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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File number:811-06563
Calvert World Values Fund, Inc.
(Exact Name of Registrant as Specified in Charter)
1825 Connecticut Avenue NW, Suite 400, Washington, DC 20009
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Service)
(202)238-2200
(Registrant’s telephone number)
September 30
Date of Fiscal Year End
March 31, 2020
Date of Reporting Period
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| Item 1. | Report to Stockholders. |
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Calvert
Mid-Cap Fund
Semiannual Report
March 31, 2020
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (calvert.com/prospectus), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by signing up for e-Delivery at calvert.com. If you own your shares through a financial intermediary (such as a broker-dealer or bank), you must contact your financial intermediary to sign up.
You may elect to receive all future Fund shareholder reports in paper free of charge. If you are a direct investor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-368-2745. If you own these shares through a financial intermediary, you must contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Calvert funds held directly or to all funds held through your financial intermediary, as applicable.
E-Delivery Sign-Up - Details Inside
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Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser has claimed an exclusion from the definition of “commodity pool operator” under the Commodity Exchange Act with respect to its management of the Fund and the other funds it manages. Accordingly neither the Fund nor the adviser is subject to CFTC regulation.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745.
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Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Performance
Portfolio ManagerCharles B. Gaffney of Calvert Research and Management
| % Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
| Class A at NAV | 10/31/1994 | 10/31/1994 | (18.95)% | (12.98)% | 0.14% | 7.87% |
| Class A with 4.75% Maximum Sales Charge | — | — | (22.80) | (17.11) | (0.83) | 7.35 |
| Class C at NAV | 10/31/1994 | 10/31/1994 | (19.31) | (13.66) | (0.63) | 7.04 |
| Class C with 1% Maximum Sales Charge | — | — | (20.06) | (14.46) | (0.63) | 7.04 |
| Class I at NAV | 06/03/2003 | 10/31/1994 | (18.85) | (12.76) | 0.52 | 8.44 |
| ·· | ||||||
| Russell Midcap® Index | — | — | (21.92)% | (18.31)% | 1.85% | 8.76% |
| % Total Annual Operating Expense Ratios3 | Class A | Class C | Class I |
| Gross | 1.30% | 2.05% | 1.05% |
| Net | 1.18 | 1.93 | 0.93 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to www.calvert.com.
2
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Calvert
Mid-Cap Fund
March 31, 2020
Fund Profile
Sector Allocation (% of net assets)*
* Excludes cash and cash equivalents.
| Top 10 Holdings (% of net assets)* | |
| Centene Corp. | 2.6% |
| Xcel Energy, Inc. | 2.6 |
| Dollar General Corp. | 2.3 |
| CMS Energy Corp. | 2.3 |
| Electronic Arts, Inc. | 2.2 |
| Sempra Energy | 2.2 |
| Black Knight, Inc. | 2.2 |
| Extra Space Storage, Inc. | 2.2 |
| Agilent Technologies, Inc. | 1.9 |
| Cognizant Technology Solutions Corp., Class A | 1.9 |
| Total | 22.4% |
| * | Excludes cash and cash equivalents. |
See Endnotes and Additional Disclosures in this report.
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Calvert
Mid-Cap Fund
March 31, 2020
Endnotes and Additional Disclosures
| 1 | Russell Midcap® Index is an unmanaged index of U.S. mid-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 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.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 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.Fund profile subject to change due to active management. |
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Calvert
Mid-Cap Fund
March 31, 2020
Fund Expenses
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2019 to March 31, 2020).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| Beginning Account Value (10/1/19) | Ending Account Value (3/31/20) | Expenses Paid During Period* (10/1/19 – 3/31/20) | Annualized Expense Ratio | |
| Actual | ||||
| Class A | $1,000.00 | $810.50 | $5.34** | 1.18% |
| Class C | $1,000.00 | $806.90 | $8.72** | 1.93% |
| Class I | $1,000.00 | $811.50 | $4.21** | 0.93% |
| Hypothetical | ||||
| (5% return per year before expenses) | ||||
| Class A | $1,000.00 | $1,019.10 | $5.96** | 1.18% |
| Class C | $1,000.00 | $1,015.35 | $9.72** | 1.93% |
| Class I | $1,000.00 | $1,020.35 | $4.70** | 0.93% |
| * | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (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 September 30, 2019. |
| ** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
5
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Calvert
Mid-Cap Fund
March 31, 2020
Schedule of Investments (Unaudited)
| Common Stocks — 97.7% |
| Security | Shares | Value |
| Aerospace & Defense — 1.2% | ||
| Hexcel Corp. | 57,714 | $ 2,146,384 |
| $ 2,146,384 | ||
| Auto Components — 0.7% | ||
| Aptiv PLC | 23,676 | $ 1,165,806 |
| $ 1,165,806 | ||
| Banks — 1.1% | ||
| First Republic Bank | 14,360 | $ 1,181,541 |
| Zions Bancorp NA | 26,363 | 705,474 |
| $1,887,015 | ||
| Beverages — 1.5% | ||
| Coca-Cola European Partners PLC | 71,729 | $2,691,989 |
| $2,691,989 | ||
| Biotechnology — 1.5% | ||
| Emergent BioSolutions, Inc.(1) | 45,695 | $2,643,913 |
| $2,643,913 | ||
| Building Products — 2.0% | ||
| Fortune Brands Home & Security, Inc. | 44,458 | $1,922,809 |
| Trex Co., Inc.(1)(2) | 21,158 | 1,695,602 |
| $3,618,411 | ||
| Capital Markets — 3.7% | ||
| Cboe Global Markets, Inc. | 25,049 | $2,235,623 |
| Northern Trust Corp. | 29,369 | 2,216,185 |
| Tradeweb Markets, Inc., Class A | 49,505 | 2,081,190 |
| $6,532,998 | ||
| Commercial Services & Supplies — 2.2% | ||
| Republic Services, Inc. | 27,676 | $2,077,361 |
| Tetra Tech, Inc. | 25,989 | 1,835,343 |
| $3,912,704 | ||
| Communications Equipment — 1.6% | ||
| Motorola Solutions, Inc. | 21,765 | $2,893,004 |
| $2,893,004 | ||
| Consumer Finance — 0.3% | ||
| Discover Financial Services | 15,939 | $568,544 |
| $568,544 | ||
| Security | Shares | Value |
| Containers & Packaging — 4.4% | ||
| AptarGroup, Inc. | 24,817 | $ 2,470,284 |
| Ball Corp. | 48,824 | 3,156,960 |
| Packaging Corp. of America | 25,534 | 2,217,117 |
| $ 7,844,361 | ||
| Diversified Consumer Services — 2.4% | ||
| Service Corp. International | 46,591 | $ 1,822,174 |
| ServiceMaster Global Holdings, Inc.(1) | 93,291 | 2,518,857 |
| $ 4,341,031 | ||
| Electric Utilities — 2.6% | ||
| Xcel Energy, Inc. | 77,818 | $4,692,425 |
| $4,692,425 | ||
| Electrical Equipment — 1.7% | ||
| AMETEK, Inc. | 42,453 | $3,057,465 |
| $3,057,465 | ||
| Electronic Equipment, Instruments & Components — 2.2% | ||
| CDW Corp. | 22,429 | $2,091,953 |
| Zebra Technologies Corp., Class A(1) | 10,514 | 1,930,370 |
| $4,022,323 | ||
| Entertainment — 2.2% | ||
| Electronic Arts, Inc.(1) | 39,579 | $3,964,628 |
| $3,964,628 | ||
| Equity Real Estate Investment Trusts (REITs) — 8.3% | ||
| AvalonBay Communities, Inc. | 21,488 | $3,162,389 |
| Extra Space Storage, Inc. | 40,709 | 3,898,294 |
| Lamar Advertising Co., Class A | 39,933 | 2,047,764 |
| Mid-America Apartment Communities, Inc. | 31,502 | 3,245,651 |
| National Retail Properties, Inc. | 79,924 | 2,572,754 |
| $14,926,852 | ||
| Food & Staples Retailing — 0.7% | ||
| Performance Food Group Co.(1) | 48,762 | $1,205,397 |
| $1,205,397 | ||
| Food Products — 2.0% | ||
| Lamb Weston Holdings, Inc. | 27,560 | $1,573,676 |
| Nomad Foods, Ltd.(1) | 111,421 | 2,067,974 |
| $3,641,650 | ||
| Health Care Equipment & Supplies — 3.3% | ||
| Cooper Cos., Inc. (The) | 7,379 | $2,034,169 |
6
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| Health Care Equipment & Supplies (continued) | ||
| Haemonetics Corp.(1) | 11,312 | $ 1,127,354 |
| Teleflex, Inc. | 9,168 | 2,684,940 |
| $ 5,846,463 | ||
| Health Care Providers & Services — 5.8% | ||
| Amedisys, Inc.(1) | 8,945 | $ 1,641,765 |
| Centene Corp.(1) | 79,453 | 4,720,303 |
| Chemed Corp. | 5,365 | 2,324,118 |
| LHC Group, Inc.(1) | 12,063 | 1,691,233 |
| $10,377,419 | ||
| Independent Power and Renewable Electricity Producers — 0.8% | ||
| NextEra Energy Partners, L.P. | 35,267 | $1,516,481 |
| $1,516,481 | ||
| Insurance — 7.0% | ||
| Alleghany Corp. | 3,329 | $1,838,773 |
| Allstate Corp. (The) | 23,210 | 2,129,054 |
| American Financial Group, Inc. | 25,312 | 1,773,865 |
| Assurant, Inc. | 29,498 | 3,070,447 |
| First American Financial Corp. | 36,971 | 1,567,940 |
| RLI Corp. | 24,382 | 2,143,909 |
| $12,523,988 | ||
| Interactive Media & Services — 0.8% | ||
| IAC/InterActiveCorp.(1) | 7,590 | $1,360,356 |
| $1,360,356 | ||
| IT Services — 8.9% | ||
| Amdocs, Ltd. | 43,015 | $2,364,535 |
| Black Knight, Inc.(1) | 67,350 | 3,910,341 |
| Broadridge Financial Solutions, Inc. | 30,922 | 2,932,333 |
| Cognizant Technology Solutions Corp., Class A | 71,487 | 3,322,001 |
| CSG Systems International, Inc. | 53,638 | 2,244,750 |
| WEX, Inc.(1) | 10,480 | 1,095,684 |
| $15,869,644 | ||
| Life Sciences Tools & Services — 1.9% | ||
| Agilent Technologies, Inc. | 47,366 | $3,392,353 |
| $3,392,353 | ||
| Machinery — 3.8% | ||
| Fortive Corp. | 40,439 | $2,231,829 |
| Stanley Black & Decker, Inc. | 26,101 | 2,610,100 |
| Xylem, Inc. | 31,402 | 2,045,212 |
| $6,887,141 | ||
| Security | Shares | Value |
| Metals & Mining — 0.6% | ||
| Steel Dynamics, Inc. | 50,662 | $ 1,141,921 |
| $ 1,141,921 | ||
| Multiline Retail — 2.3% | ||
| Dollar General Corp. | 27,436 | $ 4,143,110 |
| $ 4,143,110 | ||
| Multi-Utilities — 4.5% | ||
| CMS Energy Corp. | 69,733 | $ 4,096,814 |
| Sempra Energy | 34,864 | 3,939,283 |
| $8,036,097 | ||
| Pharmaceuticals — 1.1% | ||
| Jazz Pharmaceuticals PLC(1) | 19,045 | $1,899,548 |
| $1,899,548 | ||
| Professional Services — 2.7% | ||
| IHS Markit, Ltd. | 50,236 | $3,014,160 |
| Verisk Analytics, Inc. | 13,581 | 1,892,920 |
| $4,907,080 | ||
| Semiconductors & Semiconductor Equipment — 3.4% | ||
| Analog Devices, Inc. | 22,834 | $2,047,068 |
| NXP Semiconductors NV | 20,678 | 1,714,826 |
| Skyworks Solutions, Inc. | 26,597 | 2,377,240 |
| $6,139,134 | ||
| Software — 5.1% | ||
| ACI Worldwide, Inc.(1) | 70,740 | $1,708,371 |
| ANSYS, Inc.(1) | 10,457 | 2,430,939 |
| Bill.com Holdings, Inc.(1) | 22,031 | 753,460 |
| CDK Global, Inc. | 60,269 | 1,979,837 |
| Everbridge, Inc.(1)(2) | 9,634 | 1,024,672 |
| RealPage, Inc.(1) | 21,577 | 1,142,070 |
| $9,039,349 | ||
| Specialty Retail — 3.4% | ||
| Best Buy Co., Inc. | 38,640 | $2,202,480 |
| National Vision Holdings, Inc.(1) | 105,513 | 2,049,063 |
| Ross Stores, Inc. | 20,924 | 1,819,760 |
| $6,071,303 | ||
| Total Common Stocks (identified cost $188,133,108) | $174,908,287 | |
7
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| High Social Impact Investments — 0.7% |
| Security | Principal Amount (000's omitted) | Value |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(3)(4) | $ 697 | $ 671,675 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20(4)(5) | 309 | 302,820 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20(4)(5) | 398 | 386,956 |
| Total High Social Impact Investments (identified cost $1,403,903) | $ 1,361,451 | |
| Total Investments — 98.4% (identified cost $189,537,011) | $176,269,738 | |
| Other Assets, Less Liabilities — 1.6% | $ 2,781,272 | |
| Net Assets — 100.0% | $179,051,010 |
| 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 March 31, 2020. The aggregate market value of securities on loan at March 31, 2020 was $1,970,571. | |
| (3) | Affiliated company (see Note 7). | |
| (4) | Restricted security. Total market value of restricted securities amounts to $1,361,451, which represents 0.7% of the net assets of the Fund as of March 31, 2020. | |
| (5) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2020. | |
Restricted Securities
| Description | Acquisition Dates | Cost |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | $696,903 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20 | 11/13/15 | 309,000 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20 | 11/13/15 | 398,000 |
8
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited)
| March 31, 2020 | |
| Assets | |
| Investments in securities of unaffiliated issuers, at value (identified cost $188,840,108) - including $1,970,571 of securities on loan | $175,598,063 |
| Investments in securities of affiliated issuers, at value (identified cost $696,903) | 671,675 |
| Cash | 2,833,581 |
| Receivable for capital shares sold | 508,269 |
| Dividends and interest receivable | 262,316 |
| Interest receivable - affiliated | 3,049 |
| Securities lending income receivable | 99 |
| Receivable from affiliate | 26,635 |
| Directors' deferred compensation plan | 150,367 |
| Total assets | $180,054,054 |
| Liabilities | |
| Payable for investments purchased | $220,418 |
| Payable for capital shares redeemed | 334,799 |
| Payable to affiliates: | |
| Investment advisory fee | 102,786 |
| Administrative fee | 18,976 |
| Distribution and service fees | 34,558 |
| Sub-transfer agency fee | 5,440 |
| Directors' deferred compensation plan | 150,367 |
| Accrued expenses | 135,700 |
| Total liabilities | $1,003,044 |
| Net Assets | $179,051,010 |
| Sources of Net Assets | |
| Paid-in capital | $189,567,414 |
| Accumulated loss | (10,516,404) |
| Total | $179,051,010 |
| Class A Shares | |
| Net Assets | $121,294,455 |
| Shares Outstanding | 4,548,742 |
| Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $26.67 |
| Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $28.00 |
| Class C Shares | |
| Net Assets | $7,711,174 |
| Shares Outstanding | 432,163 |
| Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $17.84 |
9
See Notes to Financial Statements.
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Calvert
Mid-Cap Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited) — continued
| March 31, 2020 | |
| Class I Shares | |
| Net Assets | $50,045,381 |
| Shares Outstanding | 1,565,126 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $31.98 |
| On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
| * | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
10
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Statement of Operations (Unaudited)
| Six Months Ended | |
| March 31, 2020 | |
| Investment Income | |
| Dividend income (net of foreign taxes withheld of $5,547) | $1,507,177 |
| Interest income | 8,879 |
| Interest income - affiliated issuers | 10,689 |
| Securities lending income, net | 1,728 |
| Total investment income | $1,528,473 |
| Expenses | |
| Investment advisory fee | $715,398 |
| Administrative fee | 132,074 |
| Distribution and service fees: | |
| Class A | 194,773 |
| Class C | 66,240 |
| Directors' fees and expenses | 5,981 |
| Custodian fees | 284 |
| Transfer agency fees and expenses | 156,455 |
| Accounting fees | 23,098 |
| Professional fees | 20,663 |
| Registration fees | 40,808 |
| Reports to shareholders | 17,020 |
| Miscellaneous | 16,931 |
| Total expenses | $1,389,725 |
| Waiver and/or reimbursement of expenses by affiliate | $(101,385) |
| Reimbursement of expenses - other | (3,135) |
| Net expenses | $1,285,205 |
| Net investment income | $243,268 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss): | |
| Investment securities - unaffiliated issuers | $4,522,564 |
| Foreign currency transactions | (565) |
| Net realized gain | $4,521,999 |
| Change in unrealized appreciation (depreciation): | |
| Investment securities - unaffiliated issuers | $(45,456,437) |
| Investment securities - affiliated issuers | (11,371) |
| Foreign currency | 4 |
| Net change in unrealized appreciation (depreciation) | $(45,467,804) |
| Net realized and unrealized loss | $(40,945,805) |
| Net decrease in net assets from operations | $(40,702,537) |
11
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Statements of Changes in Net Assets
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |
| Increase (Decrease) in Net Assets | ||
| From operations: | ||
| Net investment income | $243,268 | $707,838 |
| Net realized gain | 4,521,999 | 12,080,437 |
| Net change in unrealized appreciation (depreciation) | (45,467,804) | (1,504,174) |
| Net increase (decrease) in net assets from operations | $(40,702,537) | $11,284,101 |
| Distributions to shareholders: | ||
| Class A | $(8,276,383) | $(9,307,133) |
| Class C | (1,104,384) | (1,293,432) |
| Class I | (2,242,939) | (4,175,285) |
| Total distributions to shareholders | $(11,623,706) | $(14,775,850) |
| Capital share transactions: | ||
| Class A | $153,166 | $882,077 |
| Class C | (4,151,519) | (2,030,602) |
| Class I | 16,302,195 | (43,573,385) |
| Net increase (decrease) in net assets from capital share transactions | $12,303,842 | $(44,721,910) |
| Net decrease in net assets | $(40,022,401) | $(48,213,659) |
| Net Assets | ||
| At beginning of period | $219,073,411 | $267,287,070 |
| At end of period | $179,051,010 | $219,073,411 |
12
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Financial Highlights
| Class A | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $34.69 | $34.84 | $33.40 | $29.68 | $33.41 | $36.99 |
| Income (Loss) From Operations | ||||||
| Net investment income (loss)(1) | $0.04 | $0.09 | $0.07 | $0.20 | $0.02(2) | $(0.16) |
| Net realized and unrealized gain (loss) | (6.21) | 1.85 | 4.59 | 3.68 | (0.67) | 1.91 |
| Total income (loss) from operations | $(6.17) | $1.94 | $4.66 | $3.88 | $(0.65) | $1.75 |
| Less Distributions | ||||||
| From net investment income | $(0.03) | $(0.08) | $(0.04) | $(0.15) | $— | $— |
| From net realized gain | (1.82) | (2.01) | (3.18) | (0.01) | (3.08) | (5.33) |
| Total distributions | $(1.85) | $(2.09) | $(3.22) | $(0.16) | $(3.08) | $(5.33) |
| Net asset value — End of period | $26.67 | $34.69 | $34.84 | $33.40 | $29.68 | $33.41 |
| Total Return(3) | (18.95)%(4) | 6.56% | 15.04% | 13.11% | (2.08)% | 4.90% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $121,294 | $158,005 | $157,046 | $159,951 | $192,402 | $223,328 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 1.28%(6) | 1.30% | 1.28% | 1.34% | 1.37% | 1.41% |
| Net expenses | 1.18%(6) | 1.19% | 1.21% | 1.21% | 1.31% | 1.41% |
| Net investment income (loss) | 0.21%(6) | 0.27% | 0.22% | 0.64% | 0.07%(2) | (0.43)% |
| Portfolio Turnover | 41%(4) | 83% | 62% | 162% | 199% | 74% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.001 per share and 0% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
13
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Financial Highlights — continued
| Class C | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $23.83 | $24.65 | $24.55 | $21.87 | $25.62 | $29.76 |
| Income (Loss) From Operations | ||||||
| Net investment loss(1) | $(0.07) | $(0.11) | $(0.12) | $(0.03) | $(0.16)(2) | $(0.34) |
| Net realized and unrealized gain (loss) | (4.14) | 1.23 | 3.27 | 2.72 | (0.51) | 1.53 |
| Total income (loss) from operations | $(4.21) | $1.12 | $3.15 | $2.69 | $(0.67) | $1.19 |
| Less Distributions | ||||||
| From net realized gain | $(1.78) | $(1.94) | $(3.05) | $(0.01) | $(3.08) | $(5.33) |
| Total distributions | $(1.78) | $(1.94) | $(3.05) | $(0.01) | $(3.08) | $(5.33) |
| Net asset value — End of period | $17.84 | $23.83 | $24.65 | $24.55 | $21.87 | $25.62 |
| Total Return(3) | (19.31)%(4) | 5.77% | 14.20% | 12.29% | (2.87)% | 4.09% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $7,711 | $14,535 | $17,043 | $18,146 | $22,885 | $29,837 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 2.03%(6) | 2.05% | 2.03% | 2.18% | 2.16% | 2.21% |
| Net expenses | 1.93%(6) | 1.94% | 1.96% | 1.96% | 2.09% | 2.21% |
| Net investment loss | (0.58)%(6) | (0.49)% | (0.53)% | (0.12)% | (0.72)%(2) | (1.23)% |
| Portfolio Turnover | 41%(4) | 83% | 62% | 162% | 199% | 74% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.001 per share and 0% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
14
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Financial Highlights — continued
| Class I | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $41.25 | $40.97 | $38.70 | $34.38 | $38.05 | $41.19 |
| Income (Loss) From Operations | ||||||
| Net investment income(1) | $0.09 | $0.21 | $0.23 | $0.41 | $0.19(2) | $0.06 |
| Net realized and unrealized gain (loss) | (7.45) | 2.24 | 5.37 | 4.22 | (0.78) | 2.13 |
| Total income (loss) from operations | $(7.36) | $2.45 | $5.60 | $4.63 | $(0.59) | $2.19 |
| Less Distributions | ||||||
| From net investment income | $(0.09) | $(0.16) | $(0.15) | $(0.30) | $— | $— |
| From net realized gain | (1.82) | (2.01) | (3.18) | (0.01) | (3.08) | (5.33) |
| Total distributions | $(1.91) | $(2.17) | $(3.33) | $(0.31) | $(3.08) | $(5.33) |
| Net asset value — End of period | $31.98 | $41.25 | $40.97 | $38.70 | $34.38 | $38.05 |
| Total Return(3) | (18.85)%(4) | 6.85% | 15.48% | 13.53% | (1.64)% | 5.53% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $50,045 | $46,533 | $93,198 | $68,748 | $166,759 | $236,228 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 1.03%(6) | 1.05% | 1.03% | 0.88% | 0.86% | 0.83% |
| Net expenses | 0.93%(6) | 0.91% | 0.86% | 0.86% | 0.84% | 0.83% |
| Net investment income | 0.46%(6) | 0.54% | 0.59% | 1.14% | 0.55%(2) | 0.14% |
| Portfolio Turnover | 41%(4) | 83% | 62% | 162% | 199% | 74% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.001 per share and 0% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
15
See Notes to Financial Statements.
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Calvert Mid-Cap Fund (the Fund) is a diversified series of Calvert World Values Fund, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek to provide long-term capital appreciation by investing primarily in mid-cap stocks.
The Fund offers three classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within 12 months of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within 12 months of purchase. Class C shares are only available for purchase through a financial intermediary. Effective January 25, 2019, Class C shares generally automatically convert to Class A shares ten years after their purchase as described in the Fund’s prospectus. Class I shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946,Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A Investment Valuation— Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
16
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund's holdings as of March 31, 2020, based on the inputs used to value them:
| Asset Description | Level 1 | Level 2 | Level 3 | Total |
| Common Stocks | $174,908,287(1) | $ — | $— | $174,908,287 |
| High Social Impact Investments | — | 1,361,451 | — | 1,361,451 |
| Total Investments | $174,908,287 | $1,361,451 | $ — | $176,269,738 |
| (1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
B Investment Transactions and Income— Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation.Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date.
Non-cash dividends are recorded at the fair value of the securities received.Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain.Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C Share Class Accounting— Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
D Foreign Currency Transactions— The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E Restricted Securities— The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
F Distributions to Shareholders— Distributions to shareholders are recorded by the Fund on ex-dividend date. Distributions from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are declared separately for each class of shares. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
G Estimates— The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H Indemnifications— The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I Federal Income Taxes— No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
J Interim Financial Statements— The interim financial statements relating to March 31, 2020 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund's management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
17
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
2 Related Party Transactions
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.65% of the Fund's average daily net assets. For the six months ended March 31, 2020, the investment advisory fee amounted to $715,398.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, borrowing costs, taxes or litigation expenses) exceed 1.18%, 1.93% and 0.93% for Class A, Class C and Class I, respectively, of such class' average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2021. For the six months ended March 31, 2020, CRM waived or reimbursed expenses of $101,385.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C and Class I and is payable monthly. For the six months ended March 31, 2020, CRM was paid administrative fees of $132,074.
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. The Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. In addition, pursuant to the Class C Plan, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued for the six months ended March 31, 2020 amounted to $194,773 and $66,240 for Class A shares and Class C shares, respectively.
The Fund was informed that EVD received $10,717 as its portion of the sales charge on sales of Class A shares for the six months ended March 31, 2020. The Fund was also informed that EVD received $10,856 of contingent deferred sales charges (CDSC) paid by Class C shareholders and no CDSC paid by Class A shareholders for the same period.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2020, sub-transfer agency fees and expenses incurred to EVM amounted to $35,505 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives an annual fee of $154,000, plus an annual Committee fee ranging from $8,500 to $16,500 depending on the Committee. The Board chair receives an additional $20,000 annual fee and Committee chairs receive an additional $6,000 annual fee. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund's assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and three (four prior to December 31, 2019) additional members. Each member (other than CRM’s Chief Executive Officer) received annual compensation of $75,000, which was being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019.For the six months ended March 31, 2020, the Fund’s allocated portion of such expense and reimbursement was $3,135, which are included in miscellaneous expense and reimbursement of expenses - other, respectively, on the Statement of Operations. For the year ending December 31, 2020, each member (other than CRM’s Chief Executive Officer) is expected to be compensated $20,000 for their service on the advisory council. Such compensation, and any other compensation and/or expenses incurred by the advisory council as may be approved by the Board, shall be borne by the Calvert funds.
3 Investment Activity
During the six months ended March 31, 2020, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $87,241,064 and $87,783,344, respectively.
18
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
4 Distributions to Shareholders and Income Tax Information
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2020, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $190,361,991 |
| Gross unrealized appreciation | $8,698,842 |
| Gross unrealized depreciation | (22,791,095) |
| Net unrealized depreciation | $(14,092,253) |
5 Securities Lending
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSBT), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSBT. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At March 31, 2020, the total value of securities on loan was $1,970,571 and the total value of collateral received was $2,137,977, comprised of U.S. government and/or agencies securities.
6 Line of Credit
Effective October 29, 2019, the Fund participates with other portfolios and funds managed by EVM and its affiliates, including CRM, in an $800 million unsecured line of credit with a group of banks, which is in effect through October 27, 2020. Borrowings are made by the Fund solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Fund based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time.
Prior to October 29, 2019, the Fund participated with other funds managed by CRM in a $100 million committed unsecured line of credit agreement with SSBT, which was terminated by the Calvert funds. Borrowings bore interest at the higher of the one-month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds rate, plus 1.00% per annum. A commitment fee of 0.20% per annum was incurred on the unused portion of the committed facility, which was allocated to all participating funds.
The Fund had no borrowings outstanding pursuant to its line of credit at March 31, 2020. The Fund did not have any significant borrowings or allocated fees during the six months ended March 31, 2020.
7 Affiliated Companies
The Fund has invested a portion of its assets in notes (the Notes) issued by Calvert Impact Capital, Inc. (CIC) pursuant to exemptive relief granted by the U.S. Securities and Exchange Commission (the SEC). There are certain potential points of affiliation between the Fund and CIC. CRM has licensed use of the Calvert name to CIC and provides other types of support. CRM’s President and Chief Executive Officer (and the only director/trustee on the Fund Board that is an “interested person” of the Fund) serves on the CIC Board, along with one member of the Advisory Council to the Fund Board and a second officer of CRM. In addition, another director/trustee on the Fund Board and a member of the Advisory Council each serve as a director emeritus on the CIC Board.
19
Table of Contents
Calvert
Mid-Cap Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
At March 31, 2020, the value of the Fund’s investment in the Notes was $671,675, which represents 0.4% of the Fund’s net assets. Transactions in the Notes by the Fund for the six months ended March 31, 2020 were as follows:
| Name of issuer | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest income | Capital gain distributions received | Principal amount, end of period |
| High Social Impact Investments | |||||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) | $2,605,631 | $ — | $(2,619,488) | $ — | $13,857 | $ — | $7,640 | $ — | $— |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | — | 696,903 | — | — | (25,228) | 671,675 | 3,049 | — | 696,903 |
| Totals | $ — | $(11,371) | $671,675 | $10,689 | $ — |
| (1) | Restricted security. |
8 Capital Shares
The Corporation may issue its shares in one or more series (such as the Fund). The authorized shares of the Fund consist of 75,000,000 common shares, $0.01 par value, for each Class.
