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UNITED STATES FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED Investment Company Act file number: 811-3334 CALVERT SOCIAL INVESTMENT FUND 4550 Montgomery Avenue William M. Tartikoff, Esq. Registrant's telephone number, including area code: (301) 951-4800 Date of fiscal year end: September 30 Date of reporting period: Twelve months ended September 30, 2007 <PAGE> Item 1. Report to Stockholders. <PAGE> Calvert
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
MANAGEMENT INVESTMENT COMPANIES
(Exact name of registrant as specified in charter)
Suite 1000N
Bethesda, Maryland 20814
(Address of Principal Executive Offices)
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Name and Address of Agent for Service)
Investments that make a difference
E-Delivery Sign-up -- details inside
September 30, 2007
Annual Report
Calvert Social Investment Fund
Money Market Portfolio
Balanced Portfolio
Bond Portfolio
Equity Portfolio
Enhanced Equity Portfolio
Calvert
Investments that make a difference
A UNIFI Company
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Table of Contents
Chairman's Letter
2
President's Letter
6
Money Market Portfolio Management Discussion
9
Balanced Portfolio Management Discussion
12
Bond Portfolio Management Discussion
16
Equity Portfolio Management Discussion
20
Enhanced Equity Portfolio Management Discussion
25
Shareholder Expense Example
29
Report of Independent Registered Public Accounting Firm
34
Statements of Net Assets
35
Notes to Statements of Net Assets
71
Statements of Operations
76
Statements of Changes in Net Assets
78
Notes to Financial Statements
87
Financial Highlights
97
Explanation of Financial Tables
115
Proxy Voting and Availability of Quarterly Portfolio Holdings
117
Trustee and Officer Information Table
118
Dear Shareholder:
It's widely debated in financial circles whether we've reached a new era of global economic leadership. Has the U.S. economy reached a watershed moment in its role as the locomotive engine for the rest of the world? In the "old" days, there was a saying that when the U.S. sneezed, the rest of the world caught a cold. Well, the times may be a-changing.
In My View
Today's U.S. consumer faces the challenges of the housing slump and subprime mortgage crisis, the explosion in oil prices, and rising national costs for health care, education, and the Iraq war. The good news is that strong economic growth in many other nations is driving demand for American exports to new highs. So, in part, Americans are working to pay off our debts to foreign countries. While this may keep unemployment low and possibly steer us away from a recession, it raises some new questions for our era.
For example, real wages for the average U.S. worker have been stagnant for many years. And recent numbers confirm that the divide between the rich and poor is widening. While the basics of free trade make sense, what is fair when companies and private equity investors simply enrich themselves by laying off local workers and outsourcing jobs overseas? It seems to me that those earning the profits have a responsibility to help with job training and the other societal costs of globalization. To that end, I believe we should be developing a collective sense of fairness and cost-sharing around the effects of globalization and rethink the tax breaks for private equity managers.
In the late 1990s, the Technology sector represented 40% of the stock market. Now the Financials sector represents 40%. But financial engineering can only create so much value. The recent problems in the housing market result from the excess and greed of this engineering. But it won't be the financiers who stress about losing their homes because they can't make payments on a subprime mortgage.
Somehow we need to connect the largess of those who benefit from this global society to a larger sense of responsibility. Making this connection is the basic theme of Calvert investors, who view their returns in a social, as well as financial, perspective.
Shareholder Advocacy
One means to achieving this is through shareholder advocacy, letting our companies know that HOW they do their business is as important as their financial returns. Shareholder resolutions have been a key tool in this advocacy--but now that tool is in serious jeopardy as the Securities and Exchange Commission (SEC) evaluates making changes to the shareholder resolution process. As a result, Calvert Group has been playing a major role in the campaign to preserve shareholder rights this year. We have expressed our strong opposition to the SEC in formal comments on several alternative proposals. In September, Paul Hilton, Calvert Director of Advanced Equities Research, along with other members of the Social Investment Forum, spent a day lobbying members of Congress on the issue. We also participated in a press event to bring public attention to this issue.
