,874 | 37,736 | |
Diebold Nixdorf, Inc.(1)(2) | 5,880 | 13,348 | |
Eastman Kodak Co.(1)(2) | 3,518 | 16,323 | |
IonQ, Inc.(1) | 8,912 | 39,034 | |
Super Micro Computer, Inc.(1) | 3,523 | 142,153 | |
Turtle Beach Corp.(1) | 1,190 | 14,554 | |
Xerox Holdings Corp. | 8,577 | 127,368 | |
$ 559,460 | |||
Textiles, Apparel & Luxury Goods — 0.6% | |||
Allbirds, Inc.(1) | 7,078 | $ 27,817 | |
Crocs, Inc.(1) | 4,504 | 219,210 | |
Ermenegildo Zegna Holditalia SpA(1) | 3,548 | 37,431 | |
Fossil Group, Inc.(1) | 3,623 | 18,731 |
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods (continued) | |||
G-III Apparel Group, Ltd.(1) | 3,579 | $ 72,403 | |
Kontoor Brands, Inc. | 4,067 | 135,716 | |
Movado Group, Inc. | 1,238 | 38,291 | |
Oxford Industries, Inc. | 1,242 | 110,215 | |
PLBY Group, Inc.(1)(2) | 2,227 | 14,253 | |
Rocky Brands, Inc. | 588 | 20,098 | |
Steven Madden, Ltd. | 5,920 | 190,683 | |
Superior Group of Cos., Inc. | 933 | 16,561 | |
Unifi, Inc.(1) | 1,199 | 16,858 | |
Wolverine World Wide, Inc. | 6,377 | 128,560 | |
$ 1,046,827 | |||
Thrifts & Mortgage Finance — 1.3% | |||
Axos Financial, Inc.(1) | 4,474 | $ 160,393 | |
Blue Foundry Bancorp(1) | 2,149 | 25,766 | |
Bridgewater Bancshares, Inc.(1) | 1,907 | 30,779 | |
Capitol Federal Financial, Inc. | 9,963 | 91,460 | |
Columbia Financial, Inc.(1) | 2,595 | 56,597 | |
Enact Holdings, Inc. | 2,253 | 48,394 | |
Essent Group, Ltd. | 7,904 | 307,466 | |
Federal Agricultural Mortgage Corp., Class C | 688 | 67,183 | |
Finance of America Cos., Inc., Class A(1) | 2,618 | 4,110 | |
Flagstar Bancorp, Inc. | 4,030 | 142,863 | |
Greene County Bancorp, Inc. | 254 | 11,504 | |
Hingham Institution for Savings (The) | 102 | 28,945 | |
Home Bancorp, Inc. | 638 | 21,775 | |
Home Point Capital, Inc.(2) | 600 | 2,352 | |
Kearny Financial Corp. | 5,244 | 58,261 | |
Luther Burbank Corp. | 1,113 | 14,525 | |
Merchants Bancorp | 1,096 | 24,846 | |
Mr. Cooper Group, Inc.(1) | 5,446 | 200,086 | |
NMI Holdings, Inc., Class A(1) | 6,584 | 109,624 | |
Northfield Bancorp, Inc. | 3,620 | 47,169 | |
PCSB Financial Corp. | 1,066 | 20,350 | |
PennyMac Financial Services, Inc. | 2,335 | 102,063 | |
Pioneer Bancorp, Inc.(1) | 918 | 8,996 | |
Provident Bancorp, Inc. | 1,419 | 22,278 | |
Provident Financial Services, Inc. | 5,603 | 124,723 | |
Radian Group, Inc. | 12,998 | 255,411 | |
Southern Missouri Bancorp, Inc. | 690 | 31,229 | |
Sterling Bancorp, Inc.(1) | 1,284 | 7,319 | |
TrustCo Bank Corp. | 1,565 | 48,265 | |
Velocity Financial, Inc.(1) | 672 | 7,385 | |
Walker & Dunlop, Inc. | 2,327 | 224,183 | |
Waterstone Financial, Inc. | 1,822 | 31,065 |
Security | Shares | Value | |
Thrifts & Mortgage Finance (continued) | |||
WSFS Financial Corp. | 4,831 | $ 193,675 | |
$ 2,531,040 | |||
Tobacco — 0.2% | |||
22nd Century Group, Inc.(1)(2) | 11,838 | $ 25,215 | |
Turning Point Brands, Inc. | 1,011 | 27,428 | |
Universal Corp. | 1,896 | 114,708 | |
Vector Group, Ltd. | 11,264 | 118,272 | |
$ 285,623 | |||
Trading Companies & Distributors — 1.4% | |||
Alta Equipment Group, Inc.(1) | 1,505 | $ 13,500 | |
Applied Industrial Technologies, Inc. | 2,871 | 276,104 | |
Beacon Roofing Supply, Inc.(1) | 4,075 | 209,292 | |
BlueLinx Holdings, Inc.(1) | 703 | 46,967 | |
Boise Cascade Co. | 3,044 | 181,088 | |
Custom Truck One Source, Inc.(1) | 4,543 | 25,441 | |
Distribution Solutions Group, Inc.(1) | 447 | 22,971 | |
DXP Enterprises, Inc.(1) | 1,272 | 38,961 | |
GATX Corp. | 2,708 | 254,985 | |
Global Industrial Co. | 1,000 | 33,770 | |
GMS, Inc.(1) | 3,426 | 152,457 | |
H&E Equipment Services, Inc. | 2,486 | 72,019 | |
Herc Holdings, Inc. | 1,979 | 178,407 | |
Hudson Technologies, Inc.(1) | 3,235 | 24,295 | |
Karat Packaging, Inc.(1) | 359 | 6,125 | |
McGrath RentCorp | 1,817 | 138,092 | |
MRC Global, Inc.(1) | 6,928 | 69,003 | |
NOW, Inc.(1) | 8,273 | 80,910 | |
Rush Enterprises, Inc., Class A | 3,238 | 156,072 | |
Rush Enterprises, Inc., Class B | 564 | 27,980 | |
Textainer Group Holdings, Ltd. | 3,758 | 103,007 | |
Titan Machinery, Inc.(1) | 1,521 | 34,086 | |
Transcat, Inc.(1) | 601 | 34,143 | |
Triton International, Ltd. | 4,773 | 251,298 | |
Veritiv Corp.(1) | 1,113 | 120,816 | |
$ 2,551,789 | |||
Water Utilities — 0.4% | |||
American States Water Co. | 2,769 | $ 225,701 | |
Artesian Resources Corp., Class A | 703 | 34,566 | |
California Water Service Group | 4,020 | 223,311 | |
Global Water Resources, Inc. | 641 | 8,468 | |
Middlesex Water Co. | 1,398 | 122,577 | |
Pure Cycle Corp.(1) | 1,502 | 15,831 | |
SJW Group | 2,026 | 126,443 |
Security | Shares | Value | |
Water Utilities (continued) | |||
York Water Co. (The) | 1,157 | $ 46,777 | |
$ 803,674 | |||
Wireless Telecommunication Services — 0.2% | |||
Gogo, Inc.(1) | 3,752 | $ 60,745 | |
KORE Group Holdings, Inc.(1) | 2,632 | 8,080 | |
Shenandoah Telecommunications Co. | 3,920 | 87,024 | |
Telephone & Data Systems, Inc. | 7,925 | 125,136 | |
United States Cellular Corp.(1) | 1,199 | 34,723 | |
$ 315,708 | |||
Total Common Stocks (identified cost $150,641,140) | $172,864,554 |
Exchange-Traded Funds — 1.3% |
Security | Shares | Value | |
Equity Funds — 1.3% | |||
iShares Russell 2000 ETF(2) | 15,000 | $ 2,540,400 | |
Total Exchange-Traded Funds (identified cost $2,523,039) | $ 2,540,400 |
Rights — 0.0%(3) |
Security | Shares | Value | |
Biotechnology — 0.0%(3) | |||
Aduro Biotech, Inc. CVR(1)(4)(5) | 1,109 | $ 0 | |
GTx, Inc. CVR(1)(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%(3) | |||
Flexion Therapeutics, Inc. CVR(1)(4)(5) | 3,730 | $ 2,313 | |
$ 2,313 | |||
Pharmaceuticals — 0.0% | |||
Progenic Pharmaceuticals, Inc. CVR(1)(4)(5) | 7,261 | $ 0 | |
$ 0 | |||
Total Rights (identified cost $3,082) | $ 12,404 |
Short-Term Investments — 12.0% | |||
Affiliated Fund — 6.9% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(6) | 13,104,576 | $ 13,104,576 | |
Total Affiliated Fund (identified cost $13,104,576) | $ 13,104,576 | ||
Securities Lending Collateral — 4.6% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(7) | 8,592,955 | $ 8,592,955 | |
Total Securities Lending Collateral (identified cost $8,592,955) | $ 8,592,955 | ||
U.S. Treasury Obligations — 0.5% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 1/26/23(8) | $ | 1,000 | $ 985,893 |
Total U.S. Treasury Obligations (identified cost $995,687) | $ 985,893 | ||
Total Short-Term Investments (identified cost $22,693,218) | $ 22,683,424 | ||
Total Investments — 104.5% (identified cost $175,860,479) | $198,100,782 | ||
Other Assets, Less Liabilities — (4.5)% | $ (8,502,359) | ||
Net Assets — 100.0% | $ 189,598,423 |
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, 2022. The aggregate market value of securities on loan at June 30, 2022 was $12,289,220. |
(3) | Amount is less than 0.05%. |
(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 $12,404, which represents less than 0.05% of the net assets of the Fund as of June 30, 2022. |
(6) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(7) | Represents investment of cash collateral received in connection with securities lending. |
(8) | 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 | 151 | Long | 9/16/22 | $12,895,400 | $ (79,905) |
$(79,905) |
Description | Acquisition Dates | Cost |
Aduro Biotech, Inc. CVR | 10/2/20 | $ 0 |
Flexion Therapeutics, Inc. CVR | 11/22/21 | 2,313 |
GTx, Inc. CVR | 6/10/19 | 117 |
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, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $162,755,903) - including $12,289,220 of securities on loan | $ 184,996,206 |
Investments in securities of affiliated issuers, at value (identified cost $13,104,576) | 13,104,576 |
Cash | 369,679 |
Receivable for capital shares sold | 138,823 |
Dividends receivable | 180,214 |
Dividends receivable - affiliated | 9,783 |
Securities lending income receivable | 15,632 |
Receivable from affiliate | 52,517 |
Directors' deferred compensation plan | 94,539 |
Total assets | $198,961,969 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 101,150 |
Payable for investments purchased | 308,586 |
Payable for capital shares redeemed | 103,748 |
Deposits for securities loaned | 8,592,955 |
Payable to affiliates: | |
Investment advisory fee | 39,059 |
Administrative fee | 19,411 |
Distribution and service fees | 8,770 |
Sub-transfer agency fee | 280 |
Directors' deferred compensation plan | 94,539 |
Accrued expenses | 95,048 |
Total liabilities | $ 9,363,546 |
Net Assets | $189,598,423 |
Sources of Net Assets | |
Paid-in capital | $ 145,485,026 |
Distributable earnings | 44,113,397 |
Net Assets | $189,598,423 |
Class I Shares | |
Net Assets | $ 137,436,304 |
Shares Outstanding | 1,806,966 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 76.06 |
Class F Shares | |
Net Assets | $ 52,162,119 |
Shares Outstanding | 690,744 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 75.52 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $2,076) | $ 1,267,936 |
Dividend income - affiliated issuers | 19,661 |
Interest income | 3,189 |
Securities lending income, net | 60,043 |
Total investment income | $ 1,350,829 |
Expenses | |
Investment advisory fee | $ 269,073 |
Administrative fee | 129,155 |
Distribution and service fees: | |
Class F | 56,753 |
Directors' fees and expenses | 5,127 |
Custodian fees | 4,548 |
Transfer agency fees and expenses | 87,054 |
Accounting fees | 23,827 |
Professional fees | 18,105 |
Reports to shareholders | 2,913 |
Licensing fees | 56,770 |
Miscellaneous | 10,681 |
Total expenses | $ 664,006 |
Waiver and/or reimbursement of expenses by affiliate | $ (188,229) |
Net expenses | $ 475,777 |
Net investment income | $ 875,052 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 663,733 |
Investment securities - affiliated issuers | (22) |
Futures contracts | (2,813,870) |
Net realized loss | $ (2,150,159) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (56,366,582) |
Investment securities - affiliated issuers | (99) |
Futures contracts | (410,915) |
Net change in unrealized appreciation (depreciation) | $(56,777,596) |
Net realized and unrealized loss | $(58,927,755) |
Net decrease in net assets from operations | $(58,052,703) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 875,052 | $ 1,872,777 |
Net realized gain (loss) | (2,150,159) | 21,378,864 |
Net change in unrealized appreciation (depreciation) | (56,777,596) | 8,137,652 |
Net increase (decrease) in net assets from operations | $ (58,052,703) | $ 31,389,293 |
Distributions to shareholders: | ||
Class I | $ — | $ (6,490,617) |
Class F | — | (2,231,132) |
Total distributions to shareholders | $ — | $ (8,721,749) |
Capital share transactions: | ||
Class I | $ (3,405,070) | $ (2,752,812) |
Class F | 3,413,762 | 9,925,895 |
Net increase in net assets from capital share transactions | $ 8,692 | $ 7,173,083 |
Net increase (decrease) in net assets | $ (58,044,011) | $ 29,840,627 |
Net Assets | ||
At beginning of period | $ 247,642,434 | $ 217,801,807 |
At end of period | $189,598,423 | $247,642,434 |
Class I | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 99.34 | $ 89.92 | $ 80.81 | $ 71.03 | $ 84.82 | $ 77.43 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.37 | $ 0.82 | $ 0.79 | $ 0.90 | $ 0.98 | $ 0.93 |
Net realized and unrealized gain (loss) | (23.65) | 12.22 | 13.71 | 15.99 | (9.44) | 10.12 |
Total income (loss) from operations | $ (23.28) | $ 13.04 | $ 14.50 | $ 16.89 | $ (8.46) | $ 11.05 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.77) | $ (0.82) | $ (0.77) | $ (0.96) | $ (0.64) |
From net realized gain | — | (2.85) | (4.57) | (6.34) | (4.37) | (3.02) |
Total distributions | $ — | $ (3.62) | $ (5.39) | $ (7.11) | $ (5.33) | $ (3.66) |
Net asset value — End of period | $ 76.06 | $ 99.34 | $ 89.92 | $ 80.81 | $ 71.03 | $ 84.82 |
Total Return(2) | (23.43)% (3) | 14.53% | 19.64% | 25.08% | (11.23)% | 14.37% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $137,436 | $183,595 | $168,541 | $154,335 | $127,473 | $158,646 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.57% (5) | 0.57% | 0.59% | 0.58% | 0.59% | 0.65% |
Net expenses | 0.39% (5)(6) | 0.39% | 0.39% | 0.39% | 0.38% | 0.38% |
Net investment income | 0.86% (5) | 0.81% | 1.08% | 1.13% | 1.13% | 1.15% |
Portfolio Turnover | 9% (3) | 19% | 16% | 15% | 15% | 15% |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 98.73 | $ 89.56 | $ 80.67 | $ 71.07 | $ 85.07 | $ 77.84 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.29 | $ 0.62 | $ 0.64 | $ 0.73 | $ 0.77 | $ 0.74 |
Net realized and unrealized gain (loss) | (23.50) | 12.17 | 13.64 | 15.98 | (9.44) | 10.15 |
Total income (loss) from operations | $ (23.21) | $ 12.79 | $ 14.28 | $ 16.71 | $ (8.67) | $ 10.89 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.77) | $ (0.82) | $ (0.77) | $ (0.96) | $ (0.64) |
From net realized gain | — | (2.85) | (4.57) | (6.34) | (4.37) | (3.02) |
Total distributions | $ — | $ (3.62) | $ (5.39) | $ (7.11) | $ (5.33) | $ (3.66) |
Net asset value — End of period | $ 75.52 | $ 98.73 | $ 89.56 | $ 80.67 | $ 71.07 | $ 85.07 |
Total Return(2) | (23.51)% (3) | 14.30% | 19.40% | 24.82% | (11.46)% | 14.08% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $52,162 | $64,047 | $49,261 | $43,233 | $30,499 | $32,547 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.77% (5) | 0.77% | 0.79% | 0.78% | 0.79% | 0.86% |
Net expenses | 0.59% (5)(6) | 0.59% | 0.59% | 0.60% | 0.63% | 0.63% |
Net investment income | 0.68% (5) | 0.62% | 0.88% | 0.92% | 0.89% | 0.91% |
Portfolio Turnover | 9% (3) | 19% | 16% | 15% | 15% | 15% |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
Common Stocks | $ 172,864,554(2) | $ — | $ 0 | $ 172,864,554 |
Exchange-Traded Funds | 2,540,400 | — | — | 2,540,400 |
Rights | — | — | 12,404 | 12,404 |
Short-Term Investments: | ||||
Affiliated Fund | 13,104,576 | — | — | 13,104,576 |
Securities Lending Collateral | 8,592,955 | — | — | 8,592,955 |
U.S. Treasury Obligations | — | 985,893 | — | 985,893 |
Total Investments | $197,102,485 | $985,893 | $12,404 | $198,100,782 |
Liability Description | ||||
Futures Contracts | $ (79,905) | $ — | $ — | $ (79,905) |
Total | $ (79,905) | $ — | $ — | $ (79,905) |
(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 | $175,484,222 |
Gross unrealized appreciation | $ 56,836,262 |
Gross unrealized depreciation | (34,299,607) |
Net unrealized appreciation | $ 22,536,655 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ — | $(79,905) (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 | $ (2,813,870) | $ (410,915) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $ 6,369,714 | $ — | $ — | $ — | $ 6,369,714 |
Exchange-Traded Funds | 2,194,853 | — | — | — | 2,194,853 |
Rights | 28,388 | — | — | — | 28,388 |
Total | $8,592,955 | $ — | $ — | $ — | $8,592,955 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $11,109,283 | $ 9,024,957 | $(20,134,119) | $ (22) | $ (99) | $ — | $ 3,052 | — |
Liquidity Fund | — | 31,127,052 | (18,022,476) | — | — | 13,104,576 | 16,609 | 13,104,576 |
Total | $ (22) | $ (99) | $13,104,576 | $19,661 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 79,063 | $ 6,944,341 | 210,954 | $ 21,302,381 | |
Reinvestment of distributions | — | — | 65,581 | 6,490,617 | |
Shares redeemed | (120,173) | (10,349,411) | (302,828) | (30,545,810) | |
Net decrease | (41,110) | $ (3,405,070) | (26,293) | $ (2,752,812) | |
Class F | |||||
Shares sold | 99,150 | $ 8,431,545 | 185,362 | $ 18,663,731 | |
Reinvestment of distributions | — | — | 22,672 | 2,231,132 | |
Shares redeemed | (57,102) | (5,017,783) | (109,357) | (10,968,968) | |
Net increase | 42,048 | $ 3,413,762 | 98,677 | $ 9,925,895 |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (19.25)% | (17.65)% | 1.96% | 4.82% |
Class F at NAV | 12/17/2007 | 11/12/2002 | (19.33) | (17.81) | 1.74 | 4.59 |
MSCI EAFE Index | — | — | (19.57)% | (17.77)% | 2.20% | 5.39% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.64% | 0.84% |
Net | 0.48 | 0.68 |
Top 10 Holdings (% of net assets)* | |
Nestle S.A. | 2.4% |
Roche Holding AG PC | 1.7 |
AstraZeneca PLC | 1.5 |
Shell PLC | 1.5 |
ASML Holding NV | 1.4 |
Novo Nordisk A/S, Class B | 1.4 |
Novartis AG | 1.4 |
LVMH Moet Hennessy Louis Vuitton SE | 1.2 |
Toyota Motor Corp. | 1.2 |
BHP Group, Ltd. | 1.1 |
Total | 14.8% |
* | 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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 807.50 | $2.15 ** | 0.48% |
Class F | $1,000.00 | $ 806.70 | $3.05 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 99.5% |
Security | Shares | Value | |
Australia — 7.6% | |||
Ampol, Ltd. | 1,867 | $ 44,066 | |
APA Group(1) | 9,428 | 73,423 | |
Aristocrat Leisure, Ltd. | 4,758 | 113,174 | |
ASX, Ltd.(1) | 1,431 | 80,887 | |
Aurizon Holdings, Ltd. | 13,234 | 34,806 | |
Australia & New Zealand Banking Group, Ltd. | 21,245 | 323,576 | |
BHP Group, Ltd. | 38,830 | 1,111,843 | |
BlueScope Steel, Ltd. | 3,687 | 40,626 | |
Brambles, Ltd. | 11,380 | 84,147 | |
Cochlear, Ltd. | 497 | 68,234 | |
Coles Group, Ltd. | 10,242 | 126,042 | |
Commonwealth Bank of Australia | 13,102 | 818,567 | |
Computershare, Ltd. | 4,363 | 74,403 | |
CSL, Ltd. | 3,765 | 699,066 | |
Dexus | 7,432 | 45,703 | |
Domino's Pizza Enterprises, Ltd.(1) | 498 | 23,409 | |
Endeavour Group, Ltd. | 9,763 | 51,075 | |
Evolution Mining, Ltd. | 13,620 | 22,254 | |
Fortescue Metals Group, Ltd. | 12,966 | 155,913 | |
Goodman Group | 12,738 | 157,285 | |
GPT Group (The) | 14,328 | 41,876 | |
IDP Education, Ltd.(1) | 1,633 | 26,741 | |
Insurance Australia Group, Ltd.(1) | 18,559 | 55,966 | |
Lendlease Corp., Ltd.(1) | 5,044 | 31,772 | |
Lottery Corp., Ltd. (The)(1)(2) | 15,814 | 49,339 | |
Macquarie Group, Ltd. | 2,789 | 317,544 | |
Medibank Pvt, Ltd. | 21,199 | 47,680 | |
Mineral Resources, Ltd. | 1,278 | 42,893 | |
Mirvac Group | 32,152 | 43,948 | |
National Australia Bank, Ltd. | 24,772 | 469,747 | |
Newcrest Mining, Ltd. | 6,802 | 96,903 | |
Northern Star Resources, Ltd. | 9,479 | 44,463 | |
Orica, Ltd.(1) | 3,401 | 37,209 | |
Origin Energy, Ltd.(1) | 14,121 | 56,054 | |
Qantas Airways, Ltd.(2) | 7,283 | 22,540 | |
QBE Insurance Group, Ltd. | 11,557 | 97,112 | |
Ramsay Health Care, Ltd.(1) | 1,442 | 73,038 | |
REA Group, Ltd.(1) | 374 | 28,880 | |
Reece, Ltd.(1) | 2,401 | 22,807 | |
Rio Tinto, Ltd. | 2,830 | 201,889 | |
Santos, Ltd. | 24,651 | 124,985 | |
Scentre Group | 41,355 | 74,255 | |
SEEK, Ltd. | 2,474 | 35,888 | |
Sonic Healthcare, Ltd. | 3,588 | 81,782 | |
South32, Ltd. | 34,581 | 93,704 |
Security | Shares | Value | |
Australia (continued) | |||
Stockland | 19,317 | $ 48,230 | |
Suncorp Group, Ltd. | 10,030 | 76,486 | |
Telstra Corp., Ltd. | 29,426 | 78,267 | |
Transurban Group | 23,422 | 233,033 | |
Treasury Wine Estates, Ltd. | 5,227 | 40,991 | |
Vicinity Centres | 26,887 | 34,156 | |
Washington H. Soul Pattinson & Co., Ltd.(1) | 1,836 | 29,901 | |
Wesfarmers, Ltd. | 8,686 | 251,234 | |
Westpac Banking Corp. | 26,727 | 360,518 | |
WiseTech Global, Ltd. | 995 | 26,091 | |
Woodside Energy Group, Ltd. | 14,382 | 316,095 | |
Woolworths Group, Ltd. | 9,115 | 223,886 | |
$ 8,086,402 | |||
Austria — 0.2% | |||
Erste Group Bank AG | 2,695 | $ 68,483 | |
OMV AG | 1,058 | 49,758 | |
Verbund AG | 502 | 49,346 | |
voestalpine AG | 996 | 21,287 | |
$ 188,874 | |||
Belgium — 0.9% | |||
Ageas S.A./NV | 1,339 | $ 59,040 | |
Anheuser-Busch InBev S.A./NV | 6,721 | 361,939 | |
D'Ieteren Group | 195 | 28,654 | |
Elia Group S.A./NV | 260 | 36,925 | |
Groupe Bruxelles Lambert S.A. | 804 | 67,399 | |
KBC Group NV | 1,867 | 105,039 | |
Proximus S.A. | 1,301 | 19,203 | |
Sofina S.A.(1) | 101 | 20,703 | |
Solvay S.A. | 606 | 49,369 | |
UCB S.A. | 904 | 76,604 | |
Umicore S.A. | 1,462 | 51,249 | |
Warehouses De Pauw CVA | 1,159 | 36,571 | |
$ 912,695 | |||
Denmark — 2.8% | |||
AP Moller - Maersk A/S, Class A | 25 | $ 58,024 | |
AP Moller - Maersk A/S, Class B | 40 | 93,904 | |
Carlsberg A/S, Class B | 791 | 101,092 | |
Chr. Hansen Holding A/S | 842 | 61,464 | |
Coloplast A/S, Class B | 881 | 100,663 | |
Danske Bank A/S | 5,328 | 75,832 | |
Demant A/S(2) | 798 | 29,998 | |
DSV A/S | 1,447 | 203,473 | |
Genmab A/S(2) | 504 | 163,520 | |
GN Store Nord A/S | 974 | 34,360 |
Security | Shares | Value | |
Denmark (continued) | |||
Novo Nordisk A/S, Class B | 13,028 | $ 1,444,835 | |
Novozymes A/S, Class B | 1,592 | 95,811 | |
Orsted A/S(3) | 1,477 | 155,564 | |
Pandora A/S | 798 | 50,699 | |
ROCKWOOL International A/S, Class B | 61 | 13,849 | |
Tryg A/S | 2,723 | 61,349 | |
Vestas Wind Systems A/S | 7,852 | 166,949 | |
$ 2,911,386 | |||
Finland — 1.2% | |||
Elisa Oyj | 1,026 | $ 57,761 | |
Fortum Oyj | 3,297 | 49,834 | |
Kesko Oyj, Class B | 2,174 | 51,449 | |
Kone Oyj, Class B | 2,655 | 126,896 | |
Neste Oyj | 3,264 | 145,186 | |
Nokia Oyj | 41,171 | 190,830 | |
Nordea Bank Abp | 24,805 | 219,115 | |
Orion Oyj, Class B | 819 | 36,654 | |
Sampo Oyj, Class A | 3,834 | 167,550 | |
Stora Enso Oyj, Class R | 4,366 | 69,180 | |
UPM-Kymmene Oyj | 4,106 | 125,904 | |
Wartsila Oyj Abp | 3,830 | 30,022 | |
$ 1,270,381 | |||
France — 10.5% | |||
Accor S.A.(2) | 1,179 | $ 32,165 | |