Transactions in capital shares for the six months ended March 31, 2020 and the year ended September 30, 2019 were as follows:
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
| Shares | Amount | Shares | Amount | ||
| Class A | |||||
| Shares sold | 167,622 | $5,622,609 | 336,722 | $10,998,087 | |
| Reinvestment of distributions | 233,552 | 7,959,447 | 299,488 | 8,942,725 | |
| Shares redeemed | (414,513) | (13,680,822) | (742,143) | (23,719,620) | |
| Converted from Class C | 7,867 | 251,932 | 152,429 | 4,660,885 | |
| Net increase (decrease) | (5,472) | $153,166 | 46,496 | $882,077 | |
| Class C | |||||
| Shares sold | 60,854 | $1,406,221 | 220,887 | $4,577,767 | |
| Reinvestment of distributions | 30,825 | 704,666 | 59,723 | 1,232,088 | |
| Shares redeemed | (257,889) | (6,010,474) | (141,161) | (3,179,572) | |
| Converted to Class A | (11,662) | (251,932) | (220,894) | (4,660,885) | |
| Net decrease | (177,872) | $(4,151,519) | (81,445) | $(2,030,602) | |
| Class I | |||||
| Shares sold | 673,112 | $25,086,790 | 1,227,687 | $47,437,976 | |
| Reinvestment of distributions | 51,752 | 2,113,537 | 96,198 | 3,408,286 | |
| Shares redeemed | (287,767) | (10,898,132) | (2,470,818) | (94,419,647) | |
| Net increase (decrease) | 437,097 | $16,302,195 | (1,146,933) | $(43,573,385) | |
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Calvert
Mid-Cap Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
9 Risks and Uncertainties
An outbreak of respiratory disease caused by a novel coronavirus that was first detected in China in December 2019 has spread rapidly internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and individual companies and can affect the market in general in significant and unforeseen ways. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The near-term impact of this coronavirus has resulted in substantial market volatility, which may have an adverse effect on the Fund’s investments.
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Calvert
Mid-Cap Fund
March 31, 2020
Board of Directors' Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 4, 2020, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• 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;
Information about Portfolio Management and Trading
• 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”;
Information about the Adviser
• 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;
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Calvert
Mid-Cap Fund
March 31, 2020
Board of Directors' Contract Approval — continued
Other Relevant Information
• 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.
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert Mid-Cap Fund (the “Fund”), including the fee payable under the agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser under the investment advisory agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser under the investment advisory agreement.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and its benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2019. This performance data indicated that the Fund had outperformed the median of its peer universe for the one-, three- and five-year periods ended September 30, 2019. It also indicated that the Fund had outperformed its benchmark index for the one- and three-year periods ended September 30, 2019, while it had underperformed its benchmark index for the five-year period ended September 30, 2019. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) and the Fund’s total expenses (net of waivers and/or reimbursements) were each below the respective median of the Fund’s expense group. The Board took into account the Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser was waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management fees were reasonable in view of the nature, extent and quality of services provided by the Adviser.
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Calvert
Mid-Cap Fund
March 31, 2020
Board of Directors' Contract Approval — continued
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Based upon its review, the Board concluded that the Adviser’s and its affiliates’ level of profitability from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specified asset levels would not be appropriate at this time. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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Calvert
Mid-Cap Fund
March 31, 2020
Officers and Directors
| Officers |
| Hope L. Brown Chief Compliance Officer |
| Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
| James F. Kirchner Treasurer |
| Directors |
| Alice Gresham Bullock Chairperson |
| Richard L. Baird, Jr. |
| Cari M. Dominguez |
| John G. Guffey, Jr. |
| Miles D. Harper, III |
| Joy V. Jones |
| John H. Streur* |
| Anthony A. Williams |
| *Interested Director and President |
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Calvert Funds
IMPORTANT NOTICES
Privacy.The Eaton Vance organization is committed to ensuring your financial privacy. Each entity listed below has adopted a privacy policy and procedures (“Privacy Program”) Eaton Vance believes is reasonably designed to protect your personal information and to govern when and with whom Eaton Vance may share your personal information.
| • | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
| • | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
| • | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
| • | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of protecting your personal information applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Limited, Eaton Vance Global Advisors Limited, Eaton Vance Management's Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, and Calvert Funds. This Privacy Notice supersedes all previously issued privacy disclosures. For more information about our Privacy Program or about how your personal information may be used, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders.Calvert funds, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial intermediary, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial intermediary. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC for the first and third quarters of each fiscal year. The Form N-PORT will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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Investment Adviser and Administrator
Calvert Research and Management
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
DST Asset Manager Solutions, Inc.
2000 Crown Colony Drive
Quincy, MA 02169
Fund Offices
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
*FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
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Printed on recycled paper.
24210 3.31.20
Table of Contents
Calvert
Emerging Markets Equity Fund
Semiannual Report
March 31, 2020
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (calvert.com/prospectus), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by signing up for e-Delivery at calvert.com. If you own your shares through a financial intermediary (such as a broker-dealer or bank), you must contact your financial intermediary to sign up.
You may elect to receive all future Fund shareholder reports in paper free of charge. If you are a direct investor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-368-2745. If you own these shares through a financial intermediary, you must contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Calvert funds held directly or to all funds held through your financial intermediary, as applicable.
E-Delivery Sign-Up - Details Inside
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Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser has claimed an exclusion from the definition of “commodity pool operator” under the Commodity Exchange Act with respect to its management of the Fund and the other funds it manages. Accordingly neither the Fund nor the adviser is subject to CFTC regulation.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745.
Choose Planet-friendly E-delivery!
Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs.
Just go towww.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail.
If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps.
Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm.
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Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Performance
Portfolio ManagersGary Greenberg, CFA, Co-Portfolio Manager, Elena Tedesco, CFA, Co-Portfolio Manager and Kunjal Gala, Co-Portfolio Manager, each of Hermes Investment Management Limited
| % Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
| Class A at NAV | 10/29/2012 | 10/29/2012 | (15.17)% | (15.96)% | 1.50% | 3.43% |
| Class A with 4.75% Maximum Sales Charge | — | — | (19.20) | (19.96) | 0.51 | 2.75 |
| Class C at NAV | 10/29/2012 | 10/29/2012 | (15.56) | (16.57) | 0.72 | 2.57 |
| Class C with 1% Maximum Sales Charge | — | — | (16.40) | (17.41) | 0.72 | 2.57 |
| Class I at NAV | 10/29/2012 | 10/29/2012 | (15.11) | (15.73) | 1.81 | 3.77 |
| Class R6 at NAV | 02/01/2018 | 10/29/2012 | (15.07) | (15.69) | 1.81 | 3.77 |
| ·· | ||||||
| MSCI Emerging Markets Index | — | — | (14.55)% | (17.69)% | (0.37)% | 0.28% |
| % Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
| Gross | 1.37% | 2.12% | 1.12% | 1.05% |
| Net | 1.24 | 1.99 | 0.99 | 0.92 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to www.calvert.com.
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Calvert
Emerging Markets Equity Fund
March 31, 2020
Fund Profile
Sector Allocation (% of net assets)*
*Excludes cash and cash equivalents.
| Top 10 Holdings (% of net assets)* | |
| Alibaba Group Holding, Ltd. ADR | 9.3% |
| Samsung Electronics Co., Ltd. | 7.6 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 5.8 |
| Prosus NV | 5.0 |
| Tencent Holdings, Ltd. | 5.0 |
| NARI Technology Co., Ltd., Class A | 3.8 |
| AIA Group, Ltd. | 3.0 |
| Delta Electronics, Inc. | 3.0 |
| Techtronic Industries Co., Ltd. | 2.9 |
| Yandex NV, Class A | 2.5 |
| Total | 47.9% |
| * | Excludes cash and cash equivalents. |
See Endnotes and Additional Disclosures in this report.
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Calvert
Emerging Markets Equity Fund
March 31, 2020
Endnotes and Additional Disclosures
| 1 | MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. 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 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance since inception for an index, if presented, is the performance since the Fund’s or oldest share class’ inception, as applicable. 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 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
Fund profile subject to change due to active management.
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Calvert
Emerging Markets Equity Fund
March 31, 2020
Fund Expenses
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2019 to March 31, 2020).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| Beginning Account Value (10/1/19) | Ending Account Value (3/31/20) | Expenses Paid During Period* (10/1/19 – 3/31/20) | Annualized Expense Ratio | |
| Actual | ||||
| Class A | $1,000.00 | $848.30 | $5.73** | 1.24% |
| Class C | $1,000.00 | $844.40 | $9.18** | 1.99% |
| Class I | $1,000.00 | $848.90 | $4.58** | 0.99% |
| Class R6 | $1,000.00 | $849.30 | $4.25** | 0.92% |
| Hypothetical | ||||
| (5% return per year before expenses) | ||||
| Class A | $1,000.00 | $1,018.80 | $6.26** | 1.24% |
| Class C | $1,000.00 | $1,015.05 | $10.02** | 1.99% |
| Class I | $1,000.00 | $1,020.05 | $5.00** | 0.99% |
| Class R6 | $1,000.00 | $1,020.40 | $4.65** | 0.92% |
| * | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (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 September 30, 2019. |
| ** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Calvert
Emerging Markets Equity Fund
March 31, 2020
Schedule of Investments (Unaudited)
| Common Stocks — 97.7% |
| Security | Shares | Value |
| Brazil — 4.9% | ||
| BB Seguridade Participacoes SA | 5,594,967 | $ 26,757,555 |
| Duratex SA | 7,531,441 | 13,552,274 |
| Hapvida Participacoes e Investimentos SA(1) | 2,523,231 | 20,589,480 |
| Itau Unibanco Holding SA, PFC Shares | 5,565,971 | 24,733,602 |
| Notre Dame Intermedica Participacoes SA | 2,056,276 | 17,792,223 |
| $ 103,425,134 | ||
| China — 30.1% | ||
| Aier Eye Hospital Group Co., Ltd., Class A | 5,224,259 | $ 28,667,572 |
| Alibaba Group Holding, Ltd. ADR(2) | 1,011,274 | 196,672,568 |
| Autohome, Inc. ADR(2)(3) | 375,061 | 26,636,832 |
| Baozun, Inc. ADR(2)(3) | 1,509,209 | 42,167,299 |
| China Communications Services Corp., Ltd., Class H | 56,120,000 | 40,353,253 |
| China Mengniu Dairy Co., Ltd.(2) | 14,186,310 | 48,924,569 |
| Gree Electric Appliances, Inc. of Zhuhai, Class A | 3,979,786 | 28,984,725 |
| NARI Technology Co., Ltd., Class A | 29,235,024 | 80,247,443 |
| Shenzhen International Holdings, Ltd. | 21,211,373 | 38,469,019 |
| Tencent Holdings, Ltd. | 2,160,596 | 106,793,062 |
| $637,916,342 | ||
| Egypt — 1.4% | ||
| Commercial International Bank Egypt SAE | 7,806,374 | $28,817,712 |
| $28,817,712 | ||
| Hong Kong — 6.9% | ||
| AIA Group, Ltd. | 7,184,034 | $64,330,392 |
| Samsonite International SA(1) | 21,423,226 | 20,059,202 |
| Techtronic Industries Co., Ltd. | 9,710,290 | 61,659,403 |
| $146,048,997 | ||
| Hungary — 1.6% | ||
| Richter Gedeon Nyrt | 1,850,443 | $34,897,593 |
| $34,897,593 | ||
| India — 9.4% | ||
| Bharat Forge, Ltd. | 4,514,504 | $13,965,663 |
| Container Corp. of India, Ltd. | 3,400,134 | 14,796,409 |
| HCL Technologies, Ltd. | 3,849,553 | 22,032,570 |
| HDFC Bank, Ltd. ADR | 1,006,618 | 38,714,528 |
| Hero MotoCorp, Ltd. | 1,064,796 | 22,226,138 |
| ICICI Bank, Ltd. | 5,701,779 | 24,554,438 |
| Motherson Sumi Systems, Ltd. | 16,901,669 | 13,506,400 |
| Power Grid Corp. of India, Ltd. | 3,961,772 | 8,306,583 |
| SBI Life Insurance Co., Ltd.(1) | 2,267,103 | 19,543,336 |
| Security | Shares | Value |
| India (continued) | ||
| Tech Mahindra, Ltd. | 2,930,258 | $ 21,692,254 |
| $ 199,338,319 | ||
| Indonesia — 2.1% | ||
| Bank Rakyat Indonesia Persero Tbk PT | 239,723,796 | $ 43,966,567 |
| $ 43,966,567 | ||
| Mexico — 1.2% | ||
| Wal-Mart de Mexico SAB de CV | 10,677,884 | $ 25,157,000 |
| $ 25,157,000 | ||
| Peru — 1.6% | ||
| Credicorp, Ltd. | 234,761 | $33,587,256 |
| $33,587,256 | ||
| Russia — 3.6% | ||
| Mail.ru Group, Ltd. GDR(2) | 1,470,759 | $23,639,992 |
| Yandex NV, Class A(2) | 1,571,595 | 53,512,810 |
| $77,152,802 | ||
| South Africa — 6.5% | ||
| Prosus NV(2) | 1,539,053 | $106,900,131 |
| Shoprite Holdings, Ltd. | 4,297,707 | 30,158,799 |
| $137,058,930 | ||
| South Korea — 13.3% | ||
| KB Financial Group, Inc. | 1,499,412 | $42,169,486 |
| LG Household & Health Care, Ltd. | 28,615 | 26,210,987 |
| NCSoft Corp. | 99,802 | 53,264,759 |
| Samsung Electronics Co., Ltd. | 4,153,138 | 161,480,182 |
| $283,125,414 | ||
| Taiwan — 14.0% | ||
| Accton Technology Corp. | 7,323,000 | $39,182,348 |
| Advantech Co., Ltd. | 3,064,983 | 25,254,439 |
| Chipbond Technology Corp. | 14,961,000 | 24,227,323 |
| Delta Electronics, Inc. | 16,062,000 | 63,570,413 |
| LandMark Optoelectronics Corp. | 2,621,900 | 22,297,024 |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 2,583,549 | 123,467,807 |
| $297,999,354 | ||
| Turkey — 1.1% | ||
| BIM Birlesik Magazalar AS | 3,209,406 | $24,369,402 |
| $24,369,402 | ||
6
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| United Arab Emirates — 0.0% | ||
| NMC Health PLC(4) | 2,704,917 | $ — |
| $ — | ||
| Total Common Stocks (identified cost $2,408,955,720) | $2,072,860,822 | |
| High Social Impact Investments — 0.3% |
| Security | Principal Amount (000's omitted) | Value |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(5)(6) | $ 7,467 | $ 7,196,569 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20(6)(7) | 43 | 42,140 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20(6)(7) | 56 | 54,446 |
| Total High Social Impact Investments (identified cost $7,565,870) | $ 7,293,155 |
| Short-Term Investments — 1.9% |
| Security | Shares | Value |
| State Street Navigator Securities Lending Government Money Market Portfolio, 0.24%(8) | 40,714,661 | $ 40,714,661 |
| Total Short-Term Investments (identified cost $40,714,661) | $ 40,714,661 | |
| Total Investments — 99.9% (identified cost $2,457,236,251) | $2,120,868,638 | |
| Other Assets, Less Liabilities — 0.1% | $ 1,168,390 | |
| Net Assets — 100.0% | $2,122,037,028 |
| The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
| (1) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $60,192,018, which represents 2.8% of the net assets of the Fund as of March 31, 2020. | |
| (2) | Non-income producing security. | |
| (3) | All or a portion of this security was on loan at March 31, 2020. The aggregate market value of securities on loan at March 31, 2020 was $42,083,443. |
| (4) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
| (5) | Affiliated company (see Note 7). |
| (6) | Restricted security. Total market value of restricted securities amounts to $7,293,155, which represents 0.3% of the net assets of the Fund as of March 31, 2020. |
| (7) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2020. |
| (8) | Represents investment of cash collateral received in connection with securities lending. |
At March 31, 2020, the concentration of the Fund’s investments in the various sectors, determined as a percentage of net assets, was as follows:
| Economic Sectors | % of Net Assets |
| Information Technology | 23.7% |
| Consumer Discretionary | 21.0 |
| Financials | 16.4 |
| Communication Services | 12.4 |
| Industrials | 11.1 |
| Consumer Staples | 7.3 |
| Health Care | 4.8 |
| Materials | 0.6 |
| Utilities | 0.4 |
| High Social Impact Investments | 0.3 |
| Total | 98.0% |
7
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
Restricted Securities
| Description | Acquisition Dates | Cost |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | $7,466,870 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20 | 11/13/15 | 43,000 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20 | 11/13/15 | 56,000 |
| Abbreviations: | |
| ADR | – American Depositary Receipt |
| GDR | – Global Depositary Receipt |
| PFC Shares | – Preference Shares |
8
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited)
| March 31, 2020 | |
| Assets | |
| Investments in securities of unaffiliated issuers, at value (identified cost $2,449,769,381) - including $42,083,443 of securities on loan | $2,113,672,069 |
| Investments in securities of affiliated issuers, at value (identified cost $7,466,870) | 7,196,569 |
| Cash | 10,426,164 |
| Cash denominated in foreign currency, at value (cost $6,741,623) | 6,745,636 |
| Receivable for investments sold | 15,281,733 |
| Receivable for capital shares sold | 18,120,533 |
| Dividends and interest receivable | 5,912,457 |
| Interest receivable - affiliated | 32,668 |
| Securities lending income receivable | 70,037 |
| Directors' deferred compensation plan | 659,726 |
| Total assets | $2,178,117,592 |
| Liabilities | |
| Payable for investments purchased | $4,384,230 |
| Payable for capital shares redeemed | 5,999,013 |
| Payable for foreign capital gain taxes | 1,174,111 |
| Deposits for securities loaned | 40,714,661 |
| Payable to affiliates: | |
| Investment advisory fee | 1,456,898 |
| Administrative fee | 233,104 |
| Distribution and service fees | 52,295 |
| Sub-transfer agency fee | 6,265 |
| Directors' deferred compensation plan | 659,726 |
| Other | 283,980 |
| Accrued expenses | 1,116,281 |
| Total liabilities | $56,080,564 |
| Net Assets | $2,122,037,028 |
| Sources of Net Assets | |
| Paid-in capital | $2,553,438,216 |
| Accumulated loss | (431,401,188) |
| Total | $2,122,037,028 |
| Class A Shares | |
| Net Assets | $140,441,587 |
| Shares Outstanding | 10,367,238 |
| Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $13.55 |
| Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $14.23 |
| Class C Shares | |
| Net Assets | $24,841,382 |
| Shares Outstanding | 1,883,355 |
| Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $13.19 |
9
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited) — continued
| March 31, 2020 | |
| Class I Shares | |
| Net Assets | $1,739,326,952 |
| Shares Outstanding | 127,240,387 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $13.67 |
| Class R6 Shares | |
| Net Assets | $217,427,107 |
| Shares Outstanding | 15,940,917 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $13.64 |
| On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
| * | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
10
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Statement of Operations (Unaudited)
| Six Months Ended | |
| March 31, 2020 | |
| Investment Income | |
| Dividend income (net of foreign taxes withheld of $2,513,946) | $19,653,300 |
| Interest income - unaffiliated issuers | 637 |
| Interest income - affiliated issuers | 38,501 |
| Securities lending income, net | 1,064,700 |
| Total investment income | $20,757,138 |
| Expenses | |
| Investment advisory fee | $9,310,190 |
| Administrative fee | 1,489,630 |
| Distribution and service fees: | |
| Class A | 179,567 |
| Class C | 154,081 |
| Directors' fees and expenses | 68,843 |
| Custodian fees | 9,301 |
| Transfer agency fees and expenses | 898,508 |
| Accounting fees | 71,578 |
| Professional fees | 87,570 |
| Registration fees | 178,022 |
| Reports to shareholders | 147,669 |
| Miscellaneous | 92,469 |
| Total expenses | $12,687,428 |
| Waiver and/or reimbursement of expenses by affiliate | $(114,348) |
| Reimbursement of expenses - other | (35,450) |
| Net expenses | $12,537,630 |
| Net investment income | $8,219,508 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss): | |
| Investment securities - unaffiliated issuers | $(59,292,498) |
| Foreign currency transactions | (1,051,380) |
| Net realized loss | $(60,343,878) |
| Change in unrealized appreciation (depreciation): | |
| Investment securities - unaffiliated issuers (including net increase in payable for foreign capital gains taxes of $177,189) | $(367,513,164) |
| Investment securities - affiliated issuers | (259,721) |
| Foreign currency | (567,286) |
| Net change in unrealized appreciation (depreciation) | $(368,340,171) |
| Net realized and unrealized loss | $(428,684,049) |
| Net decrease in net assets from operations | $(420,464,541) |
11
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Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Statements of Changes in Net Assets
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |
| Increase (Decrease) in Net Assets | ||
| From operations: | ||
| Net investment income | $8,219,508 | $22,716,547 |
| Net realized loss | (60,343,878) | (24,321,645) |
| Net change in unrealized appreciation (depreciation) | (368,340,171) | 84,061,839 |
| Net increase (decrease) in net assets from operations | $(420,464,541) | $82,456,741 |
| Distributions to shareholders: | ||
| Class A | $(673,897) | $(830,950) |
| Class C | — | (100,965) |
| Class I | (14,521,439) | (12,937,246) |
| Class R6 | (1,960,798) | (549,482) |
| Total distributions to shareholders | $(17,156,134) | $(14,418,643) |
| Capital share transactions: | ||
| Class A | $33,434,954 | $(24,807,970) |
| Class C | 915,581 | 3,743,762 |
| Class I | 288,411,838 | 742,127,821 |
| Class R6 | 39,956,132 | 205,025,396 |
| Net increase in net assets from capital share transactions | $362,718,505 | $926,089,009 |
| Net increase (decrease) in net assets | $(74,902,170) | $994,127,107 |
| Net Assets | ||
| At beginning of period | $2,196,939,198 | $1,202,812,091 |
| At end of period | $2,122,037,028 | $2,196,939,198 |
12
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Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Financial Highlights
| Class A | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $16.05 | $15.55 | $16.33 | $12.94 | $10.90 | $13.15 |
| Income (Loss) From Operations | ||||||
| Net investment income(1) | $0.03 | $0.17 | $0.19 | $0.10 | $0.08(2) | $0.11 |
| Net realized and unrealized gain (loss) | (2.45) | 0.45 | (0.94) | 3.36 | 2.06 | (1.92) |
| Total income (loss) from operations | $(2.42) | $0.62 | $(0.75) | $3.46 | $2.14 | $(1.81) |
| Less Distributions | ||||||
| From net investment income | $(0.08) | $(0.12) | $(0.03) | $(0.07) | $(0.10) | $(0.03) |
| From net realized gain | — | — | — | — | — | (0.41) |
| Total distributions | $(0.08) | $(0.12) | $(0.03) | $(0.07) | $(0.10) | $(0.44) |
| Net asset value — End of period | $13.55 | $16.05 | $15.55 | $16.33 | $12.94 | $10.90 |
| Total Return(3) | (15.17)%(4) | 4.02% | (4.62)% | 26.89% | 19.75% | (14.18)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $140,442 | $132,066 | $155,735 | $62,432 | $39,343 | $23,569 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 1.25%(6) | 1.41% | 1.56% | 1.80% | 1.95% | 2.18% |
| Net expenses | 1.24%(6) | 1.25% | 1.27% | 1.27% | 1.47% | 1.75% |
| Net investment income | 0.40%(6) | 1.06% | 1.15% | 0.73% | 0.66%(2) | 0.84% |
| Portfolio Turnover | 18%(4) | 32% | 27% | 36% | 32% | 66% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.003 per share and 0.003% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
13
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Financial Highlights — continued
| Class C | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $15.62 | $15.18 | $16.04 | $12.76 | $10.74 | $13.05 |
| Income (Loss) From Operations | ||||||
| Net investment income (loss)(1) | $(0.03) | $0.05 | $0.10 | $0.01 | $—(2) | $(0.03) |
| Net realized and unrealized gain (loss) | (2.40) | 0.45 | (0.96) | 3.29 | 2.03 | (1.87) |
| Total income (loss) from operations | $(2.43) | $0.50 | $(0.86) | $3.30 | $2.03 | $(1.90) |
| Less Distributions | ||||||
| From net investment income | $— | $(0.06) | $— | $(0.02) | $(0.01) | $— |
| From net realized gain | — | — | — | — | — | (0.41) |
| Total distributions | $— | $(0.06) | $— | $(0.02) | $(0.01) | $(0.41) |
| Net asset value — End of period | $13.19 | $15.62 | $15.18 | $16.04 | $12.76 | $10.74 |
| Total Return(3) | (15.56)%(4) | 3.33% | (5.36)% | 25.88% | 18.94% | (14.98)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $24,841 | $28,794 | $24,286 | $4,627 | $994 | $566 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 2.00%(6) | 2.16% | 2.31% | 3.69% | 4.44% | 5.00% |
| Net expenses | 1.99%(6) | 2.00% | 2.02% | 2.02% | 2.21% | 2.70% |
| Net investment income (loss) | (0.34)%(6) | 0.35% | 0.60% | 0.08% | 0.02%(2) | (0.23)% |
| Portfolio Turnover | 18%(4) | 32% | 27% | 36% | 32% | 66% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.003 per share and 0.003% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
14
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Financial Highlights — continued
| Class I | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $16.22 | $15.73 | $16.48 | $13.06 | $10.99 | $13.26 |
| Income (Loss) From Operations | ||||||
| Net investment income(1) | $0.06 | $0.22 | $0.29 | $0.17 | $0.12(2) | $0.14 |
| Net realized and unrealized gain (loss) | (2.49) | 0.45 | (0.99) | 3.35 | 2.09 | (1.93) |
| Total income (loss) from operations | $(2.43) | $0.67 | $(0.70) | $3.52 | $2.21 | $(1.79) |
| Less Distributions | ||||||
| From net investment income | $(0.12) | $(0.18) | $(0.05) | $(0.10) | $(0.14) | $(0.07) |
| From net realized gain | — | — | — | — | — | (0.41) |
| Total distributions | $(0.12) | $(0.18) | $— | $(0.10) | $(0.14) | $(0.48) |
| Net asset value — End of period | $13.67 | $16.22 | $15.73 | $16.48 | $13.06 | $10.99 |
| Total Return(3) | (15.11)%(4) | 4.36% | (4.30)% | 27.27% | 20.31% | (13.92)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $1,739,327 | $1,817,479 | $1,012,574 | $126,398 | $58,259 | $39,101 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 1.00%(6) | 1.15% | 1.32% | 1.32% | 1.41% | 1.48% |
| Net expenses | 0.99%(6) | 0.97% | 0.92% | 0.92% | 1.12% | 1.40% |
| Net investment income | 0.69%(6) | 1.41% | 1.71% | 1.20% | 1.06%(2) | 1.12% |
| Portfolio Turnover | 18%(4) | 32% | 27% | 36% | 32% | 66% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.003 per share and 0.003% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
15
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Financial Highlights — continued
| Class R6 | |||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | Period Ended September 30, 2018(1) | |
| Net asset value — Beginning of period | $16.19 | $15.72 | $18.65 |
| Income (Loss) From Operations | |||
| Net investment income(2) | $0.06 | $0.27 | $0.26 |
| Net realized and unrealized gain (loss) | (2.47) | 0.40 | (3.19) |
| Total income (loss) from operations | $(2.41) | $0.67 | $(2.93) |
| Less Distributions | |||
| From net investment income | $(0.14) | $(0.20) | $— |
| Total distributions | $(0.14) | $(0.20) | $— |
| Net asset value — End of period | $13.64 | $16.19 | $15.72 |
| Total Return(3) | (15.07)%(4) | 4.35% | (15.71)%(4) |
| Ratios/Supplemental Data | |||
| Net assets, end of period (000’s omitted) | $217,427 | $218,601 | $10,217 |
| Ratios (as a percentage of average daily net assets):(5) | |||
| Total expenses | 0.93%(6) | 1.06% | 1.24%(6) |
| Net expenses | 0.92%(6) | 0.92% | 0.92%(6) |
| Net investment income | 0.74%(6) | 1.67% | 2.48%(6) |
| Portfolio Turnover | 18%(4) | 32% | 27%(7) |
| (1) | From February 1, 2018 inception. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
| (7) | For the year ended September 30, 2018. |
16
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Calvert Emerging Markets Equity Fund (the Fund) is a diversified series of Calvert World Values Fund, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek long-term capital appreciation by investing primarily in equity securities of companies located in emerging market countries.
The Fund offers four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within 12 months of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within 12 months of purchase. Class C shares are only available for purchase through a financial intermediary. Effective January 25, 2019, Class C shares generally automatically convert to Class A shares ten years after their purchase as described in the Fund's prospectus. Class I and Class R6 shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946,Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A Investment Valuation— Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Fund's Board has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Such securities are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course.
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Emerging Markets Equity Fund
March 31, 2020
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Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund's holdings as of March 31, 2020, based on the inputs used to value them:
| Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
| Common Stocks | ||||
| Brazil | $103,425,134 | $— | $— | $103,425,134 |
| China | 265,476,699 | 372,439,643 | — | 637,916,342 |
| Egypt | — | 28,817,712 | — | 28,817,712 |
| Hong Kong | — | 146,048,997 | — | 146,048,997 |
| Hungary | — | 34,897,593 | — | 34,897,593 |
| India | 38,714,528 | 160,623,791 | — | 199,338,319 |
| Indonesia | — | 43,966,567 | — | 43,966,567 |
| Mexico | 25,157,000 | — | — | 25,157,000 |
| Peru | 33,587,256 | — | — | 33,587,256 |
| Russia | 53,512,810 | 23,639,992 | — | 77,152,802 |
| South Africa | — | 137,058,930 | — | 137,058,930 |
| South Korea | — | 283,125,414 | — | 283,125,414 |
| Taiwan | 123,467,807 | 174,531,547 | — | 297,999,354 |
| Turkey | — | 24,369,402 | — | 24,369,402 |
| United Arab Emirates | — | — | — | — |
| Total Common Stocks | $643,341,234 | $1,429,519,588(2) | $— | $2,072,860,822 |
| High Social Impact Investments | $— | $7,293,155 | $— | $7,293,155 |
| Short-Term Investments | 40,714,661 | — | — | 40,714,661 |
| Total Investments | $684,055,895 | $1,436,812,743 | $ — | $2,120,868,638 |
| (1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
| (2) | 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. |
Level 3 investments at the beginning and/or end of the period were valued at zero and accordingly, a reconciliation of Level 3 assets for the six months ended March 31, 2020 is not presented.