We believe the SEC's proposed alternatives would severely undermine shareholders' rights to submit resolutions that raise environmental, governance, and social issues. In fact, Calvert believes that, instead of rolling back investors' rights, the Commission ought to move in the other direction and allow shareholders to submit a wider range of resolutions. We will continue to actively work toward a favorable resolution of this issue.
The Results of This Year's Campaign
Our 2007 proxy season was our most successful one yet. We filed or co-filed an all-time high of 36 shareholder resolutions encouraging the companies in our portfolios to change their policies on issues ranging from employee diversity to climate-change reporting. Of these, 20 were withdrawn after companies agreed to make changes in these areas. Of the 11 that have been voted upon, two resolutions received more than 50% of the vote, our best showing ever. Four more resolutions received about one-third of the vote or higher, which is still a remarkably high number. For more information on the proxy votes, please visit www.calvert.com, select "Socially Responsible Investing" and click on "Shareholder Advocacy."
Political Contributions
As the 2008 elections draw near, we have increased our focus on corporate political contributions. We believe it is important for companies to ensure that political activity is conducted with integrity as part of a strong and enforceable code of conduct, and that political spending is fully disclosed to shareholders. In fact, five of the shareholder resolutions we co-filed this year called for companies to report all types of political contributions. One received a vote of 52%, and three--Hewlett-Packard, Pfizer and Medtronic-- were withdrawn successfully after those companies decided to make these disclosures.1 In one case the resolution was withdrawn after the company was acquired.
Special Equities
A modest but important portion of the CSIF Balanced and Equity Portfolios is allocated for venture capital investment in innovative companies that are developing for-profit products or services that address important social or environmental issues. Illinois-based Sword Diagnostics is one such investment. Sword's technology reduces the time for food manufacturers to detect the presence of potentially deadly listeria bacteria by one-third--so they can act to stop the contamination within hours instead of two to three days.2 In New York, Marrone Organic Innovations is tackling one of the biggest hurdles to lowering the cost and increasing the availability of organically grown food--creating effective, natural products for pest management.3 Specifically, the company creates new products to control weeds, pests, and other plant diseases using naturally occurring microorganisms it has identified.
Sudan Divestment
Calvert Group's work toward ending the atrocities in Darfur continues. On October 3, Calvert Senior Vice President of Social Research and Policy, Bennett Freeman, delivered testimony to the U.S. Senate Committee on Banking, Housing, and Urban Affairs about how asset managers can use targeted divestment to increase economic and political pressure on the Khartoum government in ways consistent with their fiduciary responsibilities. We also continue to lend analytical and advocacy support to the Sudan Divestment Task Force (SDTF) and the Save Darfur Coalition (SDC), with whom we formed relationships earlier this year.
Community Investments
Many of our Funds participate in Calvert's High Social Impact Investing (HSII) program, which is administered through the Calvert Social Investment Foundation. This community investment program may allocate up to 1% to 3% of Fund assets at below-market interest rates to investments that provide economic opportunity for struggling populations.4
For example, recently the Calvert Social Investment Foundation invested in Tides Shared Spaces, a program of the Tides nonprofit network, to help develop a nonprofit office center in New York City using a "green" architectural plan. This shared-space facility will provide stable rental rates for a number of nonprofits, as well as conference center facilities and opportunities for tenant collaboration and sharing.
As a result of the HSII program, eBay-owned MicroPlace has chosen the Calvert Foundation's Community Investment Note program as one of the first securities issuers for its new microfinance business.5 The MicroPlace website allows the public to invest in various institutions that provide small loans to impoverished entrepreneurs around the world. This is a major innovation--harnessing the power of the Internet to exponentially expand and revolutionize the practice of microfinance investing. You should feel proud that your investment in the Calvert Funds was instrumental in the establishment of this groundbreaking online marketplace.
Thank you for allowing us to invest part of your Funds in programs such as these, which are truly making a difference around the world.
Sincerely,
D. Wayne Silby
Chairman (Non-Executive)
Calvert Social Investment Fund
October 2007
1. As of September 30, 2007, the following companies represented the following percentages of net assets: Hewlett-Packard
0.98% of CSIF Balanced Portfolio and 1.46% of CSIF Enhanced Equity Portfolio; Pfizer 0.88% of CSIF Balanced
Portfolio and 2.19% of CSIF Enhanced Equity Portfolio; and Medtronic 0.14% of CSIF Balanced Portfolio, 3.48% of
CSIF Equity Portfolio, and 0.03% of CSIF Enhanced Equity Portfolio.