Aeroports de Paris(2) | 234 | 29,830 | |
Air Liquide S.A. | 3,983 | 536,123 | |
Alstom S.A. | 2,516 | 57,452 | |
Amundi S.A.(3) | 448 | 24,666 | |
ArcelorMittal S.A. | 4,566 | 102,394 | |
Arkema S.A. | 475 | 42,490 | |
AXA S.A. | 14,940 | 341,252 | |
BioMerieux | 321 | 31,475 | |
BNP Paribas S.A. | 8,415 | 402,506 | |
Bollore SE | 6,375 | 29,719 | |
Bouygues S.A. | 1,786 | 55,122 | |
Bureau Veritas S.A.(1) | 2,318 | 59,638 | |
Capgemini SE | 1,237 | 213,333 | |
Carrefour S.A. | 4,895 | 86,893 | |
Cie de Saint-Gobain | 3,830 | 165,491 | |
Cie Generale des Etablissements Michelin SCA | 5,156 | 140,815 | |
Covivio | 345 | 19,274 | |
Credit Agricole S.A. | 9,189 | 84,713 | |
Danone S.A. | 5,027 | 281,523 | |
Dassault Aviation S.A. | 170 | 26,548 | |
Dassault Systemes SE | 5,026 | 186,167 |
Security | Shares | Value | |
France (continued) | |||
Edenred | 1,978 | $ 93,699 | |
Eiffage S.A. | 616 | 55,723 | |
Electricite de France S.A. | 3,598 | 29,553 | |
Engie S.A. | 14,009 | 162,210 | |
EssilorLuxottica S.A. | 2,184 | 331,122 | |
Eurazeo SE | 286 | 17,768 | |
Eurofins Scientific SE | 1,066 | 84,191 | |
Gecina S.A. | 366 | 34,349 | |
Getlink SE | 3,525 | 62,517 | |
Hermes International | 244 | 274,604 | |
Ipsen S.A. | 305 | 28,878 | |
Kering S.A. | 577 | 299,017 | |
Klepierre S.A. | 1,482 | 28,680 | |
La Francaise des Jeux SAEM(3) | 723 | 25,106 | |
Legrand S.A. | 2,077 | 154,214 | |
L'Oreal S.A. | 1,839 | 638,511 | |
LVMH Moet Hennessy Louis Vuitton SE | 2,129 | 1,304,816 | |
Orange S.A. | 15,349 | 180,866 | |
Pernod Ricard S.A. | 1,578 | 291,732 | |
Publicis Groupe S.A. | 1,677 | 82,476 | |
Remy Cointreau S.A. | 149 | 26,144 | |
Renault S.A.(2) | 1,531 | 38,652 | |
Safran S.A. | 2,618 | 260,662 | |
Sanofi | 8,729 | 880,285 | |
Sartorius Stedim Biotech | 208 | 65,628 | |
Schneider Electric SE | 4,146 | 494,019 | |
SEB S.A. | 192 | 18,529 | |
Societe Generale S.A. | 6,106 | 135,002 | |
Sodexo S.A. | 722 | 51,070 | |
Teleperformance | 446 | 137,718 | |
Thales S.A. | 834 | 102,396 | |
TotalEnergies SE | 19,108 | 1,005,787 | |
Ubisoft Entertainment S.A.(2) | 727 | 32,063 | |
Unibail-Rodamco-Westfield (2)(4) | 136 | 6,934 | |
Unibail-Rodamco-Westfield (2)(4) | 860 | 43,722 | |
Valeo | 1,737 | 33,847 | |
Veolia Environnement S.A. | 5,212 | 127,763 | |
Vinci S.A. | 4,129 | 370,625 | |
Vivendi SE | 5,507 | 56,198 | |
Wendel SE | 198 | 16,595 | |
Worldline S.A.(2)(3) | 1,885 | 70,309 | |
$ 11,103,569 | |||
Germany — 7.7% | |||
adidas AG | 1,320 | $ 234,473 | |
Allianz SE | 3,156 | 605,037 | |
Aroundtown S.A. | 8,106 | 25,926 |
Security | Shares | Value | |
Germany (continued) | |||
BASF SE | 7,133 | $ 312,085 | |
Bayer AG | 7,487 | 447,096 | |
Bayerische Motoren Werke AG | 2,517 | 195,119 | |
Bayerische Motoren Werke AG, PFC Shares | 526 | 37,517 | |
Bechtle AG | 660 | 27,109 | |
Beiersdorf AG | 754 | 77,373 | |
Brenntag SE | 1,104 | 72,288 | |
Carl Zeiss Meditec AG | 333 | �� 40,036 | |
Commerzbank AG(2) | 8,227 | 58,372 | |
Continental AG | 783 | 54,958 | |
Covestro AG(3) | 1,407 | 48,891 | |
Daimler Truck Holding AG(2) | 3,483 | 91,728 | |
Delivery Hero SE(2)(3) | 1,234 | 46,554 | |
Deutsche Bank AG | 15,230 | 133,837 | |
Deutsche Boerse AG | 1,459 | 245,005 | |
Deutsche Lufthansa AG(2) | 4,675 | 27,537 | |
Deutsche Post AG | 7,621 | 287,740 | |
Deutsche Telekom AG | 24,718 | 491,622 | |
E.ON SE | 17,421 | 146,738 | |
Evonik Industries AG | 1,690 | 36,244 | |
Fresenius Medical Care AG & Co. KGaA | 1,614 | 80,863 | |
Fresenius SE & Co. KGaA | 3,202 | 97,378 | |
GEA Group AG | 1,175 | 40,735 | |
Hannover Rueck SE | 426 | 62,134 | |
HeidelbergCement AG | 1,195 | 57,696 | |
HelloFresh SE(2) | 1,318 | 42,999 | |
Henkel AG & Co. KGaA | 829 | 50,934 | |
Henkel AG & Co. KGaA, PFC Shares | 1,475 | 91,274 | |
Infineon Technologies AG | 10,170 | 247,390 | |
KION Group AG | 600 | 25,117 | |
Knorr-Bremse AG | 597 | 34,193 | |
LEG Immobilien SE | 523 | 43,525 | |
Mercedes-Benz Group AG | 6,125 | 355,730 | |
Merck KGaA | 989 | 167,755 | |
MTU Aero Engines AG | 398 | 72,910 | |
Muenchener Rueckversicherungs-Gesellschaft AG | 1,083 | 256,181 | |
Nemetschek SE | 486 | 29,567 | |
Porsche Automobil Holding SE, PFC Shares | 1,133 | 75,357 | |
Puma SE | 797 | 52,878 | |
Rational AG | 41 | 23,903 | |
Rheinmetall AG | 337 | 77,768 | |
RWE AG | 4,911 | 181,638 | |
SAP SE | 8,040 | 732,849 | |
Sartorius AG, PFC Shares | 203 | 71,247 | |
Scout24 SE(3) | 615 | 31,682 | |
Siemens AG | 5,908 | 607,322 | |
Siemens Energy AG(2) | 3,088 | 45,512 |
Security | Shares | Value | |
Germany (continued) | |||
Siemens Healthineers AG(3) | 2,214 | $ 112,884 | |
Symrise AG | 968 | 105,575 | |
Telefonica Deutschland Holding AG | 7,582 | 21,864 | |
Uniper SE | 708 | 10,581 | |
United Internet AG | 763 | 21,871 | |
Volkswagen AG | 230 | 42,064 | |
Volkswagen AG, PFC Shares | 1,476 | 198,728 | |
Vonovia SE | 5,511 | 170,513 | |
Zalando SE(2)(3) | 1,718 | 45,257 | |
$ 8,129,159 | |||
Hong Kong — 3.3% | |||
AIA Group, Ltd. | 92,966 | $ 1,015,799 | |
BOC Hong Kong Holdings, Ltd. | 28,956 | 114,983 | |
Budweiser Brewing Co. APAC, Ltd.(3) | 12,300 | 36,909 | |
Chow Tai Fook Jewellery Group, Ltd. | 16,800 | 31,733 | |
CK Asset Holdings, Ltd. | 14,709 | 104,512 | |
CK Hutchison Holdings, Ltd. | 20,847 | 141,426 | |
CK Infrastructure Holdings, Ltd. | 5,604 | 34,425 | |
CLP Holdings, Ltd. | 12,622 | 104,892 | |
ESR Cayman, Ltd.(2)(3) | 13,600 | 36,878 | |
Futu Holdings, Ltd. ADR(2) | 406 | 21,197 | |
Galaxy Entertainment Group, Ltd. | 16,913 | 101,319 | |
Hang Lung Properties, Ltd. | 14,000 | 26,640 | |
Hang Seng Bank, Ltd. | 6,040 | 107,034 | |
Henderson Land Development Co., Ltd. | 11,806 | 44,371 | |
HK Electric Investments & HK Electric Investments, Ltd. | 20,027 | 18,375 | |
HKT Trust & HKT, Ltd. | 25,020 | 33,603 | |
Hong Kong & China Gas Co., Ltd. | 83,675 | 90,303 | |
Hong Kong Exchanges & Clearing, Ltd. | 9,306 | 460,240 | |
Hongkong Land Holdings, Ltd. | 9,294 | 46,676 | |
Jardine Matheson Holdings, Ltd. | 1,619 | 85,069 | |
Link REIT | 15,789 | 129,018 | |
MTR Corp., Ltd. | 12,481 | 65,435 | |
New World Development Co., Ltd. | 12,107 | 43,611 | |
Power Assets Holdings, Ltd. | 11,042 | 69,564 | |
Sands China, Ltd.(2) | 19,483 | 46,870 | |
Sino Land Co., Ltd. | 23,433 | 34,603 | |
SITC International Holdings Co., Ltd. | 10,000 | 28,442 | |
Sun Hung Kai Properties, Ltd. | 11,152 | 132,040 | |
Swire Pacific, Ltd., Class A | 4,537 | 27,096 | |
Swire Properties, Ltd. | 8,529 | 21,234 | |
Techtronic Industries Co., Ltd. | 10,525 | 109,904 | |
WH Group, Ltd.(3) | 64,733 | 50,102 | |
Wharf Real Estate Investment Co., Ltd. | 13,118 | 62,641 | |
Xinyi Glass Holdings, Ltd. | 14,000 | 33,779 | |
$ 3,510,723 |
Security | Shares | Value | |
Ireland — 0.9% | |||
CRH PLC | 5,756 | $ 198,632 | |
DCC PLC | 788 | 49,027 | |
Experian PLC | 7,125 | 209,196 | |
Flutter Entertainment PLC(2) | 1,249 | 126,621 | |
James Hardie Industries PLC CDI | 3,369 | 73,757 | |
Kerry Group PLC, Class A | 1,223 | 116,958 | |
Kingspan Group PLC | 1,176 | 70,714 | |
Smurfit Kappa Group PLC | 1,810 | 61,037 | |
$ 905,942 | |||
Israel — 0.8% | |||
Azrieli Group, Ltd. | 315 | $ 22,177 | |
Bank Hapoalim B.M. | 10,120 | 84,980 | |
Bank Leumi Le-Israel B.M. | 12,248 | 109,571 | |
Check Point Software Technologies, Ltd.(2) | 764 | 93,040 | |
CyberArk Software, Ltd.(2) | 327 | 41,843 | |
Elbit Systems, Ltd. | 215 | 49,381 | |
ICL Group, Ltd. | 5,687 | 51,950 | |
Israel Discount Bank, Ltd., Class A | 9,975 | 52,233 | |
Kornit Digital, Ltd.(2) | 362 | 11,475 | |
Mizrahi Tefahot Bank, Ltd. | 1,288 | 42,878 | |
Nice, Ltd.(2) | 486 | 93,783 | |
Teva Pharmaceutical Industries, Ltd. ADR(2) | 8,820 | 66,327 | |
Tower Semiconductor, Ltd.(2) | 851 | 39,694 | |
Wix.com, Ltd.(2) | 433 | 28,383 | |
ZIM Integrated Shipping Services, Ltd. | 653 | 30,841 | |
$ 818,556 | |||
Italy — 1.9% | |||
Amplifon SpA | 989 | $ 30,406 | |
Assicurazioni Generali SpA | 8,378 | 133,820 | |
Atlantia SpA | 3,751 | 88,053 | |
Davide Campari-Milano NV | 3,681 | 38,833 | |
DiaSorin SpA | 212 | 27,880 | |
Enel SpA | 62,120 | 340,680 | |
Eni SpA | 19,431 | 230,464 | |
Ferrari NV | 964 | 177,412 | |
FinecoBank Banca Fineco SpA | 4,632 | 55,568 | |
Infrastrutture Wireless Italiane SpA(3) | 2,913 | 29,614 | |
Intesa Sanpaolo SpA | 124,945 | 233,831 | |
Mediobanca Banca di Credito Finanziario SpA | 4,446 | 38,559 | |
Moncler SpA | 1,629 | 70,187 | |
Nexi SpA(2)(3) | 4,183 | 34,738 | |
Poste Italiane SpA(3) | 4,086 | 38,231 | |
Prysmian SpA | 1,988 | 54,616 | |
Recordati Industria Chimica e Farmaceutica SpA | 757 | 33,012 | |
Snam SpA | 15,969 | 83,779 |
Security | Shares | Value | |
Italy (continued) | |||
Telecom Italia SpA(1)(2) | 66,564 | $ 17,454 | |
Tenaris S.A. | 3,576 | 45,931 | |
Terna - Rete Elettrica Nazionale | 11,126 | 87,475 | |
UniCredit SpA | 15,787 | 150,866 | |
$ 2,041,409 | |||
Japan — 22.2% | |||
Advantest Corp. | 1,500 | $ 80,665 | |
Aeon Co., Ltd. | 5,248 | 91,158 | |
AGC, Inc. | 1,556 | 54,674 | |
Aisin Corp. | 1,252 | 38,751 | |
Ajinomoto Co., Inc. | 3,699 | 90,202 | |
ANA Holdings, Inc.(2) | 1,383 | 25,546 | |
Asahi Group Holdings, Ltd. | 3,515 | 115,592 | |
Asahi Intecc Co., Ltd. | 1,600 | 24,225 | |
Asahi Kasei Corp. | 8,970 | 68,238 | |
Astellas Pharma, Inc. | 14,201 | 221,560 | |
Azbil Corp. | 1,000 | 26,365 | |
Bandai Namco Holdings, Inc. | 1,537 | 108,501 | |
Bridgestone Corp. | 4,484 | 163,484 | |
Brother Industries, Ltd. | 1,905 | 33,517 | |
Canon, Inc. | 7,600 | 172,227 | |
Capcom Co., Ltd. | 1,400 | 34,056 | |
Central Japan Railway Co. | 1,059 | 121,714 | |
Chiba Bank, Ltd. (The)(1) | 4,141 | 22,667 | |
Chubu Electric Power Co., Inc. | 4,369 | 43,993 | |
Chugai Pharmaceutical Co., Ltd. | 5,146 | 131,637 | |
Concordia Financial Group, Ltd. | 8,031 | 27,885 | |
CyberAgent, Inc. | 3,200 | 32,059 | |
Dai Nippon Printing Co., Ltd. | 1,505 | 32,373 | |
Daifuku Co., Ltd. | 800 | 45,784 | |
Dai-ichi Life Holdings, Inc. | 7,713 | 142,655 | |
Daiichi Sankyo Co., Ltd. | 13,300 | 338,252 | |
Daikin Industries, Ltd. | 1,958 | 314,375 | |
Daito Trust Construction Co., Ltd. | 516 | 44,637 | |
Daiwa House Industry Co., Ltd. | 4,732 | 110,667 | |
Daiwa House REIT Investment Corp. | 16 | 36,366 | |
Daiwa Securities Group, Inc. | 10,025 | 44,888 | |
Denso Corp. | 3,334 | 175,977 | |
Dentsu Group, Inc. | 1,505 | 45,372 | |
Disco Corp. | 200 | 47,592 | |
East Japan Railway Co. | 2,350 | 120,200 | |
Eisai Co., Ltd. | 2,051 | 86,717 | |
ENEOS Holdings, Inc. | 24,238 | 91,203 | |
FANUC Corp. | 1,462 | 229,153 | |
Fast Retailing Co., Ltd. | 500 | 262,638 | |
Fuji Electric Co., Ltd. | 1,041 | 43,039 |
Security | Shares | Value | |
Japan (continued) | |||
FUJIFILM Holdings Corp. | 2,727 | $ 146,526 | |
Fujitsu, Ltd. | 1,552 | 194,199 | |
GLP J-REIT | 31 | 37,989 | |
GMO Payment Gateway, Inc. | 300 | 21,369 | |
Hakuhodo DY Holdings, Inc. | 1,578 | 14,495 | |
Hamamatsu Photonics K.K. | 1,151 | 44,840 | |
Hankyu Hanshin Holdings, Inc. | 1,862 | 50,857 | |
Hikari Tsushin, Inc. | 119 | 12,233 | |
Hirose Electric Co., Ltd. | 242 | 32,133 | |
Hitachi Construction Machinery Co., Ltd. | 796 | 17,681 | |
Hitachi Metals, Ltd.(2) | 1,286 | 19,468 | |
Hitachi, Ltd. | 7,384 | 351,257 | |
Honda Motor Co., Ltd. | 12,501 | 301,413 | |
Hoshizaki Corp. | 1,332 | 39,701 | |
HOYA Corp. | 2,823 | 241,601 | |
Hulic Co., Ltd. | 2,340 | 18,150 | |
Ibiden Co., Ltd. | 700 | 19,831 | |
Idemitsu Kosan Co., Ltd. | 1,684 | 40,229 | |
Iida Group Holdings Co., Ltd. | 1,100 | 16,888 | |
INPEX Corp. | 8,091 | 86,738 | |
Isuzu Motors, Ltd. | 4,355 | 48,172 | |
Ito En, Ltd. | 400 | 17,989 | |
ITOCHU Corp. | 9,148 | 246,794 | |
Itochu Techno-Solutions Corp. | 700 | 17,211 | |
Japan Airlines Co., Ltd.(2) | 1,320 | 22,680 | |
Japan Exchange Group, Inc. | 3,518 | 50,992 | |
Japan Metropolitan Fund Investment Corp. | 46 | 35,842 | |
Japan Post Bank Co., Ltd. | 3,400 | 26,471 | |
Japan Post Holdings Co., Ltd. | 19,000 | 135,944 | |
Japan Post Insurance Co., Ltd. | 1,200 | 19,206 | |
Japan Real Estate Investment Corp. | 10 | 46,046 | |
Japan Tobacco, Inc. | 9,134 | 158,281 | |
JFE Holdings, Inc. | 3,325 | 34,980 | |
JSR Corp. | 1,459 | 37,914 | |
Kajima Corp. | 3,581 | 41,062 | |
Kakaku.com, Inc. | 955 | 15,862 | |
Kansai Electric Power Co., Inc. (The) | 5,178 | 51,255 | |
Kao Corp. | 3,601 | 146,019 | |
KDDI Corp. | 12,267 | 386,832 | |
Keio Corp. | 779 | 27,946 | |
Keisei Electric Railway Co., Ltd.(1) | 1,005 | 27,750 | |
Keyence Corp. | 1,560 | 534,984 | |
Kikkoman Corp. | 1,201 | 63,913 | |
Kintetsu Group Holdings Co., Ltd. | 1,346 | 41,876 | |
Kirin Holdings Co., Ltd. | 6,326 | 99,932 | |
Kobayashi Pharmaceutical Co., Ltd. | 400 | 24,773 | |
Kobe Bussan Co., Ltd.(1) | 1,000 | 24,581 |
Security | Shares | Value | |
Japan (continued) | |||
Koei Tecmo Holdings Co., Ltd. | 520 | $ 16,861 | |
Koito Manufacturing Co., Ltd. | 747 | 23,726 | |
Komatsu, Ltd. | 7,246 | 161,348 | |
Konami Holdings Corp. | 751 | 41,607 | |
Kose Corp.(1) | 208 | 18,956 | |
Kubota Corp.(1) | 8,011 | 120,054 | |
Kurita Water Industries, Ltd. | 732 | 26,497 | |
Kyocera Corp. | 2,548 | 136,207 | |
Kyowa Kirin Co., Ltd. | 1,944 | 43,890 | |
Lasertec Corp. | 600 | 71,462 | |
Lixil Corp. | 2,113 | 39,715 | |
M3, Inc. | 3,458 | 99,538 | |
Makita Corp. | 1,748 | 43,327 | |
Marubeni Corp. | 12,233 | 109,749 | |
Mazda Motor Corp. | 4,510 | 36,813 | |
McDonald's Holdings Co. (Japan), Ltd.(1) | 577 | 21,018 | |
MEIJI Holdings Co., Ltd. | 867 | 42,603 | |
MINEBEA MITSUMI, Inc. | 2,859 | 48,727 | |
MISUMI Group, Inc. | 2,280 | 48,152 | |
Mitsubishi Chemical Holdings Corp. | 8,922 | 48,479 | |
Mitsubishi Corp. | 9,690 | 288,580 | |
Mitsubishi Electric Corp. | 15,060 | 161,882 | |
Mitsubishi Estate Co., Ltd. | 9,168 | 132,875 | |
Mitsubishi HC Capital, Inc. | 5,566 | 25,689 | |
Mitsubishi Heavy Industries, Ltd. | 2,544 | 88,917 | |
Mitsubishi UFJ Financial Group, Inc.(5) | 91,676 | 490,471 | |
Mitsui & Co., Ltd. | 10,675 | 234,578 | |
Mitsui Chemicals, Inc. | 1,475 | 31,461 | |
Mitsui Fudosan Co., Ltd. | 7,031 | 151,060 | |
Mitsui OSK Lines, Ltd.(1) | 2,700 | 62,112 | |
Mizuho Financial Group, Inc. | 18,500 | 210,621 | |
MonotaRO Co., Ltd.(1) | 1,800 | 26,845 | |
MS&AD Insurance Group Holdings, Inc. | 3,328 | 102,048 | |
Murata Manufacturing Co., Ltd. | 4,314 | 234,799 | |
NEC Corp. | 1,855 | 72,376 | |
Nexon Co., Ltd. | 3,850 | 79,059 | |
NGK Insulators, Ltd. | 1,971 | 26,554 | |
Nidec Corp. | 3,528 | 218,619 | |
Nihon M&A Center Holdings, Inc. | 2,400 | 25,584 | |
Nintendo Co., Ltd. | 921 | 396,082 | |
Nippon Building Fund, Inc. | 12 | 59,889 | |
NIPPON EXPRESS HOLDINGS, Inc. | 576 | 31,377 | |
Nippon Paint Holdings Co., Ltd. | 5,790 | 43,322 | |
Nippon Prologis REIT, Inc. | 16 | 39,407 | |
Nippon Sanso Holdings Corp. | 1,324 | 21,199 | |
Nippon Shinyaku Co., Ltd.(1) | 400 | 24,416 | |
Nippon Steel Corp. | 6,475 | 90,618 |
Security | Shares | Value | |
Japan (continued) | |||
Nippon Telegraph & Telephone Corp. | 9,004 | $ 258,713 | |
Nippon Yusen KK | 1,200 | 82,278 | |
Nissan Chemical Corp. | 1,047 | 48,327 | |
Nissan Motor Co., Ltd.(2) | 17,743 | 69,492 | |
Nisshin Seifun Group, Inc. | 1,417 | 16,583 | |
Nissin Foods Holdings Co., Ltd. | 498 | 34,397 | |
Nitori Holdings Co., Ltd. | 616 | 58,620 | |
Nitto Denko Corp. | 1,070 | 69,206 | |
Nomura Holdings, Inc. | 21,957 | 79,772 | |
Nomura Real Estate Holdings, Inc. | 870 | 21,285 | |
Nomura Real Estate Master Fund, Inc. | 30 | 37,473 | |
Nomura Research Institute, Ltd. | 2,400 | 64,408 | |
NTT Data Corp. | 5,030 | 69,780 | |
Obayashi Corp. | 5,320 | 38,694 | |
Obic Co., Ltd. | 560 | 79,635 | |
Odakyu Electric Railway Co., Ltd. | 2,305 | 31,099 | |
Oji Holdings Corp. | 6,573 | 28,476 | |
Olympus Corp. | 9,476 | 192,033 | |
Omron Corp. | 1,463 | 74,462 | |
Ono Pharmaceutical Co., Ltd. | 2,905 | 74,627 | |
Open House Group Co., Ltd. | 600 | 23,883 | |
Oracle Corp. Japan | 289 | 16,830 | |
Oriental Land Co., Ltd. | 1,524 | 212,829 | |
ORIX Corp. | 9,402 | 157,576 | |
Osaka Gas Co., Ltd. | 3,023 | 57,937 | |
Otsuka Corp. | 864 | 25,713 | |
Otsuka Holdings Co., Ltd. | 2,852 | 101,807 | |
Pan Pacific International Holdings Corp. | 3,336 | 53,187 | |
Panasonic Corp. | 16,847 | 136,026 | |
Persol Holdings Co., Ltd. | 1,200 | 21,910 | |
Rakuten Group, Inc.(1) | 6,900 | 31,199 | |
Recruit Holdings Co., Ltd. | 11,057 | 325,633 | |
Renesas Electronics Corp.(2) | 9,900 | 89,589 | |
Resona Holdings, Inc. | 16,411 | 61,386 | |
Ricoh Co., Ltd. | 4,735 | 36,967 | |
Rohm Co., Ltd. | 707 | 49,561 | |
SBI Holdings, Inc. | 1,875 | 36,637 | |
SCSK Corp. | 1,200 | 20,379 | |
Secom Co., Ltd. | 1,648 | 101,755 | |
Seiko Epson Corp. | 2,252 | 31,859 | |
Sekisui Chemical Co., Ltd. | 2,964 | 40,636 | |
Sekisui House, Ltd. | 4,950 | 86,899 | |
Seven & i Holdings Co., Ltd. | 5,726 | 222,171 | |
SG Holdings Co., Ltd. | 2,600 | 43,966 | |
Sharp Corp.(1) | 1,524 | 11,788 | |
Shimadzu Corp. | 1,814 | 57,496 | |
Shimano, Inc. | 550 | 92,651 |
Security | Shares | Value | |
Japan (continued) | |||
Shimizu Corp. | 4,127 | $ 22,799 | |
Shin-Etsu Chemical Co., Ltd. | 2,885 | 324,306 | |
Shionogi & Co., Ltd. | 2,021 | 103,149 | |
Shiseido Co., Ltd. | 3,074 | 123,904 | |
Shizuoka Bank, Ltd. (The) | 3,925 | 23,632 | |
SMC Corp. | 479 | 213,222 | |
SoftBank Corp. | 22,000 | 244,256 | |
SoftBank Group Corp. | 9,284 | 359,834 | |
Sompo Holdings, Inc. | 2,299 | 101,542 | |
Sony Group Corp. | 9,680 | 789,469 | |
Square Enix Holdings Co., Ltd. | 700 | 31,071 | |
Subaru Corp. | 4,728 | 83,631 | |
SUMCO Corp. | 2,700 | 35,113 | |
Sumitomo Chemical Co., Ltd. | 10,634 | 41,618 | |
Sumitomo Corp. | 8,225 | 111,806 | |
Sumitomo Electric Industries, Ltd. | 5,990 | 66,193 | |
Sumitomo Metal Mining Co., Ltd. | 1,920 | 59,528 | |
Sumitomo Mitsui Financial Group, Inc. | 9,997 | 297,162 | |
Sumitomo Mitsui Trust Holdings, Inc. | 2,482 | 76,709 | |
Sumitomo Realty & Development Co., Ltd. | 2,268 | 59,872 | |
Suntory Beverage & Food, Ltd. | 1,117 | 42,181 | |
Suzuki Motor Corp. | 2,778 | 87,335 | |
Sysmex Corp. | 1,293 | 78,020 | |
T&D Holdings, Inc. | 4,306 | 51,545 | |
Taisei Corp. | 1,549 | 48,298 | |
Takeda Pharmaceutical Co., Ltd. | 11,524 | 323,690 | |
TDK Corp. | 2,865 | 88,581 | |
Terumo Corp. | 5,018 | 151,800 | |
TIS, Inc. | 1,900 | 49,990 | |
Tobu Railway Co., Ltd.(1) | 1,573 | 35,906 | |
Toho Co., Ltd. | 856 | 31,009 | |
Tokio Marine Holdings, Inc. | 4,900 | 285,729 | |
Tokyo Electric Power Co. Holdings, Inc.(2) | 11,600 | 48,525 | |
Tokyo Electron, Ltd. | 1,179 | 384,818 | |
Tokyo Gas Co., Ltd. | 2,962 | 61,385 | |
Tokyu Corp.(1) | 3,584 | 42,304 | |
TOPPAN, Inc. | 2,074 | 34,602 | |
Toray Industries, Inc. | 10,262 | 57,763 | |
Toshiba Corp. | 2,974 | 120,834 | |
Tosoh Corp. | 1,600 | 19,902 | |
TOTO, Ltd. | 1,143 | 37,846 | |
Toyota Industries Corp. | 1,161 | 71,990 | |
Toyota Motor Corp. | 81,550 | 1,258,260 | |
Toyota Tsusho Corp. | 1,465 | 47,763 | |
Trend Micro, Inc. | 944 | 46,182 | |
Unicharm Corp. | 3,214 | 107,853 | |
USS Co., Ltd. | 1,635 | 28,338 |
Security | Shares | Value | |
Japan (continued) | |||
Welcia Holdings Co., Ltd. | 800 | $ 16,084 | |
West Japan Railway Co. | 1,778 | 65,410 | |
Yakult Honsha Co., Ltd. | 996 | 57,449 | |
Yamaha Corp. | 1,109 | 45,718 | |
Yamaha Motor Co., Ltd. | 2,354 | 43,226 | |
Yamato Holdings Co., Ltd. | 2,364 | 37,831 | |
Yaskawa Electric Corp. | 1,883 | 60,817 | |
Yokogawa Electric Corp. | 1,628 | 26,932 | |
Z Holdings Corp. | 20,817 | 60,537 | |
ZOZO, Inc. | 1,007 | 18,219 | |
$ 23,423,796 | |||
Netherlands — 5.1% | |||
ABN AMRO Bank NV(3) | 3,112 | $ 34,968 | |
Adyen NV(2)(3) | 166 | 239,560 | |
Aegon NV | 12,975 | 55,879 | |
AerCap Holdings NV(2) | 1,013 | 41,472 | |
Airbus SE | 4,511 | 441,220 | |
Akzo Nobel NV | 1,395 | 91,230 | |
Argenx SE(2) | 357 | 134,572 | |
ASM International NV | 363 | 90,317 | |
ASML Holding NV | 3,123 | 1,475,424 | |
CNH Industrial NV | 7,537 | 87,168 | |
Euronext NV(3) | 670 | 54,949 | |
EXOR NV | 755 | 47,180 | |
Heineken Holding NV | 770 | 55,936 | |
Heineken NV(1) | 1,986 | 180,769 | |
IMCD NV(1) | 446 | 60,984 | |
ING Groep NV | 30,034 | 295,883 | |
JDE Peet's NV | 587 | 16,713 | |
Just Eat Takeaway.com NV(2)(3) | 1,437 | 22,580 | |
Koninklijke Ahold Delhaize NV | 7,912 | 205,941 | |
Koninklijke DSM NV | 1,322 | 189,377 | |
Koninklijke KPN NV | 24,529 | 87,277 | |
Koninklijke Philips NV | 7,012 | 150,397 | |
NN Group NV | 2,075 | 93,983 | |
OCI NV | 827 | 27,205 | |
Prosus NV | 6,332 | 410,020 | |
QIAGEN NV(2) | 1,832 | 86,137 | |
Randstad NV | 975 | 47,122 | |
Stellantis NV | 16,798 | 208,543 | |
STMicroelectronics NV(1) | 5,105 | 161,446 | |
Universal Music Group NV(1) | 5,507 | 110,338 | |
Wolters Kluwer NV | 1,980 | 191,898 | |
$ 5,396,488 |
Security | Shares | Value | |
New Zealand — 0.2% | |||
Auckland International Airport, Ltd.(2) | 8,343 | $ 37,373 | |
Fisher & Paykel Healthcare Corp., Ltd. | 4,305 | 53,631 | |
Mercury NZ, Ltd. | 4,384 | 15,437 | |
Meridian Energy, Ltd. | 9,757 | 28,472 | |
Spark New Zealand, Ltd. | 13,480 | 40,342 | |
Xero, Ltd.(2) | 981 | 52,327 | |
$ 227,582 | |||
Norway — 0.8% | |||
Adevinta ASA(2) | 1,949 | $ 14,348 | |
Aker BP ASA | 2,509 | 86,894 | |