B Investment Transactions and Income— Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation.Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date.
Non-cash dividends are recorded at the fair value of the securities received.Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund's understanding of the applicable country’s tax rules and rates.Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain.Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C Share Class Accounting— Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection
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with a specific class are charged directly to that class. Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer agency fees and expenses on the Statement of Operations, are not allocated to Class R6 shares.
D Foreign Currency Transactions— The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E Restricted Securities— The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
F Distributions to Shareholders— Distributions to shareholders are recorded by the Fund on ex-dividend date. Distributions from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are declared separately for each class of shares. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
G Estimates— The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H Indemnifications— The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I Federal Income Taxes— No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
In addition to the requirements of the Internal Revenue Code, the Fund may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Fund estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.
Management has analyzed the Fund's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
J Interim Financial Statements— The interim financial statements relating to March 31, 2020 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund's management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Related Party Transactions
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to an investment advisory agreement dated December 31, 2016 and an amended fee schedule to such agreement effective February 1, 2019, CRM receives a fee, payable monthly, at the annual rate of 0.75% of the Fund’s average daily net assets. For the six months ended March 31, 2020, the investment advisory fee amounted to $9,310,190.
Hermes Investment Management Limited (Hermes) provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, borrowing costs, taxes or litigation expenses) exceed 1.24%, 1.99%, 0.99% and 0.92% for Class A, Class C, Class I and Class R6, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2021. For the six months ended March 31, 2020, CRM waived or reimbursed expenses of $114,348.
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Emerging Markets Equity Fund
March 31, 2020
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The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class R6 and is payable monthly. For the six months ended March 31, 2020, CRM was paid administrative fees of $1,489,630.
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. The Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. In addition, pursuant to the Class C Plan, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued for the six months ended March 31, 2020 amounted to $179,567 and $154,081 for Class A shares and Class C shares, respectively.
The Fund was informed that EVD received $15,739 as its portion of the sales charge on sales of Class A shares for the six months ended March 31, 2020. The Fund was also informed that EVD received $44 and $1,652 of contingent deferred sales charges paid by Class A and Class C shareholders, respectively, for the same period.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2020, sub-transfer agency fees and expenses incurred to EVM amounted to $51,778 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives an annual fee of $154,000, plus an annual Committee fee ranging from $8,500 to $16,500 depending on the Committee. The Board chair receives an additional $20,000 annual fee and Committee chairs receive an additional $6,000 annual fee. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund's assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and three (four prior to December 31, 2019) additional members. Each member (other than CRM’s Chief Executive Officer) received annual compensation of $75,000, which was being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019.For the six months ended March 31, 2020, the Fund’s allocated portion of such expense and reimbursement was $35,450, which are included in miscellaneous expense and reimbursement of expenses - other, respectively, on the Statement of Operations. For the year ending December 31, 2020, each member (other than CRM’s Chief Executive Officer) is expected to be compensated $20,000 for their service on the advisory council. Such compensation, and any other compensation and/or expenses incurred by the advisory council as may be approved by the Board, shall be borne by the Calvert funds.
3 Investment Activity
During the six months ended March 31, 2020, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $856,810,426 and $425,635,421, respectively.
4 Distributions to Shareholders and Income Tax Information
At September 30, 2019, the Fund, for federal income tax purposes, had deferred capital losses of $21,828,022 which would reduce the Fund’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund’s next taxable year, can be carried forward for an unlimited period, and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2019, $21,828,022 are short-term.
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Emerging Markets Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2020, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $2,475,205,214 |
| Gross unrealized appreciation | $93,423,643 |
| Gross unrealized depreciation | (447,760,219) |
| Net unrealized depreciation | $(354,336,576) |
5 Securities Lending
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSBT), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSBT. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At March 31, 2020, the total value of securities on loan was $42,083,443 and the total value of collateral received was $41,053,597, comprised of cash of $40,714,661 and U.S. government and/or agencies securities of $338,936.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2020.
| Remaining Contractual Maturity of the Transactions | |||||
| Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
| Securities Lending Transactions | |||||
| Common Stocks | $40,714,661 | $ — | $ — | $ — | $40,714,661 |
The carrying amount of the liability for deposits for securities loaned at March 31, 2020 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2020.
6 Line of Credit
Effective October 29, 2019, the Fund participates with other portfolios and funds managed by EVM and its affiliates, including CRM, in an $800 million unsecured line of credit with a group of banks, which is in effect through October 27, 2020. Borrowings are made by the Fund solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Fund based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time.
Prior to October 29, 2019, the Fund participated with other funds managed by CRM in a $100 million committed unsecured line of credit agreement with SSBT, which was terminated by the Calvert funds. Borrowings bore interest at the higher of the one-month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds rate, plus 1.00% per annum. A commitment fee of 0.20% per annum was incurred on the unused portion of the committed facility, which was allocated to all participating funds.
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Emerging Markets Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
The Fund had no borrowings outstanding pursuant to its line of credit at March 31, 2020.The Fund did not have any significant borrowings or allocated fees during the six months ended March 31, 2020.
7 Affiliated Companies
The Fund has invested a portion of its assets in notes (the Notes) issued by Calvert Impact Capital, Inc. (CIC) pursuant to exemptive relief granted by the U.S. Securities and Exchange Commission (the SEC). There are certain potential points of affiliation between the Fund and CIC. CRM has licensed use of the Calvert name to CIC and provides other types of support. CRM’s President and Chief Executive Officer (and the only director/trustee on the Fund Board that is an “interested person” of the Fund) serves on the CIC Board, along with one member of the Advisory Council to the Fund Board and a second officer of CRM. In addition, another director/trustee on the Fund Board and a member of the Advisory Council each serve as a director emeritus on the CIC Board.
At March 31, 2020, the value of the Fund’s investment in the Notes was $7,196,569, which represents 0.3% of the Fund’s net assets. Transactions in the Notes by the Fund for the six months ended March 31, 2020 were as follows:
| Name of issuer | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest income | Capital gain distributions received | Principal amount, end of period |
| High Social Impact Investments | |||||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) | $1,989,420 | $ — | $(2,000,000) | $ — | $10,580 | $ — | $5,833 | $ — | $— |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | — | 7,466,870 | — | — | (270,301) | 7,196,569 | 32,668 | — | 7,466,870 |
| Totals | $ — | $(259,721) | $7,196,569 | $38,501 | $ — |
| (1) | Restricted security. |
8 Capital Shares
The Corporation may issue its shares in one or more series (such as the Fund). The authorized shares of the Fund consist of 75,000,000 common shares, $0.01 par value, for each Class.
Transactions in capital shares for the six months ended March 31, 2020 and the year ended September 30, 2019 were as follows:
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
| Shares | Amount | Shares | Amount | ||
| Class A | |||||
| Shares sold | 3,525,520 | $55,743,033 | 5,131,302 | $80,055,643 | |
| Reinvestment of distributions | 36,614 | 607,428 | 49,242 | 739,118 | |
| Shares redeemed | (1,422,423) | (22,941,123) | (6,985,125) | (105,845,381) | |
| Converted from Class C | 1,524 | 25,616 | 15,904 | 242,650 | |
| Net increase (decrease) | 2,141,235 | $33,434,954 | (1,788,677) | $(24,807,970) | |
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Emerging Markets Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | ||||
| Shares | Amount | Shares | Amount | ||
| Class C | |||||
| Shares sold | 261,165 | $4,299,716 | 684,007 | $10,374,888 | |
| Reinvestment of distributions | — | — | 6,731 | 98,943 | |
| Shares redeemed | (220,138) | (3,358,519) | (429,880) | (6,487,419) | |
| Converted to Class A | (1,568) | (25,616) | (16,277) | (242,650) | |
| Net increase | 39,459 | $915,581 | 244,581 | $3,743,762 | |
| Class I | |||||
| Shares sold | 42,919,240 | $710,181,159 | 91,075,131 | $1,420,261,887 | |
| Reinvestment of distributions | 822,269 | 13,756,564 | 817,003 | 12,369,427 | |
| Shares redeemed | (28,552,744) | (435,525,885) | (44,204,094) | (690,503,493) | |
| Net increase | 15,188,765 | $288,411,838 | 47,688,040 | $742,127,821 | |
| Class R6 | |||||
| Shares sold | 4,714,959 | $78,265,826 | 16,658,520 | $266,753,381 | |
| Reinvestment of distributions | 110,978 | 1,852,220 | 36,389 | 549,482 | |
| Shares redeemed | (2,386,059) | (40,161,914) | (3,843,934) | (62,277,467) | |
| Net increase | 2,439,878 | $39,956,132 | 12,850,975 | $205,025,396 | |
9 Risks and Uncertainties
Risks Associated with Foreign Investments
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
The risks of investing in emerging market securities are greater than those of investing in securities of developed foreign countries. These risks include volatile currency exchange rates, periods of high inflation, increased risk of default, greater social, economic and political uncertainty and instability, less governmental supervision and regulation of securities markets, weaker auditing and financial reporting standards, lack of liquidity in the markets, and the significantly smaller market capitalization of emerging market issuers.
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus that was first detected in China in December 2019 has spread rapidly internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and individual companies and can affect the market in general in significant and unforeseen ways. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The near-term impact of this coronavirus has resulted in substantial market volatility, which may have an adverse effect on the Fund's investments.
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Emerging Markets Equity Fund
March 31, 2020
Board of Directors' Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 4, 2020, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• 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;
Information about Portfolio Management and Trading
• 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”;
Information about the Adviser
• 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;
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Calvert
Emerging Markets Equity Fund
March 31, 2020
Board of Directors' Contract Approval — continued
Other Relevant Information
• 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.
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert Emerging Markets Equity Fund (the “Fund”), and the investment sub-advisory agreement with Hermes Investment Management Limited (the “Sub-Adviser”), including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and its benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2019. This performance data indicated that the Fund had outperformed the median of the Fund’s peer universe and its benchmark index for the one-, three- and five-year periods ended September 30, 2019. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) and the Fund’s total expenses (net of waivers and/or reimbursements) were each below the respective median of the Fund’s expense group. The Board took into account the Adviser’s and Sub-Adviser’s current undertaking to maintain expense limitations for
25
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Calvert
Emerging Markets Equity Fund
March 31, 2020
Board of Directors' Contract Approval — continued
the Fund and that the Adviser and Sub-Adviser were waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates provided sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee and the sub-advisory fee was negotiated at arm’s length by the Adviser, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
26
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Calvert
Emerging Markets Equity Fund
March 31, 2020
Officers and Directors
| Officers |
| Hope L. Brown Chief Compliance Officer |
| Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
| James F. Kirchner Treasurer |
| Directors |
| Alice Gresham Bullock Chairperson |
| Richard L. Baird, Jr. |
| Cari M. Dominguez |
| John G. Guffey, Jr. |
| Miles D. Harper, III |
| Joy V. Jones |
| John H. Streur* |
| Anthony A. Williams |
| *Interested Director and President |
27
Table of Contents
Calvert Funds
IMPORTANT NOTICES
Privacy.The Eaton Vance organization is committed to ensuring your financial privacy. Each entity listed below has adopted a privacy policy and procedures (“Privacy Program”) Eaton Vance believes is reasonably designed to protect your personal information and to govern when and with whom Eaton Vance may share your personal information.
| • | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
| • | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
| • | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
| • | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of protecting your personal information applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Limited, Eaton Vance Global Advisors Limited, Eaton Vance Management's Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, and Calvert Funds. This Privacy Notice supersedes all previously issued privacy disclosures. For more information about our Privacy Program or about how your personal information may be used, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders.Calvert funds, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial intermediary, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial intermediary. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC for the first and third quarters of each fiscal year. The Form N-PORT will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
28
Table of Contents
Investment Adviser and Administrator
Calvert Research and Management
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
Investment Sub-Adviser
Hermes Investment Management Limited
150 Cheapside
London EC2V 6ET
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
DST Asset Manager Solutions, Inc.
2000 Crown Colony Drive
Quincy, MA 02169
Fund Offices
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
*FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
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Printed on recycled paper.
24214 3.31.20
Table of Contents
Calvert
International Equity Fund
Semiannual Report
March 31, 2020
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (calvert.com/prospectus), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by signing up for e-Delivery at calvert.com. If you own your shares through a financial intermediary (such as a broker-dealer or bank), you must contact your financial intermediary to sign up.
You may elect to receive all future Fund shareholder reports in paper free of charge. If you are a direct investor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-368-2745. If you own these shares through a financial intermediary, you must contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Calvert funds held directly or to all funds held through your financial intermediary, as applicable.
E-Delivery Sign-Up - Details Inside
Table of Contents
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser has claimed an exclusion from the definition of “commodity pool operator” under the Commodity Exchange Act with respect to its management of the Fund and the other funds it manages. Accordingly neither the Fund nor the adviser is subject to CFTC regulation.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745.
Choose Planet-friendly E-delivery!
Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs.
Just go towww.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail.
If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps.
Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm.
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Performance
Portfolio ManagersChristopher M. Dyer, CFA and Ian Kirwan, each of Eaton Vance Advisers International Ltd.
| % Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
| Class A at NAV | 07/02/1992 | 07/02/1992 | (9.36)% | (4.20)% | 1.03% | 2.85% |
| Class A with 4.75% Maximum Sales Charge | — | — | (13.68) | (8.76) | 0.05 | 2.35 |
| Class C at NAV | 03/01/1994 | 07/02/1992 | (9.73) | (4.95) | 0.26 | 2.00 |
| Class C with 1% Maximum Sales Charge | — | — | (10.63) | (5.90) | 0.26 | 2.00 |
| Class I at NAV | 02/26/1999 | 07/02/1992 | (9.28) | (3.99) | 1.38 | 3.39 |
| Class R6 at NAV | 03/07/2019 | 07/02/1992 | (9.26) | (3.93) | 1.40 | 3.40 |
| ·· | ||||||
| MSCI EAFE Index | — | — | (16.52)% | (14.38)% | (0.62)% | 2.71% |
| % Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
| Gross | 1.40% | 2.15% | 1.14% | 1.10% |
| Net | 1.15 | 1.90 | 0.90 | 0.86 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to www.calvert.com.
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Calvert
International Equity Fund
March 31, 2020
Fund Profile
Sector Allocation (% of net assets)
| Top 10 Holdings (% of net assets) | |
| Nestle SA | 4.9% |
| AIA Group, Ltd. | 3.5 |
| Sanofi | 3.0 |
| Novo Nordisk A/S, Class B | 3.0 |
| Kao Corp. | 3.0 |
| Unilever PLC | 2.9 |
| CSL, Ltd. | 2.6 |
| DCC PLC | 2.6 |
| Lonza Group AG | 2.6 |
| Pan Pacific International Holdings Corp. | 2.6 |
| Total | 30.7% |
See Endnotes and Additional Disclosures in this report.
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Endnotes and Additional Disclosures
| 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 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.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 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
| Fund profile subject to change due to active management. |
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Fund Expenses
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2019 to March 31, 2020).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| Beginning Account Value (10/1/19) | Ending Account Value (3/31/20) | Expenses Paid During Period* (10/1/19 – 3/31/20) | Annualized Expense Ratio | |
| Actual | ||||
| Class A | $1,000.00 | $906.40 | $5.43** | 1.14% |
| Class C | $1,000.00 | $902.70 | $8.99** | 1.89% |
| Class I | $1,000.00 | $907.20 | $4.24** | 0.89% |
| Class R6 | $1,000.00 | $907.40 | $4.05** | 0.85% |
| Hypothetical | ||||
| (5% return per year before expenses) | ||||
| Class A | $1,000.00 | $1,019.30 | $5.76** | 1.14% |
| Class C | $1,000.00 | $1,015.55 | $9.52** | 1.89% |
| Class I | $1,000.00 | $1,020.55 | $4.50** | 0.89% |
| Class R6 | $1,000.00 | $1,020.75 | $4.29** | 0.85% |
| * | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (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 September 30, 2019. |
| ** | Absent a waiver and/or reimbursement of expenses by affiliates, expenses would be higher. |
5
Table of Contents
Calvert
International Equity Fund
March 31, 2020
Schedule of Investments (Unaudited)
| Common Stocks — 97.4% |
| Security | Shares | Value |
| Australia — 2.6% | ||
| CSL, Ltd. | 46,070 | $ 8,351,181 |
| $ 8,351,181 | ||
| Belgium — 1.1% | ||
| KBC Groep NV | 77,220 | $ 3,503,869 |
| $ 3,503,869 | ||
| Canada — 1.1% | ||
| CAE, Inc. | 273,268 | $ 3,454,443 |
| $ 3,454,443 | ||
| Denmark — 6.5% | ||
| Chr. Hansen Holding A/S | 72,525 | $5,351,817 |
| Coloplast A/S, Class B | 38,395 | 5,568,285 |
| Novo Nordisk A/S, Class B | 159,330 | 9,514,557 |
| $20,434,659 | ||
| France — 8.6% | ||
| Dassault Systemes SE | 34,040 | $4,969,534 |
| LVMH Moet Hennessy Louis Vuitton SE | 19,852 | 7,280,742 |
| Sanofi | 110,783 | 9,591,015 |
| Schneider Electric SE | 60,993 | 5,155,302 |
| $26,996,593 | ||
| Germany — 2.9% | ||
| adidas AG | 26,347 | $5,849,752 |
| Infineon Technologies AG | 220,034 | 3,176,355 |
| $9,026,107 | ||
| Hong Kong — 3.5% | ||
| AIA Group, Ltd. | 1,214,441 | $10,874,874 |
| $10,874,874 | ||
| India — 1.4% | ||
| HDFC Bank, Ltd. | 379,246 | $4,302,132 |
| $4,302,132 | ||
| Ireland — 4.4% | ||
| DCC PLC | 132,149 | $8,252,854 |
| Kerry Group PLC, Class A | 47,772 | 5,576,248 |
| $13,829,102 | ||
| Japan — 16.2% | ||
| Kao Corp. | 114,441 | $9,323,306 |
| Security | Shares | Value |
| Japan (continued) | ||
| Keyence Corp. | 21,077 | $ 6,776,517 |
| ORIX Corp. | 466,200 | 5,562,075 |
| Pan Pacific International Holdings Corp. | 429,600 | 8,135,470 |
| Recruit Holdings Co., Ltd. | 185,507 | 4,791,881 |
| Santen Pharmaceutical Co., Ltd. | 386,692 | 6,636,312 |
| SMC Corp. | 13,800 | 5,785,562 |
| Yamaha Corp. | 105,400 | 4,084,821 |
| $ 51,095,944 | ||
| Netherlands — 2.4% | ||
| ASML Holding NV | 28,915 | $7,622,415 |
| $7,622,415 | ||
| New Zealand — 1.3% | ||
| Fisher & Paykel Healthcare Corp., Ltd. | 233,520 | $4,245,036 |
| $4,245,036 | ||
| Singapore — 1.9% | ||
| DBS Group Holdings, Ltd. | 464,528 | $6,061,231 |
| $6,061,231 | ||
| South Africa — 1.7% | ||
| Naspers, Ltd., Class N | 37,942 | $5,392,104 |
| $5,392,104 | ||
| Spain — 7.7% | ||
| Amadeus IT Group SA | 151,011 | $7,107,913 |
| Banco Santander SA | 1,966,783 | 4,678,622 |
| Iberdrola SA | 651,252 | 6,369,899 |
| Industria de Diseno Textil SA | 233,005 | 6,038,000 |
| $24,194,434 | ||
| Sweden — 7.7% | ||
| Assa Abloy AB, Class B | 292,031 | $5,451,839 |
| Indutrade AB | 220,156 | 5,956,259 |
| Sandvik AB | 423,406 | 5,955,920 |
| Tele2 AB, Class B | 522,329 | 6,959,008 |
| $24,323,026 | ||
| Switzerland — 10.9% | ||
| Lonza Group AG | 20,055 | $8,249,098 |
| Nestle SA | 150,022 | 15,357,420 |
| Sika AG | 28,522 | 4,683,676 |
| Straumann Holding AG | 8,206 | 5,999,438 |
| $34,289,632 | ||
6
See Notes to Financial Statements.
Table of Contents
Calvert
International Equity Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| Taiwan — 1.6% | ||
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 108,783 | $ 5,198,739 |
| $ 5,198,739 | ||
| United Kingdom — 10.8% | ||
| Abcam PLC | 377,805 | $ 5,329,367 |
| Compass Group PLC | 369,600 | 5,758,406 |
| Halma PLC | 172,713 | 4,056,348 |
| London Stock Exchange Group PLC | 63,698 | 5,698,156 |
| Melrose Industries PLC | 3,676,339 | 4,085,272 |
| Unilever PLC | 179,554 | 9,054,943 |
| $33,982,492 | ||
| United States — 3.1% | ||
| Visa, Inc., Class A | 29,927 | $4,821,838 |
| Xylem, Inc. | 75,842 | 4,939,590 |
| $9,761,428 | ||
| Total Common Stocks (identified cost $313,717,178) | $306,939,441 | |
| High Social Impact Investments — 0.4% |
| Security | Principal Amount (000's omitted) | Value |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1)(2) | $ 880 | $ 848,483 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20(2)(3) | 220 | 215,600 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20(2)(3) | 283 | 275,147 |
| Total High Social Impact Investments (identified cost $1,383,352) | $ 1,339,230 |
| Preferred Stocks — 0.0%(4) |
| Security | Shares | Value |
| Venture Capital — 0.0%(4) | ||
| Bioceptive, Inc.: | ||
| Series A(2)(5)(6) | 582,574 | $ — |
| Series B(2)(5)(6) | 40,523 | — |
| FINAE, Series D(2)(5)(6) | 2,597,442 | 100,733 |
| Total Preferred Stocks (identified cost $491,304) | $ 100,733 | |
| Venture Capital Debt Obligations — 0.0% |
| Security | Principal Amount (000's omitted) | Value |
| Windhorse International-Spring Health Water, Ltd., 1.00%, 4/15/20(2)(7) | $ 70 | $ — |
| Total Venture Capital Debt Obligations (identified cost $70,000) | $ — |
| Venture Capital Limited Partnership Interests — 0.4% |
| Security | Value | |
| Africa Renewable Energy Fund L.P.(2)(5)(6) | $ 891,264 | |
| Blackstone Clean Technology Partners L.P.(2)(5)(6) | 4,165 | |
| Emerald Sustainability Fund I L.P.(2)(5)(6) | 43,132 | |
| gNet Defta Development Holding LLC(1)(2)(5)(6) | 195,700 | |
| SEAF India International Growth Fund L.P.(2)(5)(6) | 550 | |
| Total Venture Capital Limited Partnership Interests (identified cost $2,067,964) | $ 1,134,811 | |
| Total Investments — 98.2% (identified cost $317,729,798) | $309,514,215 | |
| Other Assets, Less Liabilities — 1.8% | $ 5,649,500 | |
| Net Assets — 100.0% | $315,163,715 |
| The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
| (1) | Affiliated company (see Note 7). | |
| (2) | Restricted security. Total market value of restricted securities amounts to $2,574,774, which represents 0.8% of the net assets of the Fund as of March 31, 2020. | |
| (3) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2020. | |
| (4) | Amount is less than 0.05%. | |
| (5) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). | |
| (6) | Non-income producing security. | |
| (7) | Security defaulted as to principal and interest in March 2013. It was restructured at a 9% rate maturing on April 15, 2020 with 1% to be paid annually and the remaining interest due at maturity. As of March 31, 2020, security is in default with respect to its annual 1% interest payment. | |
7
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Economic Sectors | % of Net Assets |
| Health Care | 20.1% |
| Industrials | 17.1 |
| Information Technology | 13.9 |
| Consumer Discretionary | 13.5 |
| Financials | 12.9 |
| Consumer Staples | 12.5 |
| Materials | 3.2 |
| Communication Services | 2.2 |
| Utilities | 2.0 |
| High Social Impact Investments | 0.4 |
| Venture Capital | 0.4 |
| Total | 98.2% |
Restricted Securities
| Description | Acquisition Dates | Cost |
| Africa Renewable Energy Fund L.P. | 4/17/14-5/13/19 | $986,557 |
| Bioceptive, Inc., Series A | 10/26/12-12/18/13 | 252,445 |
| Bioceptive, Inc., Series B | 1/7/16 | 16,250 |
| Blackstone Clean Technology Partners L.P. | 7/29/10-6/25/15 | 77,081 |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | 880,352 |
| Emerald Sustainability Fund I L.P. | 7/19/01-5/17/11 | 393,935 |
| FINAE, Series D | 2/28/11-11/16/15 | 222,609 |
| gNet Defta Development Holding LLC | 8/30/05 | 400,000 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20 | 11/13/15 | 220,000 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20 | 11/13/15 | 283,000 |
| SEAF India International Growth Fund L.P. | 3/22/05-5/24/10 | 210,391 |
| Windhorse International-Spring Health Water, Ltd., 1.00%, 4/15/20 | 2/12/14 | 70,000 |
| Abbreviations: | |
| ADR | – American Depositary Receipt |
8
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Calvert
International Equity Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited)
| March 31, 2020 | |
| Assets | |
| Investments in securities of unaffiliated issuers, at value (identified cost $316,449,446) | $308,470,032 |
| Investments in securities of affiliated issuers, at value (identified cost $1,280,352) | 1,044,183 |
| Cash | 19,054,624 |
| Cash denominated in foreign currency, at value (cost $103,898) | 104,081 |
| Receivable for capital shares sold | 2,600,068 |
| Dividends and interest receivable | 366,050 |
| Interest receivable - affiliated | 3,852 |
| Securities lending income receivable | 238 |
| Tax reclaims receivable | 400,175 |
| Receivable from affiliates | 61,215 |
| Directors' deferred compensation plan | 109,547 |
| Total assets | $332,214,065 |
| Liabilities | |
| Payable for investments purchased | $16,160,065 |
| Payable for capital shares redeemed | 387,133 |
| Payable to affiliates: | |
| Investment advisory fee | 168,682 |
| Administrative fee | 29,866 |
| Distribution and service fees | 27,104 |
| Sub-transfer agency fee | 5,451 |
| Directors' fees and expenses | 425 |
| Directors' deferred compensation plan | 109,547 |
| Accrued expenses | 162,077 |
| Total liabilities | $17,050,350 |
| Commitments and contingent liabilities (Note 10) | |
| Net Assets | $315,163,715 |
| Sources of Net Assets | |
| Paid-in capital | $341,108,871 |
| Accumulated loss | (25,945,156) |
| Total | $315,163,715 |
| Class A Shares | |
| Net Assets | $104,408,586 |
| Shares Outstanding | 6,408,667 |
| Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $16.29 |
| Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $17.10 |
| Class C Shares | |
| Net Assets | $5,164,017 |
| Shares Outstanding | 369,959 |
| Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $13.96 |
9
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Calvert
International Equity Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited) — continued
| March 31, 2020 | |
| Class I Shares | |
| Net Assets | $133,174,686 |
| Shares Outstanding | 7,649,970 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $17.41 |
| Class R6 Shares | |
| Net Assets | $72,416,426 |
| Shares Outstanding | 4,163,212 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $17.39 |
| On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
| * | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
10
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Calvert
International Equity Fund
March 31, 2020
Statement of Operations (Unaudited)
| Six Months Ended | |
| March 31, 2020 | |
| Investment Income | |
| Dividend income (net of foreign taxes withheld of $163,452) | $1,605,538 |
| Non-cash dividend income | 104,336 |
| Interest income - unaffiliated issuers | 16,877 |
| Interest income - affiliated issuers | 17,516 |
| Securities lending income, net | 105,363 |
| Total investment income | $1,849,630 |
| Expenses | |
| Investment advisory fee | $991,871 |
| Administrative fee | 175,603 |
| Distribution and service fees: | |
| Class A | 150,106 |
| Class C | 31,524 |
| Directors' fees and expenses | 8,640 |
| Custodian fees | 19,816 |
| Transfer agency fees and expenses | 177,818 |
| Accounting fees | 40,015 |
| Professional fees | 31,554 |
| Registration fees | 45,154 |
| Reports to shareholders | 18,643 |
| Miscellaneous | 29,154 |
| Total expenses | $1,719,898 |
| Waiver and/or reimbursement of expenses by affiliates | $(239,449) |
| Reimbursement of expenses - other | (4,073) |
| Net expenses | $1,476,376 |
| Net investment income | $373,254 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss): | |
| Investment securities - unaffiliated issuers | $1,150,618 |
| Foreign currency transactions | 10,518 |
| Net realized gain | $1,161,136 |
| Change in unrealized appreciation (depreciation): | |
| Investment securities - unaffiliated issuers | $(35,097,736) |
| Investment securities - affiliated issuers | 80,220 |
| Foreign currency | (10,033) |
| Net change in unrealized appreciation (depreciation) | $(35,027,549) |
| Net realized and unrealized loss | $(33,866,413) |
| Net decrease in net assets from operations | $(33,493,159) |
11
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Calvert
International Equity Fund
March 31, 2020
Statements of Changes in Net Assets
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |
| Increase (Decrease) in Net Assets | ||
| From operations: | ||
| Net investment income | $373,254 | $2,926,338 |
| Net realized gain | 1,161,136 | 2,969,458 |
| Net change in unrealized appreciation (depreciation) | (35,027,549) | 6,697,143 |
| Net increase (decrease) in net assets from operations | $(33,493,159) | $12,592,939 |
| Distributions to shareholders: | ||
| Class A | $(1,227,749) | $(1,141,071) |
| Class C | (23,398) | (50,893) |
| Class I | (1,178,120) | (912,793) |
| Class R6 | (769,016) | — |
| Total distributions to shareholders | $(3,198,283) | $(2,104,757) |
| Capital share transactions: | ||
| Class A | $3,763,427 | $(6,044,601) |
| Class C | (350,094) | (4,981,623) |
| Class I | 64,041,625 | 13,082,906 |
| Class R6 | 33,761,540 | 47,291,005(1) |
| Net increase in net assets from capital share transactions | $101,216,498 | $49,347,687 |
| Net increase in net assets | $64,525,056 | $59,835,869 |
| Net Assets | ||
| At beginning of period | $250,638,659 | $190,802,790 |
| At end of period | $315,163,715 | $250,638,659 |
| (1) | For the period from the commencement of operations, March 7, 2019, to September 30, 2019. |
12
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Financial Highlights
| Class A | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $18.18 | $17.53 | $17.10 | $15.49 | $15.62 | $16.51 |
| Income (Loss) From Operations | ||||||
| Net investment income(1) | $0.01 | $0.22 | $0.19 | $0.17 | $0.34(2) | $0.18 |
| Net realized and unrealized gain (loss) | (1.71) | 0.61 | 0.50 | 1.84 | (0.33) | (0.97) |
| Total income (loss) from operations | $(1.70) | $0.83 | $0.69 | $2.01 | $0.01 | $(0.79) |
| Less Distributions | ||||||
| From net investment income | $(0.19) | $(0.18) | $(0.26) | $(0.40) | $(0.14) | $(0.10) |
| Total distributions | $(0.19) | $(0.18) | $(0.26) | $(0.40) | $(0.14) | $(0.10) |
| Net asset value — End of period | $16.29 | $18.18 | $17.53 | $17.10 | $15.49 | $15.62 |
| Total Return(3) | (9.36)%(4) | 4.93% | 4.02% | 13.43% | 0.04% | (4.78)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $104,409 | $112,923 | $114,915 | $126,669 | $156,757 | $167,225 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 1.31%(6) | 1.46% | 1.47% | 1.58% | 1.62% | 1.67% |
| Net expenses | 1.14%(6) | 1.27% | 1.32% | 1.35% | 1.38% | 1.54% |
| Net investment income | 0.10%(6) | 1.26% | 1.09% | 1.08% | 2.20%(2) | 1.08% |
| Portfolio Turnover | 35%(4) | 51% | 48% | 138% | 94% | 97% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.013 per share and 0.08% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
13
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Calvert
International Equity Fund
March 31, 2020
Financial Highlights — continued
| Class C | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $15.54 | $15.00 | $14.68 | $13.31 | $13.47 | $14.27 |
| Income (Loss) From Operations | ||||||
| Net investment income (loss)(1) | $(0.05) | $0.03 | $0.06 | $0.05 | $0.19(2) | $0.04 |
| Net realized and unrealized gain (loss) | (1.47) | 0.58 | 0.42 | 1.59 | (0.28) | (0.84) |
| Total income (loss) from operations | $(1.52) | $0.61 | $0.48 | $1.64 | $(0.09) | $(0.80) |
| Less Distributions | ||||||
| From net investment income | $(0.06) | $(0.07) | $(0.16) | $(0.27) | $(0.07) | $— |
| Total distributions | $(0.06) | $(0.07) | $(0.16) | $(0.27) | $(0.07) | $— |
| Net asset value — End of period | $13.96 | $15.54 | $15.00 | $14.68 | $13.31 | $13.47 |
| Total Return(3) | (9.73)%(4) | 4.15% | 3.23% | 12.60% | (0.68)% | (5.61)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $5,164 | $6,122 | $11,149 | $12,013 | $13,613 | $15,997 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 2.06%(6) | 2.21% | 2.22% | 2.54% | 2.55% | 2.58% |
| Net expenses | 1.89%(6) | 2.03% | 2.07% | 2.10% | 2.14% | 2.37% |
| Net investment income (loss) | (0.65)%(6) | 0.23% | 0.39% | 0.35% | 1.42%(2) | 0.31% |
| Portfolio Turnover | 35%(4) | 51% | 48% | 138% | 94% | 97% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.011 per share and 0.08% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
14
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Financial Highlights — continued
| Class I | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $19.43 | $18.72 | $18.24 | $16.53 | $16.73 | $17.68 |
| Income (Loss) From Operations | ||||||
| Net investment income(1) | $0.04 | $0.28 | $0.27 | $0.21 | $0.44(2) | $0.30 |
| Net realized and unrealized gain (loss) | (1.82) | 0.66 | 0.53 | 2.01 | (0.36) | (1.05) |
| Total income (loss) from operations | $(1.78) | $0.94 | $0.80 | $2.22 | $0.08 | $(0.75) |
| Less Distributions | ||||||
| From net investment income | $(0.24) | $(0.23) | $(0.32) | $(0.51) | $(0.28) | $(0.20) |
| Total distributions | $(0.24) | $(0.23) | $(0.32) | $(0.51) | $(0.28) | $(0.20) |
| Net asset value — End of period | $17.41 | $19.43 | $18.72 | $18.24 | $16.53 | $16.73 |
| Total Return(3) | (9.28)%(4) | 5.25% | 4.37% | 13.89% | 0.41% | (4.27)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $133,175 | $82,261 | $64,739 | $72,503 | $140,129 | $147,614 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 1.06%(6) | 1.20% | 1.22% | 1.06% | 1.04% | 1.03% |
| Net expenses | 0.89%(6) | 0.98% | 0.95% | 0.96% | 0.95% | 0.98% |
| Net investment income | 0.41%(6) | 1.52% | 1.44% | 1.28% | 2.67%(2) | 1.68% |
| Portfolio Turnover | 35%(4) | 51% | 48% | 138% | 94% | 97% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.014 per share and 0.09% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
15
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Financial Highlights — continued
| Class R6 | ||
| Six Months Ended March 31, 2020 (Unaudited) | Period Ended September 30, 2019(1) | |
| Net asset value — Beginning of period | $19.44 | $17.79 |
| Income (Loss) From Operations | ||
| Net investment income(2) | $0.04 | $0.28 |
| Net realized and unrealized gain (loss) | (1.82) | 1.37 |
| Total income (loss) from operations | $(1.78) | $1.65 |
| Less Distributions | ||
| From net investment income | $(0.27) | $— |
| Total distributions | $(0.27) | $— |
| Net asset value — End of period | $17.39 | $19.44 |
| Total Return(3) | (9.26)%(4) | 9.27%(4) |
| Ratios/Supplemental Data | ||
| Net assets, end of period (000’s omitted) | $72,416 | $49,332 |
| Ratios (as a percentage of average daily net assets):(5) | ||
| Total expenses | 1.02%(6) | 1.14%(6) |
| Net expenses | 0.85%(6) | 0.96%(6) |
| Net investment income | 0.38%(6) | 2.62%(6) |
| Portfolio Turnover | 35%(4) | 51%(7) |
| (1) | For the period from the commencement of operations, March 7, 2019, to September 30, 2019. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
| (7) | For the year ended September 30, 2019. |
16
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Table of Contents
Calvert
International Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Calvert International Equity Fund (the Fund) is a diversified series of Calvert World Values Fund, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek to provide a high total return consistent with reasonable risk by investing primarily in a diversified portfolio of stocks. The Fund invests primarily in equity securities of foreign companies.