2. As of September 30, 2007, Sword Diagnostics represented 0.02% of CSIF Equity Portfolio.
3. As of September 30, 2007, Marrone Organic Innovations represented 0.01% of CSIF Equity Portfolio.
4. As of September 30, 2007, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: CSIF Balanced Portfolio, 0.81%, CSIF Bond Portfolio, 0.31% and CSIF Equity Portfolio, 0.54%. All holdings are subject to change without notice. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization. The Foundation's Community Investment Note Program is not a mutual fund and should not be confused with any Calvert Group-sponsored investment product.
5. As of September 30, 2007, eBay represented 0.06% of CSIF Balanced Portfolio and 1.27% of CSIF Equity Portfolio.
Dear Shareholders:
Over the 12 months ended September 30, 2007, the U.S. equity markets fluctuated dramatically, moving from a fairly steady upward climb during the first half of the period to marked volatility in the third quarter of this year. In July, turmoil from the subprime mortgage market spilled over into stock markets at home and abroad as subprime lenders and other financial institutions worldwide suffered declines and investors became increasingly risk averse.
Despite the subprime woes, the overall U.S. stock market, as measured by the Standard & Poor's 500 Index, climbed a healthy 16.44% for the 12-month period. U.S. mid-cap stocks were the strongest performers followed by large-cap stocks. Small-cap stocks brought up the rear, ending a five-year stint in the leadership position.
Near the end of the 12-month period, volatility in the bond market increased as a result of the troubles in the subprime mortgage industry. Amid economic signals that continued to be mixed, the Lehman U.S. Credit Index--a commonly used benchmark for the overall bond market--gained 4.23% for the reporting period. The three-month Treasury bill yield fell more than one percent to 3.82%. Money market rates for bank certificates of deposit and corporate commercial paper also declined, but not by nearly as much.
A Look at the Subprime Situation
The volatility in financial markets in the U.S. and abroad this summer was caused by the turmoil in the subprime mortgage market. Many of these mortgages were packaged into securities of varying complexity. Some of these received top credit ratings and were purchased by financial firms, including hedge funds and investment banks, around the world. When default rates for the underlying mortgages started to increase much more quickly than expected, some holders of the securities were forced to mark down their
values.
A Reevaluation of Risk
The unexpected declines in value forced the liquidation of several high-profile hedge funds, hurt the stock prices of all financial companies, and generally caused investors to reevaluate risk in the global stock and bond markets. While these events may seem unsettling, we view them as a normal correction in the equity and financial markets, returning to the traditionally lower prices seen for riskier assets. In recent years, investors had been irrationally paying as much for riskier stocks as for higher-quality stocks in the hopes of earning a little more return. Also, volatility in the stock market had been near historic lows. Now, in this more cautious environment, we see opportunities for the larger-cap and higher-quality stocks largely favored in our Calvert Social Investment Fund equity portfolios to shine.
Calvert's CSIF bond and money market funds had only very small exposure to bonds backed by subprime mortgages or issued by lenders that have made subprime loans. Over the last year, our managers astutely assessed the risks inherent in the fixed income markets and positioned these portfolios defensively, with higher allocations to higher-quality securities than the funds' benchmarks, with successful results.
One example of our fixed income success is the Lipper awards garnered by CSIF Bond Portfolio. For the three-year period ended in 2006, the Calvert Social Investment Fund Bond Portfolio Class I shares won a 2007 Lipper Fund Award1 for best risk-adjusted performance. The Portfolio is managed by the investment team, led by Gregory Habeeb, that also manages Calvert's other taxable fixed-income funds. This is the third time in the last four years that the Portfolio has won the Lipper Fund Award.
Calvert Conducts Climate Change Survey
In early 2007, Calvert conducted an on-line survey of shareholders and clients to help us sharpen the focus and assess the relevance of the environmental, social, and governance criteria that we use to evaluate companies for our socially responsible portfolios.