DNB Bank ASA | 6,938 | 125,603 | |
Equinor ASA | 7,435 | 259,075 | |
Gjensidige Forsikring ASA | 1,602 | 32,611 | |
Kongsberg Gruppen ASA | 706 | 25,391 | |
Mowi ASA | 3,437 | 78,596 | |
Norsk Hydro ASA | 9,871 | 55,784 | |
Orkla ASA | 6,067 | 48,601 | |
Salmar ASA | 461 | 32,637 | |
Telenor ASA | 5,236 | 69,970 | |
Yara International ASA | 1,165 | 48,815 | |
$ 878,325 | |||
Portugal — 0.2% | |||
EDP - Energias de Portugal S.A. | 21,198 | $ 98,790 | |
Galp Energia SGPS S.A. | 3,597 | 42,088 | |
Jeronimo Martins SGPS S.A. | 1,901 | 41,211 | |
$ 182,089 | |||
Singapore — 1.4% | |||
Ascendas Real Estate Investment Trust | 23,731 | $ 48,704 | |
CapitaLand Integrated Commercial Trust | 38,366 | 59,974 | |
CapitaLand Investment, Ltd. | 18,048 | 49,674 | |
CDL Hospitality Trusts | 1 | 1 | |
City Developments, Ltd. | 2,171 | 12,751 | |
DBS Group Holdings, Ltd. | 13,948 | 298,451 | |
Genting Singapore, Ltd. | 48,954 | 25,390 | |
Grab Holdings, Ltd.(1)(2) | 8,164 | 20,655 | |
Keppel Corp., Ltd. | 11,828 | 55,256 | |
Mapletree Commercial Trust | 19,300 | 25,437 | |
Mapletree Logistics Trust | 22,400 | 27,107 | |
Oversea-Chinese Banking Corp., Ltd. | 25,536 | 209,473 | |
Sea, Ltd. ADR(2) | 2,748 | 183,731 | |
Singapore Airlines, Ltd.(1)(2) | 9,600 | 35,275 | |
Singapore Exchange, Ltd. | 6,600 | 44,965 | |
Singapore Technologies Engineering, Ltd. | 13,218 | 38,911 | |
Singapore Telecommunications, Ltd. | 61,191 | 111,372 |
Security | Shares | Value | |
Singapore (continued) | |||
United Overseas Bank, Ltd. | 8,814 | $ 166,515 | |
UOL Group, Ltd. | 3,470 | 18,393 | |
Venture Corp., Ltd. | 2,000 | 23,957 | |
Wilmar International, Ltd. | 15,000 | 43,659 | |
$ 1,499,651 | |||
Spain — 2.5% | |||
Acciona S.A. | 193 | $ 35,562 | |
ACS Actividades de Construccion y Servicios S.A.(1) | 1,745 | 42,529 | |
Aena SME S.A.(2)(3) | 544 | 69,415 | |
Amadeus IT Group S.A.(2) | 3,365 | 188,420 | |
Banco Bilbao Vizcaya Argentaria S.A. | 51,543 | 234,138 | |
Banco Santander S.A. | 133,702 | 378,298 | |
CaixaBank S.A. | 34,761 | 121,735 | |
Cellnex Telecom S.A.(3) | 4,167 | 162,172 | |
EDP Renovaveis S.A. | 2,336 | 55,182 | |
Enagas S.A. | 1,961 | 43,370 | |
Endesa S.A.(1) | 2,524 | 47,748 | |
Ferrovial S.A. | 3,579 | 91,063 | |
Grifols S.A.(1) | 2,499 | 47,392 | |
Iberdrola S.A. | 45,560 | 474,343 | |
Industria de Diseno Textil S.A. | 8,506 | 193,303 | |
Naturgy Energy Group S.A. | 1,110 | 32,074 | |
Red Electrica Corp. S.A.(1) | 3,451 | 65,326 | |
Repsol S.A.(1) | 11,183 | 164,860 | |
Siemens Gamesa Renewable Energy S.A.(2) | 1,846 | 34,805 | |
Telefonica S.A.(1) | 41,342 | 211,073 | |
$ 2,692,808 | |||
Sweden — 3.2% | |||
Alfa Laval AB | 2,193 | $ 53,163 | |
Assa Abloy AB, Class B | 7,667 | 163,614 | |
Atlas Copco AB, Class A | 21,284 | 199,219 | |
Atlas Copco AB, Class B | 12,324 | 103,262 | |
Boliden AB | 2,196 | 70,229 | |
Electrolux AB, Class B(1) | 1,958 | 26,446 | |
Embracer Group AB(1)(2) | 4,144 | 31,830 | |
Epiroc AB, Class A | 5,226 | 81,029 | |
Epiroc AB, Class B | 3,387 | 45,899 | |
EQT AB(1) | 2,347 | 48,238 | |
Essity AB, Class B | 4,621 | 120,795 | |
Evolution AB(3) | 1,433 | 131,092 | |
Fastighets AB Balder, Class B(2) | 4,764 | 22,823 | |
Getinge AB, Class B | 1,789 | 41,462 | |
H & M Hennes & Mauritz AB, Class B | 5,338 | 64,070 | |
Hexagon AB, Class B | 14,433 | 150,811 | |
Holmen AB, Class B | 733 | 29,858 |
Security | Shares | Value | |
Sweden (continued) | |||
Husqvarna AB, Class B(1) | 3,160 | $ 23,292 | |
Industrivarden AB, Class A | 1,040 | 23,511 | |
Industrivarden AB, Class C | 1,413 | 31,587 | |
Indutrade AB | 2,126 | 39,008 | |
Investment AB Latour, Class B(1) | 1,245 | 24,729 | |
Investor AB, Class A | 4,231 | 76,204 | |
Investor AB, Class B | 14,006 | 230,984 | |
Kinnevik AB, Class B(2) | 1,801 | 29,151 | |
L E Lundbergforetagen AB, Class B | 593 | 24,181 | |
Lifco AB, Class B(1) | 1,823 | 29,439 | |
Lundin Energy MergerCo AB(1) | 1,471 | 57,089 | |
Nibe Industrier AB, Class B | 11,293 | 85,129 | |
Sagax AB, Class B | 1,260 | 23,360 | |
Sandvik AB | 8,294 | 135,168 | |
Securitas AB, Class B | 2,477 | 21,416 | |
Sinch AB(2)(3) | 3,670 | 11,988 | |
Skandinaviska Enskilda Banken AB, Class A | 12,154 | 119,739 | |
Skanska AB, Class B | 2,734 | 42,064 | |
SKF AB, Class B(1) | 3,034 | 45,013 | |
Svenska Cellulosa AB SCA, Class B | 4,539 | 68,199 | |
Svenska Handelsbanken AB, Class A | 11,498 | 98,698 | |
Swedbank AB, Class A | 6,505 | 82,500 | |
Swedish Match AB | 12,100 | 123,451 | |
Tele2 AB, Class B(1) | 4,405 | 50,230 | |
Telefonaktiebolaget LM Ericsson, Class B | 22,720 | 169,696 | |
Telia Co. AB | 21,130 | 81,099 | |
Volvo AB, Class A | 1,603 | 25,960 | |
Volvo AB, Class B | 11,779 | 183,274 | |
Volvo Car AB, Class B(1)(2) | 4,658 | 30,951 | |
$ 3,370,950 | |||
Switzerland — 10.9% | |||
ABB, Ltd. | 12,747 | $ 341,851 | |
Adecco Group AG | 1,241 | 42,299 | |
Alcon, Inc. | 3,849 | 269,898 | |
Bachem Holding AG | 477 | 33,247 | |
Baloise Holding AG | 374 | 61,221 | |
Barry Callebaut AG | 29 | 64,885 | |
Chocoladefabriken Lindt & Spruengli AG | 1 | 104,959 | |
Chocoladefabriken Lindt & Spruengli AG PC | 7 | 71,274 | |
Cie Financiere Richemont S.A. | 4,024 | 432,834 | |
Clariant AG | 1,727 | 32,931 | |
Coca-Cola HBC AG | 1,588 | 35,383 | |
Credit Suisse Group AG | 19,895 | 113,558 | |
EMS-Chemie Holding AG | 50 | 37,315 | |
Geberit AG | 277 | 133,266 | |
Givaudan S.A. | 72 | 253,779 |
Security | Shares | Value | |
Switzerland (continued) | |||
Glencore PLC | 75,931 | $ 411,275 | |
Holcim Ltd. | 4,249 | 182,238 | |
Julius Baer Group, Ltd. | 1,603 | 74,363 | |
Kuehne + Nagel International AG | 429 | 101,931 | |
Logitech International S.A. | 1,318 | 68,727 | |
Lonza Group AG | 579 | 309,266 | |
Nestle S.A. | 21,650 | 2,530,294 | |
Novartis AG | 16,869 | 1,430,164 | |
Partners Group Holding AG | 176 | 158,945 | |
Roche Holding AG | 225 | 87,075 | |
Roche Holding AG PC | 5,398 | 1,804,550 | |
Schindler Holding AG | 214 | 38,541 | |
Schindler Holding AG PC | 327 | 59,795 | |
SGS S.A. | 50 | 114,684 | |
Sika AG | 1,126 | 259,923 | |
Sonova Holding AG | 406 | 129,750 | |
Straumann Holding AG | 858 | 103,360 | |
Swatch Group AG (The) | 259 | 61,522 | |
Swatch Group AG (The), Bearer Shares | 501 | 22,354 | |
Swiss Life Holding AG | 238 | 116,184 | |
Swiss Prime Site AG | 549 | 48,237 | |
Swiss Re AG | 2,248 | 174,485 | |
Swisscom AG | 199 | 110,071 | |
Temenos AG | 527 | 45,101 | |
UBS Group AG | 26,824 | 433,656 | |
VAT Group AG(3) | 211 | 50,462 | |
Vifor Pharma AG(2) | 343 | 59,435 | |
Zurich Insurance Group AG | 1,154 | 503,229 | |
$ 11,518,317 | |||
United Kingdom — 15.2% | |||
3i Group PLC | 7,126 | $ 96,585 | |
abrdn PLC | 16,252 | 31,723 | |
Admiral Group PLC | 1,328 | 36,361 | |
Anglo American PLC | 9,804 | 350,479 | |
Antofagasta PLC | 3,041 | 42,942 | |
Ashtead Group PLC | 3,288 | 138,321 | |
Associated British Foods PLC | 2,439 | 47,062 | |
AstraZeneca PLC | 11,904 | 1,570,396 | |
Auto Trader Group PLC(3) | 7,242 | 49,047 | |
AVEVA Group PLC | 905 | 24,845 | |
Aviva PLC | 22,211 | 108,795 | |
BAE Systems PLC | 24,501 | 248,048 | |
Barclays PLC | 130,170 | 243,412 | |
Barratt Developments PLC | 8,311 | 46,489 | |
Berkeley Group Holdings PLC | 842 | 38,281 | |
BP PLC | 150,289 | 705,681 |
Security | Shares | Value | |
United Kingdom (continued) | |||
British American Tobacco PLC | 16,643 | $ 713,390 | |
British Land Co. PLC (The) | 7,010 | 38,347 | |
BT Group PLC | 53,043 | 120,554 | |
Bunzl PLC | 2,545 | 84,521 | |
Burberry Group PLC | 3,124 | 62,672 | |
Coca-Cola Europacific Partners PLC | 1,623 | 83,763 | |
Compass Group PLC | 13,723 | 281,752 | |
Croda International PLC | 1,029 | 81,334 | |
Diageo PLC | 17,826 | 769,953 | |
Entain PLC(2) | 4,182 | 63,640 | |
Ferguson PLC | 1,650 | 184,837 | |
GlaxoSmithKline PLC | 38,846 | 837,193 | |
Halma PLC | 2,721 | 66,806 | |
Hargreaves Lansdown PLC | 2,659 | 25,655 | |
Hikma Pharmaceuticals PLC | 1,223 | 24,131 | |
HSBC Holdings PLC | 162,240 | 1,059,836 | |
Imperial Brands PLC | 6,981 | 156,289 | |
Informa PLC(2) | 10,694 | 69,090 | |
InterContinental Hotels Group PLC | 1,394 | 74,088 | |
Intertek Group PLC | 1,145 | 58,853 | |
J Sainsbury PLC | 11,679 | 29,065 | |
JD Sports Fashion PLC | 18,070 | 25,461 | |
Johnson Matthey PLC | 1,407 | 33,178 | |
Kingfisher PLC | 15,641 | 46,743 | |
Land Securities Group PLC | 5,555 | 45,079 | |
Legal & General Group PLC | 45,856 | 134,063 | |
Lloyds Banking Group PLC | 547,829 | 281,862 | |
London Stock Exchange Group PLC | 2,541 | 237,105 | |
M&G PLC | 18,709 | 44,354 | |
Melrose Industries PLC | 33,152 | 60,809 | |
Mondi PLC | 3,457 | 61,362 | |
National Grid PLC | 27,560 | 354,172 | |
Natwest Group PLC | 41,246 | 109,787 | |
Next PLC | 946 | 67,583 | |
Ocado Group PLC(2) | 3,893 | 37,111 | |
Pearson PLC | 4,936 | 45,201 | |
Persimmon PLC | 2,245 | 51,078 | |
Phoenix Group Holdings PLC | 5,688 | 40,979 | |
Prudential PLC | 20,656 | 256,945 | |
Reckitt Benckiser Group PLC | 5,439 | 409,080 | |
RELX PLC | 14,911 | 404,854 | |
Rentokil Initial PLC | 13,829 | 80,166 | |
Rio Tinto PLC | 8,612 | 514,882 | |
Rolls-Royce Holdings PLC(2) | 60,119 | 61,181 | |
Sage Group PLC (The) | 7,606 | 58,899 | |
Schroders PLC | 934 | 30,511 | |
Segro PLC | 8,818 | 105,267 |
Security | Shares | Value | |
United Kingdom (continued) | |||
Severn Trent PLC | 1,999 | $ 66,367 | |
Shell PLC | 59,562 | 1,551,160 | |
Smith & Nephew PLC | 6,612 | 92,467 | |
Smiths Group PLC | 2,736 | 46,788 | |
Spirax-Sarco Engineering PLC | 516 | 62,234 | |
SSE PLC | 7,941 | 156,718 | |
St. James's Place PLC | 3,840 | 51,668 | |
Standard Chartered PLC | 20,402 | 154,023 | |
Taylor Wimpey PLC | 27,593 | 39,305 | |
Tesco PLC | 59,499 | 185,435 | |
Unilever PLC | 19,746 | 900,019 | |
United Utilities Group PLC | 5,449 | 67,831 | |
Vodafone Group PLC | 205,718 | 319,869 | |
Whitbread PLC | 1,488 | 45,123 | |
WPP PLC | 8,399 | 84,840 | |
$ 16,085,795 | |||
Total Common Stocks (identified cost $79,759,055) | $105,154,897 |
Short-Term Investments — 1.0% |
Affiliated Fund — 0.4% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(6) | 384,610 | $ 384,610 | |
Total Affiliated Fund (identified cost $384,610) | $ 384,610 |
Securities Lending Collateral — 0.6% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(7) | 619,522 | $ 619,522 | |
Total Securities Lending Collateral (identified cost $619,522) | $ 619,522 | ||
Total Short-Term Investments (identified cost $1,004,132) | $ 1,004,132 |
Total Investments — 100.5% (identified cost $80,763,187) | $ 106,159,029 | |
Other Assets, Less Liabilities — (0.5)% | $ (481,366) | |
Net Assets — 100.0% | $ 105,677,663 |
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, 2022. The aggregate market value of securities on loan at June 30, 2022 was $1,945,744. |
(2) | Non-income producing security. |
(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, 2022, the aggregate value of these securities is $1,613,618 or 1.5% of the Fund's net assets. |
(4) | Securities are traded on separate exchanges for the same entity. |
(5) | Represents an investment in an issuer that may be deemed to be an affiliate (see Note 8). |
(6) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(7) | Represents investment of cash collateral received in connection with securities lending. |
Economic Sectors | % of Net Assets |
Financials | 17.5% |
Industrials | 14.9 |
Health Care | 13.8 |
Consumer Discretionary | 11.3 |
Consumer Staples | 10.8 |
Information Technology | 7.7 |
Materials | 7.4 |
Communication Services | 5.0 |
Energy | 4.8 |
Utilities | 3.5 |
Real Estate | 2.8 |
Total | 99.5% |
Abbreviations: | |
ADR | – American Depositary Receipt |
CDI | – CHESS Depositary Interest |
PC | – Participation Certificate |
PFC Shares | – Preference Shares |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $79,941,161) - including $1,945,744 of securities on loan | $ 105,283,948 |
Investments in securities of affiliated issuers, at value (identified cost $822,026) | 875,081 |
Cash | 355 |
Cash denominated in foreign currency, at value (cost $361,006) | 361,205 |
Receivable for investments sold | 994 |
Receivable for capital shares sold | 4,873 |
Dividends receivable | 147,469 |
Dividends receivable - affiliated | 157 |
Securities lending income receivable | 1,068 |
Tax reclaims receivable | 285,353 |
Receivable from affiliate | 37,751 |
Directors' deferred compensation plan | 60,643 |
Total assets | $107,058,897 |
Liabilities | |
Payable for investments purchased | $ 534,770 |
Payable for capital shares redeemed | 50,397 |
Deposits for securities loaned | 619,522 |
Payable to affiliates: | |
Investment advisory fee | 26,849 |
Administrative fee | 10,745 |
Distribution and service fees | 4,293 |
Sub-transfer agency fee | 227 |
Directors' deferred compensation plan | 60,643 |
Accrued expenses | 73,788 |
Total liabilities | $ 1,381,234 |
Net Assets | $105,677,663 |
Sources of Net Assets | |
Paid-in capital | $ 81,279,583 |
Distributable earnings | 24,398,080 |
Net Assets | $105,677,663 |
Class I Shares | |
Net Assets | $ 79,789,511 |
Shares Outstanding | 967,601 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 82.46 |
Class F Shares | |
Net Assets | $ 25,888,152 |
Shares Outstanding | 315,454 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 82.07 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $253,226) | $ 2,427,393 |
Dividend income - affiliated issuers (net of foreign taxes withheld of $1,069) | 9,987 |
Securities lending income, net | 8,741 |
Total investment income | $ 2,446,121 |
Expenses | |
Investment advisory fee | $ 176,976 |
Administrative fee | 70,791 |
Distribution and service fees: | |
Class F | 26,924 |
Directors' fees and expenses | 2,736 |
Custodian fees | 16,756 |
Transfer agency fees and expenses | 46,149 |
Accounting fees | 22,375 |
Professional fees | 34,485 |
Reports to shareholders | 414 |
Licensing fees | 24,725 |
Miscellaneous | 18,465 |
Total expenses | $ 440,796 |
Waiver and/or reimbursement of expenses by affiliate | $ (129,429) |
Net expenses | $ 311,367 |
Net investment income | $ 2,134,754 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 505,173 |
Investment securities - affiliated issuers | 7,640 |
Foreign currency transactions | (45,956) |
Net realized gain | $ 466,857 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (27,646,907) |
Investment securities - affiliated issuers | (14,172) |
Foreign currency | (27,477) |
Net change in unrealized appreciation (depreciation) | $(27,688,556) |
Net realized and unrealized loss | $(27,221,699) |
Net decrease in net assets from operations | $(25,086,945) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 2,134,754 | $ 3,265,187 |
Net realized gain | 466,857 | 139,804 |
Net change in unrealized appreciation (depreciation) | (27,688,556) | 9,904,606 |
Net increase (decrease) in net assets from operations | $ (25,086,945) | $ 13,309,597 |
Distributions to shareholders: | ||
Class I | $ — | $ (1,852,955) |
Class F | — | (493,065) |
Total distributions to shareholders | $ — | $ (2,346,020) |
Capital share transactions: | ||
Class I | $ (6,569,940) | $ (8,536,026) |
Class F | 2,250,532 | 8,540,310 |
Net increase (decrease) in net assets from capital share transactions | $ (4,319,408) | $ 4,284 |
Net increase (decrease) in net assets | $ (29,406,353) | $ 10,967,861 |
Net Assets | ||
At beginning of period | $ 135,084,016 | $ 124,116,155 |
At end of period | $105,677,663 | $135,084,016 |
Class I | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $102.12 | $ 93.77 | $ 90.02 | $ 76.31 | $ 91.21 | $ 74.93 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 1.68 | $ 2.53 | $ 1.69 | $ 2.43 | $ 2.36 | $ 2.11 |
Net realized and unrealized gain (loss) | (21.34) | 7.63 | 4.89 | 13.55 | (14.36) | 16.39 |
Total income (loss) from operations | $ (19.66) | $ 10.16 | $ 6.58 | $ 15.98 | $ (12.00) | $ 18.50 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.81) | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) |
Total distributions | $ — | $ (1.81) | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) |
Net asset value — End of period | $ 82.46 | $ 102.12 | $ 93.77 | $ 90.02 | $ 76.31 | $ 91.21 |
Total Return(2) | (19.25)% (3) | 10.88% | 7.78% | 21.26% | (13.58)% | 24.76% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $79,790 | $105,721 | $105,165 | $115,803 | $103,168 | $141,082 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.70% (5) | 0.64% | 0.74% | 0.68% | 0.69% (6) | 0.68% |
Net expenses | 0.48% (5)(7) | 0.48% | 0.48% | 0.48% | 0.49% (6) | 0.48% |
Net investment income | 3.66% (5) | 2.51% | 2.05% | 2.87% | 2.67% | 2.49% |
Portfolio Turnover | 6% (3) | 8% | 9% | 7% | 6% | 3% |
(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%. |
(7) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $101.73 | $ 93.60 | $ 90.04 | $ 76.49 | $ 91.65 | $ 75.47 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 1.60 | $ 2.32 | $ 1.49 | $ 2.14 | $ 2.09 | $ 1.87 |
Net realized and unrealized gain (loss) | (21.26) | 7.62 | 4.90 | 13.68 | (14.35) | 16.53 |
Total income (loss) from operations | $ (19.66) | $ 9.94 | $ 6.39 | $ 15.82 | $(12.26) | $18.40 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.81) | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) |
Total distributions | $ — | $ (1.81) | $ (2.83) | $ (2.27) | $ (2.90) | $ (2.22) |
Net asset value — End of period | $ 82.07 | $101.73 | $ 93.60 | $ 90.04 | $ 76.49 | $91.65 |
Total Return(2) | (19.33)% (3) | 10.66% | 7.56% | 21.00% | (13.80)% | 24.44% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $25,888 | $ 29,363 | $18,951 | $13,038 | $ 7,645 | $ 7,226 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.90% (5) | 0.84% | 0.94% | 0.88% | 0.89% (6) | 0.91% |
Net expenses | 0.68% (5)(7) | 0.68% | 0.68% | 0.69% | 0.74% (6) | 0.73% |
Net investment income | 3.51% (5) | 2.31% | 1.80% | 2.52% | 2.37% | 2.18% |
Portfolio Turnover | 6% (3) | 8% | 9% | 7% | 6% | 3% |
(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%. |
(7) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | ||||
Australia | $ 49,339 | $ 8,037,063 | $ — | $ 8,086,402 |
Austria | — | 188,874 | — | 188,874 |
Belgium | — | 912,695 | — | 912,695 |
Denmark | — | 2,911,386 | — | 2,911,386 |
Finland | — | 1,270,381 | — | 1,270,381 |
France | 6,934 | 11,096,635 | — | 11,103,569 |
Germany | — | 8,129,159 | — | 8,129,159 |
Hong Kong | 21,197 | 3,489,526 | — | 3,510,723 |
Ireland | — | 905,942 | — | 905,942 |
Israel | 271,909 | 546,647 | — | 818,556 |
Italy | — | 2,041,409 | — | 2,041,409 |
Japan | — | 23,423,796 | — | 23,423,796 |
Netherlands | 41,472 | 5,355,016 | — | 5,396,488 |
New Zealand | — | 227,582 | — | 227,582 |
Norway | — | 878,325 | — | 878,325 |
Portugal | — | 182,089 | — | 182,089 |
Singapore | 204,386 | 1,295,265 | — | 1,499,651 |
Spain | — | 2,692,808 | — | 2,692,808 |
Sweden | 57,089 | 3,313,861 | — | 3,370,950 |
Switzerland | — | 11,518,317 | — | 11,518,317 |
United Kingdom | 83,763 | 16,002,032 | — | 16,085,795 |
Total Common Stocks | $ 736,089 | $104,418,808 (1) | $ — | $105,154,897 |
Short-Term Investments: | ||||
Affiliated Fund | $ 384,610 | $ — | $ — | $ 384,610 |
Securities Lending Collateral | 619,522 | — | — | 619,522 |
Total Investments | $1,740,221 | $104,418,808 | $ — | $106,159,029 |
(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 | $ 84,703,201 |
Gross unrealized appreciation | $ 31,720,315 |
Gross unrealized depreciation | (10,264,487) |
Net unrealized appreciation | $ 21,455,828 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $619,522 | $ — | $ — | $ — | $619,522 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Common Stocks | ||||||||
Mitsubishi UFJ Financial Group, Inc. | $517,430 | $ 21,838 | $ (42,212) | $ 7,587 | $ (14,172) | $ 490,471 | $ 9,618 | 91,676 |
Short-Term Investments | ||||||||
Cash Reserves Fund | 340,788 | 2,676,250 | (3,017,091) | 53 | — | — | 48 | — |
Liquidity Fund | — | 2,012,353 | (1,627,743) | — | — | 384,610 | 321 | 384,610 |
Total | $7,640 | $(14,172) | $875,081 | $9,987 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 36,117 | $ 3,428,812 | 55,778 | $ 5,594,467 | |
Reinvestment of distributions | — | — | 18,572 | 1,852,955 | |
Shares redeemed | (103,768) | (9,998,752) | (160,654) | (15,983,448) | |
Net decrease | (67,651) | $(6,569,940) | (86,304) | $ (8,536,026) | |
Class F | |||||
Shares sold | 53,841 | $ 4,877,752 | 128,284 | $ 12,782,333 | |
Reinvestment of distributions | — | — | 4,959 | 493,065 | |
Shares redeemed | (27,021) | (2,627,220) | (47,081) | (4,735,088) | |
Net increase | 26,820 | $ 2,250,532 | 86,162 | $ 8,540,310 |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (9.99)% | (10.16)% | 0.72% | 1.28% |
Class F at NAV | 10/30/2015 | 03/31/2003 | (10.11) | (10.39) | 0.47 | 1.11 |
Bloomberg U.S. Aggregate Bond Index | — | — | (10.35)% | (10.29)% | 0.88% | 1.54% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.46% | 0.71% |
Net | 0.32 | 0.57 |
1 | Bloomberg 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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 900.10 | $1.51 ** | 0.32% |