The Fund offers four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within 12 months of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within 12 months of purchase. Class C shares are only available for purchase through a financial intermediary. Effective January 25, 2019, Class C shares generally automatically convert to Class A shares ten years after their purchase as described in the Fund's prospectus. Class I and Class R6 shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946,Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A Investment Valuation— Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Fund’s Board has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Such securities are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Venture Capital Securities. Venture capital securities for which market quotations are not readily available are generally categorized as Level 3 in the hierarchy. Venture capital equity securities are generally valued using the most appropriate and applicable method to measure fair value in light of each company’s situation. Methods may include market, income, options-pricing or cost approaches with discounts as appropriate based on assumptions of liquidation or exit risk. Examples of the market approach are subsequent rounds of financing, comparable transactions, and revenue times an industry multiple. An example of the income approach is the discounted cash flow model. Examples of the cost approach are replacement cost, salvage value, or net asset value. The options-pricing method treats common stock and preferred stock as call options on the enterprise value with strike price based on the
17
Table of Contents
Calvert
International Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
preferred stock liquidation preference. Venture capital limited partnership interests are valued at the fair value reported by the general partner of the partnership, adjusted as necessary to reflect subsequent capital calls and distributions and any other available information. In some cases, adjustments may be made to account for daily pricing of material public holdings within the partnership.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund's holdings as of March 31, 2020, based on the inputs used to value them:
| Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
| Common Stocks | ||||
| Australia | $— | $8,351,181 | $— | $8,351,181 |
| Belgium | — | 3,503,869 | — | 3,503,869 |
| Canada | 3,454,443 | — | — | 3,454,443 |
| Denmark | — | 20,434,659 | — | 20,434,659 |
| France | — | 26,996,593 | — | 26,996,593 |
| Germany | — | 9,026,107 | — | 9,026,107 |
| Hong Kong | — | 10,874,874 | — | 10,874,874 |
| India | — | 4,302,132 | — | 4,302,132 |
| Ireland | — | 13,829,102 | — | 13,829,102 |
| Japan | — | 51,095,944 | — | 51,095,944 |
| Netherlands | — | 7,622,415 | — | 7,622,415 |
| New Zealand | — | 4,245,036 | — | 4,245,036 |
| Singapore | — | 6,061,231 | — | 6,061,231 |
| South Africa | — | 5,392,104 | — | 5,392,104 |
| Spain | — | 24,194,434 | — | 24,194,434 |
| Sweden | — | 24,323,026 | — | 24,323,026 |
| Switzerland | — | 34,289,632 | — | 34,289,632 |
| Taiwan | 5,198,739 | — | — | 5,198,739 |
| United Kingdom | — | 33,982,492 | — | 33,982,492 |
| United States | 9,761,428 | — | — | 9,761,428 |
| Total Common Stocks | $18,414,610 | $288,524,831(2) | $— | $306,939,441 |
| High Social Impact Investments | $— | $1,339,230 | $— | $1,339,230 |
| Preferred Stocks - Venture Capital | — | — | 100,733 | 100,733 |
| Venture Capital Debt Obligations | — | — | — | — |
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International Equity Fund
March 31, 2020
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| Asset Description | Level 1 | Level 2 | Level 3(1) | Total |
| Venture Capital Limited Partnership Interests | $— | $— | $1,134,811 | $1,134,811 |
| Total Investments | $18,414,610 | $289,864,061 | $1,235,544 | $309,514,215 |
| (1) | None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. |
| (2) | 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. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended March 31, 2020 is not presented.
B Investment Transactions and Income— Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation.Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date.
Non-cash dividends are recorded at the fair value of the securities received.Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.In consideration of recent decisions rendered by European courts, the Fund has filed additional tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Due to the uncertainty as to the ultimate resolution of these proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment, no amounts are reflected in the financial statements for such outstanding reclaims.Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain.Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C Share Class Accounting— Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer agency fees and expenses on the Statement of Operations, are not allocated to Class R6 shares.
D Foreign Currency Transactions— The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E Restricted Securities— The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
F Distributions to Shareholders— Distributions to shareholders are recorded by the Fund on ex-dividend date. Distributions from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are declared separately for each class of shares. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
G Estimates— The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H Indemnifications— The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I Federal Income Taxes— No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
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International Equity Fund
March 31, 2020
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J Interim Financial Statements— The interim financial statements relating to March 31, 2020 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund's management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Related Party Transactions
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to an investment advisory agreement dated December 31, 2016 and an amended fee schedule to such agreement effective October 1, 2019, CRM receives a fee, payable monthly, at the following annual rates of the Fund’s average daily net assets: 0.680% on the first $250 million, 0.665% on the next $250 million and 0.650% on the excess of $500 million. Prior to October 1, 2019, CRM received a fee, payable monthly, at the following annual rates of the Fund’s average daily net assets: 0.750% on the first $250 million, 0.725% on the next $250 million and 0.675% on the excess of $500 million. For the six months ended March 31, 2020, the investment advisory fee amounted to $991,871 or 0.68% (annualized) of the Fund’s average daily net assets.
Eaton Vance Advisers International Ltd. (EVAIL), an indirect, wholly-owned subsidiary of Eaton Vance Corp., provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Sub-advisory fees are paid by CRM from its investment advisory fee.
Effective October 1, 2019, CRM and EVAIL have agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, borrowing costs, taxes or litigation expenses) exceed 1.14%, 1.89%, 0.89% and 0.85% for Class A, Class C, Class I and Class R6, respectively, of such class’s average daily net assets. The expense reimbursement agreement may be changed or terminated after January 31, 2021. For the six months ended March 31, 2020, CRM and EVAIL waived or reimbursed expenses in total of $239,449.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class R6 and is payable monthly. For the six months ended March 31, 2020, CRM was paid administrative fees of $175,603.
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. The Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. In addition, pursuant to the Class C Plan, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued for the six months ended March 31, 2020 amounted to $150,106 and $31,524 for Class A shares and Class C shares, respectively.
The Fund was informed that EVD received $11,075 as its portion of the sales charge on sales of Class A shares for the six months ended March 31, 2020. The Fund was also informed that EVD received less than $100 of contingent deferred sales charges (CDSC) paid by Class C shareholders and no CDSC paid by Class A shareholders for the same period.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2020, sub-transfer agency fees and expenses incurred to EVM amounted to $38,793 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives an annual fee of $154,000, plus an annual Committee fee ranging from $8,500 to $16,500 depending on the Committee. The Board chair receives an additional $20,000 annual fee and Committee chairs receive an additional $6,000 annual fee. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund's assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and three (four prior to December 31, 2019) additional members. Each member (other than CRM’s Chief Executive Officer) received annual compensation of $75,000, which was being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019.For the six months ended March 31, 2020, the Fund’s allocated portion of such expense and reimbursement was $4,073, which are included in miscellaneous expense and reimbursement of expenses - other, respectively, on the Statement of Operations. For the year ending December 31, 2020, each member (other than CRM’s Chief Executive Officer) is expected to be compensated $20,000 for
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International Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
their service on the advisory council. Such compensation, and any other compensation and/or expenses incurred by the advisory council as may be approved by the Board, shall be borne by the Calvert funds.
3 Investment Activity
During the six months ended March 31, 2020, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $194,385,163 and $100,664,950, respectively.
4 Distributions to Shareholders and Income Tax Information
At September 30, 2019, the Fund, for federal income tax purposes, had deferred capital losses of $18,694,281 which would reduce the Fund's taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus would reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Fund of any liability for federal income or excise tax. The deferred capital losses are treated as arising on the first day of the Fund's next taxable year, can be carried forward for an unlimited period, and retain the same short-term or long-term character as when originally deferred. Of the deferred capital losses at September 30, 2019, $5,934,395 are short-term and $12,759,886 are long-term.
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2020, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $317,936,525 |
| Gross unrealized appreciation | $27,818,555 |
| Gross unrealized depreciation | (36,240,865) |
| Net unrealized depreciation | $(8,422,310) |
5 Securities Lending
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSBT), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSBT. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
The Fund did not have any securities on loan at March 31, 2020.
6 Line of Credit
Effective October 29, 2019, the Fund participates with other portfolios and funds managed by EVM and its affiliates, including CRM, in an $800 million unsecured line of credit with a group of banks, which is in effect through October 27, 2020. Borrowings are made by the Fund solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Fund based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time.
Prior to October 29, 2019, the Fund participated with other funds managed by CRM in a $100 million committed unsecured line of credit agreement with SSBT, which was terminated by the Calvert funds. Borrowings bore interest at the higher of the one-month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds rate, plus 1.00% per annum. A commitment fee of 0.20% per annum was incurred on the unused portion of the committed facility, which was allocated to all participating funds.
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International Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
The Fund had no borrowings outstanding pursuant to its line of credit at March 31, 2020.The Fund did not have any significant borrowings or allocated fees during the six months ended March 31, 2020.
7 Affiliated Companies
The Fund has invested a portion of its assets in notes (the Notes) issued by Calvert Impact Capital, Inc. (CIC) pursuant to exemptive relief granted by the U.S. Securities and Exchange Commission (the SEC). There are certain potential points of affiliation between the Fund and CIC. CRM has licensed use of the Calvert name to CIC and provides other types of support. CRM’s President and Chief Executive Officer (and the only director/trustee on the Fund Board that is an “interested person” of the Fund) serves on the CIC Board, along with one member of the Advisory Council to the Fund Board and a second officer of CRM. In addition, another director/trustee on the Fund Board and a member of the Advisory Council each serve as a director emeritus on the CIC Board.
In addition to the Notes, the Fund may also invest in companies that are considered affiliated companies because the Fund has a direct or indirect ownership of, control of, or voting power of 5 percent or more of the outstanding voting shares of the company, or the company is under common ownership or control with the Fund. At March 31, 2020, the value of the Fund's investment in the Notes and affiliated companies was $1,044,183, which represents 0.3% of the Fund's net assets. Transactions in the Notes and affiliated companies by the Fund for the six months ended March 31, 2020 were as follows:
| Name of issuer | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest income | Capital gain distributions received | Principal amount, end of period |
| High Social Impact Investments | |||||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) | $4,408,140 | $ — | $(4,431,583) | $ — | $23,443 | $ — | $13,664 | $ — | $— |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | — | 880,352 | — | — | (31,869) | 848,483 | 3,852 | — | 880,352 |
| Venture Capital Limited Partnership Interests | |||||||||
| gNet Defta Development Holding LLC(1)(2)(3) | 249,584 | — | — | — | (53,884) | 195,700 | — | — | — |
| SEAF Central and Eastern European Growth Fund LLC | 3,570 | — | (146,100) | — | 142,530 | — | — | — | — |
| Totals | $ — | $80,220 | $1,044,183 | $17,516 | $ — |
| (1) | Restricted security. |
| (2) | For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 1A). |
| (3) | Non-income producing security. |
8 Capital Shares
The Corporation may issue its shares in one or more series (such as the Fund). The authorized shares of the Fund consist of 75,000,000 common shares, $0.01 par value, for each Class.
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International Equity Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
Transactions in capital shares for the six months ended March 31, 2020 and the year ended September 30, 2019 were as follows:
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019(1) | ||||
| Shares | Amount | Shares | Amount | ||
| Class A | |||||
| Shares sold | 804,940 | $15,166,083 | 463,021 | $7,932,556 | |
| Reinvestment of distributions | 58,651 | 1,173,605 | 70,194 | 1,067,653 | |
| Shares redeemed | (678,404) | (12,804,819) | (1,095,095) | (18,554,534) | |
| Converted from Class C | 12,551 | 228,558 | 217,447 | 3,509,724 | |
| Net increase (decrease) | 197,738 | $3,763,427 | (344,433) | $(6,044,601) | |
| Class C | |||||
| Shares sold | 29,413 | $446,780 | 45,413 | $643,966 | |
| Reinvestment of distributions | 1,299 | 22,301 | 3,763 | 49,178 | |
| Shares redeemed | (40,064) | (590,617) | (145,293) | (2,165,043) | |
| Converted to Class A | (14,661) | (228,558) | (253,136) | (3,509,724) | |
| Net decrease | (24,013) | $(350,094) | (349,253) | $(4,981,623) | |
| Class I | |||||
| Shares sold | 4,191,994 | $78,695,534 | 3,206,610 | $57,269,370 | |
| Reinvestment of distributions | 51,969 | 1,110,065 | 52,583 | 852,895 | |
| Shares redeemed | (826,877) | (15,763,974) | (2,484,203) | (45,039,359) | |
| Net increase | 3,417,086 | $64,041,625 | 774,990 | $13,082,906 | |
| Class R6 | |||||
| Shares sold | 1,690,742 | $34,968,030 | 2,547,114 | $47,468,909 | |
| Reinvestment of distributions | 35,319 | 753,700 | — | — | |
| Shares redeemed | (100,680) | (1,960,190) | (9,283) | (177,904) | |
| Net increase | 1,625,381 | $33,761,540 | 2,537,831 | $47,291,005 | |
| (1) | For Class R6, for the period from the commencement of operations, March 7, 2019, to September 30, 2019. |
9 Risks and Uncertainties
Risks Associated with Foreign Investments
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus that was first detected in China in December 2019 has spread rapidly internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and individual companies and can affect the market in general in significant and unforeseen ways. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The near-term impact of this coronavirus has resulted in substantial market volatility, which may have an adverse effect on the Fund's investments.
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International Equity Fund
March 31, 2020
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10 Capital Commitments
In connection with certain venture capital and/or limited partnership investments, the Fund is committed to future capital calls, which will increase the Fund’s investment in these securities. The aggregate amount of the future capital commitments totaled $26,470 at March 31, 2020. The Fund had sufficient cash and/or securities to cover these commitments.
The Fund's unfunded capital commitments by investment at March 31, 2020 were as follows:
| Name of Investment | Unfunded Commitment |
| Africa Renewable Energy Fund L.P. | $8,462 |
| Blackstone Clean Technology Partners L.P. | 508 |
| SEAF India International Growth Fund L.P. | 17,500 |
| Total | $26,470 |
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Calvert
International Equity Fund
March 31, 2020
Board of Directors' Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 4, 2020, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• 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;
Information about Portfolio Management and Trading
• 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”;
Information about the Adviser
• 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;
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International Equity Fund
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Other Relevant Information
• 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.
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert International Equity Fund (the “Fund”), and the investment sub-advisory agreement with Eaton Vance Advisers International Ltd. (the “Sub-Adviser”), an affiliate of CRM, including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and its benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2019. This performance data indicated that the Fund had outperformed the median of the Fund’s peer universe for the one- three- and five-year periods ended September 30, 2019, outperformed its benchmark index for the one- and three-year periods ended September 30, 2019 and underperformed its benchmark index for the five-year period ended September 30, 2019. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its benchmark index.
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) and the Fund’s total expenses (net of waivers and/or reimbursements) were each below the respective median of the Fund’s expense group. The Board took into account the Adviser’s and Sub-Adviser’s current undertaking to maintain expense limitations for
26
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Calvert
International Equity Fund
March 31, 2020
Board of Directors' Contract Approval — continued
the Fund and that the Adviser and Sub-Adviser were waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates, including the Sub-Adviser, provided sub-advisory, sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates, including the Sub-Adviser, derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates, including the Sub-Adviser, from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board also took into account the breakpoints in the advisory fee schedule for the Fund that would reduce the advisory fee rate on assets above specific asset levels. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement, although the Board noted that the sub-advisory fee schedule contained breakpoints. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
27
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Calvert
International Equity Fund
March 31, 2020
Officers and Directors
| Officers |
| Hope L. Brown Chief Compliance Officer |
| Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
| James F. Kirchner Treasurer |
| Directors |
| Alice Gresham Bullock Chairperson |
| Richard L. Baird, Jr. |
| Cari M. Dominguez |
| John G. Guffey, Jr. |
| Miles D. Harper, III |
| Joy V. Jones |
| John H. Streur* |
| Anthony A. Williams |
| *Interested Director and President |
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Calvert Funds
IMPORTANT NOTICES
Privacy.The Eaton Vance organization is committed to ensuring your financial privacy. Each entity listed below has adopted a privacy policy and procedures (“Privacy Program”) Eaton Vance believes is reasonably designed to protect your personal information and to govern when and with whom Eaton Vance may share your personal information.
| • | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
| • | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
| • | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
| • | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of protecting your personal information applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Limited, Eaton Vance Global Advisors Limited, Eaton Vance Management's Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, and Calvert Funds. This Privacy Notice supersedes all previously issued privacy disclosures. For more information about our Privacy Program or about how your personal information may be used, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders.Calvert funds, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial intermediary, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial intermediary. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC for the first and third quarters of each fiscal year. The Form N-PORT will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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Investment Adviser and Administrator
Calvert Research and Management
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
Investment Sub-Adviser
Eaton Vance Advisers International Ltd.
125 Old Broad Street
London, EC2N 1AR
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
DST Asset Manager Solutions, Inc.
2000 Crown Colony Drive
Quincy, MA 02169
Fund Offices
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
*FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
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Printed on recycled paper.
24208 3.31.20
Table of Contents
Calvert
International Opportunities Fund
Semiannual Report
March 31, 2020
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (calvert.com/prospectus), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by signing up for e-Delivery at calvert.com. If you own your shares through a financial intermediary (such as a broker-dealer or bank), you must contact your financial intermediary to sign up.
You may elect to receive all future Fund shareholder reports in paper free of charge. If you are a direct investor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-368-2745. If you own these shares through a financial intermediary, you must contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Calvert funds held directly or to all funds held through your financial intermediary, as applicable.
E-Delivery Sign-Up - Details Inside
Table of Contents
Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser has claimed an exclusion from the definition of “commodity pool operator” under the Commodity Exchange Act with respect to its management of the Fund and the other funds it manages. Accordingly neither the Fund nor the adviser is subject to CFTC regulation.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745.
Choose Planet-friendly E-delivery!
Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs.
Just go towww.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail.
If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps.
Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm.
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Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Performance
Portfolio ManagerAidan M. Farrell of Eaton Vance Global Advisors Limited
| % Average Annual Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Ten Years |
| Class A at NAV | 05/31/2007 | 05/31/2007 | (16.18)% | (15.34)% | 1.22% | 4.39% |
| Class A with 4.75% Maximum Sales Charge | — | — | (20.18) | (19.37) | 0.23 | 3.88 |
| Class C at NAV | 07/31/2007 | 05/31/2007 | (16.51) | (15.98) | 0.41 | 3.53 |
| Class C with 1% Maximum Sales Charge | — | — | (17.34) | (16.81) | 0.41 | 3.53 |
| Class I at NAV | 05/31/2007 | 05/31/2007 | (16.13) | (15.11) | 1.55 | 4.80 |
| Class R6 at NAV | 02/01/2019 | 05/31/2007 | (16.05) | (15.03) | 1.57 | 4.81 |
| ·· | ||||||
| MSCI EAFE Small/Mid Cap Index | — | — | (18.67)% | (17.12)% | 0.35% | 4.19% |
| % Total Annual Operating Expense Ratios3 | Class A | Class C | Class I | Class R6 |
| Gross | 1.37% | 2.12% | 1.12% | 1.08% |
| Net | 1.34 | 2.09 | 1.09 | 1.05 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to www.calvert.com.
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Calvert
International Opportunities Fund
March 31, 2020
Fund Profile
Sector Allocation (% of net assets)*
*Excludes cash and cash equivalents.
| Top 10 Holdings (% of net assets)* | |
| Sika AG | 1.8% |
| Partners Group Holding AG | 1.6 |
| Itochu Techno-Solutions Corp. | 1.5 |
| IMCD Group NV | 1.5 |
| Ship Healthcare Holdings, Inc. | 1.4 |
| Mitsui Fudosan Logistics Park, Inc. | 1.4 |
| Nohmi Bosai, Ltd. | 1.4 |
| CA Immobilien Anlagen AG | 1.4 |
| Halma PLC | 1.4 |
| Yamaha Corp. | 1.3 |
| Total | 14.7% |
| * | Excludes cash and cash equivalents. |
See Endnotes and Additional Disclosures in this report.