More than 1,500 Calvert shareholders responded to the survey on climate change and other environmental concerns. Of those responding, 97% said the leading reason they chose socially responsible funds was to invest in companies with good environmental practices. Also, climate change topped the list of socially responsible investors' concerns, and 90% of investors said that their unease about climate change has increased over the last five years.
Two New Funds Debut
Partially in response to these results, Calvert launched the Calvert Global Alternative Energy Fund on May 31, 2007. The Fund, which is managed by Dublin-based KBC Asset Management International Ltd., invests in a broad universe of U.S. and non-U.S. stocks that are significantly involved in the alternative energy industry. The Fund offers investors the opportunity to address the urgent issue of climate change while investing in one of the fastest-growing market sectors globally. Keep in mind, however, that this is a sector fund, which means it is likely to be volatile over time. It's important that investors in this Fund have a long-term perspective and time horizon.
In addition, Calvert launched the Calvert International Opportunities Fund, managed by London-based subadvisor F&C Management Limited, on May 31. This Fund seeks long-term capital appreciation by investing in growth-oriented small-cap and mid-cap foreign stocks. Coupled with the Calvert World Values International Equity Fund, which invests in large-cap foreign stocks, the Calvert International Opportunities Fund gives Calvert investors access to the full range of market capitalizations in foreign companies.
On another note, there will also soon be a change in the management of CSIF Equity Portfolio, as long-time lead portfolio manager Daniel Boone, III will hand over the reins of the portfolio to Richard England on December 31, 2007. This change is in accordance with the succession plan that Atlanta Capital Management, the portfolio's subadvisor, established in 2001 to provide for an orderly transition of leadership over a multi-year period. We are confident that Richard England will continue to follow the philosophy of investing in high-quality growth stocks that has served the portfolio's investors well during Dan Boone's tenure.
Calvert Continues to Grow
Also during the reporting period, Calvert surpassed $15 billion in total assets under management. As we continue to grow, Calvert remains committed to striving to maximize the performance of our funds in terms of both financial returns to shareholders and returns to society as a whole.
Thank you for your continued confidence in our mutual funds, and we look forward to continuing our endeavor to meet your investment needs in the future.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2007
1. Lipper Fund Awards are granted annually to the funds in each Lipper classification that achieve the highest score for Consistent Return, a measure of funds' historical risk-adjusted returns, measured in local currency, relative to peers. Funds registered for sales in a given country are selected, then scores for Consistent Return are computed for all Lipper global classifications with five or more distinct portfolios.
The scores are subject to change every month and are calculated for the following periods: three-year, five-year, 10-year, and overall. The highest 20% of funds in each classification are named Lipper Leaders for Consistent Return. The highest Lipper Leader for Consistent Return within each eligible classification determines the fund classification winner over three, five, or 10 years. Source: Lipper Inc.
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member FINRA, subsidiary of Calvert Group, Ltd., 4550 Montgomery Avenue, Suite 1000N, Bethesda, MD 20814.
Portfolio Management Discussion
James B. O'Boyle
Portfolio Manager
Thomas A. Dailey
Portfolio Manager
of Calvert Asset Management Company
Investment Performance
For the 12 months ended September 30, 2007, Calvert Social Investment Fund Money Market Portfolio returned 4.64%, slightly ahead of the 4.56% return of the Lipper Money Market Funds Average.
Investment Climate
Over the past 12 months, economic growth, inflation, and job growth have slowed. The U.S. economy, as measured by gross domestic product (GDP), grew at a 2.2% annualized pace,1 slightly below its long-term average. Core inflation declined to 1.8% by August, moving back into the comfort zone of the Federal Reserve (Fed).2 Unemployment held steady at 4.6%, but job creation declined from the previous 12-month period.3 Long-term interest rates were generally unchanged to slightly higher. The three-month Treasury bill yield fell more than one percent to 3.82%. Money market rates for bank certificates of deposit and corporate commercial paper also declined, but not by nearly as much.