Class F | $1,000.00 | $ 898.90 | $2.68 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Asset-Backed Securities — 0.0%(1) |
Security | Principal Amount (000's omitted) | Value | |
American Express Credit Account Master Trust, Series 2021-1, Class A, 0.90%, 11/15/26 | $ | 50 | $ 47,151 |
Total Asset-Backed Securities (identified cost $49,993) | $ 47,151 |
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 | $ 421,822 |
Series 2014-GC21, Class A5, 3.855%, 5/10/47 | 645 | 641,073 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A5, 2.85%, 12/10/45 | 370 | 369,312 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-C26, Class A4, 3.166%, 2/15/48 | 1,275 | 1,245,016 | |
Total Commercial Mortgage-Backed Securities (identified cost $2,760,348) | $ 2,677,223 |
Corporate Bonds — 25.4% |
Security | Principal Amount (000's omitted) | Value | |
Basic Materials — 0.4% | |||
Barrick North America Finance, LLC, 5.75%, 5/1/43 | $ | 100 | $ 104,286 |
Dow Chemical Co. (The), 4.375%, 11/15/42 | 100 | 88,272 | |
LYB International Finance BV, 5.25%, 7/15/43 | 100 | 93,630 | |
Reliance Steel & Aluminum Co., 4.50%, 4/15/23(2) | 200 | 200,658 | |
$ 486,846 | |||
Communications — 3.3% | |||
AT&T, Inc.: | |||
4.90%, 6/15/42(2) | $ | 200 | $ 188,627 |
5.45%, 3/1/47 | 1,000 | 1,034,970 | |
Charter Communications Operating, LLC / Charter Communications Operating Capital, 4.908%, 7/23/25 | 500 | 501,839 | |
Comcast Corp.: | |||
2.937%, 11/1/56 | 98 | 68,299 | |
4.00%, 3/1/48 | 50 | 43,573 | |
4.15%, 10/15/28 | 100 | 99,818 | |
Discovery Communications, LLC, 4.125%, 5/15/29 | 200 | 184,682 | |
Motorola Solutions, Inc., 2.30%, 11/15/30 | 250 | 195,854 | |
NBCUniversal Media, LLC, 4.45%, 1/15/43 | 123 | 113,984 | |
T-Mobile USA, Inc., 3.50%, 4/15/25 | 250 | 244,828 | |
Verizon Communications, Inc.: | |||
1.68%, 10/30/30 | 340 | 274,356 |
Security | Principal Amount (000's omitted) | Value | |
Communications (continued) | |||
Verizon Communications, Inc.: (continued) | |||
2.875%, 11/20/50 | $ | 150 | $ 106,664 |
Walt Disney Co. (The), 5.40%, 10/1/43(2) | 100 | 106,081 | |
WPP Finance 2010, 3.75%, 9/19/24 | 1,000 | 977,453 | |
$ 4,141,028 | |||
Consumer, Cyclical — 1.7% | |||
Choice Hotels International, Inc., 3.70%, 1/15/31 | $ | 250 | $ 221,843 |
General Motors Co., 5.00%, 4/1/35 | 1,000 | 892,519 | |
Lowe's Cos., Inc., 3.875%, 9/15/23 | 100 | 100,666 | |
Magallanes, Inc.: | |||
4.279%, 3/15/32(3) | 75 | 67,102 | |
5.141%, 3/15/52(3) | 200 | 168,132 | |
McDonald's Corp., 3.60%, 7/1/30 | 300 | 285,872 | |
Starbucks Corp., 3.75%, 12/1/47(2) | 250 | 203,223 | |
VF Corp., 2.95%, 4/23/30(2) | 225 | 197,435 | |
$ 2,136,792 | |||
Consumer, Non-cyclical — 4.7% | |||
AbbVie, Inc.: | |||
2.90%, 11/6/22 | $ | 200 | $ 200,015 |
3.20%, 11/21/29(2) | 300 | 276,223 | |
Alcon Finance Corp., 3.00%, 9/23/29(3) | 350 | 310,975 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.00%, 1/17/43 | 100 | 82,870 | |
4.625%, 2/1/44 | 1,000 | 898,568 | |
Block Financial, LLC, 3.875%, 8/15/30 | 150 | 135,052 | |
Bunge, Ltd. Finance Corp., 1.63%, 8/17/25 | 250 | 230,575 | |
CVS Health Corp., 4.30%, 3/25/28 | 110 | 108,945 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 57 | 58,155 | |
DENTSPLY SIRONA, Inc., 3.25%, 6/1/30 | 400 | 338,015 | |
Gilead Sciences, Inc., 3.70%, 4/1/24 | 100 | 100,163 | |
Global Payments, Inc., 2.15%, 1/15/27 | 200 | 177,680 | |
Kroger Co. (The): | |||
3.85%, 8/1/23 | 100 | 100,416 | |
3.875%, 10/15/46(2) | 250 | 208,206 | |
Laboratory Corp. of America Holdings: | |||
2.95%, 12/1/29 | 100 | 88,115 | |
4.00%, 11/1/23 | 100 | 100,231 | |
Molson Coors Brewing Co., 5.00%, 5/1/42 | 100 | 92,642 | |
Pfizer, Inc., 4.40%, 5/15/44 | 1,000 | 982,438 | |
Quanta Services, Inc., 2.90%, 10/1/30 | 200 | 164,976 | |
STERIS Irish FinCo Unlimited Co., 3.75%, 3/15/51 | 100 | 77,945 | |
Sysco Corp., 5.95%, 4/1/30 | 250 | 266,813 | |
Takeda Pharmaceutical Co., Ltd., 3.175%, 7/9/50 | 400 | 300,038 | |
Triton Container International, Ltd., 2.05%, 4/15/26(3) | 300 | 265,651 | |
Tyson Foods, Inc., 3.95%, 8/15/24 | 100 | 99,917 | |
Viatris, Inc., 2.30%, 6/22/27 | 250 | 216,185 |
Security | Principal Amount (000's omitted) | Value | |
Consumer, Non-cyclical (continued) | |||
Zoetis, Inc., 4.70%, 2/1/43 | $ | 100 | $ 95,913 |
$ 5,976,722 | |||
Energy — 3.3% | |||
BP Capital Markets America, Inc., 3.633%, 4/6/30 | $ | 200 | $ 189,413 |
Colonial Pipeline Co., 6.58%, 8/28/32(3) | 100 | 110,581 | |
HF Sinclair Corp., 5.875%, 4/1/26(3) | 1,000 | 1,009,889 | |
Shell International Finance BV: | |||
4.125%, 5/11/35 | 1,350 | 1,287,703 | |
4.55%, 8/12/43 | 100 | 95,083 | |
Texas Eastern Transmission, L.P., 2.80%, 10/15/22(3) | 400 | 399,950 | |
TransCanada PipeLines, Ltd., 4.875%, 1/15/26(2) | 1,000 | 1,016,414 | |
TransContinental Gas Pipe Line Co., LLC, 4.45%, 8/1/42(2) | 100 | 88,654 | |
$ 4,197,687 | |||
Financial — 5.5% | |||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/28 | $ | 200 | $ 168,653 |
Bank of America Corp.: | |||
2.592% to 4/29/30, 4/29/31(4) | 500 | 424,501 | |
4.125%, 1/22/24 | 300 | 303,456 | |
4.244% to 4/24/37, 4/24/38(4) | 250 | 229,456 | |
Berkshire Hathaway Finance Corp., 4.30%, 5/15/43 | 1,000 | 930,431 | |
Capital One Bank, 3.375%, 2/15/23 | 200 | 199,900 | |
Citigroup, Inc.: | |||
4.075% to 4/23/28, 4/23/29(4) | 500 | 475,738 | |
5.50%, 9/13/25(2) | 80 | 82,318 | |
Discover Financial Services, 3.85%, 11/21/22 | 200 | 200,522 | |
Excalibur One 77B, LLC, 1.492%, 1/1/25 | 10 | 9,722 | |
Goldman Sachs Group, Inc. (The), 4.00%, 3/3/24 | 500 | 501,998 | |
HSBC Holdings PLC, 2.848% to 6/4/30, 6/4/31(4) | 400 | 338,331 | |
JPMorgan Chase & Co., 3.109% to 4/22/50, 4/22/51(4) | 300 | 220,468 | |
MetLife, Inc., 4.875%, 11/13/43 | 100 | 98,792 | |
Morgan Stanley: | |||
4.10%, 5/22/23(5) | 500 | 502,187 | |
5.00%, 11/24/25(5) | 150 | 152,650 | |
Piedmont Operating Partnership L.P., 3.15%, 8/15/30(2) | 150 | 124,877 | |
PNC Bank N.A., 2.70%, 10/22/29 | 250 | 218,071 | |
Prudential Financial, Inc., 5.10%, 8/15/43 | 1,000 | 965,378 | |
Simon Property Group, L.P., 2.65%, 7/15/30 | 150 | 127,401 | |
US Bancorp, 3.10%, 4/27/26 | 250 | 241,279 | |
Wells Fargo & Co., 3.196% to 6/17/26, 6/17/27(4) | 250 | 237,110 | |
Westpac Banking Corp., 3.35%, 3/8/27(2) | 200 | 193,729 | |
$ 6,946,968 | |||
Industrial — 3.1% | |||
BNSF Funding Trust I, 6.613% to 1/15/26, 12/15/55(4) | $ | 540 | $ 530,222 |
Boeing Co. (The): | |||
2.196%, 2/4/26 | 300 | 270,879 |
Security | Principal Amount (000's omitted) | Value | |
Industrial (continued) | |||
Boeing Co. (The): (continued) | |||
3.20%, 3/1/29 | $ | 150 | $ 129,930 |
4.875%, 5/1/25 | 100 | 99,770 | |
5.15%, 5/1/30 | 100 | 96,072 | |
Carrier Global Corp., 3.577%, 4/5/50 | 375 | 284,625 | |
Cummins, Inc., 4.875%, 10/1/43 | 100 | 100,229 | |
Deere & Co., 6.55%, 10/1/28 | 250 | 282,442 | |
Flex, Ltd.: | |||
4.75%, 6/15/25 | 250 | 252,113 | |
4.875%, 5/12/30 | 250 | 238,248 | |
GATX Corp., 3.25%, 9/15/26 | 400 | 382,922 | |
Kansas City Southern, 4.70%, 5/1/48 | 200 | 189,425 | |
Lennox International, Inc., 1.70%, 8/1/27 | 300 | 262,573 | |
Parker-Hannifin Corp., 3.25%, 3/1/27(2) | 200 | 191,356 | |
Raytheon Technologies Corp., 4.50%, 6/1/42 | 100 | 95,537 | |
Roper Technologies, Inc., 2.95%, 9/15/29 | 250 | 220,758 | |
United Parcel Service, Inc., 6.20%, 1/15/38 | 250 | 292,164 | |
$ 3,919,265 | |||
Technology — 2.0% | |||
Apple, Inc., 3.85%, 5/4/43 | $ | 500 | $ 461,022 |
Broadcom, Inc.: | |||
3.137%, 11/15/35(3) | 500 | 380,384 | |
3.419%, 4/15/33(3) | 200 | 165,604 | |
Dell International, LLC / EMC Corp., 5.30%, 10/1/29 | 250 | 246,700 | |
International Business Machines Corp., 3.625%, 2/12/24 | 100 | 100,296 | |
Kyndryl Holdings, Inc., 2.70%, 10/15/28(2)(3) | 350 | 279,089 | |
NetApp, Inc., 3.25%, 12/15/22 | 100 | 100,066 | |
Oracle Corp.: | |||
2.65%, 7/15/26 | 150 | 138,531 | |
3.60%, 4/1/50 | 400 | 278,601 | |
TSMC Arizona Corp., 4.25%, 4/22/32 | 300 | 296,210 | |
VMware, Inc., 2.20%, 8/15/31 | 200 | 157,694 | |
$ 2,604,197 | |||
Utilities — 1.4% | |||
DTE Electric Co., 2.25%, 3/1/30 | $ | 300 | $ 262,899 |
Duke Energy Corp., 3.15%, 8/15/27 | 500 | 472,703 | |
PacifiCorp, 4.10%, 2/1/42 | 100 | 89,002 | |
Public Service Electric & Gas Co., 3.95%, 5/1/42 | 1,000 | 899,101 | |
$ 1,723,705 | |||
Total Corporate Bonds (identified cost $35,275,880) | $ 32,133,210 |
Sovereign Government Bonds — 0.4% |
Security | Principal Amount (000's omitted) | Value | |
Mexico Government International Bond, 5.55%, 1/21/45(2) | $ | 500 | $ 460,457 |
Province of Quebec Canada, 2.625%, 2/13/23 | 75 | 74,919 | |
Total Sovereign Government Bonds (identified cost $572,685) | $ 535,376 |
Taxable Municipal Obligations — 0.8% |
Security | Principal Amount (000's omitted) | Value | |
General Obligations — 0.8% | |||
New York, NY, 3.60%, 8/1/28 | $ | 1,000 | $ 981,360 |
Total Taxable Municipal Obligations (identified cost $993,711) | $ 981,360 |
U.S. Government Agencies and Instrumentalities — 4.2% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
0.25%, 8/24/23 | $ | 1,000 | $ 969,818 |
0.50%, 4/14/25(2) | 1,000 | 932,464 | |
6.75%, 3/15/31 | 1,300 | 1,630,831 | |
Federal National Mortgage Association: | |||
0.75%, 10/8/27(2) | 350 | 309,765 | |
0.875%, 8/5/30(2) | 1,500 | 1,241,980 | |
2.125%, 4/24/26 | 300 | 289,815 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $5,725,410) | $ 5,374,673 |
U.S. Government Agency Mortgage-Backed Securities — 27.1% |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: | |||
2.00%, with various maturities to 2052 | $ | 7,004 | $ 6,157,409 |
2.50%, with various maturities to 2051 | 2,735 | 2,543,250 | |
3.00%, 1/1/43 | 377 | 360,379 | |
3.50%, with various maturities to 2048 | 499 | 492,311 | |
4.00%, with various maturities to 2048 | 332 | 333,828 | |
4.50%, with various maturities to 2044 | 614 | 634,842 | |
5.00%, with various maturities to 2040 | 470 | 493,422 | |
6.00%, with various maturities to 2040 | 35 | 37,878 |
Security | Principal Amount (000's omitted) | Value | |
Federal Home Loan Mortgage Corp.: (continued) | |||
6.50%, 10/1/37 | $ | 13 | $ 14,167 |
Federal National Mortgage Association: | |||
1.50%, 9/1/35 | 596 | 546,087 | |
1.706%, (12 mo. USD LIBOR + 1.589%), 9/1/38(6) | 45 | 45,802 | |
2.00%, with various maturities to 2051 | 5,019 | 4,493,936 | |
2.50%, with various maturities to 2051 | 3,777 | 3,494,309 | |
3.00%, with various maturities to 2052 | 4,453 | 4,226,349 | |
3.50%, with various maturities to 2052 | 3,632 | 3,545,784 | |
4.00%, with various maturities to 2047 | 1,342 | 1,350,041 | |
4.50%, with various maturities to 2044 | 1,020 | 1,052,310 | |
5.00%, with various maturities to 2034 | 50 | 51,500 | |
5.50%, with various maturities to 2038 | 224 | 238,569 | |
6.00%, with various maturities to 2038 | 211 | 231,123 | |
6.50%, with various maturities to 2036 | 36 | 39,077 | |
Government National Mortgage Association: | |||
2.50%, with various maturities to 2051 | 2,654 | 2,445,993 | |
3.00%, 3/20/51 | 392 | 371,778 | |
4.00%, with various maturities to 2042 | 611 | 616,765 | |
4.50%, 7/20/33 | 58 | 59,422 | |
5.00%, with various maturities to 2039 | 237 | 250,095 | |
5.50%, 7/20/34 | 30 | 32,146 | |
6.00%, with various maturities to 2038 | 162 | 176,683 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $37,584,552) | $ 34,335,255 |
U.S. Treasury Obligations — 38.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bonds: | |||
1.125%, 8/15/40 | $ | 500 | $ 345,645 |
1.375%, 8/15/50 | 1,000 | 658,691 | |
1.875%, 2/15/51 | 1,150 | 863,174 | |
2.00%, 8/15/51 | 350 | 270,662 | |
2.25%, 8/15/49 | 650 | 533,635 | |
2.50%, 2/15/45 | 1,000 | 848,906 | |
3.00%, 5/15/47 | 1,000 | 935,469 | |
3.125%, 11/15/41 | 1,000 | 960,664 | |
3.125%, 8/15/44 | 1,600 | 1,517,000 | |
3.125%, 5/15/48 | 750 | 726,182 | |
3.75%, 11/15/43 | 1,400 | 1,465,680 | |
3.875%, 8/15/40 | 500 | 539,355 | |
4.375%, 5/15/41 | 700 | 802,348 | |
6.25%, 8/15/23 | 1,000 | 1,038,398 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: | |||
0.125%, 2/28/23 | $ | 950 | $ 933,888 |
0.125%, 8/15/23 | 1,500 | 1,453,301 | |
0.375%, 4/30/25 | 800 | 742,578 | |
0.375%, 11/30/25 | 2,000 | 1,827,187 | |
0.375%, 1/31/26 | 1,500 | 1,364,092 | |
0.375%, 7/31/27 | 300 | 262,295 | |
0.50%, 8/31/27 | 750 | 658,315 | |
0.625%, 5/15/30 | 300 | 250,242 | |
0.625%, 8/15/30 | 1,000 | 829,297 | |
0.875%, 11/15/30 | 250 | 211,143 | |
1.125%, 2/29/28 | 500 | 449,688 | |
1.125%, 2/15/31 | 1,100 | 945,398 | |
1.25%, 4/30/28 | 1,000 | 902,187 | |
1.25%, 8/15/31 | 1,300 | 1,119,422 | |
1.50%, 2/15/30 | 1,400 | 1,257,703 | |
1.625%, 11/15/22 | 2,500 | 2,493,601 | |
1.625%, 9/30/26 | 800 | 754,844 | |
1.875%, 7/31/22 | 1,250 | 1,250,754 | |
1.875%, 7/31/26 | 1,500 | 1,433,115 | |
2.00%, 2/15/25 | 1,500 | 1,461,855 | |
2.125%, 9/30/24 | 2,750 | 2,699,458 | |
2.25%, 11/15/24 | 2,000 | 1,966,758 | |
2.25%, 3/31/26 | 1,000 | 971,875 | |
2.25%, 2/15/27 | 2,100 | 2,025,270 | |
2.25%, 11/15/27 | 2,000 | 1,917,891 | |
2.625%, 6/30/23 | 600 | 598,435 | |
2.625%, 2/15/29 | 1,000 | 973,867 | |
2.75%, 11/15/23 | 1,300 | 1,296,496 | |
2.75%, 2/15/24 | 3,000 | 2,990,391 | |
3.125%, 11/15/28 | 1,150 | 1,152,650 | |
Total U.S. Treasury Obligations (identified cost $51,443,092) | $ 48,699,805 |
Short-Term Investments — 3.7% | |||
Affiliated Fund — 1.1% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(7) | 1,367,305 | $ 1,367,305 | |
Total Affiliated Fund (identified cost $1,367,305) | $ 1,367,305 | ||
Securities Lending Collateral — 2.6% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(8) | 3,262,038 | $ 3,262,038 | |
Total Securities Lending Collateral (identified cost $3,262,038) | $ 3,262,038 | ||
Total Short-Term Investments (identified cost $4,629,343) | $ 4,629,343 | ||
Total Investments — 102.2% (identified cost $139,035,014) | $129,413,396 | ||
Other Assets, Less Liabilities — (2.2)% | $ (2,739,688) | ||
Net Assets — 100.0% | $ 126,673,708 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Amount is less than 0.05%. |
(2) | All or a portion of this security was on loan at June 30, 2022. The aggregate market value of securities on loan at June 30, 2022 was $4,117,292. |
(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, 2022, the aggregate value of these securities is $3,157,357 or 2.5% of the Fund's net assets. |
(4) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(5) | Represents an investment in an issuer that is deemed to be an affiliate (see Note 8). |
(6) | 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, 2022. |
(7) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(8) | 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, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $137,016,021) - including $4,117,292 of securities on loan | $ 127,391,254 |
Investments in securities of affiliated issuers, at value (identified cost $2,018,993) | 2,022,142 |
Receivable for capital shares sold | 253 |
Interest receivable | 792,426 |
Dividends and interest receivable - affiliated | 4,175 |
Securities lending income receivable | 1,155 |
Receivable from affiliate | 37,117 |
Directors' deferred compensation plan | 70,103 |
Total assets | $130,318,625 |
Liabilities | |
Payable for capital shares redeemed | $ 242,334 |
Deposits for securities loaned | 3,262,038 |
Payable to affiliates: | |
Investment advisory fee | 20,892 |
Administrative fee | 12,626 |
Distribution and service fees | 983 |
Sub-transfer agency fee | 214 |
Directors' deferred compensation plan | 70,103 |
Accrued expenses | 35,727 |
Total liabilities | $ 3,644,917 |
Net Assets | $126,673,708 |
Sources of Net Assets | |
Paid-in capital | $ 133,052,233 |
Accumulated loss | (6,378,525) |
Net Assets | $126,673,708 |
Class I Shares | |
Net Assets | $ 121,868,078 |
Shares Outstanding | 2,433,531 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 50.08 |
Class F Shares | |
Net Assets | $ 4,805,630 |
Shares Outstanding | 97,885 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 49.09 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income - affiliated issuers | $ 2,520 |
Interest income | 1,703,186 |
Interest income - affiliated issuers | 13,787 |
Securities lending income, net | 3,836 |
Total investment income | $ 1,723,329 |
Expenses | |
Investment advisory fee | $ 136,448 |
Administrative fee | 81,869 |
Distribution and service fees: | |
Class F | 6,139 |
Directors' fees and expenses | 3,323 |
Custodian fees | 3,449 |
Transfer agency fees and expenses | 54,471 |
Accounting fees | 16,103 |
Professional fees | 17,026 |
Reports to shareholders | 1,053 |
Miscellaneous | 7,007 |
Total expenses | $ 326,888 |
Waiver and/or reimbursement of expenses by affiliate | $ (102,785) |
Net expenses | $ 224,103 |
Net investment income | $ 1,499,226 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 71,622 |
Investment securities - affiliated issuers | 25 |
Net realized gain | $ 71,647 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (16,271,548) |
Investment securities - affiliated issuers | (33,974) |
Net change in unrealized appreciation (depreciation) | $(16,305,522) |
Net realized and unrealized loss | $(16,233,875) |
Net decrease in net assets from operations | $(14,734,649) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 1,499,226 | $ 2,989,356 |
Net realized gain | 71,647 | 392,599 |
Net change in unrealized appreciation (depreciation) | (16,305,522) | (6,064,596) |
Net decrease in net assets from operations | $ (14,734,649) | $ (2,682,641) |
Distributions to shareholders: | ||
Class I | $ — | $ (3,494,727) |
Class F | — | (125,002) |
Total distributions to shareholders | $ — | $ (3,619,729) |
Capital share transactions: | ||
Class I | $ (9,250,940) | $ 7,347,013 |
Class F | (77,459) | 1,653,286 |
Net increase (decrease) in net assets from capital share transactions | $ (9,328,399) | $ 9,000,299 |
Net increase (decrease) in net assets | $ (24,063,048) | $ 2,697,929 |
Net Assets | ||
At beginning of period | $ 150,736,756 | $ 148,038,827 |
At end of period | $126,673,708 | $150,736,756 |
Class I | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 55.64 | $ 58.07 | $ 55.68 | $ 53.01 | $ 54.93 | $ 54.60 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.57 | $ 1.14 | $ 1.34 | $ 1.50 | $ 1.50 | $ 1.44 |
Net realized and unrealized gain (loss) | (6.13) | (2.20) | 2.74 | 2.96 | (1.73) | 0.46 |
Total income (loss) from operations | $ (5.56) | $ (1.06) | $ 4.08 | $ 4.46 | $ (0.23) | $ 1.90 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.37) | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) |
Total distributions | $ — | $ (1.37) | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) |
Net asset value — End of period | $ 50.08 | $ 55.64 | $ 58.07 | $ 55.68 | $ 53.01 | $ 54.93 |
Total Return(2) | (9.99)% (3) | (1.82)% | 7.34% | 8.41% | (0.37)% | 3.49% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $121,868 | $145,323 | $144,073 | $140,169 | $139,729 | $166,650 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.47% (5) | 0.46% | 0.47% | 0.43% | 0.44% | 0.45% |
Net expenses | 0.32% (5)(6) | 0.32% | 0.32% | 0.32% | 0.32% | 0.32% |
Net investment income | 2.21% (5) | 2.00% | 2.30% | 2.71% | 2.81% | 2.60% |
Portfolio Turnover | 3% (3) | 15% | 23% | 10% | 7% | 14% |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 54.61 | $ 57.17 | $ 54.97 | $ 52.48 | $ 54.53 | $ 54.36 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.50 | $ 0.98 | $ 1.15 | $ 1.33 | $ 1.36 | $ 1.30 |
Net realized and unrealized gain (loss) | (6.02) | (2.17) | 2.74 | 2.95 | (1.72) | 0.44 |
Total income (loss) from operations | $ (5.52) | $ (1.19) | $ 3.89 | $ 4.28 | $ (0.36) | $ 1.74 |
Less Distributions | ||||||
From net investment income | $ — | $ (1.37) | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) |
Total distributions | $ — | $ (1.37) | $ (1.69) | $ (1.79) | $ (1.69) | $ (1.57) |
Net asset value — End of period | $ 49.09 | $54.61 | $57.17 | $54.97 | $52.48 | $54.53 |
Total Return(2) | (10.11)% (3) | (2.08)% | 7.09% | 8.15% | (0.61)% | 3.21% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 4,806 | $ 5,413 | $ 3,966 | $ 1,265 | $ 461 | $ 495 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.72% (5) | 0.71% | 0.72% | 0.68% | 0.69% | 1.21% |
Net expenses | 0.57% (5)(6) | 0.57% | 0.57% | 0.57% | 0.57% | 0.57% |
Net investment income | 1.97% (5) | 1.75% | 2.00% | 2.42% | 2.57% | 2.37% |
Portfolio Turnover | 3% (3) | 15% | 23% | 10% | 7% | 14% |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 47,151 | $ — | $ 47,151 |
Commercial Mortgage-Backed Securities | — | 2,677,223 | — | 2,677,223 |
Corporate Bonds | — | 32,133,210 | — | 32,133,210 |
Sovereign Government Bonds | — | 535,376 | — | 535,376 |
Taxable Municipal Obligations | — | 981,360 | — | 981,360 |
U.S. Government Agencies and Instrumentalities | — | 5,374,673 | — | 5,374,673 |
U.S. Government Agency Mortgage-Backed Securities | — | 34,335,255 | — | 34,335,255 |
U.S. Treasury Obligations | — | 48,699,805 | — | 48,699,805 |
Short-Term Investments: | ||||
Affiliated Fund | 1,367,305 | — | — | 1,367,305 |
Securities Lending Collateral | 3,262,038 | — | — | 3,262,038 |