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Calvert
International Opportunities Fund
March 31, 2020
Endnotes and Additional Disclosures
| 1 | MSCI EAFE Small/Mid Cap Index is an unmanaged index of small & mid-capitalization 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 | Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares.Performance prior to the inception date of a class may be linked to the performance of an older class of the Fund. This linked performance is adjusted for any applicable sales charge, but is not adjusted for class expense differences. If adjusted for such differences, the performance would be different. The performance of Class R6 is linked to Class I. Performance presented in the Financial Highlights included in the financial statements is not linked.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 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report. |
| Fund profile subject to change due to active management. |
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Calvert
International Opportunities Fund
March 31, 2020
Fund Expenses
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2019 to March 31, 2020).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| Beginning Account Value (10/1/19) | Ending Account Value (3/31/20) | Expenses Paid During Period* (10/1/19 – 3/31/20) | Annualized Expense Ratio | |
| Actual | ||||
| Class A | $1,000.00 | $838.20 | $6.11 | 1.33% |
| Class C | $1,000.00 | $834.90 | $9.54 | 2.08% |
| Class I | $1,000.00 | $838.70 | $4.96 | 1.08% |
| Class R6 | $1,000.00 | $839.50 | $4.60 | 1.00% |
| Hypothetical | ||||
| (5% return per year before expenses) | ||||
| Class A | $1,000.00 | $1,018.35 | $6.71 | 1.33% |
| Class C | $1,000.00 | $1,014.60 | $10.48 | 2.08% |
| Class I | $1,000.00 | $1,019.60 | $5.45 | 1.08% |
| Class R6 | $1,000.00 | $1,020.00 | $5.05 | 1.00% |
| * | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (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 September 30, 2019. |
5
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Schedule of Investments (Unaudited)
| Common Stocks — 97.8% |
| Security | Shares | Value |
| Australia — 3.7% | ||
| Bapcor, Ltd. | 786,425 | $ 1,960,639 |
| BlueScope Steel, Ltd. | 75,622 | 395,920 |
| Bravura Solutions, Ltd. | 688,365 | 1,602,503 |
| carsales.com, Ltd. | 206,894 | 1,486,616 |
| GDI Property Group | 2,145,604 | 1,239,228 |
| Magellan Financial Group, Ltd. | 37,970 | 1,007,030 |
| Steadfast Group, Ltd. | 630,203 | 949,948 |
| WiseTech Global, Ltd.(1) | 184,075 | 1,913,638 |
| $10,555,522 | ||
| Austria — 2.3% | ||
| BAWAG Group AG(2) | 88,572 | $2,470,736 |
| CA Immobilien Anlagen AG | 118,441 | 4,038,993 |
| $6,509,729 | ||
| Belgium — 0.4% | ||
| Barco NV | 8,258 | $1,261,756 |
| $1,261,756 | ||
| Canada — 1.6% | ||
| CAE, Inc. | 181,552 | $2,295,040 |
| TMX Group, Ltd. | 31,917 | 2,376,142 |
| $4,671,182 | ||
| China — 0.9% | ||
| China Meidong Auto Holdings, Ltd. | 1,718,872 | $2,664,558 |
| $2,664,558 | ||
| Denmark — 0.5% | ||
| Topdanmark A/S(1) | 33,990 | $1,363,903 |
| $1,363,903 | ||
| France — 1.7% | ||
| Nexity SA | 47,698 | $1,468,155 |
| Rubis SCA | 83,511 | 3,443,590 |
| $4,911,745 | ||
| Germany — 4.3% | ||
| AIXTRON SE(3) | 192,394 | $1,655,755 |
| Carl Zeiss Meditec AG | 20,894 | 1,989,537 |
| GRENKE AG | 21,967 | 1,265,881 |
| LEG Immobilien AG | 31,040 | 3,480,740 |
| Norma Group SE | 76,155 | 1,415,541 |
| Rational AG | 4,615 | 2,440,659 |
| Security | Shares | Value |
| Germany (continued) | ||
| Salzgitter AG | 14,582 | $ 171,556 |
| $ 12,419,669 | ||
| Hong Kong — 0.7% | ||
| CITIC Telecom International Holdings, Ltd. | 5,848,813 | $ 1,929,882 |
| $ 1,929,882 | ||
| Ireland — 2.6% | ||
| Irish Residential Properties REIT PLC | 1,839,157 | $ 2,490,285 |
| Kerry Group PLC, Class A | 27,030 | 3,155,111 |
| UDG Healthcare PLC | 252,530 | 1,964,826 |
| $7,610,222 | ||
| Italy — 6.2% | ||
| Amplifon SpA | 74,327 | $1,509,822 |
| Banca Farmafactoring SpA(2) | 398,389 | 2,047,562 |
| DiaSorin SpA | 17,998 | 2,372,389 |
| FinecoBank Banca Fineco SpA | 361,385 | 3,251,409 |
| Interpump Group SpA | 130,572 | 3,136,955 |
| MARR SpA | 188,589 | 2,673,889 |
| Moncler SpA | 83,775 | 3,044,272 |
| $18,036,298 | ||
| Japan — 29.4% | ||
| Asahi Co., Ltd. | 128,571 | $1,336,598 |
| Chiba Bank, Ltd. (The) | 449,682 | 1,957,536 |
| Daiichikosho Co., Ltd. | 48,155 | 1,288,730 |
| FP Corp. | 48,766 | 3,243,748 |
| Fukuoka Financial Group, Inc. | 122,908 | 1,621,337 |
| Invesco Office J-REIT, Inc. | 17,753 | 2,351,616 |
| Itochu Techno-Solutions Corp. | 154,156 | 4,390,417 |
| J. Front Retailing Co., Ltd. | 188,383 | 1,554,792 |
| Japan Lifeline Co., Ltd.(1) | 159,790 | 2,002,216 |
| Kenedix, Inc. | 662,848 | 2,515,675 |
| Kewpie Corp. | 163,422 | 3,270,860 |
| Kose Corp. | 18,554 | 2,295,901 |
| K's Holdings Corp. | 224,577 | 2,122,216 |
| Kuraray Co., Ltd. | 355,005 | 3,571,855 |
| Kyoritsu Maintenance Co., Ltd. | 84,969 | 1,869,684 |
| Lion Corp. | 171,352 | 3,654,301 |
| Makita Corp. | 86,954 | 2,652,422 |
| Mitsui Fudosan Logistics Park, Inc. | 962 | 4,069,530 |
| Miura Co., Ltd. | 93,400 | 3,302,800 |
| Morinaga & Co., Ltd. | 76,487 | 3,131,116 |
| Nabtesco Corp. | 136,663 | 3,126,130 |
| Nohmi Bosai, Ltd. | 219,884 | 4,056,634 |
6
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| Japan (continued) | ||
| Nomura Co., Ltd. | 312,150 | $ 2,362,713 |
| OSG Corp. | 162,266 | 2,151,684 |
| Penta-Ocean Construction Co., Ltd. | 549,317 | 2,876,149 |
| Sakata Seed Corp.(1) | 74,064 | 2,247,029 |
| Sankyu, Inc. | 85,079 | 3,170,052 |
| Ship Healthcare Holdings, Inc. | 101,882 | 4,158,480 |
| Sumco Corp. | 188,173 | 2,391,084 |
| Tokyo Century Corp.(1) | 25,946 | 811,874 |
| Tosei Reit Investment Corp. | 1,656 | 1,484,115 |
| Yamaha Corp. | 97,985 | 3,797,450 |
| $84,836,744 | ||
| Luxembourg — 0.2% | ||
| APERAM SA | 24,061 | $508,864 |
| $508,864 | ||
| Netherlands — 2.6% | ||
| Aalberts NV | 129,207 | $3,095,490 |
| Core Laboratories NV | 16,668 | 172,347 |
| IMCD Group NV | 59,249 | 4,251,561 |
| $7,519,398 | ||
| New Zealand — 1.3% | ||
| Fisher & Paykel Healthcare Corp., Ltd. | 203,891 | $3,706,426 |
| $3,706,426 | ||
| Norway — 1.9% | ||
| Entra ASA(2) | 283,263 | $3,383,554 |
| SpareBank 1 SR-Bank ASA | 306,212 | 1,735,690 |
| TGS NOPEC Geophysical Co. ASA | 42,479 | 471,761 |
| $5,591,005 | ||
| Portugal — 0.6% | ||
| NOS SGPS SA | 564,097 | $1,883,890 |
| $1,883,890 | ||
| Singapore — 0.6% | ||
| Frasers Logistics & Industrial Trust | 2,802,100 | $1,732,263 |
| $1,732,263 | ||
| Spain — 0.6% | ||
| Acciona SA | 17,347 | $1,834,795 |
| $1,834,795 | ||
| Sweden — 6.5% | ||
| AddTech AB, Class B | 120,471 | $2,940,017 |
| Security | Shares | Value |
| Sweden (continued) | ||
| Assa Abloy AB, Class B | 199,897 | $ 3,731,817 |
| Autoliv, Inc. | 23,420 | 1,077,554 |
| Boliden AB | 75,881 | 1,361,294 |
| Hexagon AB, Class B | 54,234 | 2,293,294 |
| Husqvarna AB, Class B | 288,333 | 1,434,370 |
| Indutrade AB | 137,205 | 3,712,043 |
| Thule Group AB(2) | 135,772 | 2,342,626 |
| $ 18,893,015 | ||
| Switzerland — 8.8% | ||
| Belimo Holding AG | 340 | $2,166,842 |
| Bossard Holding AG, Class A | 12,513 | 1,437,455 |
| Cembra Money Bank AG | 23,573 | 2,149,450 |
| Galenica AG(2) | 36,689 | 2,503,386 |
| Logitech International SA | 83,582 | 3,579,602 |
| Partners Group Holding AG | 6,532 | 4,472,237 |
| Sika AG | 32,023 | 5,258,584 |
| Straumann Holding AG | 3,002 | 2,194,774 |
| VZ Holding AG | 4,592 | 1,537,460 |
| $25,299,790 | ||
| United Kingdom — 20.4% | ||
| Abcam PLC | 226,244 | $3,191,427 |
| Avast PLC(2) | 738,196 | 3,568,952 |
| Bellway PLC | 67,771 | 1,795,387 |
| Bodycote PLC | 346,862 | 2,428,297 |
| Cranswick PLC | 79,253 | 3,628,079 |
| Dechra Pharmaceuticals PLC | 110,268 | 3,179,845 |
| Diploma PLC | 172,753 | 3,458,877 |
| DS Smith PLC | 756,854 | 2,565,298 |
| First Derivatives PLC | 87,533 | 2,476,559 |
| Games Workshop Group PLC | 65,150 | 3,460,874 |
| Grainger PLC | 637,203 | 2,027,793 |
| Halma PLC | 168,250 | 3,951,530 |
| Howden Joinery Group PLC | 571,085 | 3,592,516 |
| Inchcape PLC | 249,868 | 1,333,505 |
| InterContinental Hotels Group PLC | 56,232 | 2,392,292 |
| Judges Scientific PLC | 53,960 | 2,786,264 |
| Melrose Industries PLC | 2,877,715 | 3,197,814 |
| Nomad Foods, Ltd.(3) | 163,643 | 3,037,214 |
| Spirax-Sarco Engineering PLC | 23,307 | 2,339,859 |
| St. James's Place PLC | 299,565 | 2,797,316 |
| WH Smith PLC | 121,473 | 1,706,200 |
| $58,915,898 | ||
| Total Common Stocks (identified cost $314,603,432) | $282,656,554 | |
7
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Exchange-Traded Funds — 0.8% |
| Security | Shares | Value |
| Equity Exchange-Traded Fund — 0.8% | ||
| Vanguard MSCI Australian Small Companies Index ETF | 84,564 | $ 2,215,585 |
| Total Exchange-Traded Funds (identified cost $3,422,301) | $ 2,215,585 | |
| High Social Impact Investments — 0.5% |
| Security | Principal Amount (000's omitted) | Value |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(4)(5) | $ 1,159 | $ 1,117,222 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20(5)(6) | 111 | 108,780 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20(5)(6) | 142 | 138,059 |
| Total High Social Impact Investments (identified cost $1,412,184) | $ 1,364,061 |
| Short-Term Investments — 0.4% |
| Security | Shares | Value |
| State Street Navigator Securities Lending Government Money Market Portfolio, 0.24%(7) | 1,039,904 | $ 1,039,904 |
| Total Short-Term Investments (identified cost $1,039,904) | $ 1,039,904 | |
| Total Investments — 99.5% (identified cost $320,477,821) | $287,276,104 | |
| Other Assets, Less Liabilities — 0.5% | $ 1,560,098 | |
| Net Assets — 100.0% | $288,836,202 |
| 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 March 31, 2020. The aggregate market value of securities on loan at March 31, 2020 was $1,630,892. | |
| (2) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $16,316,816, which represents 5.6% of the net assets of the Fund as of March 31, 2020. | |
| (3) | Non-income producing security. |
| (4) | Affiliated company (see Note 7). |
| (5) | Restricted security. Total market value of restricted securities amounts to $1,364,061, which represents 0.5% of the net assets of the Fund as of March 31, 2020. |
| (6) | Notes carry an interest rate that varies by period and is contingent on the performance of the underlying portfolio of loans to borrowers. The coupon rate shown represents the rate in effect at March 31, 2020. |
| (7) | Represents investment of cash collateral received in connection with securities lending. |
At March 31, 2020, the concentration of the Fund’s investments in the various sectors, determined as a percentage of net assets, was as follows:
| Economic Sectors | % of Net Assets |
| Industrials | 23.6% |
| Consumer Discretionary | 11.7 |
| Information Technology | 11.5 |
| Financials | 11.0 |
| Real Estate | 10.5 |
| Health Care | 9.9 |
| Consumer Staples | 9.4 |
| Materials | 5.9 |
| Communication Services | 2.3 |
| Utilities | 1.8 |
| Exchange-Traded Funds | 0.8 |
| High Social Impact Investments | 0.5 |
| Energy | 0.2 |
| Total | 99.1% |
8
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
Restricted Securities
| Description | Acquisition Dates | Cost |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20 | 12/13/19 | $1,159,184 |
| ImpactAssets, Inc., Global Sustainable Agriculture Notes, 3.48%, 11/3/20 | 11/13/15 | 111,000 |
| ImpactAssets, Inc., Microfinance Plus Notes, 1.20%, 11/3/20 | 11/13/15 | 142,000 |
9
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited)
| March 31, 2020 | |
| Assets | |
| Investments in securities of unaffiliated issuers, at value (identified cost $319,318,637) - including $1,630,892 of securities on loan | $286,158,882 |
| Investments in securities of affiliated issuers, at value (identified cost $1,159,184) | 1,117,222 |
| Cash | 4,878 |
| Cash denominated in foreign currency, at value (cost $1,934,629) | 1,937,747 |
| Receivable for investments sold | 6,829,016 |
| Receivable for capital shares sold | 1,100,075 |
| Dividends and interest receivable | 844,135 |
| Interest receivable - affiliated | 5,071 |
| Securities lending income receivable | 1,140 |
| Tax reclaims receivable | 309,139 |
| Directors' deferred compensation plan | 164,586 |
| Total assets | $298,471,891 |
| Liabilities | |
| Payable for investments purchased | $5,248,882 |
| Payable for capital shares redeemed | 222,393 |
| Deposits for securities loaned | 1,039,904 |
| Payable to affiliates: | |
| Investment advisory fee | 192,147 |
| Administrative fee | 30,744 |
| Distribution and service fees | 16,610 |
| Sub-transfer agency fee | 2,734 |
| Directors' deferred compensation plan | 164,586 |
| Accrued expenses | 217,689 |
| Demand note payable | 2,500,000 |
| Total liabilities | $9,635,689 |
| Net Assets | $288,836,202 |
| Sources of Net Assets | |
| Paid-in capital | $350,286,847 |
| Accumulated loss | (61,450,645) |
| Total | $288,836,202 |
| Class A Shares | |
| Net Assets | $55,253,594 |
| Shares Outstanding | 4,119,117 |
| Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $13.41 |
| Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $14.08 |
| Class C Shares | |
| Net Assets | $4,891,927 |
| Shares Outstanding | 373,596 |
| Net Asset Value and Offering Price Per Share* (net assets ÷ shares of beneficial interest outstanding) | $13.09 |
10
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited) — continued
| March 31, 2020 | |
| Class I Shares | |
| Net Assets | $192,893,256 |
| Shares Outstanding | 14,696,954 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $13.12 |
| Class R6 Shares | |
| Net Assets | $35,797,425 |
| Shares Outstanding | 2,728,673 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $13.12 |
| On sales of $50,000 or more, the offering price of Class A shares is reduced. | |
| * | Redemption price per share is equal to the net asset value less any applicable contingent deferred sales charge. |
11
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Statement of Operations (Unaudited)
| Six Months Ended | |
| March 31, 2020 | |
| Investment Income | |
| Dividend income (net of foreign taxes withheld of $186,962) | $2,392,233 |
| Interest income - unaffiliated issuers | 16,109 |
| Interest income - affiliated issuers | 7,988 |
| Securities lending income, net | 32,578 |
| Total investment income | $2,448,908 |
| Expenses | |
| Investment advisory fee | $1,360,959 |
| Administrative fee | 217,754 |
| Distribution and service fees: | |
| Class A | 85,213 |
| Class C | 32,892 |
| Directors' fees and expenses | 9,847 |
| Custodian fees | 12,852 |
| Transfer agency fees and expenses | 177,157 |
| Accounting fees | 49,467 |
| Professional fees | 29,027 |
| Registration fees | 48,871 |
| Reports to shareholders | 17,552 |
| Miscellaneous | 21,841 |
| Total expenses | $2,063,432 |
| Reimbursement of expenses - other | (5,268) |
| Net expenses | $2,058,164 |
| Net investment income | $390,744 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss): | |
| Investment securities - unaffiliated issuers | $(11,650,380) |
| Foreign currency transactions | 5,883 |
| Net realized loss | $(11,644,497) |
| Change in unrealized appreciation (depreciation): | |
| Investment securities - unaffiliated issuers | $(45,422,273) |
| Investment securities - affiliated issuers | (36,672) |
| Foreign currency | 26,672 |
| Net change in unrealized appreciation (depreciation) | $(45,432,273) |
| Net realized and unrealized loss | $(57,076,770) |
| Net decrease in net assets from operations | $(56,686,026) |
12
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Statements of Changes in Net Assets
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019 | |
| Increase (Decrease) in Net Assets | ||
| From operations: | ||
| Net investment income | $390,744 | $4,182,082 |
| Net realized loss | (11,644,497) | (11,713,037) |
| Net change in unrealized appreciation (depreciation) | (45,432,273) | (11,553,508) |
| Net decrease in net assets from operations | $(56,686,026) | $(19,084,463) |
| Distributions to shareholders: | ||
| Class A | $(779,888) | $(4,792,065) |
| Class C | (27,023) | (508,198) |
| Class I | (3,424,730) | (18,400,110) |
| Class R6 | (698,083) | — |
| Total distributions to shareholders | $(4,929,724) | $(23,700,373) |
| Capital share transactions: | ||
| Class A | $2,953,750 | $7,425,573 |
| Class C | (637,201) | (31,653) |
| Class I | 12,064,052 | 23,484,318 |
| Class R6 | (565,601) | 44,198,523(1) |
| Net increase in net assets from capital share transactions | $13,815,000 | $75,076,761 |
| Net increase (decrease) in net assets | $(47,800,750) | $32,291,925 |
| Net Assets | ||
| At beginning of period | $336,636,952 | $304,345,027 |
| At end of period | $288,836,202 | $336,636,952 |
| (1) | For the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
13
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Financial Highlights
| Class A | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $16.18 | $18.86 | $18.70 | $14.78 | $14.58 | $16.42 |
| Income (Loss) From Operations | ||||||
| Net investment income(1) | $—(2) | $0.18 | $0.17 | $0.03 | $0.15(3) | $0.14 |
| Net realized and unrealized gain (loss) | (2.58) | (1.51) | 1.20 | 4.04 | 0.63 | (0.83) |
| Total income (loss) from operations | $(2.58) | $(1.33) | $1.37 | $4.07 | $0.78 | $(0.69) |
| Less Distributions | ||||||
| From net investment income | $(0.19) | $(0.23) | $(0.24) | $(0.15) | $(0.11) | $(0.18) |
| From net realized gain | — | (1.12) | (0.97) | — | (0.47) | (0.97) |
| Total distributions | $(0.19) | $(1.35) | $(1.21) | $(0.15) | $(0.58) | $(1.15) |
| Net asset value — End of period | $13.41 | $16.18 | $18.86 | $18.70 | $14.78 | $14.58 |
| Total Return(4) | (16.18)%(5) | (6.77)% | 7.62% | 27.89% | 5.49% | (4.32)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $55,254 | $64,070 | $65,994 | $50,552 | $107,429 | $99,908 |
| Ratios (as a percentage of average daily net assets):(6) | ||||||
| Total expenses | 1.33%(7) | 1.37% | 1.38% | 1.48% | 1.49% | 1.69% |
| Net expenses | 1.33%(7) | 1.35% | 1.38% | 1.48% | 1.46% | 1.66% |
| Net investment income | 0.03%(7) | 1.15% | 0.91% | 0.18% | 1.07%(3) | 0.88% |
| Portfolio Turnover | 39%(5) | 60% | 60% | 158% | 52% | 51% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount is less than $0.005. |
| (3) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.006 per share and 0.04% of average net assets. |
| (4) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (5) | Not annualized. |
| (6) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (7) | Annualized. |
14
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Financial Highlights — continued
| Class C | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $15.74 | $18.37 | $18.29 | $14.43 | $14.28 | $16.08 |
| Income (Loss) From Operations | ||||||
| Net investment income (loss)(1) | $(0.06) | $0.06 | $0.03 | $(0.04) | $0.01(2) | $(0.03) |
| Net realized and unrealized gain (loss) | (2.52) | (1.47) | 1.18 | 3.91 | 0.61 | (0.76) |
| Total income (loss) from operations | $(2.58) | $(1.41) | $1.21 | $3.87 | $0.62 | $(0.79) |
| Less Distributions | ||||||
| From net investment income | $(0.07)(2) | $(0.10) | $(0.16) | $(0.01) | $— | $(0.04) |
| From net realized gain | — | (1.12) | (0.97) | — | (0.47) | (0.97) |
| Total distributions | $(0.07) | $(1.22) | $(1.13) | $(0.01) | $(0.47) | $(1.01) |
| Net asset value — End of period | $13.09 | $15.74 | $18.37 | $18.29 | $14.43 | $14.28 |
| Total Return(3) | (16.51)%(4) | (7.49)% | 6.92% | 26.83% | 4.46% | (5.09)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $4,892 | $6,532 | $7,603 | $5,850 | $5,037 | $5,030 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 2.08%(6) | 2.12% | 2.13% | 2.61% | 2.67% | 2.72% |
| Net expenses | 2.08%(6) | 2.10% | 2.13% | 2.30% | 2.44% | 2.50% |
| Net investment income (loss) | (0.74)%(6) | 0.38% | 0.18% | (0.24)% | 0.04%(2) | (0.18)% |
| Portfolio Turnover | 39%(4) | 60% | 60% | 158% | 52% | 51% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.006 per share and 0.04% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
15
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Financial Highlights — continued
| Class I | ||||||
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, | |||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||
| Net asset value — Beginning of period | $15.86 | $18.52 | $18.42 | $14.56 | $14.38 | $16.19 |
| Income (Loss) From Operations | ||||||
| Net investment income(1) | $0.02 | $0.22 | $0.23 | $0.17 | $0.19(2) | $0.19 |
| Net realized and unrealized gain (loss) | (2.53) | (1.49) | 1.17 | 3.90 | 0.63 | (0.80) |
| Total income (loss) from operations | $(2.51) | $(1.27) | $1.40 | $4.07 | $0.82 | $(0.61) |
| Less Distributions | ||||||
| From net investment income | $(0.23) | $(0.27) | $(0.33) | $(0.21) | $(0.17) | $(0.23) |
| From net realized gain | — | (1.12) | (0.97) | — | (0.47) | (0.97) |
| Total distributions | $(0.23) | $(1.39) | $(1.30) | $(0.21) | $(0.64) | $(1.20) |
| Net asset value — End of period | $13.12 | $15.86 | $18.52 | $18.42 | $14.56 | $14.38 |
| Total Return(3) | (16.13)%(4) | (6.50)% | 7.95% | 28.44% | 5.84% | (3.86)% |
| Ratios/Supplemental Data | ||||||
| Net assets, end of period (000’s omitted) | $192,893 | $222,546 | $230,748 | $115,698 | $69,319 | $40,833 |
| Ratios (as a percentage of average daily net assets):(5) | ||||||
| Total expenses | 1.08%(6) | 1.12% | 1.13% | 1.07% | 1.17% | 1.15% |
| Net expenses | 1.08%(6) | 1.10% | 1.13% | 1.07% | 1.16% | 1.15% |
| Net investment income | 0.27%(6) | 1.41% | 1.23% | 1.06% | 1.35%(2) | 1.22% |
| Portfolio Turnover | 39%(4) | 60% | 60% | 158% | 52% | 51% |
| (1) | Computed using average shares outstanding. |
| (2) | Amount includes a non-recurring refund for overbilling of prior years' custody out-of-pocket fees. This amounted to $0.008 per share and 0.06% of average net assets. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
16
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Financial Highlights — continued
| Class R6 | ||
| Six Months Ended March 31, 2020 (Unaudited) | Period Ended September 30, 2019(1) | |
| Net asset value — Beginning of period | $15.86 | $15.14 |
| Income (Loss) From Operations | ||
| Net investment income(2) | $0.03 | $0.16 |
| Net realized and unrealized gain (loss) | (2.52) | 0.56 |
| Total income (loss) from operations | $(2.49) | $0.72 |
| Less Distributions | ||
| From net investment income | $(0.25) | $— |
| Total distributions | $(0.25) | $— |
| Net asset value — End of period | $13.12 | $15.86 |
| Total Return(3)(4) | (16.05)% | 4.76% |
| Ratios/Supplemental Data | ||
| Net assets, end of period (000’s omitted) | $35,797 | $43,489 |
| Ratios (as a percentage of average daily net assets):(5) | ||
| Total expenses(6) | 1.00% | 1.08% |
| Net expenses(6) | 1.00% | 1.05% |
| Net investment income(6) | 0.35% | 1.53% |
| Portfolio Turnover | 39%(4) | 60%(7) |
| (1) | For the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
| (7) | For the year ended September 30, 2019. |
17
See Notes to Financial Statements.
Table of Contents
Calvert
International Opportunities Fund
March 31, 2020
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Calvert International Opportunities Fund (the Fund) is a diversified series of Calvert World Values Fund, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is to seek long-term capital appreciation. The Fund invests primarily in common and preferred stocks of non-U.S. small-cap to mid-cap companies.
The Fund offers four classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within 12 months of purchase. Class C shares are sold without a front-end sales charge, and with certain exceptions, are charged a contingent deferred sales charge of 1% on shares redeemed within 12 months of purchase. Class C shares are only available for purchase through a financial intermediary. Effective January 25, 2019, Class C shares generally automatically convert to Class A shares ten years after their purchase as described in the Fund's prospectus. Class I and Class R6 shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946,Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A Investment Valuation— Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Fund’s Board has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Such securities are categorized as Level 2 in the hierarchy.
Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. Accordingly, debt securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course.
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Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund's holdings as of March 31, 2020, based on the inputs used to value them:
| Asset Description | Level 1 | Level 2 | Level 3 | Total |
| Common Stocks | ||||
| Australia | $— | $10,555,522 | $— | $10,555,522 |
| Austria | — | 6,509,729 | — | 6,509,729 |
| Belgium | — | 1,261,756 | — | 1,261,756 |
| Canada | 4,671,182 | — | — | 4,671,182 |
| China | — | 2,664,558 | — | 2,664,558 |
| Denmark | — | 1,363,903 | — | 1,363,903 |
| France | — | 4,911,745 | — | 4,911,745 |
| Germany | — | 12,419,669 | — | 12,419,669 |
| Hong Kong | — | 1,929,882 | — | 1,929,882 |
| Ireland | — | 7,610,222 | — | 7,610,222 |
| Italy | — | 18,036,298 | — | 18,036,298 |
| Japan | — | 84,836,744 | — | 84,836,744 |
| Luxembourg | — | 508,864 | — | 508,864 |
| Netherlands | 172,347 | 7,347,051 | — | 7,519,398 |
| New Zealand | — | 3,706,426 | — | 3,706,426 |
| Norway | — | 5,591,005 | — | 5,591,005 |
| Portugal | — | 1,883,890 | — | 1,883,890 |
| Singapore | — | 1,732,263 | — | 1,732,263 |
| Spain | — | 1,834,795 | — | 1,834,795 |
| Sweden | 1,077,554 | 17,815,461 | — | 18,893,015 |
| Switzerland | — | 25,299,790 | — | 25,299,790 |
| United Kingdom | 3,037,214 | 55,878,684 | — | 58,915,898 |
| Total Common Stocks | $8,958,297 | $273,698,257(1) | $— | $282,656,554 |
| Exchange-Traded Funds | $— | $2,215,585 | $— | $2,215,585 |
| High Social Impact Investments | — | 1,364,061 | — | 1,364,061 |
| Short-Term Investments | 1,039,904 | — | — | 1,039,904 |
| Total Investments | $9,998,201 | $277,277,903 | $ — | $287,276,104 |
| (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. |
B Investment Transactions and Income— Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation.Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date.
Non-cash dividends are recorded at the fair value of the securities received.Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.Distributions received that represent a return of capital are
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recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain.Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C Share Class Accounting— Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.Sub-accounting, recordkeeping and similar administrative fees payable to financial intermediaries, which are a component of transfer agency fees and expenses on the Statement of Operations, are not allocated to Class R6 shares.
D Foreign Currency Transactions— The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E Restricted Securities— The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities (excluding Rule 144A securities) is included at the end of the Schedule of Investments.
F Distributions to Shareholders— Distributions to shareholders are recorded by the Fund on ex-dividend date. Distributions from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are declared separately for each class of shares. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
G Estimates— The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
H Indemnifications— The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
I Federal Income Taxes— No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
Management has analyzed the Fund's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
J Interim Financial Statements— The interim financial statements relating to March 31, 2020 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund's management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Related Party Transactions
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.75% of the Fund’s average daily net assets. For the six months ended March 31, 2020, the investment advisory fee amounted to $1,360,959.
Eaton Vance Advisers International Ltd. (EVAIL), an indirect, wholly-owned subsidiary of Eaton Vance Corp., provides sub-advisory services to the Fund pursuant to a sub-advisory agreement with CRM. Effective October 21, 2019, EVAIL uses the portfolio management, research and other resources of its affiliate, Eaton Vance Global Advisors Limited (EVGA), in rendering investment advisory services to the Fund. EVGA has entered into a Memorandum of Understanding with EVAIL pursuant to which EVGA is considered a participating affiliate of the sub-adviser as that term is used in relief granted by the staff of the U.S. Securities and Exchange Commission allowing U.S. registered investment advisers to use portfolio management or research resources of unregistered advisory affiliates subject to the supervision of a U.S. registered adviser. Sub-advisory fees are paid by CRM from its investment advisory fee.
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CRM and EVAIL have agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, borrowing costs, taxes or litigation expenses) exceed 1.34%, 2.09%, 1.09% and 1.05% for Class A, Class C, Class I and Class R6, respectively, of such class’ average daily net assets. The expense reimbursement agreement may be changed or terminated after January 31, 2021. For the six months ended March 31, 2020, no expenses were waived or reimbursed by CRM and EVAIL.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A, Class C, Class I and Class R6 and is payable monthly. For the six months ended March 31, 2020, CRM was paid administrative fees of $217,754.