Given the cooling of inflation, the Fed intended to keep the target fed funds rate steady at 5.25%. But those plans were disrupted as the impact of the U.S. subprime mortgage turmoil broadened during the summer and risk aversion rose. Large losses experienced in hedge funds and other investment vehicles resulted in a flight to quality as many investors refused to roll over their short-term commercial paper. The Fed and other central banks were forced to inject large reserves into their respective banking systems to stabilize the markets.
Impacts of the Subprime Mortgage Fallout
Increasing uncertainty spread to global markets as the prices of securities backed by illiquid subprime mortgage assets fell sharply. Given the large amounts of leverage in the system, losses resulted in more forced selling to meet margin calls. The resulting sell-off dragged down prices of more liquid securities, including corporate, asset-backed, and municipal bonds, regardless of their fundamentals. Companies found it harder to issue short-term, unsecured debt to cover short-term liabilities and fell back on bank-supplied lines of credit. Anticipating big draws on these accounts, banks began to hoard cash, which drove money market rates higher before the Fed made a surprise cut in the bank discount rate on August 17. This made it less expensive for member banks to borrow directly from the Fed. A month later, it cut the target fed funds rate by 0.5% to further assuage the markets.
Portfolio Strategy
Market expectations about the Fed's next actions varied during the period--shifting from speculation that the Fed would begin cutting interest rates to the Fed staying the course to more speculation that the Fed would cut rates as the subprime mortgage troubles deepened. As the market became more confident that the Fed would remain on hold in the early part of the period, interest rates in the six- to 12-month segment of the yield curve rose and we took advantage by increasing our purchases of government-agency securities in this range.
Since very short-term rates (with maturities of six months or less) were nearly flat during the period, we focused our purchases in this area on variable-rate demand notes, which have credit backing from financial institutions and interest rates that reset at a fixed period, such as weekly or monthly. Therefore, the fund was well-positioned with liquid, high-quality securities when the subprime turmoil began--and before the Fed surprised the market with its larger-than-expected September interest-rate cut.
As of September 30, 2007, the fund did not own any securities that are backed by subprime mortgage debt or any direct obligations of companies whose primary business is subprime mortgage lending. It does have indirect exposure through the banks and insurance companies which provide credit and liquidity support to the variable-rate demand notes, and these entities may have varying degrees of exposure to subprime loans through their various business lines.
Outlook
The Fed's actions--combined with more clarity about troubled securities and the lack of a collapse by a major capital-markets player--seem to have thus far diffused the turmoil in the financial markets. The volatility and yield premiums (the extra yield paid above that of a comparable Treasury bond) of riskier corporate bonds have declined, and some buyers have emerged to take advantage of market opportunities. Also, stock prices have recently set new highs, indicating increased investor confidence in the financial markets.
Yet there easily could be another round of turmoil ahead. The deep housing slump increases the risk of recession, and the rise in commodity prices and the falling dollar may keep the overall (not core) inflation rate elevated. Therefore, these are very challenging times for fixed-income investors. We believe that the Fed may further reduce the target fed funds rate this fall, but perhaps not by as much as some expect. So, we will continue to look for attractive buying opportunities, though we are also very aware of the elevated market volatility that is likely to last.
October 2007
1. GDP data for the third quarter of 2007 was not available at the time of this writing, but the consensus was for a 2.2% pace of growth for that quarter (source: Wall Street Journal survey of forecasters).
2. Core Personal Consumption Expenditures (PCE) data available through August 2007.
3. Employment data is through August 2007.
Money Market Portfolio Statistics |
||
6 Months |
12 Months |
|
Money Market Portfolio |
2.30% |
4.64% |
Lipper Money Market Funds Avg. |
2.26% |
4.56% |
Maturity Schedule |
||
Weighted Average |
||
9/30/07 |
9/30/06 |
|
56 days |
37 days |
|
Average Annual Total Returns |
||
One year |
4.64% |
|
Five year |
2.31% |
|
Ten year |
3.27% |
|
7-Day Simple/Effective Yield |
||
7-day simple yield |
4.44% |
|
7-day effective yield |
4.54% |
|
% of Total |
||
Investment Allocation |
||
Taxable Variable Rate Demand Notes |
74.4% |
|
U.S. Government Agencies and Instrumentalities |
24.7% |
|
Loans and Deposit Receipts Guaranteed by U.S. Government Agencies |
0.5% |
|
Certificates of Deposit |
0.4% |
|
Total |
100% |
Total return assumes reinvestment of dividends. An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio. Past performance is no guarantee of future results.