Total Investments | $4,629,343 | $124,784,053 | $ — | $129,413,396 |
Aggregate cost | $139,342,172 |
Gross unrealized appreciation | $ 379,518 |
Gross unrealized depreciation | (10,308,294) |
Net unrealized depreciation | $ (9,928,776) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Corporate Bonds | $ 798,718 | $ — | $ — | $ — | $ 798,718 |
U.S. Government Agencies and Instrumentalities | 2,463,320 | — | — | — | 2,463,320 |
Total | $3,262,038 | $ — | $ — | $ — | $3,262,038 |
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/Shares, end of period |
Corporate Bonds | ||||||||
Morgan Stanley: | ||||||||
4.10%, 5/22/23 | $ 520,950 | $ — | $ — | $ — | $ (18,780) | $ 502,187 | $ 10,267 | $ 500,000 |
5.00%, 11/24/25 | 168,074 | — | — | — | (15,194) | 152,650 | 3,520 | 150,000 |
Short-Term Investments | ||||||||
Cash Reserves Fund | 1,429,356 | 7,590,918 | (9,020,299) | 25 | — | — | 362 | — |
Liquidity Fund | — | 8,143,053 | (6,775,748) | — | — | 1,367,305 | 2,158 | 1,367,305 |
Total | $ 25 | $(33,974) | $2,022,142 | $16,307 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 49,912 | $ 2,625,364 | 315,318 | $ 17,883,244 | |
Reinvestment of distributions | — | — | 62,765 | 3,494,727 | |
Shares redeemed | (228,290) | (11,876,304) | (246,990) | (14,030,958) | |
Net increase (decrease) | (178,378) | $ (9,250,940) | 131,093 | $ 7,347,013 | |
Class F | |||||
Shares sold | 9,971 | $ 511,333 | 35,869 | $ 2,000,582 | |
Reinvestment of distributions | — | — | 2,286 | 125,002 | |
Shares redeemed | (11,206) | (588,792) | (8,397) | (472,298) | |
Net increase (decrease) | (1,235) | $ (77,459) | 29,758 | $ 1,653,286 |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (29.35)% | (20.71)% | 15.82% | 16.62% |
Class F at NAV | 10/30/2015 | 04/27/2000 | (29.44) | (20.91) | 15.53 | 16.43 |
NASDAQ-100 ® Index | — | — | (29.22)% | (20.38)% | 16.36% | 17.26% |
% Total Annual Operating Expense Ratios3 | Class I | Class F |
Gross | 0.59% | 0.84% |
Net | 0.48 | 0.73 |
Top 10 Holdings (% of net assets)* | |
Apple, Inc. | 12.1% |
Microsoft Corp. | 10.5 |
Amazon.com, Inc. | 5.9 |
Tesla, Inc. | 3.8 |
Alphabet, Inc., Class C | 3.7 |
Alphabet, Inc., Class A | 3.6 |
Meta Platforms, Inc., Class A | 3.0 |
NVIDIA Corp. | 2.9 |
Invesco QQQ TM Trust, Series 1 | 2.3 |
PepsiCo, Inc. | 2.1 |
Total | 49.9% |
* | Excludes cash and cash equivalents. |
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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class I | $1,000.00 | $ 706.50 | $2.03 ** | 0.48% |
Class F | $1,000.00 | $ 705.60 | $3.09 ** | 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 | $1,021.17 | $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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 95.8% |
Security | Shares | Value | |
Automobiles — 4.1% | |||
Lucid Group, Inc.(1)(2) | 36,695 | $ 629,686 | |
Tesla, Inc.(1) | 13,739 | 9,252,118 | |
$ 9,881,804 | |||
Beverages — 3.0% | |||
Keurig Dr Pepper, Inc. | 31,210 | $ 1,104,522 | |
Monster Beverage Corp.(1) | 11,654 | 1,080,325 | |
PepsiCo, Inc. | 30,421 | 5,069,964 | |
$ 7,254,811 | |||
Biotechnology — 4.2% | |||
Amgen, Inc. | 11,753 | $ 2,859,505 | |
Biogen, Inc.(1) | 3,209 | 654,444 | |
Gilead Sciences, Inc. | 27,597 | 1,705,771 | |
Moderna, Inc.(1) | 8,751 | 1,250,080 | |
Regeneron Pharmaceuticals, Inc.(1) | 2,377 | 1,405,116 | |
Seagen, Inc.(1) | 4,050 | 716,607 | |
Vertex Pharmaceuticals, Inc.(1) | 5,627 | 1,585,632 | |
$ 10,177,155 | |||
Commercial Services & Supplies — 0.6% | |||
Cintas Corp. | 2,252 | $ 841,190 | |
Copart, Inc.(1) | 5,182 | 563,076 | |
$ 1,404,266 | |||
Communications Equipment — 1.6% | |||
Cisco Systems, Inc. | 91,031 | $ 3,881,562 | |
$ 3,881,562 | |||
Electric Utilities — 1.4% | |||
American Electric Power Co., Inc. | 11,299 | $ 1,084,026 | |
Constellation Energy Corp. | 7,124 | 407,920 | |
Exelon Corp. | 21,566 | 977,371 | |
Xcel Energy, Inc. | 11,925 | 843,813 | |
$ 3,313,130 | |||
Entertainment — 1.7% | |||
Activision Blizzard, Inc. | 17,203 | $ 1,339,426 | |
Electronic Arts, Inc. | 6,179 | 751,675 | |
NetEase, Inc. ADR | 3,997 | 373,160 | |
Netflix, Inc.(1) | 9,775 | 1,709,354 | |
$ 4,173,615 |
Security | Shares | Value | |
Food & Staples Retailing — 2.2% | |||
Costco Wholesale Corp. | 9,752 | $ 4,673,938 | |
Walgreens Boots Alliance, Inc. | 18,911 | 716,727 | |
$ 5,390,665 | |||
Food Products — 1.2% | |||
Kraft Heinz Co. (The) | 26,742 | $ 1,019,940 | |
Mondelez International, Inc., Class A | 30,476 | 1,892,255 | |
$ 2,912,195 | |||
Health Care Equipment & Supplies — 1.3% | |||
Align Technology, Inc.(1) | 1,723 | $ 407,782 | |
DexCom, Inc.(1) | 8,636 | 643,641 | |
IDEXX Laboratories, Inc.(1) | 1,852 | 649,552 | |
Intuitive Surgical, Inc.(1) | 7,898 | 1,585,208 | |
$ 3,286,183 | |||
Hotels, Restaurants & Leisure — 2.1% | |||
Airbnb, Inc.(1) | 8,410 | $ 749,163 | |
Booking Holdings, Inc.(1) | 897 | 1,568,844 | |
Marriott International, Inc., Class A | 7,201 | 979,408 | |
Starbucks Corp. | 25,207 | 1,925,563 | |
$ 5,222,978 | |||
Industrial Conglomerates — 1.1% | |||
Honeywell International, Inc. | 14,977 | $ 2,603,152 | |
$ 2,603,152 | |||
Interactive Media & Services — 10.8% | |||
Alphabet, Inc., Class A(1) | 3,989 | $ 8,693,068 | |
Alphabet, Inc., Class C(1) | 4,156 | 9,091,042 | |
Baidu, Inc. ADR(1) | 4,755 | 707,211 | |
Match Group, Inc.(1) | 6,249 | 435,493 | |
Meta Platforms, Inc., Class A(1) | 45,544 | 7,343,970 | |
$ 26,270,784 | |||
Internet & Direct Marketing Retail — 6.9% | |||
Amazon.com, Inc.(1) | 134,927 | $ 14,330,597 | |
eBay, Inc. | 12,317 | 513,249 | |
JD.com, Inc. ADR | 11,150 | 716,053 | |
MercadoLibre, Inc.(1) | 1,102 | 701,831 | |
Pinduoduo, Inc. ADR(1) | 9,697 | 599,274 | |
$ 16,861,004 | |||
IT Services — 3.0% | |||
Automatic Data Processing, Inc. | 9,206 | $ 1,933,628 | |
Cognizant Technology Solutions Corp., Class A | 11,475 | 774,448 |
Security | Shares | Value | |
IT Services (continued) | |||
Fiserv, Inc.(1) | 14,292 | $ 1,271,559 | |
Okta, Inc.(1) | 3,317 | 299,857 | |
Paychex, Inc. | 7,943 | 904,470 | |
PayPal Holdings, Inc.(1) | 25,529 | 1,782,945 | |
VeriSign, Inc.(1) | 2,427 | 406,110 | |
$ 7,373,017 | |||
Life Sciences Tools & Services — 0.3% | |||
Illumina, Inc.(1) | 3,440 | $ 634,198 | |
$ 634,198 | |||
Machinery — 0.3% | |||
PACCAR, Inc. | 7,585 | $ 624,549 | |
$ 624,549 | |||
Media — 2.5% | |||
Charter Communications, Inc., Class A(1) | 3,693 | $ 1,730,281 | |
Comcast Corp., Class A | 98,360 | 3,859,647 | |
Sirius XM Holdings, Inc.(2) | 86,748 | 531,765 | |
$ 6,121,693 | |||
Multiline Retail — 0.3% | |||
Dollar Tree, Inc.(1) | 4,915 | $ 766,003 | |
$ 766,003 | |||
Pharmaceuticals — 0.3% | |||
AstraZeneca PLC | 12,714 | $ 840,014 | |
$ 840,014 | |||
Professional Services — 0.2% | |||
Verisk Analytics, Inc. | 3,476 | $ 601,661 | |
$ 601,661 | |||
Road & Rail — 0.8% | |||
CSX Corp. | 48,064 | $ 1,396,740 | |
Old Dominion Freight Line, Inc. | 2,500 | 640,700 | |
$ 2,037,440 | |||
Semiconductors & Semiconductor Equipment — 14.2% | |||
Advanced Micro Devices, Inc.(1) | 35,661 | $ 2,726,997 | |
Analog Devices, Inc. | 11,467 | 1,675,214 | |
Applied Materials, Inc. | 19,140 | 1,741,357 | |
ASML Holding NV-NY Shares | 1,885 | 897,034 | |
Broadcom, Inc. | 8,976 | 4,360,630 | |
Intel Corp. | 89,965 | 3,365,591 | |
KLA Corp. | 3,283 | 1,047,540 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Lam Research Corp. | 3,057 | $ 1,302,740 | |
Marvell Technology, Inc. | 18,699 | 813,967 | |
Microchip Technology, Inc. | 12,122 | 704,046 | |
Micron Technology, Inc. | 24,538 | 1,356,461 | |
NVIDIA Corp. | 46,658 | 7,072,886 | |
NXP Semiconductors NV | 5,753 | 851,617 | |
QUALCOMM, Inc. | 24,638 | 3,147,258 | |
Skyworks Solutions, Inc. | 3,540 | 327,946 | |
Texas Instruments, Inc. | 20,288 | 3,117,251 | |
$ 34,508,535 | |||
Software — 16.9% | |||
Adobe, Inc.(1) | 10,396 | $ 3,805,560 | |
ANSYS, Inc.(1) | 1,906 | 456,087 | |
Atlassian Corp. PLC, Class A(1) | 3,146 | 589,560 | |
Autodesk, Inc.(1) | 4,803 | 825,924 | |
Cadence Design Systems, Inc.(1) | 6,055 | 908,432 | |
CrowdStrike Holdings, Inc., Class A(1) | 4,694 | 791,221 | |
Datadog, Inc.(1) | 6,229 | 593,250 | |
DocuSign, Inc.(1) | 4,298 | 246,619 | |
Fortinet, Inc.(1) | 17,620 | 996,940 | |
Intuit, Inc. | 6,205 | 2,391,655 | |
Microsoft Corp. | 99,183 | 25,473,170 | |
Palo Alto Networks, Inc.(1) | 2,192 | 1,082,716 | |
Splunk, Inc.(1) | 3,496 | 309,256 | |
Synopsys, Inc.(1) | 3,355 | 1,018,913 | |
Workday, Inc., Class A(1) | 4,378 | 611,081 | |
Zoom Video Communications, Inc., Class A(1) | 5,538 | 597,938 | |
Zscaler, Inc.(1) | 3,060 | 457,501 | |
$ 41,155,823 | |||
Specialty Retail — 0.6% | |||
O'Reilly Automotive, Inc.(1) | 1,445 | $ 912,893 | |
Ross Stores, Inc. | 7,764 | 545,266 | |
$ 1,458,159 | |||
Technology Hardware, Storage & Peripherals — 12.1% | |||
Apple, Inc. | 214,639 | $ 29,345,444 | |
$ 29,345,444 | |||
Textiles, Apparel & Luxury Goods — 0.3% | |||
lululemon Athletica, Inc.(1) | 2,722 | $ 742,044 | |
$ 742,044 |
Security | Shares | Value | |
Trading Companies & Distributors — 0.3% | |||
Fastenal Co. | 12,566 | $ 627,295 | |
$ 627,295 | |||
Wireless Telecommunication Services — 1.5% | |||
T-Mobile US, Inc.(1) | 27,581 | $ 3,710,748 | |
$ 3,710,748 | |||
Total Common Stocks (identified cost $89,946,993) | $233,179,927 |
Exchange-Traded Funds — 2.3% |
Security | Shares | Value | |
Equity Funds — 2.3% | |||
Invesco QQQ TM Trust, Series 1(2) | 20,000 | $ 5,605,600 | |
Total Exchange-Traded Funds (identified cost $5,891,875) | $ 5,605,600 |
Short-Term Investments — 4.8% | |||
Affiliated Fund — 1.7% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(3) | 4,213,220 | $ 4,213,220 | |
Total Affiliated Fund (identified cost $4,213,220) | $ 4,213,220 | ||
Securities Lending Collateral — 2.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(4) | 6,913,672 | $ 6,913,672 | |
Total Securities Lending Collateral (identified cost $6,913,672) | $ 6,913,672 |
U.S. Treasury Obligations — 0.2% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 1/26/23(5) | $ | 500 | $ 492,946 |
Total U.S. Treasury Obligations (identified cost $497,843) | $ 492,946 | ||
Total Short-Term Investments (identified cost $11,624,735) | $ 11,619,838 | ||
Total Investments — 102.9% (identified cost $107,463,603) | $250,405,365 |
Other Assets, Less Liabilities — (2.9)% | $ (6,976,194) | ||
Net Assets — 100.0% | $ 243,429,171 |
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, 2022. The aggregate market value of securities on loan at June 30, 2022 was $6,699,377. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(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 | 15 | Long | 9/16/22 | $3,458,850 | $ (334,350) |
$(334,350) |
Abbreviations: | |
ADR | – American Depositary Receipt |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $103,250,383) - including $6,699,377 of securities on loan | $ 246,192,145 |
Investments in securities of affiliated issuers, at value (identified cost $4,213,220) | 4,213,220 |
Cash | 4 |
Receivable for capital shares sold | 113,084 |
Dividends receivable | 53,031 |
Dividends receivable - affiliated | 3,498 |
Securities lending income receivable | 8,202 |
Receivable from affiliate | 67,943 |
Directors' deferred compensation plan | 75,575 |
Total assets | $250,726,702 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 48,412 |
Payable for capital shares redeemed | 34,332 |
Deposits for securities loaned | 6,913,672 |
Payable to affiliates: | |
Investment advisory fee | 61,653 |
Administrative fee | 24,872 |
Distribution and service fees | 9,355 |
Sub-transfer agency fee | 75 |
Directors' deferred compensation plan | 75,575 |
Accrued expenses | 129,585 |
Total liabilities | $ 7,297,531 |
Net Assets | $243,429,171 |
Sources of Net Assets | |
Paid-in capital | $ 88,663,417 |
Distributable earnings | 154,765,754 |
Net Assets | $243,429,171 |
Class I Shares | |
Net Assets | $ 198,430,815 |
Shares Outstanding | 1,914,532 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 103.64 |
Class F Shares | |
Net Assets | $ 44,998,356 |
Shares Outstanding | 442,809 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 101.62 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $2,528) | $ 1,158,966 |
Dividend income - affiliated issuers | 8,447 |
Interest income | 1,573 |
Securities lending income, net | 41,259 |
Total investment income | $ 1,210,245 |
Expenses | |
Investment advisory fee | $ 426,232 |
Administrative fee | 170,493 |
Distribution and service fees: | |
Class F | 59,205 |
Directors' fees and expenses | 6,532 |
Custodian fees | 4,312 |
Transfer agency fees and expenses | 165,199 |
Accounting fees | 31,959 |
Professional fees | 16,439 |
Reports to shareholders | 592 |
Miscellaneous | 51,369 |
Total expenses | $ 932,332 |
Waiver and/or reimbursement of expenses by affiliate | $ (192,377) |
Net expenses | $ 739,955 |
Net investment income | $ 470,290 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ (207,735) |
Investment securities - affiliated issuers | 198 |
Futures contracts | (1,403,135) |
Net realized loss | $ (1,610,672) |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (98,679,928) |
Investment securities - affiliated issuers | (83) |
Futures contracts | (422,910) |
Net change in unrealized appreciation (depreciation) | $ (99,102,921) |
Net realized and unrealized loss | $(100,713,593) |
Net decrease in net assets from operations | $(100,243,303) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 470,290 | $ 499,475 |
Net realized gain (loss) | (1,610,672) | 12,904,389 |
Net change in unrealized appreciation (depreciation) | (99,102,921) | 58,153,969 |
Net increase (decrease) in net assets from operations | $(100,243,303) | $ 71,557,833 |
Distributions to shareholders: | ||
Class I | $ — | $ (15,076,297) |
Class F | — | (2,504,367) |
Total distributions to shareholders | $ — | $ (17,580,664) |
Capital share transactions: | ||
Class I | $ (5,978,747) | $ 2,803,161 |
Class F | 8,967,012 | 23,094,605 |
Net increase in net assets from capital share transactions | $ 2,988,265 | $ 25,897,766 |
Net increase (decrease) in net assets | $ (97,255,038) | $ 79,874,935 |
Net Assets | ||
At beginning of period | $ 340,684,209 | $ 260,809,274 |
At end of period | $ 243,429,171 | $340,684,209 |
Class I | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 146.70 | $ 122.67 | $ 86.05 | $ 63.98 | $ 65.60 | $ 50.26 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.23 | $ 0.27 | $ 0.42 | $ 0.44 | $ 0.41 | $ 0.40 |
Net realized and unrealized gain (loss) | (43.29) | 31.85 | 40.48 | 24.00 | (0.46) | 15.82 |
Total income (loss) from operations | $ (43.06) | $ 32.12 | $ 40.90 | $ 24.44 | $ (0.05) | $ 16.22 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.39) | $ (0.49) | $ (0.41) | $ (0.40) | $ (0.30) |
From net realized gain | — | (7.70) | (3.79) | (1.96) | (1.17) | (0.58) |
Total distributions | $ — | $ (8.09) | $ (4.28) | $ (2.37) | $ (1.57) | $ (0.88) |
Net asset value — End of period | $ 103.64 | $ 146.70 | $ 122.67 | $ 86.05 | $ 63.98 | $ 65.60 |
Total Return(2) | (29.35)% (3) | 26.87% | 48.22% | 38.77% | (0.47)% | 32.35% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $198,431 | $287,931 | $237,710 | $176,210 | $130,777 | $133,473 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.62% (5) | 0.59% | 0.60% | 0.59% | 0.60% | 0.60% |
Net expenses | 0.48% (5)(6) | 0.48% | 0.48% | 0.48% | 0.48% | 0.48% |
Net investment income | 0.37% (5) | 0.20% | 0.42% | 0.58% | 0.58% | 0.67% |
Portfolio Turnover | 1% (3) | 8% | 12% | 8% | 7% | 3% |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 144.01 | $ 120.85 | $ 85.03 | $ 63.40 | $ 65.18 | $ 50.07 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $ 0.08 | $ (0.07) | $ 0.16 | $ 0.25 | $ 0.23 | $ 0.23 |
Net realized and unrealized gain (loss) | (42.47) | 31.32 | 39.94 | 23.75 | (0.44) | 15.76 |
Total income (loss) from operations | $ (42.39) | $ 31.25 | $ 40.10 | $24.00 | $ (0.21) | $15.99 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.39) | $ (0.49) | $ (0.41) | $ (0.40) | $ (0.30) |
From net realized gain | — | (7.70) | (3.79) | (1.96) | (1.17) | (0.58) |
Total distributions | $ — | $ (8.09) | $ (4.28) | $ (2.37) | $ (1.57) | $ (0.88) |
Net asset value — End of period | $101.62 | $144.01 | $120.85 | $85.03 | $63.40 | $65.18 |
Total Return(2) | (29.44)% (3) | 26.55% | 47.86% | 38.44% | (0.72)% | 32.01% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $ 44,998 | $ 52,753 | $ 23,099 | $ 5,669 | $ 1,770 | $ 1,942 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.87% (5) | 0.84% | 0.85% | 0.84% | 0.84% | 1.01% |
Net expenses | 0.73% (5)(6) | 0.73% | 0.73% | 0.73% | 0.73% | 0.73% |
Net investment income (loss) | 0.13% (5) | (0.05)% | 0.16% | 0.32% | 0.33% | 0.39% |
Portfolio Turnover | 1% (3) | 8% | 12% | 8% | 7% | 3% |
(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 a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 233,179,927(1) | $ — | $ — | $ 233,179,927 |
Exchange-Traded Funds | 5,605,600 | — | — | 5,605,600 |
Short-Term Investments: | ||||
Affiliated Fund | 4,213,220 | — | — | 4,213,220 |
Securities Lending Collateral | 6,913,672 | — | — | 6,913,672 |
U.S. Treasury Obligations | — | 492,946 | — | 492,946 |
Total Investments | $249,912,419 | $492,946 | $ — | $250,405,365 |
Liability Description | ||||
Futures Contracts | $ (334,350) | $ — | $ — | $ (334,350) |
Total | $ (334,350) | $ — | $ — | $ (334,350) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $107,486,731 |
Gross unrealized appreciation | $ 151,793,511 |
Gross unrealized depreciation | (9,209,227) |
Net unrealized appreciation | $142,584,284 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $ — | $(334,350) (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 | $ (1,403,135) | $ (422,910) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $6,913,672 | $ — | $ — | $ — | $6,913,672 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $6,793,210 | $ 5,251,931 | $(12,045,256) | $ 198 | $ (83) | $ — | $ 1,431 | — |
Liquidity Fund | — | 16,261,524 | (12,048,304) | — | — | 4,213,220 | 7,016 | 4,213,220 |
Total | $ 198 | $ (83) | $4,213,220 | $8,447 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 62,673 | $ 7,676,359 | 151,653 | $ 20,354,884 | |
Reinvestment of distributions | — | — | 113,552 | 15,076,297 | |
Shares redeemed | (110,878) | (13,655,106) | (240,249) | (32,628,020) | |
Net increase (decrease) | (48,205) | $ (5,978,747) | 24,956 | $ 2,803,161 | |
Class F | |||||
Shares sold | 81,563 | $ 9,589,976 | 168,919 | $ 22,240,160 | |
Reinvestment of distributions | — | — | 19,204 | 2,504,367 | |
Shares redeemed | (5,062) | (622,964) | (12,953) | (1,649,922) | |
Net increase | 76,501 | $ 8,967,012 | 175,170 | $ 23,094,605 |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (20.07)% | (10.86)% | 11.00% | 12.58% |
S&P 500® Index | — | — | (19.96)% | (10.62)% | 11.30% | 12.95% |
% Total Annual Operating Expense Ratios3 | |
Gross | 0.43% |
Net | 0.28 |
Top 10 Holdings (% of net assets)* | |
Apple, Inc. | 6.3% |
Microsoft Corp. | 5.8 |
Amazon.com, Inc. | 2.8 |
Alphabet, Inc., Class A | 2.0 |
Alphabet, Inc., Class C | 1.8 |
Tesla, Inc. | 1.7 |
Berkshire Hathaway, Inc., Class B | 1.5 |
UnitedHealth Group, Inc. | 1.4 |
Johnson & Johnson | 1.4 |
NVIDIA Corp. | 1.1 |
Total | 25.8% |
* | 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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
$1,000.00 | $ 799.30 | $1.25 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Common Stocks — 95.7% |
Security | Shares | Value | |
Aerospace & Defense — 1.6% | |||
Boeing Co. (The)(1) | 6,991 | $ 955,810 | |
General Dynamics Corp. | 2,940 | 650,475 | |
Howmet Aerospace, Inc. | 4,842 | 152,281 | |
Huntington Ingalls Industries, Inc. | 562 | 122,415 | |
L3Harris Technologies, Inc. | 2,414 | 583,464 | |
Lockheed Martin Corp. | 2,964 | 1,274,401 | |
Northrop Grumman Corp. | 1,828 | 874,826 | |
Raytheon Technologies Corp. | 18,610 | 1,788,607 | |
Textron, Inc. | 2,890 | 176,492 | |
TransDigm Group, Inc.(1) | 672 | 360,642 | |
$ 6,939,413 | |||
Air Freight & Logistics — 0.7% | |||
C.H. Robinson Worldwide, Inc. | 1,658 | $ 168,071 | |
Expeditors International of Washington, Inc. | 2,161 | 210,611 | |
FedEx Corp. | 2,984 | 676,503 | |
United Parcel Service, Inc., Class B | 9,190 | 1,677,543 | |
$ 2,732,728 | |||
Airlines — 0.2% | |||
Alaska Air Group, Inc.(1) | 1,813 | $ 72,611 | |
American Airlines Group, Inc.(1) | 8,946 | 113,435 | |
Delta Air Lines, Inc.(1) | 8,165 | 236,540 | |
Southwest Airlines Co.(1) | 7,557 | 272,959 | |
United Airlines Holdings, Inc.(1) | 4,451 | 157,654 | |
$ 853,199 | |||
Auto Components — 0.1% | |||
Aptiv PLC(1) | 3,546 | $ 315,842 | |
BorgWarner, Inc. | 3,308 | 110,388 | |
$ 426,230 | |||
Automobiles — 2.0% | |||
Ford Motor Co. | 50,179 | $ 558,492 | |
General Motors Co.(1) | 18,536 | 588,704 | |
Tesla, Inc.(1) | 10,595 | 7,134,885 | |
$ 8,282,081 | |||
Banks — 3.5% | |||
Bank of America Corp. | 89,460 | $ 2,784,890 | |
Citigroup, Inc. | 24,300 | 1,117,557 | |
Citizens Financial Group, Inc. | 6,337 | 226,167 | |