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. The Fund also has in effect a distribution plan for Class C shares (Class C Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class C Plan, the Fund pays EVD amounts equal to 0.75% per annum of its average daily net assets attributable to Class C shares for providing ongoing distribution services and facilities to the Fund. In addition, pursuant to the Class C Plan, the Fund also makes payments of service fees to EVD, financial intermediaries and other persons in amounts equal to 0.25% per annum of its average daily net assets attributable to that class. Service fees paid or accrued are for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued for the six months ended March 31, 2020 amounted to $85,213 and $32,892 for Class A shares and Class C shares, respectively.
The Fund was informed that EVD received $9,856 as its portion of the sales charge on sales of Class A shares for the six months ended March 31, 2020. The Fund was also informed that EVD received less than $100 and $248 of contingent deferred sales charges paid by Class A and Class C shareholders, respectively, for the same period.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2020, sub-transfer agency fees and expenses incurred to EVM amounted to $16,987 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives an annual fee of $154,000, plus an annual Committee fee ranging from $8,500 to $16,500 depending on the Committee. The Board chair receives an additional $20,000 annual fee and Committee chairs receive an additional $6,000 annual fee. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund's assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and three (four prior to December 31, 2019) additional members. Each member (other than CRM’s Chief Executive Officer) received annual compensation of $75,000, which was being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019.For the six months ended March 31, 2020, the Fund’s allocated portion of such expense and reimbursement was $5,268, which are included in miscellaneous expense and reimbursement of expenses - other, respectively, on the Statement of Operations. For the year ending December 31, 2020, each member (other than CRM’s Chief Executive Officer) is expected to be compensated $20,000 for their service on the advisory council. Such compensation, and any other compensation and/or expenses incurred by the advisory council as may be approved by the Board, shall be borne by the Calvert funds.
3 Investment Activity
During the six months ended March 31, 2020, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $145,287,502 and $135,982,508, respectively.
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4 Distributions to Shareholders and Income Tax Information
The cost and unrealized appreciation (depreciation) of investments of the Fund at March 31, 2020, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $328,330,686 |
| Gross unrealized appreciation | $10,476,038 |
| Gross unrealized depreciation | (51,530,620) |
| Net unrealized depreciation | $(41,054,582) |
5 Securities Lending
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSBT), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSBT. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At March 31, 2020, the total value of securities on loan was $1,630,892 and the total value of collateral received was $1,717,372, comprised of cash of $1,039,904 and U.S. government and/or agencies securities of $677,468.
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2020.
| Remaining Contractual Maturity of the Transactions | |||||
| Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
| Securities Lending Transactions | |||||
| Common Stocks | $1,039,904 | $ — | $ — | $ — | $1,039,904 |
The carrying amount of the liability for deposits for securities loaned at March 31, 2020 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2020.
6 Line of Credit
Effective October 29, 2019, the Fund participates with other portfolios and funds managed by EVM and its affiliates, including CRM, in an $800 million unsecured line of credit with a group of banks, which is in effect through October 27, 2020. Borrowings are made by the Fund solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Fund based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time.
Prior to October 29, 2019, the Fund participated with other funds managed by CRM in a $100 million committed unsecured line of credit agreement with SSBT, which was terminated by the Calvert funds. Borrowings bore interest at the higher of the one-month London Interbank Offered Rate (LIBOR) in effect that day or the overnight Federal Funds rate, plus 1.00% per annum. A commitment fee of 0.20% per annum was incurred on the unused portion of the committed facility, which was allocated to all participating funds.
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International Opportunities Fund
March 31, 2020
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At March 31, 2020, the Fund had a balance outstanding pursuant to this line of credit of $2,500,000 at an annual interest rate of 1.09%. Based on the short-term nature of the borrowings under the line of credit and variable interest rate, the carrying value of the borrowings approximated its fair value at March 31, 2020. If measured at fair value, borrowings under the line of credit would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2020.The Fund did not have any significant borrowings or allocated fees during the six months ended March 31, 2020.
7 Affiliated Companies
The Fund has invested a portion of its assets in notes (the Notes) issued by Calvert Impact Capital, Inc. (CIC) pursuant to exemptive relief granted by the U.S. Securities and Exchange Commission (the SEC). There are certain potential points of affiliation between the Fund and CIC. CRM has licensed use of the Calvert name to CIC and provides other types of support. CRM’s President and Chief Executive Officer (and the only director/trustee on the Fund Board that is an “interested person” of the Fund) serves on the CIC Board, along with one member of the Advisory Council to the Fund Board and a second officer of CRM. In addition, another director/trustee on the Fund Board and a member of the Advisory Council each serve as a director emeritus on the CIC Board.
At March 31, 2020, the value of the Fund’s investment in the Notes was $1,117,222, which represents 0.4% of the Fund’s net assets. Transactions in the Notes by the Fund for the six months ended March 31, 2020 were as follows:
| Name of issuer | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest income | Capital gain distributions received | Principal amount, end of period |
| High Social Impact Investments | |||||||||
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/19(1) | $994,710 | $ — | $(1,000,000) | $ — | $5,290 | $ — | $2,917 | $ — | $— |
| Calvert Impact Capital, Inc., Community Investment Notes, 1.50%, 12/15/20(1) | — | 1,159,184 | — | — | (41,962) | 1,117,222 | 5,071 | — | 1,159,184 |
| Totals | $ — | $(36,672) | $1,117,222 | $7,988 | $ — |
| (1) | Restricted security. |
8 Capital Shares
The Corporation may issue its shares in one or more series (such as the Fund). The authorized shares of the Fund consist of 75,000,000 common shares, $0.01 par value, for each Class.
Transactions in capital shares for the six months ended March 31, 2020 and the year ended September 30, 2019 were as follows:
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019(1) | ||||
| Shares | Amount | Shares | Amount | ||
| Class A | |||||
| Shares sold | 525,639 | $8,735,741 | 1,168,879 | $18,769,355 | |
| Reinvestment of distributions | 43,505 | 747,852 | 294,011 | 4,571,864 | |
| Shares redeemed | (420,865) | (6,740,110) | (1,049,073) | (16,633,747) | |
| Converted from Class C | 12,001 | 210,267 | 46,183 | 718,101 | |
| Net increase | 160,280 | $2,953,750 | 460,000 | $7,425,573 | |
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International Opportunities Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
| Six Months Ended March 31, 2020 (Unaudited) | Year Ended September 30, 2019(1) | ||||
| Shares | Amount | Shares | Amount | ||
| Class C | |||||
| Shares sold | 29,233 | $484,074 | 116,602 | $1,761,633 | |
| Reinvestment of distributions | 1,462 | 24,586 | 30,690 | 467,100 | |
| Shares redeemed | (59,778) | (935,594) | (98,857) | (1,542,285) | |
| Converted to Class A | (12,286) | (210,267) | (47,247) | (718,101) | |
| Net increase (decrease) | (41,369) | $(637,201) | 1,188 | $(31,653) | |
| Class I | |||||
| Shares sold | 3,703,800 | $58,589,774 | 8,454,598 | $130,605,151 | |
| Reinvestment of distributions | 174,421 | 2,932,018 | 1,020,569 | 15,512,650 | |
| Shares redeemed | (3,216,536) | (49,457,740) | (7,900,717) | (122,633,483) | |
| Net increase | 661,685 | $12,064,052 | 1,574,450 | $23,484,318 | |
| Class R6 | |||||
| Shares sold | 193,821 | $3,052,355 | 2,803,060 | $45,144,095 | |
| Reinvestment of distributions | 41,577 | 698,083 | — | — | |
| Shares redeemed | (249,348) | (4,316,039) | (60,437) | (945,572) | |
| Net increase (decrease) | (13,950) | $(565,601) | 2,742,623 | $44,198,523 | |
| (1) | For Class R6, for the period from the commencement of operations, February 1, 2019, to September 30, 2019. |
9 Risks and Uncertainties
Risks Associated with Foreign Investments
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus that was first detected in China in December 2019 has spread rapidly internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and individual companies and can affect the market in general in significant and unforeseen ways. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The near-term impact of this coronavirus has resulted in substantial market volatility, which may have an adverse effect on the Fund's investments.
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International Opportunities Fund
March 31, 2020
Board of Directors' Contract Approval
Overview of the Contract Review Process
The Investment Company Act of 1940, as amended, provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of directors, including by a vote of a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), cast in person at a meeting called for the purpose of considering such approval.
At a meeting of the Boards of Trustees/Directors (each a “Board”) of the registered investment companies advised by Calvert Research and Management (“CRM” or the “Adviser”) (the “Calvert Funds”) held on March 4, 2020, the Board, including a majority of the Independent Directors, voted to approve continuation of existing investment advisory and investment sub-advisory agreements for the Calvert Funds for an additional one-year period.
In evaluating the investment advisory and investment sub-advisory agreements for the Calvert Funds, the Board considered a variety of information relating to the Calvert Funds and various service providers, including the Adviser. The Independent Directors reviewed a report prepared by the Adviser regarding various services provided to the Calvert Funds by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel and the Adviser’s revenue and cost of providing services to the Calvert Funds, and a separate report prepared by an independent data provider, which compared each fund’s investment performance, fees and expenses to those of comparable funds as identified by such independent data provider (“comparable funds”).
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the continuation of the investment advisory and investment sub-advisory agreements for the Calvert Funds. Prior to voting, the Independent Directors reviewed the proposed continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements with management and also met in private sessions with their counsel at which time no representatives of management were present.
The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying fund(s), references to “each fund” in this section may include information that was considered at the underlying fund-level):
Information about Fees, Performance and Expenses
• 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;
Information about Portfolio Management and Trading
• 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”;
Information about the Adviser
• 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;
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Calvert
International Opportunities Fund
March 31, 2020
Board of Directors' Contract Approval — continued
Other Relevant Information
• 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.
Over the course of the year, the Board and its committees held regular quarterly meetings. During these meetings, the Directors participated in investment and performance reviews with the portfolio managers and other investment professionals of the Adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective(s), such as the use of derivative instruments, as well as risk management techniques. The Board and its committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, corporate governance and other issues with respect to the funds, and received and participated in reports and presentations provided by CRM and its affiliates with respect to such matters. In addition to the formal meetings of the Board and its committees, the Independent Directors held regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of the Calvert Funds’ investment advisory and investment sub-advisory agreements.
For funds that invest through one or more underlying funds, the Board considered similar information about the underlying fund(s) when considering the approval of investment advisory agreements. In addition, in cases where the Adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any investment sub-advisory agreement.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and investment sub-advisory agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the continuation of the investment advisory agreement of Calvert International Opportunities Fund (the “Fund”), and the investment sub-advisory agreement with Eaton Vance Advisers International Ltd. (the “Sub-Adviser”), an affiliate of CRM, including the fees payable under each agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the investment advisory agreement and the investment sub-advisory agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively, the Board reviewed information relating to the Adviser’s and Sub-Adviser’s operations and personnel, including, among other information, biographical information on the Sub-Adviser’s investment personnel and descriptions of the Adviser’s organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser and Sub-Adviser as well as the Board’s familiarity with the Adviser and Sub-Adviser through Board meetings, discussions and other reports. With respect to the Adviser, the Board considered the Adviser’s responsibilities overseeing the Sub-Adviser and the business-related and other risks to which the Adviser or its affiliates may be subject in managing the Fund. With respect to the Sub-Adviser, the Board took into account the resources available to the Sub-Adviser in fulfilling its duties under the investment sub-advisory agreement and the Sub-Adviser’s experience in managing the Fund. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s and Sub-Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Adviser and the Sub-Adviser under the investment advisory agreement and investment sub-advisory agreement, respectively.
Fund Performance
In considering the Fund’s performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund’s performance results, portfolio composition and investment strategies. The Board compared the Fund’s investment performance to that of the Fund’s peer universe and its benchmark index. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2019. This performance data indicated that the Fund had underperformed the median of its peer universe and its benchmark index for the one- and five-year periods ended September 30, 2019, while it had outperformed the median of the Fund’s peer universe and its benchmark index for the three-year period ended September 30, 2019. The Board took into account management’s discussion of the Fund’s performance. Based upon its review, the Board concluded that the Fund’s performance was satisfactory relative to the performance of its peer universe and its benchmark index.
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Calvert
International Opportunities Fund
March 31, 2020
Board of Directors' Contract Approval — continued
Management Fees and Expenses
In considering the Fund’s fees and expenses, the Board compared the Fund’s fees and total expense ratio with those of comparable funds in its expense group. Among other findings, the data indicated that the Fund’s advisory and administrative fees (after taking into account waivers and/or reimbursements) (referred to collectively as “management fees”) were above the median of the Fund’s expense group and the Fund’s total expenses (net of waivers and/or reimbursements) were below the median of the Fund’s expense group. The Board took into account the Adviser’s and Sub-Adviser’s current undertaking to maintain expense limitations for the Fund and that the Adviser and Sub-Adviser were waiving and/or reimbursing a portion of the Fund’s expenses. Based upon its review, the Board concluded that the management and sub-advisory fees were reasonable in view of the nature, extent and quality of services provided by the Adviser and Sub-Adviser, respectively.
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s profitability in regard to the Fund and the Calvert Funds in the aggregate. In reviewing the overall profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates, including the Sub-Adviser, provided sub-advisory, sub-transfer agency support, administrative and distribution services to the Fund for which they received compensation. The information considered by the Board included the profitability of the Fund to the Adviser and its affiliates without regard to any marketing support or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered that the Adviser and its affiliates, including the Sub-Adviser, derived benefits to their reputation and other indirect benefits from their relationships with the Fund. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee, the profitability of the Fund to the Sub-Adviser was not a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. Based upon its review, the Board concluded that the level of profitability of the Adviser and its affiliates, including the Sub-Adviser, from their relationships with the Fund was reasonable.
Economies of Scale
The Board considered the effect of the Fund’s current size and its potential growth on its performance and fees. The Board concluded that adding breakpoints to the advisory fee at specific asset levels would not be appropriate at this time. Because the Adviser pays the Sub-Adviser’s sub-advisory fee out of its advisory fee, the Board did not consider the potential economies of scale from the Sub-Adviser’s management of the Fund to be a material factor in the Board’s deliberations concerning the continuation of the investment sub-advisory agreement. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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Calvert
International Opportunities Fund
March 31, 2020
Officers and Directors
| Officers |
| Hope L. Brown Chief Compliance Officer |
| Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
| James F. Kirchner Treasurer |
| Directors |
| Alice Gresham Bullock Chairperson |
| Richard L. Baird, Jr. |
| Cari M. Dominguez |
| John G. Guffey, Jr. |
| Miles D. Harper, III |
| Joy V. Jones |
| John H. Streur* |
| Anthony A. Williams |
| *Interested Director and President |
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Calvert Funds
IMPORTANT NOTICES
Privacy.The Eaton Vance organization is committed to ensuring your financial privacy. Each entity listed below has adopted a privacy policy and procedures (“Privacy Program”) Eaton Vance believes is reasonably designed to protect your personal information and to govern when and with whom Eaton Vance may share your personal information.
| • | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
| • | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
| • | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
| • | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of protecting your personal information applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Limited, Eaton Vance Global Advisors Limited, Eaton Vance Management's Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, and Calvert Funds. This Privacy Notice supersedes all previously issued privacy disclosures. For more information about our Privacy Program or about how your personal information may be used, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders.Calvert funds, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial intermediary, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial intermediary. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC for the first and third quarters of each fiscal year. The Form N-PORT will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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Investment Adviser and Administrator
Calvert Research and Management
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
Investment Sub-Adviser
Eaton Vance Advisers International Ltd.
125 Old Broad Street
London, EC2N 1AR
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
DST Asset Manager Solutions, Inc.
2000 Crown Colony Drive
Quincy, MA 02169
Fund Offices
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
*FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
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Printed on recycled paper.
24212 3.31.20
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Calvert
Emerging Markets Advancement Fund
Semiannual Report
March 31, 2020
Important Note. Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (calvert.com/prospectus), and you will be notified by mail each time a report is posted and provided with a website address to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by signing up for e-Delivery at calvert.com. If you own your shares through a financial intermediary (such as a broker-dealer or bank), you must contact your financial intermediary to sign up.
You may elect to receive all future Fund shareholder reports in paper free of charge. If you are a direct investor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 1-800-368-2745. If you own these shares through a financial intermediary, you must contact your financial intermediary or follow instructions included with this disclosure, if applicable, to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Calvert funds held directly or to all funds held through your financial intermediary, as applicable.
E-Delivery Sign-Up - Details Inside
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Commodity Futures Trading Commission Registration. Effective December 31, 2012, the Commodity Futures Trading Commission (“CFTC”) adopted certain regulatory changes that subject registered investment companies and advisers to regulation by the CFTC if a fund invests more than a prescribed level of its assets in certain CFTC-regulated instruments (including futures, certain options and swap agreements) or markets itself as providing investment exposure to such instruments. The adviser has claimed an exclusion from the definition of “commodity pool operator” under the Commodity Exchange Act with respect to its management of the Fund and the other funds it manages. Accordingly neither the Fund nor the adviser is subject to CFTC regulation.
Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.
This report must be preceded or accompanied by a current summary prospectus or prospectus. Before investing, investors should consider carefully the investment objective, risks, and charges and expenses of a mutual fund. This and other important information is contained in the summary prospectus and prospectus, which can be obtained from a financial intermediary. Prospective investors should read the prospectus carefully before investing. For further information, please call 1-800-368-2745.
Choose Planet-friendly E-delivery!
Sign up now for on-line statements, prospectuses, and fund reports. In less than five minutes you can help reduce paper mail and lower fund costs.
Just go towww.calvert.com. If you already have an online account with the Calvert funds, click on Login to access your Account and select the documents you would like to receive via e-mail.
If you’re new to online account access, click on Login, then Register to create your user name and password. Once you’re in, click on the E-delivery sign-up on the Account Portfolio page and follow the quick, easy steps.
Note: If your shares are not held directly with the Calvert funds but through a brokerage firm, you must contact your broker for electronic delivery options available through their firm.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Performance
Portfolio ManagersMarshall Stocker, Ph.D., CFA, Jade Huang, CFA and Christopher Madden, CFA, each of Calvert Research and Management
| % Cumulative Total Returns1,2 | Class Inception Date | Performance Inception Date | Six Months | One Year | Five Years | Since Inception |
| Class A at NAV | 10/01/2019 | 10/01/2019 | (15.07)% | —% | —% | (15.07)% |
| Class A with 4.75% Maximum Sales Charge | — | — | (19.11) | — | — | (19.11) |
| Class I at NAV | 10/01/2019 | 10/01/2019 | (14.97) | — | — | (14.97) |
| ·· | ||||||
| MSCI Emerging Markets Index | — | — | (14.55)% | (17.69)% | (0.37)% | (14.34)% |
| Calvert Emerging Markets Index | — | — | (14.71) | — | — | (14.58) |
| % Total Annual Operating Expense Ratios3 | Class A | Class I |
| Gross | 1.35% | 1.10% |
| Net | 1.20 | 0.95 |
See Endnotes and Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) or offering price (as applicable) with all distributions reinvested. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance for periods less than or equal to one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month-end, please refer to www.calvert.com.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Fund Profile
Sector Allocation (% of net assets)*
*Excludes cash and cash equivalents.
| Top 10 Holdings (% of net assets)* | |
| Alibaba Group Holding, Ltd. ADR | 6.2% |
| Tencent Holdings, Ltd. | 5.6 |
| Samsung Electronics Co., Ltd. | 5.5 |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 5.1 |
| China Construction Bank Corp., Class H | 1.7 |
| Hellenic Telecommunications Organization SA | 1.6 |
| Ping An Insurance (Group) Co. of China, Ltd., Class H | 1.2 |
| Industrial & Commercial Bank of China, Ltd., Class H | 1.1 |
| First Abu Dhabi Bank PJSC | 1.0 |
| JD.com, Inc. ADR | 1.0 |
| Total | 30.0% |
| * | Excludes cash and cash equivalents. |
See Endnotes and Additional Disclosures in this report.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Endnotes and Additional Disclosures
| 1 | MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. MSCI indexes are net of foreign withholding taxes. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Calvert Emerging Markets Index (the Index) is composed of equity securities of companies that are located in or tied economically to countries that Calvert Research and Management has classified as emerging market countries and that meet certain environmental, social and governance criteria. The Index is reconstituted annually and rebalanced quarterly. 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 | Cumulative Total Returns at NAV do not include applicable sales charges. If sales charges were deducted, the returns would be lower. Cumulative Total Returns shown with maximum sales charge reflect the stated maximum sales charge. Unless otherwise stated, performance does not reflect the deduction of taxes on Fund distributions or redemptions of Fund shares. Performance since inception for an index, if presented, is the performance since the Fund's or oldest share class' inception, as applicable. |
| 3 | Source: Fund prospectus. Net expense ratios reflect a contractual expense reimbursement that continues through 1/31/21. Without the reimbursement, performance would have been lower. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report.Fund profile subject to change due to active management.Important Notice to ShareholdersEffective May 14, 2020, Marshall Stocker became the sole portfolio manager of the Fund. |
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Fund Expenses
Example
As a Fund shareholder, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and/or service fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of Fund investing and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2019 to March 31, 2020).
Actual Expenses
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the actual Fund expense ratio and an assumed rate of return of 5% per year (before expenses), which is not the actual Fund return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees (if applicable). Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would be higher.