Portfolio Management Discussion
John Nichols,
Vice President, Equities
of Calvert Asset Management Company
Investment Performance
For the 12 months ended September 30, 2007, Calvert Social Investment Fund Balanced Portfolio's Class A shares (at NAV*) returned 8.47%. The Fund's benchmark, a blend of 60% Russell 1000® Index and 40% Lehman U.S. Credit Index, returned 11.84%. This new benchmark better represents the type of securities our managers invest in--making it easier for shareholders to compare the returns. The weighting of these indexes represents our long-term allocations to stocks and bonds in the Portfolio. Underperformance from the Fund's stock portfolio accounted for the overall underperformance against this blend of benchmarks.
Investment Climate
The first nine months of the period generally saw markets driving upwards. The apparent end to the Federal Reserve's (Fed) interest-rate hikes got the period off to a strong start which generally lasted into the summer, except for a transient set-back when Chinese markets suffered a large one-day drop. While markets around the globe initially sold off in response, investors soon realized that the problems were more local than global and the rally returned.
While the general tone was bullish throughout the spring and into the summer, problems were developing in the housing and subprime mortgage markets. Again, investors initially viewed these problems more as local than global. But reports from around the world of losses from investments based on subprime mortgages and similar assets, as well as the collapse of several large mortgage companies, reawakened investors to the concept of risk. U.S. equity markets, which had just hit all-time highs, sold off sharply. When it appeared that markets were on the verge of panic selling, the Fed stepped in and stabilized markets by lowering the discount rate, making it less expensive for member banks to borrow money directly from the Fed. A month later, the Fed then cut the fed funds target rate by one-half percent. These acts helped stimulate a market recovery as the period closed.
Portfolio Strategy--Equities
The equity portfolio is designed to provide a U.S.-core, large-cap portfolio that utilizes managers' expertise in active fundamental and quantitative investment processes. The Portfolio's sector weights are generally close to those of the benchmark, subject to the effects of the social screens.
Once again, the Energy and Materials sectors led the market over the past 12 months, and the Portfolio's underweight to these sectors relative to the Russell 1000 Index detracted from performance. Yet the overall biggest negative was stock selection. In eight of 10 sectors, the Portfolio's holdings underperformed the corresponding sector's return in the Index. The most notable discrepancy was in the Consumer Discretionary sector, where poor stock selection for a variety of media and retail stocks accounted for almost half of the equity portfolio's margin of underperformance relative to the Russell 1000.
In a departure from the recent past, the Information Technology sector posted solid results and the Portfolio's overweight to the sector benefited performance for the period. However, stock selection issues such as an underweight to Apple erased the benefit from the sector weighting. Weak stock selection in the troubled Financials sector hurt performance as well.
Portfolio Strategy--Fixed Income
The fixed income portion of the Portfolio topped the benchmark Lehman U.S. Credit Index by more than one percentage point for the period. Defensive positioning, with higher allocations to both shorter-term and higher-quality securities than the benchmark, drove this outperformance. Through early 2007, bonds with short-term maturities (maturing in one year or less) offered higher yields than longer-term bonds, which boosted interest income for the Portfolio. This strategy also contributed to our relative outperformance when short-term Treasury securities rallied strongly in the latter part of the period, following a flight to quality and the cut in the fed funds target rate.
By early summer, the turmoil in the mortgage market had made investors much more risk-conscious, causing yield spreads between corporate bonds and Treasury securities with a similar maturity to widen significantly. The Portfolio's high-quality bias and overall underweight to corporate bonds protected returns to some degree.
However, significant markdowns in the values of bonds issued by two companies were a drag on performance: Atlantic Mutual Insurance, which was prevented from making several interest payments by state regulators due to the company's poor operating results, and Alliance Mortgage Investment, which filed for bankruptcy during the period.