Comerica, Inc. | 1,732 | 127,094 | |
Fifth Third Bancorp | 8,964 | 301,190 |
Security | Shares | Value | |
Banks (continued) | |||
First Republic Bank | 2,287 | $ 329,785 | |
Huntington Bancshares, Inc. | 18,963 | 228,125 | |
JPMorgan Chase & Co. | 37,032 | 4,170,173 | |
KeyCorp | 12,206 | 210,309 | |
M&T Bank Corp. | 2,245 | 357,831 | |
PNC Financial Services Group, Inc. (The) | 5,175 | 816,460 | |
Regions Financial Corp. | 12,017 | 225,319 | |
Signature Bank | 795 | 142,472 | |
SVB Financial Group(1) | 769 | 303,747 | |
Truist Financial Corp. | 16,660 | 790,184 | |
U.S. Bancorp | 17,228 | 792,833 | |
Wells Fargo & Co. | 47,430 | 1,857,833 | |
Zions Bancorp NA | 1,934 | 98,441 | |
$ 14,880,410 | |||
Beverages — 1.8% | |||
Brown-Forman Corp., Class B | 2,396 | $ 168,104 | |
Coca-Cola Co. (The) | 48,821 | 3,071,329 | |
Constellation Brands, Inc., Class A | 2,037 | 474,743 | |
Keurig Dr Pepper, Inc. | 9,230 | 326,650 | |
Molson Coors Beverage Co., Class B | 2,573 | 140,254 | |
Monster Beverage Corp.(1) | 4,706 | 436,246 | |
PepsiCo, Inc. | 17,302 | 2,883,551 | |
$ 7,500,877 | |||
Biotechnology — 2.1% | |||
AbbVie, Inc. | 22,112 | $ 3,386,674 | |
Amgen, Inc. | 6,685 | 1,626,460 | |
Biogen, Inc.(1) | 1,833 | 373,822 | |
Gilead Sciences, Inc. | 15,696 | 970,170 | |
Incyte Corp.(1) | 2,461 | 186,962 | |
Moderna, Inc.(1) | 4,330 | 618,541 | |
Regeneron Pharmaceuticals, Inc.(1) | 1,361 | 804,528 | |
Vertex Pharmaceuticals, Inc.(1) | 3,248 | 915,254 | |
$ 8,882,411 | |||
Building Products — 0.4% | |||
A.O. Smith Corp. | 1,837 | $ 100,447 | |
Allegion PLC | 1,256 | 122,962 | |
Carrier Global Corp. | 10,914 | 389,193 | |
Fortune Brands Home & Security, Inc. | 1,732 | 103,712 | |
Johnson Controls International PLC | 8,963 | 429,149 | |
Masco Corp. | 3,200 | 161,920 | |
Trane Technologies PLC | 2,979 | 386,883 | |
$ 1,694,266 |
Security | Shares | Value | |
Capital Markets — 2.8% | |||
Ameriprise Financial, Inc. | 1,375 | $ 326,810 | |
Bank of New York Mellon Corp. (The) | 9,438 | 393,659 | |
BlackRock, Inc. | 1,782 | 1,085,309 | |
Cboe Global Markets, Inc. | 1,329 | 150,429 | |
Charles Schwab Corp. (The) | 18,872 | 1,192,333 | |
CME Group, Inc. | 4,498 | 920,741 | |
FactSet Research Systems, Inc. | 493 | 189,593 | |
Franklin Resources, Inc. | 3,777 | 88,042 | |
Goldman Sachs Group, Inc. (The) | 4,331 | 1,286,394 | |
Intercontinental Exchange, Inc. | 6,986 | 656,963 | |
Invesco, Ltd. | 4,598 | 74,166 | |
MarketAxess Holdings, Inc. | 519 | 132,869 | |
Moody's Corp. | 2,063 | 561,074 | |
Morgan Stanley(2) | 17,511 | 1,331,887 | |
MSCI, Inc. | 1,037 | 427,400 | |
Nasdaq, Inc. | 1,493 | 227,742 | |
Northern Trust Corp. | 2,650 | 255,672 | |
Raymond James Financial, Inc. | 2,384 | 213,153 | |
S&P Global, Inc. | 4,343 | 1,463,852 | |
State Street Corp. | 4,669 | 287,844 | |
T. Rowe Price Group, Inc. | 2,946 | 334,695 | |
$ 11,600,627 | |||
Chemicals — 1.7% | |||
Air Products & Chemicals, Inc. | 2,828 | $ 680,077 | |
Albemarle Corp. | 1,492 | 311,798 | |
Celanese Corp. | 1,427 | 167,829 | |
CF Industries Holdings, Inc. | 2,736 | 234,557 | |
Corteva, Inc. | 9,275 | 502,149 | |
Dow, Inc. | 9,111 | 470,219 | |
DuPont de Nemours, Inc. | 6,543 | 363,660 | |
Eastman Chemical Co. | 1,646 | 147,761 | |
Ecolab, Inc. | 3,110 | 478,194 | |
FMC Corp. | 1,617 | 173,035 | |
International Flavors & Fragrances, Inc. | 3,247 | 386,783 | |
Linde PLC | 6,298 | 1,810,864 | |
LyondellBasell Industries NV, Class A | 3,354 | 293,341 | |
Mosaic Co. (The) | 4,721 | 222,973 | |
PPG Industries, Inc. | 2,956 | 337,989 | |
Sherwin-Williams Co. (The) | 2,995 | 670,610 | |
$ 7,251,839 | |||
Commercial Services & Supplies — 0.4% | |||
Cintas Corp. | 1,088 | $ 406,401 | |
Copart, Inc.(1) | 2,675 | 290,666 | |
Republic Services, Inc. | 2,609 | 341,440 |
Security | Shares | Value | |
Commercial Services & Supplies (continued) | |||
Rollins, Inc. | 2,835 | $ 98,998 | |
Waste Management, Inc. | 4,780 | 731,244 | |
$ 1,868,749 | |||
Communications Equipment — 0.8% | |||
Arista Networks, Inc.(1) | 2,862 | $ 268,284 | |
Cisco Systems, Inc. | 52,432 | 2,235,700 | |
F5, Inc.(1) | 853 | 130,543 | |
Juniper Networks, Inc. | 4,542 | 129,447 | |
Motorola Solutions, Inc. | 2,093 | 438,693 | |
$ 3,202,667 | |||
Construction & Engineering — 0.1% | |||
Quanta Services, Inc. | 1,915 | $ 240,026 | |
$ 240,026 | |||
Construction Materials — 0.1% | |||
Martin Marietta Materials, Inc. | 796 | $ 238,195 | |
Vulcan Materials Co. | 1,693 | 240,575 | |
$ 478,770 | |||
Consumer Finance — 0.5% | |||
American Express Co. | 7,633 | $ 1,058,087 | |
Capital One Financial Corp. | 4,918 | 512,406 | |
Discover Financial Services | 3,674 | 347,487 | |
Synchrony Financial | 6,650 | 183,673 | |
$ 2,101,653 | |||
Containers & Packaging — 0.3% | |||
Amcor PLC | 19,311 | $ 240,036 | |
Avery Dennison Corp. | 1,056 | 170,935 | |
Ball Corp. | 4,002 | 275,217 | |
International Paper Co. | 4,940 | 206,640 | |
Packaging Corp. of America | 1,173 | 161,287 | |
Sealed Air Corp. | 2,076 | 119,827 | |
WestRock Co. | 3,189 | 127,050 | |
$ 1,300,992 | |||
Distributors — 0.1% | |||
Genuine Parts Co. | 1,867 | $ 248,311 | |
LKQ Corp. | 3,516 | 172,600 | |
Pool Corp. | 526 | 184,747 | |
$ 605,658 |
Security | Shares | Value | |
Diversified Financial Services — 1.5% | |||
Berkshire Hathaway, Inc., Class B(1) | 22,772 | $ 6,217,211 | |
$ 6,217,211 | |||
Diversified Telecommunication Services — 1.1% | |||
AT&T, Inc. | 89,583 | $ 1,877,659 | |
Lumen Technologies, Inc. | 12,081 | 131,804 | |
Verizon Communications, Inc. | 52,996 | 2,689,547 | |
$ 4,699,010 | |||
Electric Utilities — 1.9% | |||
Alliant Energy Corp. | 3,139 | $ 183,977 | |
American Electric Power Co., Inc. | 6,425 | 616,415 | |
Constellation Energy Corp. | 4,275 | 244,787 | |
Duke Energy Corp. | 9,634 | 1,032,861 | |
Edison International | 4,847 | 306,524 | |
Entergy Corp. | 2,564 | 288,809 | |
Evergy, Inc. | 2,872 | 187,398 | |
Eversource Energy | 4,507 | 380,706 | |
Exelon Corp. | 12,266 | 555,895 | |
FirstEnergy Corp. | 7,518 | 288,616 | |
NextEra Energy, Inc. | 24,582 | 1,904,122 | |
NRG Energy, Inc. | 3,343 | 127,602 | |
Pinnacle West Capital Corp. | 1,540 | 112,605 | |
PPL Corp. | 9,209 | 249,840 | |
Southern Co. (The) | 13,520 | 964,111 | |
Xcel Energy, Inc. | 6,815 | 482,229 | |
$ 7,926,497 | |||
Electrical Equipment — 0.5% | |||
AMETEK, Inc. | 2,889 | $ 317,473 | |
Eaton Corp. PLC | 5,085 | 640,659 | |
Emerson Electric Co. | 7,578 | 602,754 | |
Generac Holdings, Inc.(1) | 805 | 169,517 | |
Rockwell Automation, Inc. | 1,520 | 302,951 | |
$ 2,033,354 | |||
Electronic Equipment, Instruments & Components — 0.6% | |||
Amphenol Corp., Class A | 7,472 | $ 481,047 | |
CDW Corp. | 1,779 | 280,299 | |
Corning, Inc. | 9,530 | 300,290 | |
Keysight Technologies, Inc.(1) | 2,277 | 313,885 | |
TE Connectivity, Ltd. | 4,153 | 469,912 | |
Teledyne Technologies, Inc.(1) | 595 | 223,190 | |
Trimble, Inc.(1) | 3,202 | 186,453 | |
Zebra Technologies Corp., Class A(1) | 701 | 206,059 | |
$ 2,461,135 |
Security | Shares | Value | |
Energy Equipment & Services — 0.3% | |||
Baker Hughes Co. | 11,632 | $ 335,816 | |
Halliburton Co. | 11,463 | 359,480 | |
Schlumberger NV | 17,903 | 640,211 | |
$ 1,335,507 | |||
Entertainment — 1.2% | |||
Activision Blizzard, Inc. | 9,939 | $ 773,851 | |
Electronic Arts, Inc. | 3,588 | 436,480 | |
Live Nation Entertainment, Inc.(1) | 1,774 | 146,497 | |
Netflix, Inc.(1) | 5,559 | 972,102 | |
Take-Two Interactive Software, Inc.(1) | 2,042 | 250,206 | |
Walt Disney Co. (The)(1) | 23,005 | 2,171,672 | |
Warner Bros Discovery, Inc.(1) | 28,504 | 382,524 | |
$ 5,133,332 | |||
Equity Real Estate Investment Trusts (REITs) — 2.7% | |||
Alexandria Real Estate Equities, Inc. | 1,874 | $ 271,786 | |
American Tower Corp. | 5,815 | 1,486,256 | |
AvalonBay Communities, Inc. | 1,750 | 339,937 | |
Boston Properties, Inc. | 1,813 | 161,321 | |
Camden Property Trust | 1,285 | 172,807 | |
Crown Castle International Corp. | 5,514 | 928,447 | |
Digital Realty Trust, Inc. | 3,562 | 462,454 | |
Duke Realty Corp. | 4,811 | 264,364 | |
Equinix, Inc. | 1,149 | 754,916 | |
Equity Residential | 4,359 | 314,807 | |
Essex Property Trust, Inc. | 832 | 217,576 | |
Extra Space Storage, Inc. | 1,755 | 298,561 | |
Federal Realty OP L.P. | 971 | 92,964 | |
Healthpeak Properties, Inc. | 6,880 | 178,261 | |
Host Hotels & Resorts, Inc. | 9,109 | 142,829 | |
Iron Mountain, Inc. | 3,944 | 192,033 | |
Kimco Realty Corp. | 8,523 | 168,500 | |
Mid-America Apartment Communities, Inc. | 1,471 | 256,940 | |
Prologis, Inc. | 9,263 | 1,089,792 | |
Public Storage | 1,946 | 608,456 | |
Realty Income Corp. | 7,407 | 505,602 | |
Regency Centers Corp. | 2,158 | 127,991 | |
SBA Communications Corp. | 1,349 | 431,747 | |
Simon Property Group, Inc. | 4,109 | 390,026 | |
UDR, Inc. | 3,758 | 173,018 | |
Ventas, Inc. | 5,125 | 263,579 | |
VICI Properties, Inc. | 12,050 | 358,969 | |
Vornado Realty Trust | 2,028 | 57,981 | |
Welltower, Inc. | 5,553 | 457,290 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) (continued) | |||
Weyerhaeuser Co. | 9,533 | $ 315,733 | |
$ 11,484,943 | |||
Food & Staples Retailing — 1.4% | |||
Costco Wholesale Corp. | 5,596 | $ 2,682,051 | |
Kroger Co. (The) | 8,209 | 388,532 | |
Sysco Corp. | 6,474 | 548,413 | |
Walgreens Boots Alliance, Inc. | 8,971 | 340,001 | |
Walmart, Inc. | 17,568 | 2,135,917 | |
$ 6,094,914 | |||
Food Products — 1.1% | |||
Archer-Daniels-Midland Co. | 7,138 | $ 553,909 | |
Campbell Soup Co. | 2,841 | 136,510 | |
Conagra Brands, Inc. | 6,120 | 209,549 | |
General Mills, Inc. | 7,695 | 580,588 | |
Hershey Co. (The) | 1,827 | 393,097 | |
Hormel Foods Corp. | 3,699 | 175,185 | |
JM Smucker Co. (The) | 1,382 | 176,910 | |
Kellogg Co. | 3,171 | 226,219 | |
Kraft Heinz Co. (The) | 9,057 | 345,434 | |
Lamb Weston Holdings, Inc. | 1,808 | 129,200 | |
McCormick & Co., Inc. | 3,186 | 265,234 | |
Mondelez International, Inc., Class A | 17,317 | 1,075,212 | |
Tyson Foods, Inc., Class A | 3,648 | 313,947 | |
$ 4,580,994 | |||
Gas Utilities — 0.0%(3) | |||
Atmos Energy Corp. | 1,785 | $ 200,099 | |
$ 200,099 | |||
Health Care Equipment & Supplies — 2.6% | |||
Abbott Laboratories | 21,910 | $ 2,380,521 | |
ABIOMED, Inc.(1) | 596 | 147,516 | |
Align Technology, Inc.(1) | 961 | 227,440 | |
Baxter International, Inc. | 6,387 | 410,237 | |
Becton, Dickinson and Co. | 3,567 | 879,373 | |
Boston Scientific Corp.(1) | 18,179 | 677,531 | |
Cooper Cos., Inc. (The) | 663 | 207,599 | |
DENTSPLY SIRONA, Inc. | 3,032 | 108,333 | |
DexCom, Inc.(1) | 4,944 | 368,476 | |
Edwards Lifesciences Corp.(1) | 7,780 | 739,800 | |
Hologic, Inc.(1) | 3,189 | 220,998 | |
IDEXX Laboratories, Inc.(1) | 1,082 | 379,490 | |
Intuitive Surgical, Inc.(1) | 4,564 | 916,040 | |
Medtronic PLC | 16,787 | 1,506,633 |
Security | Shares | Value | |
Health Care Equipment & Supplies (continued) | |||
ResMed, Inc. | 1,831 | $ 383,833 | |
STERIS PLC | 1,277 | 263,254 | |
Stryker Corp. | 4,283 | 852,017 | |
Teleflex, Inc. | 638 | 156,852 | |
Zimmer Biomet Holdings, Inc. | 2,665 | 279,985 | |
$ 11,105,928 | |||
Health Care Providers & Services — 3.3% | |||
AmerisourceBergen Corp. | 1,921 | $ 271,783 | |
Anthem, Inc. | 3,017 | 1,455,944 | |
Cardinal Health, Inc. | 3,534 | 184,722 | |
Centene Corp.(1) | 7,444 | 629,837 | |
Cigna Corp. | 3,970 | 1,046,174 | |
CVS Health Corp. | 16,409 | 1,520,458 | |
DaVita, Inc.(1) | 786 | 62,849 | |
HCA Healthcare, Inc. | 2,847 | 478,467 | |
Henry Schein, Inc.(1) | 1,922 | 147,494 | |
Humana, Inc. | 1,583 | 740,955 | |
Laboratory Corp. of America Holdings | 1,188 | 278,420 | |
McKesson Corp. | 1,819 | 593,376 | |
Molina Healthcare, Inc.(1) | 745 | 208,309 | |
Quest Diagnostics, Inc. | 1,518 | 201,864 | |
UnitedHealth Group, Inc. | 11,740 | 6,030,016 | |
Universal Health Services, Inc., Class B | 933 | 93,962 | |
$ 13,944,630 | |||
Hotels, Restaurants & Leisure — 1.8% | |||
Booking Holdings, Inc.(1) | 508 | $ 888,487 | |
Caesars Entertainment, Inc.(1) | 2,882 | 110,381 | |
Carnival Corp.(1)(4) | 10,821 | 93,602 | |
Chipotle Mexican Grill, Inc.(1) | 359 | 469,306 | |
Darden Restaurants, Inc. | 1,629 | 184,272 | |
Domino's Pizza, Inc. | 451 | 175,759 | |
Expedia Group, Inc.(1) | 1,930 | 183,022 | |
Hilton Worldwide Holdings, Inc. | 3,483 | 388,145 | |
Las Vegas Sands Corp.(1) | 4,722 | 158,612 | |
Marriott International, Inc., Class A | 3,490 | 474,675 | |
McDonald's Corp. | 9,334 | 2,304,378 | |
MGM Resorts International | 4,425 | 128,104 | |
Norwegian Cruise Line Holdings, Ltd.(1) | 5,240 | 58,269 | |
Penn National Gaming, Inc.(1) | 2,057 | 62,574 | |
Royal Caribbean Cruises, Ltd.(1) | 3,030 | 105,777 | |
Starbucks Corp. | 14,351 | 1,096,273 | |
Wynn Resorts, Ltd.(1)(4) | 1,413 | 80,513 | |
Yum! Brands, Inc. | 3,687 | 418,511 | |
$ 7,380,660 |
Security | Shares | Value | |
Household Durables — 0.3% | |||
D.R. Horton, Inc. | 4,114 | $ 272,306 | |
Garmin, Ltd. | 2,068 | 203,181 | |
Lennar Corp., Class A | 3,334 | 235,280 | |
Mohawk Industries, Inc.(1) | 700 | 86,863 | |
Newell Brands, Inc. | 5,171 | 98,456 | |
NVR, Inc.(1) | 39 | 156,161 | |
PulteGroup, Inc. | 3,172 | 125,706 | |
Whirlpool Corp. | 796 | 123,277 | |
$ 1,301,230 | |||
Household Products — 1.5% | |||
Church & Dwight Co., Inc. | 3,201 | $ 296,605 | |
Clorox Co. (The) | 1,570 | 221,339 | |
Colgate-Palmolive Co. | 10,485 | 840,268 | |
Kimberly-Clark Corp. | 4,216 | 569,792 | |
Procter & Gamble Co. (The) | 30,283 | 4,354,392 | |
$ 6,282,396 | |||
Independent Power and Renewable Electricity Producers — 0.0%(3) | |||
AES Corp. (The) | 9,101 | $ 191,212 | |
$ 191,212 | |||
Industrial Conglomerates — 0.8% | |||
3M Co. | 7,121 | $ 921,529 | |
General Electric Co. | 13,773 | 876,927 | |
Honeywell International, Inc. | 8,518 | 1,480,513 | |
$ 3,278,969 | |||
Insurance — 2.1% | |||
Aflac, Inc. | 7,654 | $ 423,496 | |
Allstate Corp. (The) | 3,441 | 436,078 | |
American International Group, Inc. | 9,913 | 506,852 | |
Aon PLC, Class A | 2,658 | 716,809 | |
Arthur J. Gallagher & Co. | 2,659 | 433,523 | |
Assurant, Inc. | 747 | 129,119 | |
Brown & Brown, Inc. | 3,148 | 183,654 | |
Chubb, Ltd. | 5,302 | 1,042,267 | |
Cincinnati Financial Corp. | 1,912 | 227,490 | |
Everest Re Group, Ltd. | 548 | 153,593 | |
Globe Life, Inc. | 1,226 | 119,498 | |
Hartford Financial Services Group, Inc. (The) | 4,272 | 279,517 | |
Lincoln National Corp. | 2,227 | 104,157 | |
Loews Corp. | 2,433 | 144,180 | |
Marsh & McLennan Cos., Inc. | 6,281 | 975,125 | |
MetLife, Inc. | 8,650 | 543,134 | |
Principal Financial Group, Inc. | 2,941 | 196,429 |
Security | Shares | Value | |
Insurance (continued) | |||
Progressive Corp. (The) | 7,455 | $ 866,793 | |
Prudential Financial, Inc. | 4,692 | 448,931 | |
Travelers Cos., Inc. (The) | 3,077 | 520,413 | |
W.R. Berkley Corp. | 2,622 | 178,978 | |
Willis Towers Watson PLC | 1,395 | 275,359 | |
$ 8,905,395 | |||
Interactive Media & Services — 5.0% | |||
Alphabet, Inc., Class A(1) | 3,796 | $ 8,272,471 | |
Alphabet, Inc., Class C(1) | 3,482 | 7,616,701 | |
Match Group, Inc.(1) | 3,728 | 259,804 | |
Meta Platforms, Inc., Class A(1) | 28,934 | 4,665,607 | |
Twitter, Inc.(1) | 9,545 | 356,888 | |
$ 21,171,471 | |||
Internet & Direct Marketing Retail — 2.9% | |||
Amazon.com, Inc.(1) | 110,515 | $ 11,737,798 | |
eBay, Inc. | 7,005 | 291,898 | |
Etsy, Inc.(1) | 1,617 | 118,381 | |
$ 12,148,077 | |||
IT Services — 4.2% | |||
Accenture PLC, Class A | 7,996 | $ 2,220,089 | |
Akamai Technologies, Inc.(1) | 2,073 | 189,327 | |
Automatic Data Processing, Inc. | 5,227 | 1,097,879 | |
Broadridge Financial Solutions, Inc. | 1,467 | 209,121 | |
Cognizant Technology Solutions Corp., Class A | 6,701 | 452,251 | |
DXC Technology Co.(1) | 3,481 | 105,509 | |
EPAM Systems, Inc.(1) | 715 | 210,768 | |
Fidelity National Information Services, Inc. | 7,768 | 712,093 | |
Fiserv, Inc.(1) | 7,280 | 647,702 | |
FleetCor Technologies, Inc.(1) | 1,036 | 217,674 | |
Gartner, Inc.(1) | 1,049 | 253,680 | |
Global Payments, Inc. | 3,633 | 401,955 | |
International Business Machines Corp. | 11,255 | 1,589,093 | |
Jack Henry & Associates, Inc. | 929 | 167,239 | |
Mastercard, Inc., Class A | 10,831 | 3,416,964 | |
Paychex, Inc. | 4,021 | 457,871 | |
PayPal Holdings, Inc.(1) | 14,491 | 1,012,051 | |
VeriSign, Inc.(1) | 1,267 | 212,007 | |
Visa, Inc., Class A | 20,753 | 4,086,058 | |
$ 17,659,331 | |||
Leisure Products — 0.0%(3) | |||
Hasbro, Inc. | 1,748 | $ 143,126 | |
$ 143,126 |
Security | Shares | Value | |
Life Sciences Tools & Services — 1.8% | |||
Agilent Technologies, Inc. | 3,832 | $ 455,127 | |
Bio-Rad Laboratories, Inc., Class A(1) | 289 | 143,055 | |
Bio-Techne Corp. | 530 | 183,719 | |
Charles River Laboratories International, Inc.(1) | 644 | 137,797 | |
Danaher Corp. | 8,097 | 2,052,751 | |
Illumina, Inc.(1) | 1,994 | 367,614 | |
IQVIA Holdings, Inc.(1) | 2,369 | 514,049 | |
Mettler-Toledo International, Inc.(1) | 293 | 336,590 | |
PerkinElmer, Inc. | 1,654 | 235,232 | |
Thermo Fisher Scientific, Inc. | 4,898 | 2,660,985 | |
Waters Corp.(1) | 754 | 249,559 | |
West Pharmaceutical Services, Inc. | 945 | 285,740 | |
$ 7,622,218 | |||
Machinery — 1.5% | |||
Caterpillar, Inc. | 6,674 | $ 1,193,044 | |
Cummins, Inc. | 1,817 | 351,644 | |
Deere & Co. | 3,493 | 1,046,049 | |
Dover Corp. | 1,888 | 229,052 | |
Fortive Corp. | 4,574 | 248,734 | |
IDEX Corp. | 970 | 176,181 | |
Illinois Tool Works, Inc. | 3,546 | 646,259 | |
Ingersoll Rand, Inc. | 5,080 | 213,766 | |
Nordson Corp. | 700 | 141,708 | |
Otis Worldwide Corp. | 5,421 | 383,102 | |
PACCAR, Inc. | 4,351 | 358,261 | |
Parker-Hannifin Corp. | 1,606 | 395,156 | |
Pentair PLC | 2,169 | 99,275 | |
Snap-on, Inc. | 668 | 131,616 | |
Stanley Black & Decker, Inc. | 1,889 | 198,081 | |
Westinghouse Air Brake Technologies Corp. | 2,457 | 201,671 | |
Xylem, Inc. | 2,300 | 179,814 | |
$ 6,193,413 | |||
Media — 0.9% | |||
Charter Communications, Inc., Class A(1) | 1,460 | $ 684,054 | |
Comcast Corp., Class A | 56,462 | 2,215,569 | |
DISH Network Corp., Class A(1) | 3,394 | 60,854 | |
Fox Corp., Class A | 4,232 | 136,101 | |
Fox Corp., Class B | 1,942 | 57,677 | |
Interpublic Group of Cos., Inc. (The) | 5,374 | 147,946 | |
News Corp., Class A | 5,344 | 83,260 | |
News Corp., Class B | 2,023 | 32,146 | |
Omnicom Group, Inc. | 2,787 | 177,281 | |
Paramount Global, Class B(4) | 7,740 | 191,023 | |
$ 3,785,911 |
Security | Shares | Value | |
Metals & Mining — 0.4% | |||
Freeport-McMoRan, Inc. | 18,135 | $ 530,630 | |
Newmont Corp. | 9,931 | 592,583 | |
Nucor Corp. | 3,329 | 347,581 | |
$ 1,470,794 | |||
Multiline Retail — 0.5% | |||
Dollar General Corp. | 2,863 | $ 702,695 | |
Dollar Tree, Inc.(1) | 2,817 | 439,029 | |
Target Corp. | 5,786 | 817,157 | |
$ 1,958,881 | |||
Multi-Utilities — 0.9% | |||
Ameren Corp. | 3,377 | $ 305,146 | |
CenterPoint Energy, Inc. | 8,244 | 243,858 | |
CMS Energy Corp. | 3,798 | 256,365 | |
Consolidated Edison, Inc. | 4,433 | 421,578 | |
Dominion Energy, Inc. | 10,333 | 824,677 | |
DTE Energy Co. | 2,472 | 313,326 | |
NiSource, Inc. | 5,358 | 158,007 | |
Public Service Enterprise Group, Inc. | 6,247 | 395,310 | |
Sempra Energy | 3,933 | 591,012 | |
WEC Energy Group, Inc. | 3,947 | 397,226 | |
$ 3,906,505 | |||
Oil, Gas & Consumable Fuels — 3.8% | |||
APA Corp. | 4,232 | $ 147,697 | |
Chevron Corp. | 24,776 | 3,587,069 | |
ConocoPhillips | 16,185 | 1,453,575 | |
Coterra Energy, Inc. | 10,379 | 267,674 | |
Devon Energy Corp. | 7,681 | 423,300 | |
Diamondback Energy, Inc. | 2,088 | 252,961 | |
EOG Resources, Inc. | 7,329 | 809,415 | |
Exxon Mobil Corp. | 53,163 | 4,552,879 | |
Hess Corp. | 3,517 | 372,591 | |
Kinder Morgan, Inc. | 24,401 | 408,961 | |
Marathon Oil Corp. | 8,856 | 199,083 | |
Marathon Petroleum Corp. | 6,770 | 556,562 | |
Occidental Petroleum Corp. | 11,319 | 666,463 | |
ONEOK, Inc. | 5,846 | 324,453 | |
Phillips 66 | 5,968 | 489,316 | |
Pioneer Natural Resources Co. | 2,816 | 628,193 | |
Valero Energy Corp. | 5,107 | 542,772 | |
Williams Cos., Inc. (The) | 15,241 | 475,672 | |
$ 16,158,636 |
Security | Shares | Value | |
Personal Products — 0.2% | |||
Estee Lauder Cos., Inc. (The), Class A | 2,965 | $ 755,097 | |
$ 755,097 | |||
Pharmaceuticals — 4.6% | |||
Bristol-Myers Squibb Co. | 26,642 | $ 2,051,434 | |
Catalent, Inc.(1) | 2,327 | 249,664 | |
Eli Lilly & Co. | 9,868 | 3,199,502 | |
Johnson & Johnson | 33,192 | 5,891,912 | |
Merck & Co., Inc. | 31,644 | 2,884,983 | |
Organon & Co. | 3,526 | 119,003 | |
Pfizer, Inc. | 70,211 | 3,681,163 | |
Viatris, Inc. | 16,511 | 172,870 | |
Zoetis, Inc. | 5,889 | 1,012,260 | |
$ 19,262,791 | |||
Professional Services — 0.3% | |||
Equifax, Inc. | 1,599 | $ 292,265 | |
Jacobs Engineering Group, Inc. | 1,648 | 209,510 | |
Leidos Holdings, Inc. | 1,790 | 180,271 | |
Nielsen Holdings PLC | 4,897 | 113,708 | |
Robert Half International, Inc. | 1,459 | 109,265 | |
Verisk Analytics, Inc. | 1,976 | 342,026 | |
$ 1,247,045 | |||
Real Estate Management & Development — 0.1% | |||
CBRE Group, Inc., Class A(1) | 4,090 | $ 301,065 | |
$ 301,065 | |||
Road & Rail — 0.9% | |||
CSX Corp. | 27,207 | $ 790,635 | |
J.B. Hunt Transport Services, Inc. | 1,101 | 173,374 | |
Norfolk Southern Corp. | 2,982 | 677,779 | |