| Beginning Account Value (10/1/19) | Ending Account Value (3/31/20) | Expenses Paid During Period* (10/1/19 – 3/31/20) | Annualized Expense Ratio | |
| Actual | ||||
| Class A | $1,000.00 | $849.30 | $5.59** | 1.21% |
| Class I | $1,000.00 | $850.30 | $4.44** | 0.96% |
| Hypothetical | ||||
| (5% return per year before expenses) | ||||
| Class A | $1,000.00 | $1,018.95 | $6.11** | 1.21% |
| Class I | $1,000.00 | $1,020.20 | $4.85** | 0.96% |
| * | Expenses are equal to the Fund's annualized expense ratio for the indicated Class, multiplied by the average account value over the period, multiplied by 183/366 (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 opening of business on October 1, 2019. |
| ** | Absent a waiver and/or reimbursement of expenses by an affiliate, expenses would be higher. |
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Schedule of Investments (Unaudited)
| Common Stocks — 82.8% |
| Security | Shares | Value |
| Brazil — 7.4% | ||
| Alpargatas SA, PFC Shares | 2,400 | $ 10,697 |
| Atacadao SA(1) | 7,600 | 30,174 |
| Azul SA, PFC Shares(1) | 2,700 | 9,119 |
| B2W Cia Digital(1) | 1,900 | 17,552 |
| B3 SA - Brasil Bolsa Balcao | 17,500 | 120,908 |
| Banco Bradesco SA, PFC Shares | 34,500 | 137,904 |
| Banco do Brasil SA | 7,300 | 39,183 |
| BB Seguridade Participacoes SA | 5,700 | 27,260 |
| BR Malls Participacoes SA | 9,600 | 18,438 |
| Bradespar SA, PFC Shares | 2,700 | 15,152 |
| CCR SA | 10,000 | 22,575 |
| Cia Brasileira de Distribuicao | 3,200 | 40,855 |
| Cia de Saneamento Basico do Estado de Sao Paulo | 3,100 | 23,333 |
| Cia de Saneamento do Parana, PFC Shares | 15,000 | 13,885 |
| Cia Energetica de Minas Gerais, PFC Shares | 8,800 | 15,090 |
| Cia Energetica de Sao Paulo, Class B, PFC Shares | 2,100 | 10,864 |
| Cia Paranaense de Energia, Class B, PFC Shares | 1,100 | 11,326 |
| Cielo SA | 12,500 | 10,681 |
| Cogna Educacao | 12,900 | 9,930 |
| Cosan SA | 3,000 | 31,039 |
| Cosan, Ltd., Class A(1) | 1,100 | 13,530 |
| CPFL Energia SA | 2,200 | 11,377 |
| Cyrela Brazil Realty SA Empreendimentos e Participacoes | 2,800 | 7,614 |
| Duratex SA | 3,400 | 6,118 |
| EDP - Energias do Brasil SA | 3,800 | 11,906 |
| Eneva SA(1) | 2,800 | 18,726 |
| Engie Brasil Energia SA | 2,300 | 17,228 |
| Equatorial Energia SA | 8,200 | 27,775 |
| Fleury SA | 2,100 | 8,180 |
| Hapvida Participacoes e Investimentos SA(2) | 1,800 | 14,688 |
| Hypera SA | 3,300 | 18,157 |
| Iguatemi Empresa de Shopping Centers SA | 1,100 | 6,616 |
| IRB Brasil Resseguros SA | 7,600 | 14,158 |
| Itau Unibanco Holding SA, PFC Shares | 42,200 | 187,525 |
| Itausa - Investimentos Itau SA, PFC Shares | 40,400 | 68,187 |
| Linx SA | 2,200 | 7,049 |
| Localiza Rent a Car SA | 4,960 | 25,105 |
| Lojas Americanas SA, PFC Shares | 7,400 | 25,635 |
| Lojas Renner SA | 7,900 | 51,024 |
| M Dias Branco SA(1) | 3,200 | 17,921 |
| Magazine Luiza SA | 6,300 | 47,273 |
| Metalurgica Gerdau SA, PFC Shares | 17,700 | 15,840 |
| Multiplan Empreendimentos Imobiliarios SA(1) | 3,100 | 11,383 |
| Natura & Co. Holding SA | 4,200 | 20,806 |
| Notre Dame Intermedica Participacoes SA | 2,800 | 24,227 |
| Security | Shares | Value |
| Brazil (continued) | ||
| Pagseguro Digital, Ltd., Class A(1)(3) | 1,400 | $ 27,062 |
| Porto Seguro SA | 900 | 7,780 |
| Qualicorp Consultoria e Corretora de Seguros SA | 2,700 | 12,263 |
| Raia Drogasil SA | 1,900 | 37,242 |
| Rumo SA(1) | 8,800 | 33,279 |
| StoneCo, Ltd., Class A(1)(3) | 900 | 19,593 |
| Sul America SA | 3,200 | 20,816 |
| Suzano SA | 5,300 | 36,506 |
| Telefonica Brasil SA, PFC Shares | 3,700 | 35,212 |
| TIM Participacoes SA | 8,800 | 21,068 |
| TOTVS SA | 1,600 | 14,374 |
| Transmissora Alianca de Energia Eletrica SA | 4,100 | 20,381 |
| Ultrapar Participacoes SA | 15,400 | 37,136 |
| Usinas Siderurgicas de Minas Gerais SA Usiminas, Class A, PFC Shares | 14,500 | 13,729 |
| Via Varejo SA(1) | 10,300 | 10,466 |
| WEG SA | 11,200 | 72,359 |
| YDUQS Part | 2,200 | 9,387 |
| $1,722,666 | ||
| China — 31.2% | ||
| 3SBio, Inc.(1)(2) | 6,000 | $6,172 |
| 58.com, Inc. ADR(1) | 600 | 29,232 |
| AAC Technologies Holdings, Inc.(3) | 3,000 | 15,299 |
| Agile Group Holdings, Ltd. | 10,000 | 10,708 |
| Alibaba Group Holding, Ltd. ADR(1) | 7,500 | 1,458,600 |
| Anhui Conch Cement Co., Ltd., Class H | 8,500 | 58,392 |
| ANTA Sports Products, Ltd. | 5,000 | 36,283 |
| Autohome, Inc. ADR(1) | 700 | 49,714 |
| Bank of China, Ltd., Class H | 421,000 | 160,259 |
| Bank of Communications Co., Ltd., Class H | 96,000 | 58,470 |
| Baozun, Inc. ADR(1)(3) | 300 | 8,382 |
| BeiGene, Ltd.(1) | 3,200 | 30,875 |
| Beijing Capital International Airport Co., Ltd., Class H | 14,000 | 8,885 |
| Beijing Enterprises Water Group, Ltd. | 30,000 | 11,631 |
| Brilliance China Automotive Holdings, Ltd. | 16,000 | 13,029 |
| BYD Co., Ltd., Class H(3) | 3,500 | 18,673 |
| China CITIC Bank Corp, Ltd., Class H | 54,000 | 26,555 |
| China Conch Venture Holdings, Ltd. | 8,000 | 35,480 |
| China Construction Bank Corp., Class H | 495,000 | 402,359 |
| China Eastern Airlines Corp., Ltd., Class H(1)(3) | 36,000 | 12,327 |
| China Everbright International, Ltd. | 19,000 | 10,804 |
| China Evergrande Group(3) | 9,000 | 14,752 |
| China Galaxy Securities Co., Ltd., Class H | 21,500 | 10,318 |
| China Hongqiao Group, Ltd. | 18,500 | 7,818 |
| China International Capital Corp., Ltd., Class H(2) | 6,800 | 10,883 |
| China Jinmao Holdings Group, Ltd. | 22,000 | 14,025 |
6
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| China (continued) | ||
| China Lesso Group Holdings, Ltd. | 11,000 | $ 14,241 |
| China Life Insurance Co., Ltd., Class H | 38,000 | 73,380 |
| China Longyuan Power Group Corp., Ltd., Class H | 22,000 | 12,008 |
| China Medical System Holdings, Ltd. | 8,000 | 8,558 |
| China Mengniu Dairy Co., Ltd. | 15,000 | 51,731 |
| China Merchants Bank Co., Ltd., Class H | 19,000 | 85,002 |
| China Minsheng Banking Corp., Ltd., Class H | 32,500 | 24,038 |
| China Mobile, Ltd. | 29,500 | 221,081 |
| China National Building Material Co., Ltd., Class H | 28,000 | 30,081 |
| China Oilfield Services, Ltd., Class H | 22,000 | 16,795 |
| China Resources Cement Holdings, Ltd. | 18,000 | 21,147 |
| China Resources Land, Ltd. | 14,000 | 57,141 |
| China Telecom Corp, Ltd., Class H | 66,000 | 19,997 |
| China Tower Corp, Ltd., Class H(2) | 192,000 | 42,663 |
| China Unicom (Hong Kong), Ltd. | 30,000 | 17,497 |
| China Vanke Co., Ltd., Class H | 7,300 | 23,775 |
| CIFI Holdings Group Co., Ltd. | 14,000 | 9,925 |
| CNOOC, Ltd. | 96,000 | 99,761 |
| Country Garden Holdings Co., Ltd.(3) | 34,000 | 40,648 |
| Country Garden Services Holdings Co., Ltd. | 7,000 | 28,167 |
| CRRC Corp., Ltd., Class H | 24,000 | 12,094 |
| CSPC Pharmaceutical Group, Ltd. | 22,000 | 43,276 |
| ENN Energy Holdings, Ltd. | 3,500 | 33,905 |
| Far East Horizon, Ltd. | 16,000 | 12,806 |
| GDS Holdings, Ltd. ADR(1) | 700 | 40,579 |
| Geely Automobile Holdings, Ltd. | 22,000 | 31,927 |
| Genscript Biotech Corp.(1)(3) | 4,000 | 6,402 |
| Great Wall Motor Co., Ltd., Class H | 15,000 | 9,512 |
| Guangdong Investment, Ltd. | 14,000 | 26,867 |
| Guangzhou Automobile Group Co., Ltd., Class H | 12,000 | 11,936 |
| Guangzhou R&F Properties Co., Ltd., Class H | 7,200 | 9,261 |
| Haidilao International Holding, Ltd.(2)(3) | 5,000 | 19,279 |
| Haitong Securities Co., Ltd., Class H | 12,000 | 10,900 |
| Hengan International Group Co., Ltd. | 3,000 | 22,408 |
| Huaneng Power International, Inc., Class H | 22,000 | 8,204 |
| Huatai Securities Co., Ltd., Class H(2) | 8,000 | 11,800 |
| Huazhu Group, Ltd. ADR | 1,200 | 34,476 |
| Industrial & Commercial Bank of China, Ltd., Class H | 374,000 | 255,135 |
| Innovent Biologics, Inc.(1)(2) | 4,500 | 18,777 |
| iQIYI, Inc. ADR(1)(3) | 1,400 | 24,920 |
| JD.com, Inc. ADR(1) | 5,700 | 230,850 |
| Jiangsu Expressway Co., Ltd., Class H | 10,000 | 11,115 |
| JOYY, Inc. ADR(1) | 300 | 15,978 |
| Kingdee International Software Group Co., Ltd. | 10,000 | 13,153 |
| Kingsoft Corp., Ltd.(1) | 5,000 | 16,072 |
| Kunlun Energy Co., Ltd. | 20,000 | 11,558 |
| Li Ning Co., Ltd. | 8,500 | 24,453 |
| Security | Shares | Value |
| China (continued) | ||
| Logan Property Holdings Co., Ltd. | 8,000 | $ 12,169 |
| Longfor Group Holdings, Ltd.(2) | 7,500 | 36,097 |
| Meituan Dianping, Class B(1) | 14,100 | 168,090 |
| Minth Group, Ltd. | 4,000 | 8,505 |
| Momo, Inc. ADR | 1,100 | 23,859 |
| NetEase, Inc. ADR | 400 | 128,384 |
| New China Life Insurance Co., Ltd., Class H | 4,000 | 12,317 |
| New Oriental Education & Technology Group, Inc. ADR(1) | 800 | 86,592 |
| NIO, Inc. ADR(1)(3) | 3,300 | 9,174 |
| People's Insurance Co. Group of China Ltd. (The), Class H | 40,000 | 13,102 |
| PICC Property & Casualty Co., Ltd., Class H | 44,000 | 42,133 |
| Pinduoduo, Inc. ADR(1) | 1,500 | 54,045 |
| Ping An Healthcare and Technology Co., Ltd.(1)(2)(3) | 1,900 | 17,495 |
| Ping An Insurance (Group) Co. of China, Ltd., Class H | 28,000 | 273,455 |
| Postal Savings Bank of China Co., Ltd., Class H(2) | 41,000 | 24,962 |
| Semiconductor Manufacturing International Corp.(1)(3) | 13,500 | 21,204 |
| Shenzhen International Holdings, Ltd. | 6,500 | 11,788 |
| Shimao Property Holdings, Ltd. | 5,000 | 17,328 |
| Sinopharm Group Co., Ltd., Class H | 7,200 | 15,953 |
| Sunac China Holdings, Ltd. | 11,000 | 50,168 |
| Sunny Optical Technology Group Co., Ltd. | 3,100 | 41,006 |
| TAL Education Group ADR(1) | 1,600 | 85,216 |
| Tencent Holdings, Ltd. | 26,300 | 1,299,946 |
| Tingyi (Cayman Islands) Holding Corp. | 10,000 | 16,258 |
| TravelSky Technology, Ltd., Class H | 5,000 | 8,751 |
| Trip.com Group, Ltd. ADR(1) | 1,800 | 42,210 |
| United Energy Group, Ltd. | 88,000 | 16,941 |
| Vipshop Holdings, Ltd. ADR(1) | 1,800 | 28,044 |
| Weibo Corp. ADR(1)(3) | 500 | 16,555 |
| Weichai Power Co., Ltd., Class H | 11,000 | 17,522 |
| Wuxi Biologics Cayman, Inc.(1)(2) | 2,500 | 31,917 |
| Xiaomi Corp., Class B(1)(2)(3) | 66,800 | 88,696 |
| Xinyi Solar Holdings, Ltd. | 22,000 | 12,206 |
| Yihai International Holding Ltd.(1) | 2,000 | 15,065 |
| Yum China Holdings, Inc. | 2,200 | 93,786 |
| Zhaojin Mining Industry Co., Ltd., Class H | 13,500 | 13,567 |
| ZTO Express Cayman, Inc. ADR | 1,900 | 50,312 |
| $7,290,022 | ||
| Colombia — 3.5% | ||
| Banco Davivienda SA, PFC Shares | 6,400 | $48,055 |
| Bancolombia SA | 18,200 | 107,981 |
| Cementos Argos SA | 77,800 | 78,336 |
| Empresa de Energia de Bogota SA ESP(1) | 177,800 | 98,486 |
| Grupo Aval Acciones y Valores SA, PFC Shares | 268,700 | 59,336 |
| Grupo de Inversiones Suramericana SA | 16,800 | 82,801 |
| Grupo Nutresa SA | 13,400 | 63,009 |
7
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| Colombia (continued) | ||
| Interconexion Electrica SA ESP | 28,000 | $ 106,706 |
| Millicom International Cellular SA SDR | 6,600 | 183,371 |
| $ 828,081 | ||
| Cyprus — 0.5% | ||
| Polymetal International PLC | 6,700 | $ 114,130 |
| $ 114,130 | ||
| Greece — 5.1% | ||
| Alpha Bank AE(1) | 187,126 | $ 138,514 |
| Eurobank Ergasias SA(1) | 339,395 | 142,003 |
| Hellenic Telecommunications Organization SA | 30,587 | 369,751 |
| JUMBO SA | 14,206 | 190,703 |
| Motor Oil (Hellas) Corinth Refineries SA | 8,100 | 98,865 |
| Mytilineos SA | 14,300 | 95,575 |
| National Bank of Greece SA(1) | 74,200 | 97,897 |
| Piraeus Bank SA(1) | 43,700 | 62,429 |
| $1,195,737 | ||
| Hong Kong — 1.0% | ||
| Alibaba Health Information Technology, Ltd.(1) | 14,000 | $23,007 |
| Alibaba Pictures Group, Ltd.(1) | 80,000 | 10,216 |
| China Gas Holdings, Ltd. | 12,600 | 43,570 |
| China Overseas Land & Investment, Ltd. | 18,000 | 55,187 |
| China Resources Gas Group, Ltd. | 4,000 | 20,073 |
| China Taiping Insurance Holdings Co., Ltd. | 7,200 | 11,653 |
| Haier Electronics Group Co., Ltd. | 6,000 | 15,839 |
| Sino Biopharmaceutical, Ltd. | 29,000 | 37,847 |
| Sun Art Retail Group, Ltd. | 16,000 | 23,538 |
| $240,930 | ||
| Russia — 4.3% | ||
| Magnit PJSC | 1,200 | $48,117 |
| Mail.Ru Group, Ltd. GDR(1)(4) | 1,800 | 29,232 |
| Mobile TeleSystems PJSC | 15,800 | 59,115 |
| Moscow Exchange MICEX-RTS PJSC | 36,800 | 44,967 |
| Novatek PJSC | 10,800 | 123,084 |
| PhosAgro PJSC | 400 | 12,363 |
| Polyus PJSC | 800 | 108,831 |
| Rostelecom PJSC | 13,000 | 12,019 |
| Surgutneftegas PJSC | 194,523 | 80,965 |
| Tatneft PJSC | 22,000 | 151,601 |
| Transneft PJSC | 41 | 75,721 |
| VEON, Ltd. ADR | 8,000 | 12,080 |
| VTB Bank PJSC | 136,270,400 | 55,398 |
| X5 Retail Group NV GDR(4) | 1,800 | 48,600 |
| Security | Shares | Value |
| Russia (continued) | ||
| Yandex NV, Class A(1) | 4,400 | $ 149,820 |
| $ 1,011,913 | ||
| South Korea — 13.4% | ||
| AMOREPACIFIC Corp. | 144 | $ 19,748 |
| AMOREPACIFIC Group | 251 | 11,330 |
| BGF retail Co., Ltd. | 79 | 8,557 |
| Celltrion Healthcare Co., Ltd.(1) | 690 | 50,338 |
| Celltrion, Inc.(1) | 761 | 141,547 |
| Cheil Worldwide, Inc. | 607 | 7,866 |
| CJ CheilJedang Corp. | 117 | 20,666 |
| Coway Co., Ltd.(1) | 308 | 14,570 |
| DB Insurance Co., Ltd. | 408 | 11,561 |
| Doosan Bobcat, Inc. | 551 | 8,079 |
| Douzone Bizon Co., Ltd. | 175 | 11,549 |
| E-MART, Inc. | 237 | 20,560 |
| Fila Holdings Corp. | 443 | 10,471 |
| GS Holdings Corp. | 604 | 18,209 |
| GS Retail Co., Ltd. | 400 | 10,142 |
| Hana Financial Group, Inc. | 1,494 | 28,107 |
| Hanjin Kal Corp. | 300 | 18,155 |
| Hankook Tire & Technology Co., Ltd. | 439 | 6,932 |
| Hanmi Pharm Co., Ltd. | 100 | 21,300 |
| Hanon Systems | 1,500 | 10,893 |
| Hanwha Solutions Corp. | 900 | 9,788 |
| Helixmith Co., Ltd.(1) | 228 | 12,710 |
| HLB, Inc.(1) | 160 | 11,638 |
| Hotel Shilla Co., Ltd. | 143 | 8,183 |
| Hyundai Engineering & Construction Co., Ltd. | 1,129 | 25,178 |
| Hyundai Glovis Co., Ltd. | 106 | 7,844 |
| Hyundai Heavy Industries Holdings Co., Ltd. | 42 | 6,764 |
| Hyundai Mobis Co., Ltd. | 406 | 56,161 |
| Hyundai Motor Co. | 887 | 63,901 |
| Hyundai Steel Co. | 670 | 9,796 |
| Industrial Bank of Korea | 1,200 | 7,332 |
| Kakao Corp. | 294 | 37,186 |
| KB Financial Group, Inc. | 1,946 | 54,729 |
| Korea Investment Holdings Co., Ltd. | 213 | 8,587 |
| Korea Zinc Co., Ltd. | 105 | 30,557 |
| KT Corp. | 1,418 | 22,950 |
| LG Chem, Ltd. | 302 | 74,800 |
| LG Corp. | 660 | 31,970 |
| LG Display Co., Ltd.(1) | 848 | 7,620 |
| LG Electronics, Inc. | 707 | 27,798 |
| LG Household & Health Care, Ltd. | 49 | 44,883 |
| LG Innotek Co., Ltd. | 100 | 9,203 |
| LG Uplus Corp. | 1,050 | 9,225 |
8
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| South Korea (continued) | ||
| Lotte Chemical Corp. | 65 | $ 10,204 |
| Mirae Asset Daewoo Co., Ltd. | 1,777 | 7,604 |
| NAVER Corp. | 817 | 113,591 |
| NCSoft Corp. | 83 | 44,297 |
| Netmarble Corp.(1)(2) | 155 | 11,808 |
| NH Investment & Securities Co., Ltd. | 1,530 | 11,197 |
| Orion Corp. of Republic of Korea | 162 | 15,306 |
| S-1 Corp. | 177 | 11,681 |
| Samsung C&T Corp. | 446 | 32,543 |
| Samsung Electro-Mechanics Co., Ltd. | 250 | 19,810 |
| Samsung Electronics Co., Ltd. | 33,138 | 1,288,455 |
| Samsung Engineering Co., Ltd.(1) | 2,698 | 22,230 |
| Samsung Fire & Marine Insurance Co., Ltd. | 137 | 17,327 |
| Samsung Heavy Industries Co., Ltd.(1) | 1,893 | 6,009 |
| Samsung Life Insurance Co., Ltd. | 382 | 13,369 |
| Samsung SDI Co., Ltd. | 277 | 53,929 |
| Samsung SDS Co., Ltd. | 151 | 18,457 |
| Samsung Securities Co., Ltd. | 500 | 11,979 |
| Shinhan Financial Group Co., Ltd. | 2,437 | 57,012 |
| Shinsegae, Inc. | 60 | 10,640 |
| SK Hynix, Inc. | 3,186 | 215,386 |
| SK Innovation Co., Ltd. | 595 | 42,100 |
| SK Telecom Co., Ltd. | 179 | 26,035 |
| S-Oil Corp. | 580 | 26,944 |
| Woori Financial Group, Inc. | 2,746 | 17,084 |
| Yuhan Corp. | 57 | 10,665 |
| $3,145,045 | ||
| Taiwan — 13.0% | ||
| Accton Technology Corp. | 2,000 | $10,701 |
| Advantech Co., Ltd. | 1,000 | 8,240 |
| Airtac International Group | 2,000 | 29,491 |
| ASE Technology Holding Co., Ltd. | 19,000 | 36,803 |
| Asustek Computer, Inc. | 6,000 | 40,626 |
| AU Optronics Corp. | 35,000 | 7,294 |
| Catcher Technology Co., Ltd. | 8,000 | 51,175 |
| Cathay Financial Holding Co., Ltd. | 46,000 | 53,537 |
| Chailease Holding Co., Ltd. | 5,000 | 15,060 |
| Chang Hwa Commercial Bank, Ltd. | 38,000 | 23,990 |
| Cheng Shin Rubber Industry Co., Ltd. | 7,000 | 7,107 |
| China Development Financial Holding Corp. | 46,000 | 11,271 |
| China Life Insurance Co., Ltd.(1) | 12,000 | 6,637 |
| China Steel Corp. | 69,000 | 43,222 |
| Chroma ATE, Inc. | 4,000 | 16,306 |
| Chunghwa Telecom Co., Ltd. | 21,000 | 74,451 |
| Compal Electronics, Inc. | 17,000 | 9,704 |
| CTBC Financial Holding Co., Ltd. | 97,000 | 57,117 |
| Security | Shares | Value |
| Taiwan (continued) | ||
| Delta Electronics, Inc. | 8,000 | $ 31,663 |
| E.Sun Financial Holding Co., Ltd. | 57,000 | 45,501 |
| Eclat Textile Co., Ltd. | 1,000 | 7,916 |
| Elite Material Co., Ltd. | 4,000 | 13,911 |
| Far Eastern New Century Corp. | 11,000 | 8,180 |
| Far EasTone Telecommunications Co., Ltd. | 6,000 | 12,529 |
| Feng TAY Enterprise Co., Ltd. | 2,000 | 8,566 |
| First Financial Holding Co., Ltd. | 46,000 | 29,725 |
| Formosa Petrochemical Corp. | 4,000 | 10,679 |
| Foxconn Technology Co., Ltd. | 6,000 | 9,771 |
| Fubon Financial Holding Co., Ltd. | 39,000 | 48,205 |
| Giant Manufacturing Co., Ltd. | 2,000 | 8,836 |
| Globalwafers Co., Ltd. | 1,000 | 11,170 |
| Hiwin Technologies Corp. | 3,000 | 19,732 |
| Hon Hai Precision Industry Co., Ltd. | 65,000 | 149,647 |
| Hotai Motor Co., Ltd. | 2,000 | 32,295 |
| Hua Nan Financial Holdings Co., Ltd. | 29,000 | 17,252 |
| Innolux, Corp. | 40,000 | 6,894 |
| Inventec Corp. | 15,000 | 11,502 |
| Largan Precision Co., Ltd. | 1,000 | 126,269 |
| Lite-On Technology Corp. | 8,000 | 10,883 |
| Macronix International | 9,000 | 7,507 |
| MediaTek, Inc. | 8,000 | 85,866 |
| Mega Financial Holding Co., Ltd. | 55,000 | 51,645 |
| Micro-Star International Co., Ltd. | 4,000 | 11,691 |
| Nanya Technology Corp. | 5,000 | 8,800 |
| Novatek Microelectronics Corp. | 2,000 | 11,276 |
| Pegatron Corp. | 7,000 | 13,358 |
| Phison Electronics Corp. | 1,000 | 8,086 |
| Pou Chen Corp. | 8,000 | 6,762 |
| Powertech Technology, Inc. | 3,000 | 8,496 |
| President Chain Store Corp. | 2,000 | 18,698 |
| Quanta Computer, Inc. | 11,000 | 21,782 |
| Realtek Semiconductor Corp. | 2,000 | 14,358 |
| Shanghai Commercial & Savings Bank, Ltd. (The) | 13,000 | 16,829 |
| Shin Kong Financial Holding Co., Ltd. | 38,000 | 9,531 |
| Sino-American Silicon Products, Inc. | 4,000 | 10,239 |
| SinoPac Financial Holdings Co., Ltd. | 31,000 | 11,297 |
| Synnex Technology International Corp. | 10,000 | 12,222 |
| Taishin Financial Holding Co., Ltd. | 71,000 | 27,332 |
| Taiwan Business Bank | 27,000 | 8,593 |
| Taiwan Cement Corp. | 25,000 | 32,468 |
| Taiwan Cooperative Financial Holding Co., Ltd. | 50,000 | 30,195 |
| Taiwan Fertilizer Co., Ltd. | 7,000 | 9,616 |
| Taiwan High Speed Rail Corp. | 8,000 | 7,553 |
| Taiwan Mobile Co., Ltd. | 7,000 | 23,113 |
| Taiwan Semiconductor Manufacturing Co., Ltd. | 133,000 | 1,197,307 |
9
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Security | Shares | Value |
| Taiwan (continued) | ||
| Teco Electric and Machinery Co., Ltd. | 17,000 | $ 13,503 |
| Unimicron Technology Corp. | 9,000 | 9,446 |
| Uni-President Enterprises Corp. | 25,000 | 54,110 |
| United Microelectronics Corp. | 45,000 | 20,176 |
| Vanguard International Semiconductor Corp. | 4,000 | 7,754 |
| Voltronic Power Technology Corp. | 1,000 | 20,782 |
| Walsin Lihwa Corp. | 23,000 | 8,306 |
| Walsin Technology Corp. | 4,000 | 21,133 |
| Win Semiconductors Corp. | 1,000 | 8,582 |
| Wistron Corp. | 11,000 | 8,893 |
| Wiwynn Corp. | 1,000 | 22,993 |
| WPG Holdings, Ltd. | 9,000 | 10,535 |
| Yageo Corp. | 1,000 | 8,980 |
| Yuanta Financial Holding Co., Ltd. | 53,000 | 27,059 |
| Zhen Ding Technology Holding, Ltd. | 2,000 | 6,112 |
| $3,036,842 | ||
| United Arab Emirates — 3.4% | ||
| Abu Dhabi Commercial Bank PJSC | 56,300 | $70,266 |
| Abu Dhabi Islamic Bank PJSC | 17,900 | 19,201 |
| Aldar Properties PJSC | 85,600 | 35,318 |
| Dana Gas PJSC | 53,000 | 8,207 |
| DP World PLC | 5,200 | 78,164 |
| Dubai Islamic Bank PJSC | 34,700 | 33,890 |
| Emaar Development PJSC | 14,300 | 8,426 |
| Emaar Malls PJSC | 32,600 | 9,406 |
| Emaar Properties PJSC | 77,000 | 45,731 |
| Emirates NBD Bank PJSC | 60,285 | 117,014 |
| Emirates Telecommunications Group Co. PJSC | 35,200 | 132,999 |
| First Abu Dhabi Bank PJSC | 89,900 | 231,795 |
| $790,417 | ||
| Total Common Stocks (identified cost $23,964,591) | $19,375,783 | |
| Short-Term Investments — 2.2% |
| Foreign Government Securities — 2.1% |
| Security | Principal Amount (000's omitted) | Value |
| Pakistan Treasury Bill, 0.00%, 1/14/21 | PKR 89,000 | $ 489,580 |
| Total Foreign Government Securities (identified cost $521,894) | $ 489,580 |
| Securities Lending Collateral — 0.1% |
| Security | Shares | Value |
| State Street Navigator Securities Lending Government Money Market Portfolio, 0.24%(5) | 23,974 | $ 23,974 |
| Total Securities Lending Collateral (identified cost $23,974) | $ 23,974 | |
| Total Short-Term Investments (identified cost $545,868) | $ 513,554 | |
| Total Investments — 85.0% (identified cost $24,510,459) | $19,889,337 | |
| Other Assets, Less Liabilities — 15.0% | $ 3,507,423 | |
| Net Assets — 100.0% | $23,396,760 |
| The percentage shown for each investment category in the Schedule of Investments is based on net assets. | ||
| (1) | Non-income producing security. | |
| (2) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $335,237, which represents 1.4% of the net assets of the Fund as of March 31, 2020. | |
| (3) | All or a portion of this security was on loan at March 31, 2020. The aggregate market value of securities on loan at March 31, 2020 was $346,665. | |
| (4) | Security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2020, the aggregate value of these securities is $77,832 or 0.3% of the Fund's net assets. | |
| (5) | Represents investment of cash collateral received in connection with securities lending. | |
10
See Notes to Financial Statements.
Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
At March 31, 2020, the concentration of the Fund’s investments in the various sectors, determined as a percentage of net assets, was as follows:
| Economic Sectors | % of Net Assets |
| Financials | 17.9% |
| Information Technology | 17.9 |
| Consumer Discretionary | 13.5 |
| Communication Services | 13.5 |
| Energy | 3.6 |
| Industrials | 3.5 |
| Materials | 3.2 |
| Consumer Staples | 2.8 |
| Utilities | 2.4 |
| Health Care | 2.4 |
| Real Estate | 2.1 |
| Total | 82.8% |
Forward Foreign Currency Exchange Contracts
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
| EUR | 1,637,885 | USD | 1,791,712 | Standard Chartered Bank | 4/2/20 | $14,710 | $ — |
| USD | 1,804,111 | EUR | 1,637,885 | Standard Chartered Bank | 4/2/20 | — | (2,311) |
| TWD | 28,700,000 | USD | 936,226 | Standard Chartered Bank | 4/7/20 | 13,463 | — |
| USD | 623,706 | TWD | 18,717,400 | Standard Chartered Bank | 4/7/20 | 4,343 | — |
| USD | 332,421 | TWD | 9,982,600 | Standard Chartered Bank | 4/7/20 | 2,095 | — |
| USD | 1,794,079 | EUR | 1,637,885 | Standard Chartered Bank | 5/5/20 | — | (14,641) |
| $34,611 | $(16,952) | ||||||
Futures Contracts
| Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/ Unrealized Appreciation (Depreciation) |
| Equity Futures | |||||
| MSCI Emerging Markets Index | 28 | Long | 6/19/20 | $1,180,060 | $15,186 |
| SGX NIFTY 50 Index | 37 | Long | 4/30/20 | 630,759 | 71,428 |
| $86,614 |
| Abbreviations: | |
| ADR | – American Depositary Receipt |
| GDR | – Global Depositary Receipt |
| PFC Shares | – Preference Shares |
| SDR | – Swedish Depositary Receipt |
11
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Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Schedule of Investments (Unaudited) — continued
| Currency Abbreviations: | |
| EUR | – Euro |
| PKR | – Pakistani Rupee |
| TWD | – New Taiwan Dollar |
| USD | – United States Dollar |
12
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Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Statement of Assets and Liabilities (Unaudited)
| March 31, 2020 | |
| Assets | |
| Investments in securities of unaffiliated issuers, at value (identified cost $24,510,459) - including $346,665 of securities on loan | $19,889,337 |
| Receivable for variation margin on open futures contracts | 27,832 |
| Receivable for open forward foreign currency exchange contracts | 34,611 |
| Cash | 3,050,378 |
| Cash denominated in foreign currency, at value (cost $103,167) | 98,229 |
| Receivable for capital shares sold | 88,966 |
| Dividends receivable | 51,501 |
| Securities lending income receivable | 334 |
| Receivable from affiliate | 17,478 |
| Deposits at broker for futures contracts | 269,600 |
| Directors' deferred compensation plan | 44 |
| Total assets | $23,528,310 |
| Liabilities | |
| Payable for open forward foreign currency exchange contracts | $16,952 |
| Payable for foreign capital gain taxes | 315 |
| Deposits for securities loaned | 23,974 |
| Payable to affiliates: | |
| Investment advisory fee | 13,073 |
| Administrative fee | 2,490 |
| Distribution and service fees | 3 |
| Sub-transfer agency fee | 156 |
| Directors' deferred compensation plan | 44 |
| Accrued expenses | 74,543 |
| Total liabilities | $131,550 |
| Net Assets | $23,396,760 |
| Sources of Net Assets | |
| Paid-in capital | $28,754,039 |
| Accumulated loss | (5,357,279) |
| Total | $23,396,760 |
| Class A Shares | |
| Net Assets | $23,140 |
| Shares Outstanding | 2,737 |
| Net Asset Value and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $8.45 |
| Maximum Offering Price Per Share (100 ÷ 95.25 of net asset value per share) | $8.87 |
| Class I Shares | |
| Net Assets | $23,373,620 |
| Shares Outstanding | 2,762,594 |
| Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) | $8.46 |
| On sales of $50,000 or more, the offering price of Class A shares is reduced. |
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Statement of Operations (Unaudited)
| Six Months Ended | |
| March 31, 2020(1) | |
| Investment Income | |
| Dividend income (net of foreign taxes withheld of $15,985) | $158,421 |
| Interest income | 24,126 |
| Securities lending income, net | 929 |
| Total investment income | $183,476 |
| Expenses | |
| Investment advisory fee | $70,015 |
| Administrative fee | 13,336 |
| Distribution and service fees: | |
| Class A | 14 |
| Directors' fees and expenses | 660 |
| Custodian fees | 24,029 |
| Transfer agency fees and expenses | 806 |
| Accounting fees | 13,675 |
| Professional fees | 19,752 |
| Registration fees | 25,116 |
| Reports to shareholders | 2,966 |
| Interest expense | 1,058 |
| Miscellaneous | 4,734 |
| Total expenses | $176,161 |
| Waiver and/or reimbursement of expenses by affiliate | $(68,258) |
| Reimbursement of expenses - other | (151) |
| Net expenses | $107,752 |
| Net investment income | $75,724 |
| Realized and Unrealized Gain (Loss) | |
| Net realized gain (loss): | |
| Investment securities | $(379,988) |
| Futures contracts | (246,833) |
| Foreign currency transactions | (66,766) |
| Forward foreign currency exchange contracts | (105,911) |
| Net realized loss | $(799,498) |
| Change in unrealized appreciation (depreciation): | |
| Investment securities (including net increase in payable for foreign capital gains taxes of $(315)) | $(4,621,437) |
| Futures contracts | 86,614 |
| Foreign currency | (8,384) |
| Forward foreign currency exchange contracts | 17,659 |
| Net change in unrealized appreciation (depreciation) | $(4,525,548) |
| Net realized and unrealized loss | $(5,325,046) |
| Net decrease in net assets from operations | $(5,249,322) |
| (1) | The Fund commenced operations on October 1, 2019. |
14
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Statement of Changes in Net Assets
| Six Months Ended March 31, 2020 (Unaudited)(1) | |
| Increase (Decrease) in Net Assets | |
| From operations: | |
| Net investment income | $75,724 |
| Net realized loss | (799,498) |
| Net change in unrealized appreciation (depreciation) | (4,525,548) |
| Net decrease in net assets from operations | $(5,249,322) |
| Distributions to shareholders: | |
| Class A | $(53) |
| Class I | (107,904) |
| Total distributions to shareholders | $(107,957) |
| Capital share transactions: | |
| Class A | $24,943 |
| Class I | 28,729,096 |
| Net increase in net assets from capital share transactions | $28,754,039 |
| Net increase in net assets | $23,396,760 |
| Net Assets | |
| At beginning of period | $— |
| At end of period | $23,396,760 |
| (1) | The Fund commenced operations on October 1, 2019. |
15
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Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Financial Highlights
| Class A | |
| Six Months Ended March 31, 2020 (Unaudited)(1) | |
| Net asset value — Beginning of period | $10.00 |
| Income (Loss) From Operations | |
| Net investment income(2) | $0.02 |
| Net realized and unrealized loss | (1.52) |
| Total loss from operations | $(1.50) |
| Less Distributions | |
| From net realized gain | $(0.05) |
| Total distributions | $(0.05) |
| Net asset value — End of period | $8.45 |
| Total Return(3) | (15.07)%(4) |
| Ratios/Supplemental Data | |
| Net assets, end of period (000’s omitted) | $23 |
| Ratios (as a percentage of average daily net assets):(5) | |
| Total expenses | 1.81%(6)(7) |
| Net expenses | 1.21%(6)(7) |
| Net investment income | 0.45%(6) |
| Portfolio Turnover | 51%(4) |
| (1) | The Fund commenced operations on October 1, 2019. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
| (7) | Includes interest expense of 0.01%. |
16
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Financial Highlights — continued
| Class I | |
| Six Months Ended March 31, 2020 (Unaudited)(1) | |
| Net asset value — Beginning of period | $10.00 |
| Income (Loss) From Operations | |
| Net investment income(2) | $0.03 |
| Net realized and unrealized loss | (1.52) |
| Total loss from operations | $(1.49) |
| Less Distributions | |
| From net realized gain | $(0.05) |
| Total distributions | $(0.05) |
| Net asset value — End of period | $8.46 |
| Total Return(3) | (14.97)%(4) |
| Ratios/Supplemental Data | |
| Net assets, end of period (000’s omitted) | $23,374 |
| Ratios (as a percentage of average daily net assets):(5) | |
| Total expenses | 1.57%(6)(7) |
| Net expenses | 0.96%(6)(7) |
| Net investment income | 0.68%(6) |
| Portfolio Turnover | 51%(4) |
| (1) | The Fund commenced operations on October 1, 2019. |
| (2) | Computed using average shares outstanding. |
| (3) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect the effect of sales charges, if any. |
| (4) | Not annualized. |
| (5) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
| (6) | Annualized. |
| (7) | Includes interest expense of 0.01%. |
17
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Table of Contents
Calvert
Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited)
1 Significant Accounting Policies
Calvert Emerging Markets Advancement Fund (the Fund) is a diversified series of Calvert World Values Fund, Inc. (the Corporation). The Corporation is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The investment objective of the Fund is is total return. The Fund commenced operations on October 1, 2019.