As of September 30, 2007, the Portfolio held a short-term security issued by Residential Capital LLC, a mortgage finance company, and a small investment in CIT Group. Both were previously engaged in subprime lending but now focus on providing loans to borrowers with prime credit. Of course, almost all obligations issued or supported by financial services companies may have some exposure to the subprime market or related risks, given their diverse business lines.
Outlook
The Fed's actions--combined with more clarity about troubled securities and the lack of a collapse by a major capital-markets player--seem to have thus far diffused the turmoil in the equity and bond markets. It is difficult to assess the long-term implications of the Fed's recent interest-rate cuts. But if the subsequent market improvements lead investors to once again start ignoring risk, then we may be in for more volatility down the road.
On a positive note, we are encouraged by the good performance of large-cap growth stocks over the past year--something which was long overdue. We also believe that investors' re-recognition of risk will make them more discriminating, which bodes well for the types of well-run companies the equity portfolio seeks to invest in.
Overall, we believe that our disciplined investment processes for both bonds and equities should reward long-term investors in this Portfolio.
October 2007
As of September 30, 2007, the following companies represented the following percentages of Fund net assets: Apple 0.25%, Atlantic Mutual Insurance 0.13%, and Alliance Mortgage Investment 0%, Residential Capital Mortgage 3.0%, and CIT Group 0.3%. All portfolio holdings are subject to change without notice.
Balanced Portfolio Statistics |
|||
6 Months |
12 Months |
||
Class A |
3.87% |
8.47% |
|
Class B |
3.34% |
7.45% |
|
Class C |
3.40% |
7.53% |
|
Class I |
4.11% |
9.00% |
|
Lehman U.S. Credit Index** |
1.33% |
4.23% |
|
Russell 1000 Index** |
7.99% |
16.90% |
|
Balanced Composite Benchmark*** |
5.33% |
11.84% |
|
Lipper Mixed-Asset Target Allocation Growth Funds Avg** |
6.51% |
14.04% |
|
Ten Largest Long-Term Holdings |
|||
% of Net Assets |
|||
AT&T, Inc. |
1.8% |
||
Procter & Gamble Co. |
1.6% |
||
Cisco Systems, Inc. |
1.5% |
||
Microsoft Corp. |
1.4% |
||
XTO Energy Inc. |
1.3% |
||
Bank of America Corp. |
1.2% |
||
3M Co. |
1.2% |
||
Residential Capital LLC, |
|||
6.224%, 6/9/08 |
1.2% |
||
Goldman Sachs Group, Inc. |
1.2% |
||
Freddie Mac, 5.125%, |
|||
12/15/13 |
1.1% |
||
Total |
13.5% |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
** Source: Lipper Analytical Services, Inc.
***The Calvert Balanced Composite Benchmark Blend is comprised of 60% Russell 1000 Index and 40% Lehman U.S. Credit Index.
Balanced Portfolio Statistics |
|
Class A Shares |
|
One year |
3.32% |
Five year |
8.51% |
Ten year |
3.94% |
Class B Shares |
|
One year |
2.45% |
Five year |
8.20% |
Since inception |
2.52% |
(3/31/98) |
|
Class C Shares |
|
One year |
6.57% |
Five year |
8.52% |
Ten year |
3.41% |
Balanced Portfolio Statistics |
|
Class I Shares* |
|
One year |
9.00% |
Five year |
9.96% |
Since inception |
3.65% |
(2/26/99) |
|
Asset Allocation |
% of Total Investments |
Equity Investments |
61% |
Bonds |
36% |
Cash & Cash Equivalents |
3% |
100% |
Performance Comparison
Comparison of change in value of $10,000 investment.
* Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the period June 30, 2003 through December 27, 2004.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. The value of an investment in Class A shares is plotted in the line graph. The value of an investment in another class of shares would be different. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. New subadvisors began effective June 30, 2004. Earlier subadvisor changes occurred in March 2002 and July 1995. Past performance is no guarantee of future results.
**Source: Lipper Analytical Services, Inc.
Portfolio Management Discussion
Gregory Habeeb
Senior Portfolio Manager
of Calvert Asset Management Company
Investment Performance
Calvert Social Investment Fund Bond Portfolio Class A shares (at NAV*) produced a total return of 5.31% for the 12-month reporting period ended September 30, 2007, beating the 4.23% return of the benchmark Lehman U.S. Credit Index. Credit-quality and yield-curve strategies drove the Fund's outperformance.