Old Dominion Freight Line, Inc. | 1,149 | 294,466 | |
Union Pacific Corp. | 7,859 | 1,676,168 | |
$ 3,612,422 | |||
Semiconductors & Semiconductor Equipment — 4.9% | |||
Advanced Micro Devices, Inc.(1) | 20,278 | $ 1,550,659 | |
Analog Devices, Inc. | 6,548 | 956,597 | |
Applied Materials, Inc. | 11,054 | 1,005,693 | |
Broadcom, Inc. | 5,153 | 2,503,379 | |
Enphase Energy, Inc.(1) | 1,769 | 345,380 | |
Intel Corp. | 51,167 | 1,914,158 | |
KLA Corp. | 1,867 | 595,722 | |
Lam Research Corp. | 1,736 | 739,796 | |
Microchip Technology, Inc. | 7,093 | 411,961 |
Security | Shares | Value | |
Semiconductors & Semiconductor Equipment (continued) | |||
Micron Technology, Inc. | 13,973 | $ 772,427 | |
Monolithic Power Systems, Inc. | 581 | 223,127 | |
NVIDIA Corp. | 31,573 | 4,786,151 | |
NXP Semiconductors NV | 3,286 | 486,427 | |
ON Semiconductor Corp.(1) | 5,437 | 273,535 | |
Qorvo, Inc.(1) | 1,383 | 130,445 | |
QUALCOMM, Inc. | 14,015 | 1,790,276 | |
Skyworks Solutions, Inc. | 2,165 | 200,566 | |
SolarEdge Technologies, Inc.(1) | 689 | 188,566 | |
Teradyne, Inc. | 2,079 | 186,174 | |
Texas Instruments, Inc. | 11,539 | 1,772,967 | |
$ 20,834,006 | |||
Software — 8.6% | |||
Adobe, Inc.(1) | 5,913 | $ 2,164,513 | |
ANSYS, Inc.(1) | 1,144 | 273,748 | |
Autodesk, Inc.(1) | 2,806 | 482,520 | |
Cadence Design Systems, Inc.(1) | 3,536 | 530,506 | |
Ceridian HCM Holding, Inc.(1) | 1,816 | 85,497 | |
Citrix Systems, Inc. | 1,702 | 165,383 | |
Fortinet, Inc.(1) | 8,335 | 471,594 | |
Intuit, Inc. | 3,539 | 1,364,072 | |
Microsoft Corp. | 94,401 | 24,245,009 | |
NortonLifeLock, Inc. | 7,922 | 173,967 | |
Oracle Corp. | 19,699 | 1,376,369 | |
Paycom Software, Inc.(1) | 614 | 171,994 | |
PTC, Inc.(1) | 1,317 | 140,050 | |
Roper Technologies, Inc. | 1,346 | 531,199 | |
Salesforce, Inc.(1) | 12,547 | 2,070,757 | |
ServiceNow, Inc.(1) | 2,508 | 1,192,604 | |
Synopsys, Inc.(1) | 1,916 | 581,889 | |
Tyler Technologies, Inc.(1) | 550 | 182,864 | |
$ 36,204,535 | |||
Specialty Retail — 2.0% | |||
Advance Auto Parts, Inc. | 795 | $ 137,606 | |
AutoZone, Inc.(1) | 248 | 532,982 | |
Bath & Body Works, Inc. | 3,288 | 88,513 | |
Best Buy Co., Inc. | 2,534 | 165,191 | |
CarMax, Inc.(1) | 2,125 | 192,270 | |
Home Depot, Inc. (The) | 13,036 | 3,575,384 | |
Lowe's Cos., Inc. | 8,273 | 1,445,045 | |
O'Reilly Automotive, Inc.(1) | 822 | 519,307 | |
Ross Stores, Inc. | 4,397 | 308,801 | |
TJX Cos., Inc. (The) | 14,696 | 820,772 | |
Tractor Supply Co. | 1,400 | 271,390 |
Security | Shares | Value | |
Specialty Retail (continued) | |||
Ulta Beauty, Inc.(1) | 690 | $ 265,981 | |
$ 8,323,242 | |||
Technology Hardware, Storage & Peripherals — 6.6% | |||
Apple, Inc. | 194,044 | $ 26,529,696 | |
Hewlett Packard Enterprise Co. | 17,148 | 227,383 | |
HP, Inc. | 13,181 | 432,073 | |
NetApp, Inc. | 2,932 | 191,284 | |
Seagate Technology Holdings PLC | 2,569 | 183,529 | |
Western Digital Corp.(1) | 4,186 | 187,658 | |
$ 27,751,623 | |||
Textiles, Apparel & Luxury Goods — 0.5% | |||
NIKE, Inc., Class B | 15,876 | $ 1,622,527 | |
PVH Corp. | 1,085 | 61,737 | |
Ralph Lauren Corp. | 671 | 60,155 | |
Tapestry, Inc. | 3,368 | 102,791 | |
VF Corp. | 4,118 | 181,892 | |
$ 2,029,102 | |||
Tobacco — 0.7% | |||
Altria Group, Inc. | 22,656 | $ 946,341 | |
Philip Morris International, Inc. | 19,577 | 1,933,033 | |
$ 2,879,374 | |||
Trading Companies & Distributors — 0.2% | |||
Fastenal Co. | 7,203 | $ 359,574 | |
United Rentals, Inc.(1) | 949 | 230,521 | |
W.W. Grainger, Inc. | 567 | 257,662 | |
$ 847,757 | |||
Water Utilities — 0.1% | |||
American Water Works Co., Inc. | 2,380 | $ 354,073 | |
$ 354,073 | |||
Wireless Telecommunication Services — 0.2% | |||
T-Mobile US, Inc.(1) | 7,490 | $ 1,007,705 | |
$ 1,007,705 | |||
Total Common Stocks (identified cost $148,546,057) | $403,028,212 |
Exchange-Traded Funds — 0.8% |
Security | Shares | Value | |
Equity Funds — 0.8% | |||
SPDR S&P 500 ETF Trust(4) | 9,000 | $ 3,395,250 | |
Total Exchange-Traded Funds (identified cost $4,000,770) | $ 3,395,250 |
Short-Term Investments — 4.5% | |||
Affiliated Fund — 3.4% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(5) | 14,129,237 | $ 14,129,237 | |
Total Affiliated Fund (identified cost $14,129,237) | $ 14,129,237 | ||
Securities Lending Collateral — 0.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(6) | 3,654,377 | $ 3,654,377 | |
Total Securities Lending Collateral (identified cost $3,654,377) | $ 3,654,377 | ||
U.S. Treasury Obligations — 0.2% | |||
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bill, 0.00%, 1/26/23(7) | $ | 1,000 | $ 985,892 |
Total U.S. Treasury Obligations (identified cost $995,686) | $ 985,892 | ||
Total Short-Term Investments (identified cost $18,779,300) | $ 18,769,506 | ||
Total Investments — 101.0% (identified cost $171,326,127) | $425,192,968 | ||
Other Assets, Less Liabilities — (1.0)% | $ (4,180,560) | ||
Net Assets — 100.0% | $ 421,012,408 |
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 (see Note 10). |
(3) | Amount is less than 0.05%. |
(4) | All or a portion of this security was on loan at June 30, 2022. The aggregate market value of securities on loan at June 30, 2022 was $3,722,713. |
(5) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(6) | Represents investment of cash collateral received in connection with securities lending. |
(7) | 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 | 74 | Long | 9/16/22 | $14,021,150 | $ 296,855 |
$296,855 |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $156,814,464) - including $3,722,713 of securities on loan | $ 409,731,844 |
Investments in securities of affiliated issuers, at value (identified cost $14,511,663) | 15,461,124 |
Receivable for capital shares sold | 190,456 |
Dividends receivable | 336,031 |
Dividends receivable - affiliated | 7,439 |
Securities lending income receivable | 533 |
Receivable from affiliate | 120,193 |
Directors' deferred compensation plan | 219,200 |
Total assets | $426,066,820 |
Liabilities | |
Payable for variation margin on open futures contracts | $ 117,446 |
Due to custodian | 702,997 |
Payable for investments purchased | 138,703 |
Payable for capital shares redeemed | 3,172 |
Deposits for securities loaned | 3,654,377 |
Payable to affiliates: | |
Investment advisory fee | 63,479 |
Administrative fee | 42,919 |
Sub-transfer agency fee | 267 |
Directors' deferred compensation plan | 219,200 |
Accrued expenses | 111,852 |
Total liabilities | $ 5,054,412 |
Net Assets | $421,012,408 |
Sources of Net Assets | |
Paid-in capital | $ 115,508,771 |
Distributable earnings | 305,503,637 |
Net Assets | $421,012,408 |
Net Assets | $ 421,012,408 |
Shares Outstanding | 2,631,894 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 159.97 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $872) | $ 3,634,605 |
Dividend income - affiliated issuers | 39,759 |
Interest income | 3,142 |
Securities lending income, net | 1,710 |
Total investment income | $ 3,679,216 |
Expenses | |
Investment advisory fee | $ 432,794 |
Administrative fee | 288,529 |
Directors' fees and expenses | 11,212 |
Custodian fees | 7,117 |
Transfer agency fees and expenses | 185,286 |
Accounting fees | 54,552 |
Professional fees | 20,506 |
Reports to shareholders | 368 |
Miscellaneous | 46,571 |
Total expenses | $ 1,046,935 |
Waiver and/or reimbursement of expenses by affiliate | $ (375,492) |
Net expenses | $ 671,443 |
Net investment income | $ 3,007,773 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 13,206,964 |
Investment securities - affiliated issuers | 75,953 |
Futures contracts | (1,691,170) |
Net realized gain | $ 11,591,747 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (121,644,420) |
Investment securities - affiliated issuers | (478,473) |
Futures contracts | (59,375) |
Net change in unrealized appreciation (depreciation) | $(122,182,268) |
Net realized and unrealized loss | $(110,590,521) |
Net decrease in net assets from operations | $(107,582,748) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 3,007,773 | $ 5,738,067 |
Net realized gain | 11,591,747 | 34,402,857 |
Net change in unrealized appreciation (depreciation) | (122,182,268) | 88,104,845 |
Net increase (decrease) in net assets from operations | $(107,582,748) | $128,245,769 |
Distributions to shareholders | $ — | $ (31,368,176) |
Net decrease in net assets from capital share transactions | $ (20,135,362) | $ (28,198,932) |
Net increase (decrease) in net assets | $(127,718,110) | $ 68,678,661 |
Net Assets | ||
At beginning of period | $ 548,730,518 | $ 480,051,857 |
At end of period | $ 421,012,408 | $548,730,518 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | ||||||
2021 | 2020 | 2019 | 2018 | 2017 | |||
Net asset value — Beginning of period | $ 200.13 | $ 165.98 | $ 147.79 | $ 123.19 | $ 141.18 | $ 122.44 | |
Income (Loss) From Operations | |||||||
Net investment income(1) | $ 1.12 | $ 2.08 | $ 2.31 | $ 2.43 | $ 2.39 | $ 2.30 | |
Net realized and unrealized gain (loss) | (41.28) | 43.96 | 23.51 | 34.42 | (7.33) | 23.60 | |
Total income (loss) from operations | $ (40.16) | $ 46.04 | $ 25.82 | $ 36.85 | $ (4.94) | $ 25.90 | |
Less Distributions | |||||||
From net investment income | $ — | $ (2.56) | $ (2.57) | $ (2.63) | $ (2.84) | $ (1.99) | |
From net realized gain | — | (9.33) | (5.06) | (9.62) | (10.21) | (5.17) | |
Total distributions | $ — | $ (11.89) | $ (7.63) | $ (12.25) | $ (13.05) | $ (7.16) | |
Net asset value — End of period | $ 159.97 | $ 200.13 | $ 165.98 | $ 147.79 | $ 123.19 | $ 141.18 | |
Total Return(2) | (20.07)% (3) | 28.42% | 18.11% | 31.16% | (4.74)% | 21.46% | |
Ratios/Supplemental Data | |||||||
Net assets, end of period (000’s omitted) | $421,012 | $548,731 | $480,052 | $459,202 | $391,342 | $515,105 | |
Ratios (as a percentage of average daily net assets):(4) | |||||||
Total expenses | 0.44% (5) | 0.43% | 0.43% | 0.38% | 0.39% | 0.40% | |
Net expenses | 0.28% (5)(6) | 0.28% | 0.28% | 0.28% | 0.28% | 0.28% | |
Net investment income | 1.25% (5) | 1.11% | 1.58% | 1.72% | 1.68% | 1.72% | |
Portfolio Turnover | 2% (3) | 6% | 10% | 6% | 7% | 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. |
(6) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $ 403,028,212(1) | $ — | $ — | $ 403,028,212 |
Exchange-Traded Funds | 3,395,250 | — | — | 3,395,250 |
Short-Term Investments: | ||||
Affiliated Fund | 14,129,237 | — | — | 14,129,237 |
Securities Lending Collateral | 3,654,377 | — | — | 3,654,377 |
U.S. Treasury Obligations | — | 985,892 | — | 985,892 |
Total Investments | $424,207,076 | $985,892 | $ — | $425,192,968 |
Futures Contracts | $ 296,855 | $ — | $ — | $ 296,855 |
Total | $424,503,931 | $985,892 | $ — | $425,489,823 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $174,091,238 |
Gross unrealized appreciation | $ 259,777,344 |
Gross unrealized depreciation | (8,378,759) |
Net unrealized appreciation | $251,398,585 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $296,855 (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 | $ (1,691,170) | $ (59,375) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $ 197,297 | $ — | $ — | $ — | $ 197,297 |
Exchange-Traded Funds | 3,457,080 | — | — | — | 3,457,080 |
Total | $3,654,377 | $ — | $ — | $ — | $3,654,377 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Common Stocks | ||||||||
Morgan Stanley | $ 1,847,273 | $ — | $ (111,438) | $ 74,525 | $ (478,473) | $ 1,331,887 | $ 25,832 | 17,511 |
Short-Term Investments | ||||||||
Cash Reserves Fund | 10,524,218 | 16,619,644 | (27,145,290) | 1,428 | — | — | 2,100 | — |
Liquidity Fund | — | 28,624,755 | (14,495,518) | — | — | 14,129,237 | 11,827 | 14,129,237 |
Total | $75,953 | $(478,473) | $15,461,124 | $39,759 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Shares sold | 51,132 | $ 9,226,978 | 99,582 | $ 18,668,371 | |
Reinvestment of distributions | — | — | 171,608 | 31,368,176 | |
Shares redeemed | (161,139) | (29,362,340) | (421,537) | (78,235,479) | |
Net decrease | (110,007) | $(20,135,362) | (150,347) | $(28,198,932) |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (13.17)% | (9.55)% | 3.29% | 4.00% |
S&P Global LargeMidCap Managed Risk Index - Conservative | — | — | (13.18)% | (10.70)% | 3.54% | 3.98% |
Moderate Portfolio Blended Benchmark | — | — | (14.96) | (11.65) | 4.90 | 5.47 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 0.97% |
Net | 0.87 |
Top 10 Holdings (% of net assets)* | |
iShares Core U.S. Aggregate Bond ETF | 22.8% |
Vanguard Total Bond Market ETF | 22.7 |
Vanguard S&P 500 ETF | 19.7 |
Vanguard FTSE Developed Markets ETF | 8.7 |
iShares S&P 500 Growth ETF | 6.7 |
iShares S&P 500 Value ETF | 4.5 |
Vanguard FTSE Emerging Markets ETF | 2.0 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1.9 |
Vanguard Real Estate ETF | 1.9 |
iShares Russell 2000 ETF | 1.7 |
Total | 92.6% |
* | 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 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 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 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 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. |
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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $ 868.30 | $3.75 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. Expenses do not include fees and expenses incurred indirectly from investment in exchange-traded funds (the Underlying Funds). |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Exchange-Traded Funds — 94.3% |
Security | Shares | Value | |
Equity Funds — 46.9% | |||
iShares Core S&P Mid-Cap ETF | 3,000 | $ 678,690 | |
iShares Russell 2000 ETF | 9,000 | 1,524,240 | |
iShares S&P 500 Growth ETF | 98,000 | 5,914,300 | |
iShares S&P 500 Value ETF | 29,000 | 3,986,340 | |
Technology Select Sector SPDR Fund | 6,000 | 762,720 | |
Vanguard FTSE Developed Markets ETF(1) | 188,000 | 7,670,400 | |
Vanguard FTSE Emerging Markets ETF | 43,000 | 1,790,950 | |
Vanguard Real Estate ETF(1) | 18,000 | 1,639,980 | |
Vanguard S&P 500 ETF | 50,000 | 17,344,000 | |
$41,311,620 | |||
Fixed-Income Funds — 47.4% | |||
iShares Core U.S. Aggregate Bond ETF | 198,000 | $ 20,132,640 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 15,000 | 1,650,450 | |
Vanguard Total Bond Market ETF | 266,000 | 20,019,160 | |
$41,802,250 | |||
Total Exchange-Traded Funds (identified cost $72,820,932) | $83,113,870 |
Short-Term Investments — 13.1% | |||
Affiliated Fund — 4.2% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(2) | 3,694,071 | $ 3,694,071 | |
Total Affiliated Fund (identified cost $3,694,071) | $ 3,694,071 | ||
Securities Lending Collateral — 8.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(3) | 7,817,040 | $ 7,817,040 | |
Total Securities Lending Collateral (identified cost $7,817,040) | $ 7,817,040 | ||
Total Short-Term Investments (identified cost $11,511,111) | $11,511,111 | ||
Total Investments — 107.4% (identified cost $84,332,043) | $94,624,981 | ||
Other Assets, Less Liabilities — (7.4)% | $ (6,486,258) | ||
Net Assets — 100.0% | $ 88,138,723 |
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, 2022. The aggregate market value of securities on loan at June 30, 2022 was $9,217,276. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(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 | (73) | Short | 9/16/22 | $(13,831,675) | $(137,524) |
E-mini S&P MidCap 400 Index | (12) | Short | 9/16/22 | (2,721,600) | 122,782 |
MSCI EAFE Index | (49) | Short | 9/16/22 | (4,548,670) | 5,322 |
$ (9,420) |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $80,637,972) - including $9,217,276 of securities on loan | $ 90,930,910 |
Investments in securities of affiliated issuers, at value (identified cost $3,694,071) | 3,694,071 |
Receivable for variation margin on open futures contracts | 165,279 |
Deposits at broker for futures contracts | 1,168,000 |
Dividends receivable | 71,605 |
Dividends receivable - affiliated | 3,339 |
Securities lending income receivable | 1,658 |
Receivable from affiliate | 18,538 |
Directors' deferred compensation plan | 53,851 |
Total assets | $96,107,251 |
Liabilities | |
Payable for capital shares redeemed | $ 20,935 |
Deposits for securities loaned | 7,817,040 |
Payable to affiliates: | |
Investment advisory fee | 29,005 |
Administrative fee | 8,834 |
Distribution and service fees | 18,405 |
Sub-transfer agency fee | 42 |
Directors' deferred compensation plan | 53,851 |
Accrued expenses | 20,416 |
Total liabilities | $ 7,968,528 |
Net Assets | $88,138,723 |
Sources of Net Assets | |
Paid-in capital | $ 71,906,306 |
Distributable earnings | 16,232,417 |
Net Assets | $88,138,723 |
Class F Shares | |
Net Assets | $ 88,138,723 |
Shares Outstanding | 4,880,216 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 18.06 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income | $ 758,381 |
Dividend income - affiliated issuers | 7,155 |
Securities lending income, net | 9,101 |
Total investment income | $ 774,637 |
Expenses | |
Investment advisory fee | $ 195,201 |
Administrative fee | 58,561 |
Distribution and service fees | 122,001 |
Directors' fees and expenses | 2,339 |
Custodian fees | 2,197 |
Transfer agency fees and expenses | 35,647 |
Accounting fees | 11,176 |
Professional fees | 16,171 |
Reports to shareholders | 1,139 |
Miscellaneous | 3,239 |
Total expenses | $ 447,671 |
Waiver and/or reimbursement of expenses by affiliate | $ (53,285) |
Net expenses | $ 394,386 |
Net investment income | $ 380,251 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 687,245 |
Investment securities - affiliated issuers | 183 |
Futures contracts | 1,754,918 |
Capital gains distributions received | 16,426 |
Net realized gain | $ 2,458,772 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (16,846,588) |
Investment securities - affiliated issuers | (46) |
Futures contracts | (102,237) |
Net change in unrealized appreciation (depreciation) | $(16,948,871) |
Net realized and unrealized loss | $(14,490,099) |
Net decrease in net assets from operations | $(14,109,848) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 380,251 | $ 949,903 |
Net realized gain | 2,458,772 | 4,547,252 |
Net change in unrealized appreciation (depreciation) | (16,948,871) | 5,156,015 |
Net increase (decrease) in net assets from operations | $ (14,109,848) | $ 10,653,170 |
Distributions to shareholders | $ — | $ (1,151,612) |
Net decrease in net assets from capital share transactions | $ (8,285,261) | $ (8,173,688) |
Net increase (decrease) in net assets | $ (22,395,109) | $ 1,327,870 |
Net Assets | ||
At beginning of period | $110,533,832 | $ 109,205,962 |
At end of period | $ 88,138,723 | $110,533,832 |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 20.80 | $ 19.10 | $ 18.86 | $ 16.49 | $ 18.18 | $ 16.52 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.07 | $ 0.17 | $ 0.20 | $ 0.29 | $ 0.27 | $ 0.23 |
Net realized and unrealized gain (loss) | (2.81) | 1.74 | 0.77 | 2.49 | (1.26) | 1.77 |
Total income (loss) from operations | $ (2.74) | $ 1.91 | $ 0.97 | $ 2.78 | $ (0.99) | $ 2.00 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.21) | $ (0.32) | $ (0.28) | $ (0.25) | $ (0.23) |
From net realized gain | — | — | (0.41) | (0.13) | (0.45) | (0.11) |
Total distributions | $ — | $ (0.21) | $ (0.73) | $ (0.41) | $ (0.70) | $ (0.34) |
Net asset value — End of period | $ 18.06 | $ 20.80 | $ 19.10 | $ 18.86 | $ 16.49 | $ 18.18 |
Total Return(2) | (13.17)% (3) | 10.06% | 5.28% | 17.02% | (5.73)% | 12.16% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $88,139 | $110,534 | $109,206 | $110,131 | $103,205 | $118,478 |
Ratios (as a percentage of average daily net assets):(4)(5) | ||||||
Total expenses | 0.92% (6) | 0.91% | 0.93% | 0.90% | 0.89% | 0.89% |
Net expenses | 0.81% (6)(7) | 0.81% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.78% (6) | 0.86% | 1.10% | 1.63% | 1.51% | 1.33% |
Portfolio Turnover | 9% (3) | 7% | 15% | 6% | 11% | 9% |
(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. |
(7) | The investment adviser reduced a portion of its advisory fee (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 83,113,870 | $ — | $ — | $ 83,113,870 |
Short-Term Investments: | ||||
Affiliated Fund | 3,694,071 | — | — | 3,694,071 |
Securities Lending Collateral | 7,817,040 | — | — | 7,817,040 |
Total Investments | $94,624,981 | $ — | $ — | $94,624,981 |
Futures Contracts | $ 128,104 | $ — | $ — | $ 128,104 |
Total | $94,753,085 | $ — | $ — | $94,753,085 |
Liability Description | ||||
Futures Contracts | $ (137,524) | $ — | $ — | $ (137,524) |
Total | $ (137,524) | $ — | $ — | $ (137,524) |
Aggregate cost | $84,866,919 |
Gross unrealized appreciation | $ 13,530,441 |
Gross unrealized depreciation | (3,781,799) |
Net unrealized appreciation | $ 9,748,642 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $128,104 (1) | $(137,524) (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 | $ 1,754,918 | $ (102,237) |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $7,817,040 | $ — | $ — | $ — | $7,817,040 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $6,641,920 | $ 7,803,836 | $(14,445,893) | $ 183 | $ (46) | $ — | $ 1,438 | — |