The Fund offers two classes of shares. Class A shares are generally sold subject to a sales charge imposed at time of purchase. A contingent deferred sales charge of 0.80% may apply to certain redemptions of Class A shares for accounts for which no sales charge was paid, if redeemed within 12 months of purchase. Class I shares are sold at net asset value, are not subject to a sales charge and are sold only to certain eligible investors. Each class represents a pro rata interest in the Fund, but votes separately on class-specific matters and is subject to different expenses.
The Fund applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946,Financial Services – Investment Companies (ASC 946). Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
A Investment Valuation— Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Directors (the Board) to value its investments wherever possible. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation techniques used to value the Fund’s investments by major category are as follows:
Equity Securities. Equity securities (including warrants and rights) listed on a U.S. securities exchange generally are valued at the last sale or closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Equity securities listed on the NASDAQ Global or Global Select Market are valued at the NASDAQ official closing price and are categorized as Level 1 in the hierarchy. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and ask prices and are categorized as Level 2 in the hierarchy. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Fund's Board has approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities. Such securities are categorized as Level 2 in the hierarchy.
Short-Term Debt Securities. Short-term debt securities with a remaining maturity at time of purchase of more than sixty days are valued on the basis of valuations provided by a third party pricing service. Such securities are generally categorized as Level 2 in the hierarchy. Short-term debt securities of sufficient credit quality purchased with remaining maturities of sixty days or less are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Other Securities. Investments in registered investment companies (including money market funds) that do not trade on an exchange are valued at the net asset value per share on the valuation day and are categorized as Level 1 in the hierarchy.
Derivatives.Futures contracts are valued at unrealized appreciation (depreciation) based on the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 or Level 2 in the hierarchy.Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average ask prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Fund's forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service and are categorized as Level 2 in the hierarchy.
Fair Valuation. If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Fund's adviser, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would materially affect the value of the security, the security will be fair valued as determined in good faith by or at the direction of the Board in a manner that most fairly reflects the security’s “fair value”, which is the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial statements, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed, and the differences could be material.
The following table summarizes the market value of the Fund's holdings as of March 31, 2020, based on the inputs used to value them:
| Asset Description | Level 1 | Level 2 | Level 3 | Total |
| Common Stocks | ||||
| Brazil | $1,722,666 | $— | $— | $1,722,666 |
| China | 2,510,908 | 4,779,114 | — | 7,290,022 |
| Colombia | 644,710 | 183,371 | — | 828,081 |
| Cyprus | — | 114,130 | — | 114,130 |
| Greece | — | 1,195,737 | — | 1,195,737 |
| Hong Kong | — | 240,930 | — | 240,930 |
| Russia | 239,732 | 772,181 | — | 1,011,913 |
| South Korea | — | 3,145,045 | — | 3,145,045 |
| Taiwan | — | 3,036,842 | — | 3,036,842 |
| United Arab Emirates | — | 790,417 | — | 790,417 |
| Total Common Stocks | $5,118,016 | $14,257,767(1) | $— | $19,375,783 |
| Short-Term Investments — | ||||
| Foreign Government Securities | $— | $489,580 | $— | $489,580 |
| Securities Lending Collateral | 23,974 | — | — | 23,974 |
| Total Investments | $5,141,990 | $14,747,347 | $ — | $19,889,337 |
| Forward Foreign Currency Exchange Contracts | $ — | $34,611 | $ — | $34,611 |
| Futures Contracts | 15,186 | 71,428 | — | 86,614 |
| Total | $5,157,176 | $14,853,386 | $ — | $20,010,562 |
| Liability Description | ||||
| Forward Foreign Currency Exchange Contracts | $ — | $(16,952) | $ — | $(16,952) |
| Total | $ — | $(16,952) | $ — | $(16,952) |
| (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. |
B Investment Transactions and Income— Investment transactions for financial statement purposes are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation.Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date.
Non-cash dividends are recorded at the fair value of the securities received.Withholding taxes on foreign dividends, if any, have been provided for in accordance with the Fund’s understanding of the applicable country’s tax rules and rates.Distributions received that represent a return of capital are recorded as a reduction of cost of investments. Distributions received that represent a capital gain are recorded as a realized gain.Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned.
C Share Class Accounting— Realized and unrealized gains and losses and net investment income and losses, other than class-specific expenses, are allocated daily to each class of shares based upon the relative net assets of each class to the total net assets of the Fund. Expenses arising in connection with a specific class are charged directly to that class.
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Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
D Foreign Currency Transactions— The Fund’s accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.
E Futures Contracts— The Fund may enter into futures contracts to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund’s ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts’ terms. Futures contracts are designed by boards of trade, which are designated “contracts markets” by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange, and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.
F Forward Foreign Currency Exchange Contracts— The Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.
G Options Contracts— Upon the purchase of a call or put option, the premium paid by the Fund is included in the Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Fund’s policies on investment valuations discussed above. Premiums paid for purchasing options that expire are treated as realized losses. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss. As the purchaser of an index option, the Fund has the right to receive a cash payment equal to any depreciation in the value of the index below the exercise price of the option (in the case of a put) or equal to any appreciation in the value of the index over the exercise price of the option (in the case of a call) as of the valuation date of the option. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.
H Distributions to Shareholders— Distributions to shareholders are recorded by the Fund on ex-dividend date. Distributions from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are declared separately for each class of shares. Distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
I Estimates— The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
J Indemnifications— The Corporation’s By-Laws provide for indemnification for Directors or officers of the Corporation and certain other parties, to the fullest extent permitted by Maryland law and the 1940 Act, provided certain conditions are met. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred.
K Federal Income Taxes— No provision for federal income or excise tax is required since the Fund intends to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
In addition to the requirements of the Internal Revenue Code, the Fund may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Fund estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.
Management has analyzed the Fund's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Fund's financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
L Interim Financial Statements— The interim financial statements relating to March 31, 2020 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Fund's management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.
2 Related Party Transactions
The investment advisory fee is earned by Calvert Research and Management (CRM), a subsidiary of Eaton Vance Management (EVM), as compensation for investment advisory services rendered to the Fund. Pursuant to the investment advisory agreement, CRM receives a fee, payable monthly, at the annual rate of 0.63% of the Fund’s average daily net assets. For the six months ended March 31, 2020, the investment advisory fee amounted to $70,015.
CRM has agreed to reimburse the Fund’s operating expenses to the extent that total annual operating expenses (relating to ordinary operating expenses only and excluding expenses such as brokerage commissions, acquired fund fees and expenses of unaffiliated funds, borrowing costs, taxes or litigation expenses) exceed 1.20% and 0.95% for Class A and Class I, respectively, of such class’ average daily net assets. The expense reimbursement agreement with CRM may be changed or terminated after January 31, 2021. For the six months ended March 31, 2020, CRM waived or reimbursed expenses of $68,258.
The administrative fee is earned by CRM as compensation for administrative services rendered to the Fund. The fee is computed at an annual rate of 0.12% of the Fund’s average daily net assets attributable to Class A and Class I and is payable monthly. For the six months ended March 31, 2020, CRM was paid administrative fees of $13,336.
The Fund has in effect a distribution plan for Class A shares (Class A Plan) pursuant to Rule 12b-1 under the 1940 Act. Pursuant to the Class A Plan, the Fund pays Eaton Vance Distributors, Inc. (EVD), an affiliate of CRM and the Fund’s principal underwriter, a distribution and service fee of 0.25% per annum of its average daily net assets attributable to Class A shares for distribution services and facilities provided to the Fund by EVD, as well as for personal services and/or the maintenance of shareholder accounts. Distribution and service fees paid or accrued for the six months ended March 31, 2020 amounted to $14 for Class A shares.
EVM provides sub-transfer agency and related services to the Fund pursuant to a Sub-Transfer Agency Support Services Agreement. For the six months ended March 31, 2020, sub-transfer agency fees and expenses incurred to EVM amounted to $181 and are included in transfer agency fees and expenses on the Statement of Operations.
Each Director of the Fund who is not an employee of CRM or its affiliates receives an annual fee of $154,000, plus an annual Committee fee ranging from $8,500 to $16,500 depending on the Committee. The Board chair receives an additional $20,000 annual fee and Committee chairs receive an additional $6,000 annual fee. Eligible Directors may participate in a Deferred Compensation Plan (the Plan). Amounts deferred under the Plan are treated as though equal dollar amounts had been invested in shares of the Fund or other Calvert funds selected by the Directors. The Fund purchases shares of the funds selected equal to the dollar amounts deferred under the Plan, resulting in an asset equal to the deferred compensation liability. Obligations of the Plan are paid solely from the Fund's assets. Directors’ fees are allocated to each of the Calvert funds served. Salaries and fees of officers and Directors of the Fund who are employees of CRM or its affiliates are paid by CRM. In addition, an advisory council was established to aid the Board and CRM in advancing the cause of responsible investing through original scholarship and thought leadership. The advisory council consists of CRM’s Chief Executive Officer and three (four prior to December 31, 2019) additional members. Each member (other than CRM’s Chief Executive Officer) received annual compensation of $75,000, which was being reimbursed by Calvert Investment Management, Inc. (CIM), the Calvert funds’ former investment adviser and Ameritas Holding Company, CIM’s parent company, through the end of 2019.For the six months ended March 31, 2020, the Fund’s allocated portion of such expense and reimbursement was $151, which are included in miscellaneous expense and reimbursement of expenses - other, respectively, on the Statement of Operations. For the year ending December 31, 2020, each member (other than CRM’s Chief Executive Officer) is expected to be compensated $20,000 for their service on the advisory council. Such compensation, and any other compensation and/or expenses incurred by the advisory council as may be approved by the Board, shall be borne by the Calvert funds.
3 Investment Activity
During the six months ended March 31, 2020, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $33,979,953 and $9,650,057, respectively.
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Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
4 Distributions to Shareholders and Income Tax Information
The cost and unrealized appreciation (depreciation) of investments, including open derivative contracts, of the Fund at March 31, 2020, as determined on a federal income tax basis, were as follows:
| Aggregate cost | $24,510,459 |
| Gross unrealized appreciation | $601,610 |
| Gross unrealized depreciation | (5,118,459) |
| Net unrealized depreciation | $(4,516,849) |
5 Financial Instruments
The Fund may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include forward foreign currency exchange contracts and futures contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Fund has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at March 31, 2020 is included in the Schedule of Investments. At March 31, 2020, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
In the normal course of pursuing its investment objective, the Fund is subject to the following risks:
Equity Price Risk: During the six months ended March 31, 2020, the Fund entered into equity futures contracts to enhance total return, to manage certain investment risks and/or as a substitute for the purchase of securities.
Foreign Exchange Risk: During the six months ended March 31, 2020, the Fund entered into forward foreign currency exchange contracts and currency options to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
The Fund enters into forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Fund’s net assets below a certain level over a certain period of time, which would trigger a payment by the Fund for those derivatives in a liability position. At March 31, 2020, the fair value of derivatives with credit-related contingent features in a net liability position was $16,952. At March 31, 2020, there were no assets pledged by the Fund for such liability.
The over-the-counter (OTC) derivatives in which the Fund invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Fund has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with its derivative counterparty. The ISDA Master Agreement is a bilateral agreement between the Fund and the counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the ISDA Master Agreement. Under the ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. The ISDA Master Agreement allows the counterparty to OTC derivatives to terminate derivative contracts prior to maturity in the event the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreement, which would cause the counterparty to accelerate payment by the Fund of any net liability owed to it.
The collateral requirements for derivatives traded under the ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under the ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required. Collateral pledged for the benefit of the Fund and/ or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Fund, a corresponding liability on the Statement of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
At March 31, 2020, the fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure was as follows:
| Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities |
| Foreign exchange | Forward foreign currency exchange contracts | Receivable/Payable for open forward foreign currency exchange contracts | $34,611 | $(16,952) |
| Equity price | Futures contracts | Accumulated loss | 86,614(1) | — |
| Total Derivatives | $121,225 | $(16,952) | ||
| Derivatives not subject to master netting agreement | $86,614 | $ — | ||
| Total Derivatives subject to master netting agreement | $34,611 | $(16,952) | ||
| (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. |
The Fund’s derivative assets and liabilities at fair value by risk, which are reported gross in the Statement of Assets and Liabilities, are presented in the table above. The following tables present the Fund’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Fund for such assets and pledged by the Fund for such liabilities as of March 31, 2020.
| Counterparty | Derivative Assets Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Received(a) | Cash Collateral Received(a) | Net Amount of Derivative Assets(b) |
| Standard Chartered Bank | $34,611 | $(16,952) | $ — | $ — | $17,659 |
| Counterparty | Derivative Liabilities Subject to Master Netting Agreement | Derivatives Available for Offset | Non-cash Collateral Pledged(a) | Cash Collateral Pledged(a) | Net Amount of Derivative Liabilities(c) |
| Standard Chartered Bank | $(16,952) | $16,952 | $ — | $ — | $ — |
| (a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to over collateralization. |
| (b) | Net amount represents the net amount due from the counterparty in the event of default. |
| (c) | Net amount represents the net amount payable to the counterparty in the event of default. |
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations by risk exposure for the six months ended March 31, 2020 was as follows:
| Statement of Operations Caption | Equity Price | Foreign Exchange | Total |
| Net realized gain (loss): | |||
| Investment securities(1) | $— | $(15,092) | $(15,092) |
| Forward foreign currency exchange contracts | — | (105,911) | (105,911) |
| Futures contracts | (246,833) | — | (246,833) |
| Total | $(246,833) | $(121,003) | $(367,836) |
| Change in unrealized appreciation (depreciation): | |||
| Forward foreign currency exchange contracts | $— | $17,659 | $17,659 |
| Futures contracts | 86,614 | — | 86,614 |
| Total | $86,614 | $17,659 | $104,273 |
| (1) | Relates to purchased options. |
The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended March 31, 2020, which are indicative of the volume of these derivative types, were approximately as follows:
| Futures Contracts — Long | Forward Foreign Currency Exchange Contracts* |
| $3,420,000 | $7,334,000 |
| * | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
The average principal amount of purchased currency options contracts outstanding during the six months ended March 31, 2020, which is indicative of the volume of this derivative type, was approximately $1,331,000.
6 Securities Lending
To generate additional income, the Fund may lend its securities pursuant to a securities lending agency agreement with State Street Bank and Trust Company (SSBT), the securities lending agent. Security loans are subject to termination by the Fund at any time and, therefore, are not considered illiquid investments. The Fund requires that the loan be continuously collateralized by either cash or securities as collateral equal at all times to at least 102% of the market value of the domestic securities loaned and 105% of the market value of the international securities loaned (if applicable). The market value of securities loaned is determined daily and any additional required collateral is delivered to the Fund on the next business day. Cash collateral is generally invested in a money market fund registered under the 1940 Act that is managed by an affiliate of SSBT. Any gain or loss in the market price of the loaned securities that might occur and any interest earned or dividends declared during the term of the loan would accrue to the account of the Fund. Income earned on the investment of collateral, net of broker rebates and other expenses incurred by the securities lending agent, is split between the Fund and the securities lending agent on the basis of agreed upon contractual terms. Non-cash collateral, if any, is held by the lending agent on behalf of the Fund and cannot be sold or re-pledged by the Fund; accordingly, such collateral is not reflected in the Statement of Assets and Liabilities.
The risks associated with lending portfolio securities include, but are not limited to, possible delays in receiving additional collateral or in the recovery of the loaned securities, possible loss of rights to the collateral should the borrower fail financially, as well as risk of loss in the value of the collateral or the value of the investments made with the collateral. The securities lending agent shall indemnify the Fund in the case of default of any securities borrower.
At March 31, 2020, the total value of securities on loan was $346,665 and the total value of collateral received was $363,071, comprised of cash of $23,974 and U.S. government and/or agencies securities of $339,097.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
The following table provides a breakdown of securities lending transactions accounted for as secured borrowings, the obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2020.
| Remaining Contractual Maturity of the Transactions | |||||
| Overnight and Continuous | <30 days | 30 to 90 days | >90 days | Total | |
| Securities Lending Transactions | |||||
| Common Stocks | $23,974 | $ — | $ — | $ — | $23,974 |
The carrying amount of the liability for deposits for securities loaned at March 31, 2020 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 1A) at March 31, 2020.
7 Line of Credit
Effective October 29, 2019, the Fund participates with other portfolios and funds managed by EVM and its affiliates, including CRM, in an $800 million unsecured line of credit with a group of banks, which is in effect through October 27, 2020. Borrowings are made by the Fund solely for temporary purposes related to redemptions and other short-term cash needs. Interest is charged to the Fund based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Fund, it may be unable to borrow some or all of its requested amounts at any particular time.
The Fund had no borrowings pursuant to its line of credit during the six months ended March 31, 2020.
8 Capital Shares
The Corporation may issue its shares in one or more series (such as the Fund). The authorized shares of the Fund consist of 75,000,000 common shares, $0.01 par value, for each Class.
Transactions in capital shares for the six months ended March 31, 2020 were as follows:
| Six Months Ended March 31, 2020(1) | ||
| Shares | Amount | |
| Class A | ||
| Shares sold | 2,817 | $25,593 |
| Reinvestment of distributions | 5 | 53 |
| Shares redeemed | (85) | (703) |
| Net increase | 2,737 | $24,943 |
| Class I | ||
| Shares sold | 2,756,282 | $28,662,588 |
| Reinvestment of distributions | 10,446 | 107,904 |
| Shares redeemed | (4,134) | (41,396) |
| Net increase | 2,762,594 | $28,729,096 |
| (1) | The Fund commenced operations on October 1, 2019. |
At March 31, 2020, EVM, donor advised funds (established and maintained by a public charity) managed by EVM, Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund and Calvert Growth Allocation Fund owned in the aggregate 98.3% of the value of the outstanding shares of the Fund.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Notes to Financial Statements (Unaudited) — continued
9 Risks and Uncertainties
Risks Associated with Foreign Investments
Investing in foreign securities involves additional risks relating to political, social, and economic developments abroad. Other risks result from differences between regulations that apply to U.S. and foreign issuers and markets, and the potential for foreign markets to be less liquid and more volatile than U.S. markets. Securities that trade or are denominated in currencies other than the U.S. dollar may be adversely affected by fluctuations in currency exchange rates.
The risks of investing in emerging market securities are greater than those of investing in securities of developed foreign countries. These risks include volatile currency exchange rates, periods of high inflation, increased risk of default, greater social, economic and political uncertainty and instability, less governmental supervision and regulation of securities markets, weaker auditing and financial reporting standards, lack of liquidity in the markets, and the significantly smaller market capitalization of emerging market issuers.
Pandemic Risk
An outbreak of respiratory disease caused by a novel coronavirus that was first detected in China in December 2019 has spread rapidly internationally. This coronavirus has resulted in closing borders, enhanced health screenings, changes to healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this outbreak has negatively affected the worldwide economy, as well as the economies of individual countries and individual companies and can affect the market in general in significant and unforeseen ways. Health crises caused by outbreaks, such as the coronavirus outbreak, may exacerbate other pre-existing political, social and economic risks and disrupt normal market conditions and operations. The near-term impact of this coronavirus has resulted in substantial market volatility, which may have an adverse effect on the Fund's investments.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Board of Directors' Contract Approval
Overview of the Contract Review Process
At a meeting of the Board of Directors (the “Board”) of the Calvert World Values Fund, Inc. (“CWF”), held on September 10, 2019, the Board, including a majority of the directors who are not “interested persons” of the fund (“Independent Directors”), voted to approve an Investment Advisory Agreement (the “Advisory Agreement”) between CWF and Calvert Research and Management (“CRM” or the “Adviser”) with respect to the Calvert Emerging Markets Advancement Fund (the “Fund”).
In evaluating the Advisory Agreement for the Fund, the Board considered a variety of information relating to the Fund and its proposed service providers, including the Adviser. At meetings held on June 12, 2019 and September 10, 2019, the Independent Directors reviewed certain materials and information prepared by the Adviser regarding various services to be provided to the Fund by the Adviser and its affiliates. Such report included, among other data, information regarding the Adviser’s personnel, descriptions of the investment strategies and investment process the Adviser proposed to use in managing the Fund, descriptions of the qualifications, education and experience of the investment professionals who would manage the Fund, and the Adviser’s estimated revenue and cost of providing services to the Fund.
The Independent Directors were separately represented by independent legal counsel with respect to their consideration of the approval of the Advisory Agreement for the Fund. Prior to voting, the Independent Directors reviewed the Advisory Agreement with management and also met in a private session with their counsel at which time no representatives of management were present.
The Independent Directors were assisted throughout the contract review process by their independent legal counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and the weight to be given to each such factor. The Board, including the Independent Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.
Results of the Contract Review Process
Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Board, including the Independent Directors, concluded that the approval of the Advisory Agreement of the Fund, including the proposed fee payable under the Advisory Agreement, is in the best interests of the Fund’s shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the Advisory Agreement of the Fund.
Nature, Extent and Quality of Services
In considering the nature, extent and quality of the services to be provided by the Adviser under the Advisory Agreement, the Board reviewed information provided by the Adviser relating to its operations and personnel, including, among other information, biographical information on the Adviser’s investment personnel and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Adviser as well as the Board’s familiarity with management through Board meetings, discussions and other reports. The Board considered the Adviser’s management style and its performance in employing its investment strategies as well as its current level of staffing and overall resources. The Board also noted that it reviewed on a quarterly basis information regarding the Adviser’s compliance with applicable policies and procedures, including those related to personal investing. The Board took into account, among other items, periodic reports received from the Adviser over the past year concerning the Adviser’s ongoing review and enhancement of certain processes, policies and procedures of the Calvert Funds and the Adviser. The Board concluded that it was satisfied with the nature, extent and quality of services to be provided to the Fund by the Adviser under the Advisory Agreement.
Fund Performance
In considering investment performance, the Board noted the Fund’s proposed investment objective and investment strategies as well as the investment process to be used by the Adviser in managing the Fund. The Board also took into consideration certain information concerning the emerging market index that would be used by the Adviser to define the Fund’s investment universe. Based upon its review, the Board concluded that the Adviser is qualified to manage the Fund’s assets in accordance with the Fund’s proposed investment objective and strategies and that the Adviser’s proposed investment strategies are appropriate for pursing the Fund’s proposed investment objective.
Management Fees and Expenses
In considering the Fund’s proposed fees and expenses, the Board considered certain comparative fee and expense data provided by the Adviser. The data indicated that the Fund’s proposed advisory and administrative fees (after taking into account waivers and reimbursements) (referred to collectively, as “management fees”) and its estimated total expenses (net of waivers and reimbursements) were below the average and median management fees and total expenses, respectively, of the funds in its Morningstar category. The Board also took into account that the Adviser had contractually agreed to limit the Fund’s annual operating expenses through January 31, 2021. Based upon its review, the Board concluded that the proposed management fees were reasonable in view of the nature, extent and quality of services to be provided by the Adviser.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Board of Directors' Contract Approval — continued
Profitability and Other “Fall-Out” Benefits
The Board reviewed the Adviser’s estimated profitability in regard to the Fund at various asset levels. In reviewing the estimated profitability of the Fund to the Adviser, the Board also considered the fact that the Adviser and its affiliates would provide sub-transfer agency support, administrative and distribution services to the Fund for which they would receive compensation. The Board also considered that CRM would likely derive benefits to its reputation and other indirect benefits from its relationship with the Fund. Based, upon their review, the Board concluded that CRM’s estimated profitability from its relationship with the Fund was reasonable.
Economies of Scale
The Board considered the Fund’s potential growth on its performance and expenses. The Board concluded that adding breakpoints to the proposed advisory fee at specified asset levels would not be appropriate at this time. The Board noted that if the Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
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Calvert
Emerging Markets Advancement Fund
March 31, 2020
Officers and Directors
| Officers |
| Hope L. Brown Chief Compliance Officer |
| Maureen A. Gemma Vice President, Secretary and Chief Legal Officer |
| James F. Kirchner Treasurer |
| Directors |
| Alice Gresham Bullock Chairperson |
| Richard L. Baird, Jr. |
| Cari M. Dominguez |
| John G. Guffey, Jr. |
| Miles D. Harper, III |
| Joy V. Jones |
| John H. Streur* |
| Anthony A. Williams |
| *Interested Director and President |
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Calvert Funds
IMPORTANT NOTICES
Privacy.The Eaton Vance organization is committed to ensuring your financial privacy. Each entity listed below has adopted a privacy policy and procedures (“Privacy Program”) Eaton Vance believes is reasonably designed to protect your personal information and to govern when and with whom Eaton Vance may share your personal information.
| • | At the time of opening an account, Eaton Vance generally requires you to provide us with certain information such as name, address, social security number, tax status, account numbers, and account balances. This information is necessary for us to both open an account for you and to allow us to satisfy legal requirements such as applicable anti-money laundering reviews and know-your-customer requirements. |
| • | On an ongoing basis, in the normal course of servicing your account, Eaton Vance may share your information with unaffiliated third parties that perform various services for Eaton Vance and/or your account. These third parties include transfer agents, custodians, broker/dealers and our professional advisers, including auditors, accountants, and legal counsel. Eaton Vance may additionally share your personal information with our affiliates. |
| • | We believe our Privacy Program is reasonably designed to protect the confidentiality of your personal information and to prevent unauthorized access to that information. |
| • | We reserve the right to change our Privacy Program at any time upon proper notification to you. You may want to review our Privacy Program periodically for changes by accessing the link on our homepage: www.eatonvance.com. |
Our pledge of protecting your personal information applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Limited, Eaton Vance Global Advisors Limited, Eaton Vance Management's Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, and Calvert Funds. This Privacy Notice supersedes all previously issued privacy disclosures. For more information about our Privacy Program or about how your personal information may be used, please call 1-800-368-2745.
Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders.Calvert funds, or your financial intermediary, may household the mailing of your documents indefinitely unless you instruct Calvert funds, or your financial intermediary, otherwise. If you would prefer that your Calvert fund documents not be householded, please contact Calvert funds at 1-800-368-2745, or contact your financial intermediary. Your instructions that householding not apply to delivery of your Calvert fund documents will typically be effective within 30 days of receipt by Calvert funds or your financial intermediary. Separate statements will be generated for each separate account and will be householded as described above.
Portfolio Holdings. Each Calvert fund files a schedule of portfolio holdings on Part F to Form N-PORT with the SEC for the first and third quarters of each fiscal year. The Form N-PORT will be available on the Calvert funds’ website at www.calvert.com, by calling Calvert funds at 1-800-368-2745 or in the EDGAR database on the SEC’s website at www.sec.gov.
Proxy Voting. The Proxy Voting Guidelines that each Calvert fund uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the fund’s Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Calvert funds at 1-800-368-2745, by visiting the Calvert funds’ website at www.calvert.com or visiting the SEC’s website at www.sec.gov. Information regarding how a Calvert fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by calling Calvert funds, by visiting the Calvert funds’ website at www.calvert.com or by visiting the SEC’s website at www.sec.gov.
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Investment Adviser and Administrator
Calvert Research and Management
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
Principal Underwriter*
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
(617) 482-8260
Custodian
State Street Bank and Trust Company
State Street Financial Center, One Lincoln Street
Boston, MA 02111
Transfer Agent
DST Asset Manager Solutions, Inc.
2000 Crown Colony Drive
Quincy, MA 02169
Fund Offices
1825 Connecticut Avenue NW, Suite 400
Washington, DC 20009
*FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.
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35354 3.31.20
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| 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 FormN-CSR.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities byClosed-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 Rule30a-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 Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-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.
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(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule30a-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 forClosed-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. | |
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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 World Values Fund, Inc.
| By: | /s/ John H. Streur | |
| John H. Streur | ||
| President |
Date: May 26, 2020
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: | May 26, 2020 | |
| By: | /s/ James F. Kirchner | |
| James F. Kirchner | ||
| Treasurer | ||
| Date: | May 26, 2020 | |