Liquidity Fund | — | 14,362,100 | (10,668,029) | — | — | 3,694,071 | 5,717 | 3,694,071 |
Total | $ 183 | $ (46) | $3,694,071 | $7,155 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 21,837 | $ 426,942 | 100,167 | $ 1,981,937 | |
Reinvestment of distributions | — | — | 57,494 | 1,151,612 | |
Shares redeemed | (456,132) | (8,712,203) | (562,233) | (11,307,237) | |
Net decrease | (434,295) | $(8,285,261) | (404,572) | $ (8,173,688) |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (13.87)% | (9.38)% | 3.79% | 4.47% |
S&P Global LargeMidCap Managed Risk Index - Moderate Conservative | — | — | (14.12)% | (11.18)% | 4.02% | 4.40% |
Moderate Growth Portfolio Blended Benchmark | — | — | (16.51) | (12.24) | 6.05 | 6.68 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 0.99% |
Net | 0.88 |
Top 10 Holdings (% of net assets)* | |
Vanguard S&P 500 ETF | 20.4% |
iShares Core U.S. Aggregate Bond ETF | 16.0 |
Vanguard Total Bond Market ETF | 13.4 |
Vanguard FTSE Developed Markets ETF | 11.5 |
iShares S&P 500 Growth ETF | 11.1 |
iShares S&P 500 Value ETF | 8.8 |
Vanguard Real Estate ETF | 2.9 |
Vanguard FTSE Emerging Markets ETF | 2.5 |
iShares Russell 2000 ETF | 2.3 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1.5 |
Total | 90.4% |
* | 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 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 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 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% Bloombeg 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. |
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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $ 861.30 | $3.74 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. Expenses do not include fees and expenses incurred indirectly from investment in exchange-traded funds (the Underlying 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 Funds — 62.1% | |||
iShares Core S&P Mid-Cap ETF | 4,000 | $ 904,920 | |
iShares Russell 2000 ETF | 10,000 | 1,693,600 | |
iShares S&P 500 Growth ETF | 134,000 | 8,086,900 | |
iShares S&P 500 Value ETF | 47,000 | 6,460,620 | |
Technology Select Sector SPDR Fund | 8,000 | 1,016,960 | |
Vanguard FTSE Developed Markets ETF(1) | 207,000 | 8,445,600 | |
Vanguard FTSE Emerging Markets ETF | 44,000 | 1,832,600 | |
Vanguard Real Estate ETF(1) | 23,000 | 2,095,530 | |
Vanguard S&P 500 ETF | 43,000 | 14,915,840 | |
$45,452,570 | |||
Fixed-Income Funds — 30.9% | |||
iShares Core U.S. Aggregate Bond ETF | 115,000 | $ 11,693,200 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 10,000 | 1,100,300 | |
Vanguard Total Bond Market ETF | 130,000 | 9,783,800 | |
$22,577,300 | |||
Total Exchange-Traded Funds (identified cost $56,400,552) | $68,029,870 |
Short-Term Investments — 17.2% | |||
Affiliated Fund — 5.4% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(2) | 3,972,180 | $ 3,972,180 | |
Total Affiliated Fund (identified cost $3,972,180) | $ 3,972,180 | ||
Securities Lending Collateral — 11.8% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(3) | 8,607,060 | $ 8,607,060 | |
Total Securities Lending Collateral (identified cost $8,607,060) | $ 8,607,060 | ||
Total Short-Term Investments (identified cost $12,579,240) | $12,579,240 | ||
Total Investments — 110.2% (identified cost $68,979,792) | $80,609,110 | ||
Other Assets, Less Liabilities — (10.2)% | $ (7,446,439) | ||
Net Assets — 100.0% | $ 73,162,671 |
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, 2022. The aggregate market value of securities on loan at June 30, 2022 was $8,982,423. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(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 | (58) | Short | 9/16/22 | $(10,989,550) | $(104,548) |
E-mini S&P MidCap 400 Index | (13) | Short | 9/16/22 | (2,948,400) | 170,852 |
MSCI EAFE Index | (45) | Short | 9/16/22 | (4,177,350) | 17,398 |
$ 83,702 |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $65,007,612) - including $8,982,423 of securities on loan | $ 76,636,930 |
Investments in securities of affiliated issuers, at value (identified cost $3,972,180) | 3,972,180 |
Receivable for variation margin on open futures contracts | 141,825 |
Deposits at broker for futures contracts | 1,043,000 |
Dividends receivable | 61,580 |
Dividends receivable - affiliated | 3,574 |
Securities lending income receivable | 1,363 |
Receivable from affiliate | 16,105 |
Directors' deferred compensation plan | 43,609 |
Total assets | $81,920,166 |
Liabilities | |
Payable for capital shares redeemed | $ 41,206 |
Deposits for securities loaned | 8,607,060 |
Payable to affiliates: | |
Investment advisory fee | 24,010 |
Administrative fee | 7,344 |
Distribution and service fees | 15,301 |
Sub-transfer agency fee | 42 |
Directors' deferred compensation plan | 43,609 |
Accrued expenses | 18,923 |
Total liabilities | $ 8,757,495 |
Net Assets | $73,162,671 |
Sources of Net Assets | |
Paid-in capital | $ 56,026,528 |
Distributable earnings | 17,136,143 |
Net Assets | $73,162,671 |
Class F Shares | |
Net Assets | $ 73,162,671 |
Shares Outstanding | 3,777,230 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 19.37 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income | $ 609,230 |
Dividend income - affiliated issuers | 7,531 |
Securities lending income, net | 8,893 |
Total investment income | $ 625,654 |
Expenses | |
Investment advisory fee | $ 160,746 |
Administrative fee | 48,224 |
Distribution and service fees | 100,466 |
Directors' fees and expenses | 1,926 |
Custodian fees | 2,195 |
Transfer agency fees and expenses | 29,295 |
Accounting fees | 8,906 |
Professional fees | 15,591 |
Reports to shareholders | 2,176 |
Miscellaneous | 3,025 |
Total expenses | $ 372,550 |
Waiver and/or reimbursement of expenses by affiliate | $ (48,225) |
Net expenses | $ 324,325 |
Net investment income | $ 301,329 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 703,219 |
Investment securities - affiliated issuers | 255 |
Futures contracts | 1,880,205 |
Capital gains distributions received | 7,887 |
Net realized gain | $ 2,591,566 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (15,176,583) |
Investment securities - affiliated issuers | (59) |
Futures contracts | 52,839 |
Net change in unrealized appreciation (depreciation) | $(15,123,803) |
Net realized and unrealized loss | $(12,532,237) |
Net decrease in net assets from operations | $(12,230,908) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 301,329 | $ 736,081 |
Net realized gain | 2,591,566 | 4,800,825 |
Net change in unrealized appreciation (depreciation) | (15,123,803) | 5,798,085 |
Net increase (decrease) in net assets from operations | $(12,230,908) | $11,334,991 |
Distributions to shareholders | $ — | $ (877,245) |
Net decrease in net assets from capital share transactions | $ (4,964,861) | $ (6,455,211) |
Net increase (decrease) in net assets | $(17,195,769) | $ 4,002,535 |
Net Assets | ||
At beginning of period | $ 90,358,440 | $ 86,355,905 |
At end of period | $ 73,162,671 | $90,358,440 |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 22.49 | $ 19.99 | $ 19.81 | $ 17.18 | $ 18.90 | $ 16.69 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.08 | $ 0.18 | $ 0.20 | $ 0.29 | $ 0.26 | $ 0.23 |
Net realized and unrealized gain (loss) | (3.20) | 2.54 | 0.51 | 2.86 | (1.49) | 2.19 |
Total income (loss) from operations | $ (3.12) | $ 2.72 | $ 0.71 | $ 3.15 | $ (1.23) | $ 2.42 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.22) | $ (0.31) | $ (0.28) | $ (0.23) | $ (0.21) |
From net realized gain | — | — | (0.22) | (0.24) | (0.26) | — |
Total distributions | $ — | $ (0.22) | $ (0.53) | $ (0.52) | $ (0.49) | $ (0.21) |
Net asset value — End of period | $ 19.37 | $ 22.49 | $ 19.99 | $ 19.81 | $ 17.18 | $ 18.90 |
Total Return(2) | (13.87)% (3) | 13.64% | 3.82% | 18.56% | (6.69)% | 14.55% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $73,163 | $90,358 | $86,356 | $89,181 | $83,345 | $94,689 |
Ratios (as a percentage of average daily net assets):(4)(5) | ||||||
Total expenses | 0.93% (6) | 0.92% | 0.95% | 0.91% | 0.89% | 0.91% |
Net expenses | 0.81% (6)(7) | 0.81% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.75% (6) | 0.83% | 1.06% | 1.56% | 1.40% | 1.29% |
Portfolio Turnover | 11% (3) | 10% | 16% | 7% | 14% | 8% |
(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. |
(7) | The investment adviser reduced a portion of its advisory fee (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 68,029,870 | $ — | $ — | $ 68,029,870 |
Short-Term Investments: | ||||
Affiliated Fund | 3,972,180 | — | — | 3,972,180 |
Securities Lending Collateral | 8,607,060 | — | — | 8,607,060 |
Total Investments | $80,609,110 | $ — | $ — | $80,609,110 |
Futures Contracts | $ 188,250 | $ — | $ — | $ 188,250 |
Total | $80,797,360 | $ — | $ — | $80,797,360 |
Liability Description | ||||
Futures Contracts | $ (104,548) | $ — | $ — | $ (104,548) |
Total | $ (104,548) | $ — | $ — | $ (104,548) |
Aggregate cost | $69,518,821 |
Gross unrealized appreciation | $ 13,390,410 |
Gross unrealized depreciation | (2,216,419) |
Net unrealized appreciation | $11,173,991 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $188,250 (1) | $(104,548) (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 | $ 1,880,205 | $ 52,839 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $8,607,060 | $ — | $ — | $ — | $8,607,060 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $6,346,788 | $ 6,746,396 | $(13,093,380) | $ 255 | $ (59) | $ — | $ 1,433 | — |
Liquidity Fund | — | 15,497,256 | (11,525,076) | — | — | 3,972,180 | 6,098 | 3,972,180 |
Total | $ 255 | $ (59) | $3,972,180 | $7,531 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 19,874 | $ 424,104 | 46,236 | $ 971,314 | |
Reinvestment of distributions | — | — | 40,897 | 877,245 | |
Shares redeemed | (261,042) | (5,388,965) | (387,918) | (8,303,770) | |
Net decrease | (241,168) | $(4,964,861) | (300,785) | $(6,455,211) |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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 | (14.54)% | (9.45)% | 3.90% | 4.48% |
S&P Global LargeMidCap Managed Risk Index - Moderate Aggressive | — | — | (15.78)% | (11.97)% | 4.95% | 5.19% |
Growth Portfolio Blended Benchmark | — | — | (18.06) | (12.87) | 7.14 | 7.85 |
% Total Annual Operating Expense Ratios3 | Class F |
Gross | 0.99% |
Net | 0.90 |
Top 10 Holdings (% of net assets)* | |
Vanguard S&P 500 ETF | 20.9% |
iShares S&P 500 Growth ETF | 15.6 |
Vanguard FTSE Developed Markets ETF | 14.3 |
iShares Core U.S. Aggregate Bond ETF | 13.4 |
iShares S&P 500 Value ETF | 12.7 |
Vanguard Real Estate ETF | 3.6 |
Vanguard FTSE Emerging Markets ETF | 3.0 |
iShares Russell 2000 ETF | 2.6 |
Technology Select Sector SPDR Fund | 1.9 |
iShares Core S&P Mid-Cap ETF | 1.8 |
Total | 89.8% |
* | 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 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 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 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 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. |
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 4/30/23. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. Performance reflects expenses waived and/or reimbursed, if applicable. Without such waivers and/or reimbursements, performance would have been lower. |
Fund profile subject to change due to active management. |
Beginning Account Value (1/1/22) | Ending Account Value (6/30/22) | Expenses Paid During Period* (1/1/22 – 6/30/22) | Annualized Expense Ratio | |
Actual | ||||
Class F | $1,000.00 | $ 854.60 | $3.72 ** | 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, 2021. Expenses shown do not include insurance-related charges or direct expenses of Qualified Plans. Expenses do not include fees and expenses incurred indirectly from investment in exchange-traded funds (the Underlying Funds). |
** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
Exchange-Traded Funds — 90.8% |
Security | Shares | Value | |
Equity Funds — 76.4% | |||
iShares Core S&P Mid-Cap ETF | 9,000 | $ 2,036,070 | |
iShares Russell 2000 ETF | 18,000 | 3,048,480 | |
iShares S&P 500 Growth ETF(1) | 300,000 | 18,105,000 | |
iShares S&P 500 Value ETF | 107,000 | 14,708,220 | |
Technology Select Sector SPDR Fund | 17,000 | 2,161,040 | |
Vanguard FTSE Developed Markets ETF(1) | 407,000 | 16,605,600 | |
Vanguard FTSE Emerging Markets ETF | 84,000 | 3,498,600 | |
Vanguard Real Estate ETF(1) | 46,000 | 4,191,060 | |
Vanguard S&P 500 ETF | 70,000 | 24,281,600 | |
$ 88,635,670 | |||
Fixed-Income Funds — 14.4% | |||
iShares Core U.S. Aggregate Bond ETF | 153,000 | $ 15,557,040 | |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 10,000 | 1,100,300 | |
$ 16,657,340 | |||
Total Exchange-Traded Funds (identified cost $77,992,130) | $105,293,010 |
Short-Term Investments — 22.9% | |||
Affiliated Fund — 7.0% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 1.38%(2) | 8,095,307 | $ 8,095,307 | |
Total Affiliated Fund (identified cost $8,095,307) | $ 8,095,307 | ||
Securities Lending Collateral — 15.9% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 1.56%(3) | 18,473,060 | $ 18,473,060 | |
Total Securities Lending Collateral (identified cost $18,473,060) | $ 18,473,060 | ||
Total Short-Term Investments (identified cost $26,568,367) | $ 26,568,367 | ||
Total Investments — 113.7% (identified cost $104,560,497) | $131,861,377 | ||
Other Assets, Less Liabilities — (13.7)% | $ (15,885,550) | ||
Net Assets — 100.0% | $ 115,975,827 |
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, 2022. The aggregate market value of securities on loan at June 30, 2022 was $18,072,342. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2022. |
(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 | (127) | Short | 9/16/22 | $(24,063,325) | $(235,174) |
E-mini S&P MidCap 400 Index | (31) | Short | 9/16/22 | (7,030,800) | 349,204 |
MSCI EAFE Index | (103) | Short | 9/16/22 | (9,561,490) | 22,484 |
$ 136,514 |
June 30, 2022 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $96,465,190) - including $18,072,342 of securities on loan | $ 123,766,070 |
Investments in securities of affiliated issuers, at value (identified cost $8,095,307) | 8,095,307 |
Receivable for variation margin on open futures contracts | 318,298 |
Deposits at broker for futures contracts | 2,246,000 |
Dividends receivable | 116,930 |
Dividends receivable - affiliated | 7,278 |
Securities lending income receivable | 3,100 |
Receivable from affiliate | 21,814 |
Directors' deferred compensation plan | 76,477 |
Total assets | $134,651,274 |
Liabilities | |
Payable for capital shares redeemed | $ 29,050 |
Deposits for securities loaned | 18,473,060 |
Payable to affiliates: | |
Investment advisory fee | 37,828 |
Administrative fee | 11,631 |
Distribution and service fees | 24,232 |
Sub-transfer agency fee | 11 |
Directors' deferred compensation plan | 76,477 |
Accrued expenses | 23,158 |
Total liabilities | $ 18,675,447 |
Net Assets | $115,975,827 |
Sources of Net Assets | |
Paid-in capital | $ 81,421,358 |
Distributable earnings | 34,554,469 |
Net Assets | $115,975,827 |
Class F Shares | |
Net Assets | $ 115,975,827 |
Shares Outstanding | 5,672,448 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $ 20.45 |
Six Months Ended | |
June 30, 2022 | |
Investment Income | |
Dividend income | $ 928,215 |
Dividend income - affiliated issuers | 14,894 |
Securities lending income, net | 15,936 |
Total investment income | $ 959,045 |
Expenses | |
Investment advisory fee | $ 253,153 |
Administrative fee | 75,946 |
Distribution and service fees | 158,221 |
Directors' fees and expenses | 3,033 |
Custodian fees | 2,655 |
Transfer agency fees and expenses | 46,138 |
Accounting fees | 14,410 |
Professional fees | 17,267 |
Reports to shareholders | 80 |
Miscellaneous | 3,592 |
Total expenses | $ 574,495 |
Waiver and/or reimbursement of expenses by affiliate | $ (63,839) |
Net expenses | $ 510,656 |
Net investment income | $ 448,389 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $ 1,626,877 |
Investment securities - affiliated issuers | 83 |
Futures contracts | 3,622,758 |
Net realized gain | $ 5,249,718 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $ (26,303,630) |
Investment securities - affiliated issuers | (34) |
Futures contracts | 335,262 |
Net change in unrealized appreciation (depreciation) | $(25,968,402) |
Net realized and unrealized loss | $(20,718,684) |
Net decrease in net assets from operations | $(20,270,295) |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $ 448,389 | $ 1,107,264 |
Net realized gain | 5,249,718 | 5,975,630 |
Net change in unrealized appreciation (depreciation) | (25,968,402) | 13,459,147 |
Net increase (decrease) in net assets from operations | $ (20,270,295) | $ 20,542,041 |
Distributions to shareholders | $ — | $ (1,356,418) |
Net decrease in net assets from capital share transactions | $ (5,687,304) | $ (13,456,309) |
Net increase (decrease) in net assets | $ (25,957,599) | $ 5,729,314 |
Net Assets | ||
At beginning of period | $ 141,933,426 | $ 136,204,112 |
At end of period | $115,975,827 | $141,933,426 |
Class F | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||
2021 | 2020 | 2019 | 2018 | 2017 | ||
Net asset value — Beginning of period | $ 23.93 | $ 20.86 | $ 20.77 | $ 17.67 | $ 19.31 | $ 16.70 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $ 0.08 | $ 0.18 | $ 0.20 | $ 0.29 | $ 0.25 | $ 0.23 |
Net realized and unrealized gain (loss) | (3.56) | 3.12 | 0.22 | 3.08 | (1.68) | 2.59 |
Total income (loss) from operations | $ (3.48) | $ 3.30 | $ 0.42 | $ 3.37 | $ (1.43) | $ 2.82 |
Less Distributions | ||||||
From net investment income | $ — | $ (0.23) | $ (0.33) | $ (0.27) | $ (0.21) | $ (0.21) |
Total distributions | $ — | $ (0.23) | $ (0.33) | $ (0.27) | $ (0.21) | $ (0.21) |
Net asset value — End of period | $ 20.45 | $ 23.93 | $ 20.86 | $ 20.77 | $ 17.67 | $ 19.31 |
Total Return(2) | (14.54)% (3) | 15.87% | 2.15% | 19.22% | (7.50)% | 16.92% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $115,976 | $141,933 | $136,204 | $151,383 | $150,047 | $156,279 |
Ratios (as a percentage of average daily net assets):(4)(5) | ||||||
Total expenses | 0.91% (6) | 0.90% | 0.93% | 0.89% | 0.87% | 0.87% |
Net expenses | 0.81% (6)(7) | 0.81% | 0.83% | 0.83% | 0.83% | 0.83% |
Net investment income | 0.71% (6) | 0.79% | 1.00% | 1.48% | 1.32% | 1.25% |
Portfolio Turnover | 9% (3) | 7% | 13% | 7% | 13% | 7% |
(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. |
(7) | The investment adviser reduced a portion of its advisory fee (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Exchange-Traded Funds | $ 105,293,010 | $ — | $ — | $ 105,293,010 |
Short-Term Investments: | ||||
Affiliated Fund | 8,095,307 | — | — | 8,095,307 |
Securities Lending Collateral | 18,473,060 | — | — | 18,473,060 |
Total Investments | $131,861,377 | $ — | $ — | $131,861,377 |
Futures Contracts | $ 371,688 | $ — | $ — | $ 371,688 |
Total | $132,233,065 | $ — | $ — | $132,233,065 |
Liability Description | ||||
Futures Contracts | $ (235,174) | $ — | $ — | $ (235,174) |
Total | $ (235,174) | $ — | $ — | $ (235,174) |
Aggregate cost | $106,982,324 |
Gross unrealized appreciation | $ 26,671,008 |
Gross unrealized depreciation | (1,655,441) |
Net unrealized appreciation | $ 25,015,567 |
Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities | |
Futures contracts | Distributable earnings | $371,688 (1) | $(235,174) (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 | $ 3,622,758 | $ 335,262 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
Exchange-Traded Funds | $18,473,060 | $ — | $ — | $ — | $18,473,060 |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $10,804,372 | $11,133,534 | $(21,937,955) | $ 83 | $ (34) | $ — | $ 2,489 | — |
Liquidity Fund | — | 29,683,644 | (21,588,337) | — | — | 8,095,307 | 12,405 | 8,095,307 |
Total | $ 83 | $ (34) | $8,095,307 | $14,894 |
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Shares | Amount | Shares | Amount | ||
Class F | |||||
Shares sold | 3,284 | $ 73,245 | 73,295 | $ 1,669,451 | |
Reinvestment of distributions | — | — | 59,754 | 1,356,418 | |
Shares redeemed | (262,560) | (5,760,549) | (730,022) | (16,482,178) | |
Net decrease | (259,276) | $(5,687,304) | (596,973) | $(13,456,309) |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser’s policies and practices with respect to trading, including the Adviser’s processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM’s procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Officers |
Hope L. Brown Chief Compliance Officer |
Deidre E. Walsh Secretary, Vice President 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. | |
(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 22, 2022 |
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 22, 2022 | |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | August 22, 2022 |