Investment Climate
Over the past 12 months, economic growth, inflation, and job growth have slowed. The U.S. economy, as measured by gross domestic product (GDP), grew at a 2.2% annualized pace,1 slightly below its long-term average. Core inflation declined to 1.8% by August, moving back into the comfort zone of the Federal Reserve (Fed).2 Unemployment held steady at 4.6%, but job creation declined from the previous 12-month period.3 Long-term interest rates were generally unchanged to slightly higher. The three-month Treasury bill yield fell more than one percent to 3.82%. Money market rates for bank certificates of deposit and corporate commercial paper also declined, but not by nearly as much.
Given the cooling of inflation, the Fed intended to keep the target fed funds rate steady at 5.25%. But those plans were disrupted as the impact of the U.S. subprime mortgage turmoil broadened during the summer and risk aversion rose. Large losses experienced in hedge funds and other investment vehicles resulted in a flight to quality as many investors refused to roll over their short-term commercial paper. The Fed and other central banks were forced to inject large reserves into their respective banking systems to stabilize the markets.
Impacts of the Subprime Mortgage Fallout
Increasing uncertainty spread to global markets as the prices of securities backed by illiquid subprime mortgage assets fell sharply. Given the large amounts of leverage in the system, losses resulted in more forced selling to meet margin calls. The resulting sell-off dragged down prices of more liquid securities, including corporate, asset-backed, and municipal bonds, regardless of their fundamentals. Treasury securities rallied on a flight to quality and the yield difference between lower- and higher-quality securities widened sharply. The Fed made a surprise cut in the bank discount rate on August 17, making it less expensive for member banks to borrow directly from the Fed. A month later, it cut the target fed funds rate by 0.5% to further assuage the markets.
Portfolio Strategy
At the beginning of the period, we were positioned for a rising interest-rate environment and a steepening yield curve where long-term interest rates would rise above those of shorter-term Treasuries. We also expected that risk premiums would have to increase since investors were not being adequately compensated for taking on additional risk. As a result, we positioned the Fund defensively, with a short relative duration and a higher allocation to AAA rated and shorter-term securities than the benchmark Lehman U.S. Credit Index. The latter also added interest earnings to the Portfolio, since Treasuries with less than one year to maturity offered higher yields than those with longer maturities through early 2007. Since rates generally declined during the period, our shorter duration detracted from relative performance. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest-rate movements.) However, the ben efits from our credit-quality bias and yield-curve positioning helped offset this.
The Fund's yield curve positioning with an overweight to very short maturities also boosted relative returns. Short-term rates declined during the second half of the period and the yield curve shifted from inverted (where yields of short-term securities are higher than those of long-term securities) to a more traditional shape (where yields of short-term securities are lower than those of long-term bonds).
By early summer, woes in the mortgage market made investors much more risk-conscious, causing yield spreads between corporate bonds and Treasury securities with a similar maturity to widen significantly. The Fund's high-quality bias and overall underweight to corporate bonds protected returns to some degree. More than 60% of the Fund was in AAA rated assets, whose values were generally less affected by the market's sudden recognition of risk.
However, significant markdowns in the values of two securities were a drag on performance. The New York State Division of Insurance denied Atlantic Mutual Insurance permission to pay its February and August 2007 interest payments as a result of the company's poor operating results, and the value of the Atlantic Mutual note we held dropped by more than half. In July, Alliance Mortgage Investment, which specializes in mortgages to Alt-A borrowers (borrowers with credit quality lower than prime but higher than subprime borrowers) filed for bankruptcy, resulting in a markdown on Alliance Mortgage notes.
As of September 30, 2007, the Fund had some short-term holdings issued by Residential Capital LLC, a mortgage finance company which engaged in subprime lending in the past but now focuses on providing loans to borrowers with prime credit. The Fund also owned a small (0.3%) position in CIT Group, a commercial and consumer financial lender. Of course, almost all obligations issued or supported by financial services companies may have some exposure to the subprime market or related risks, given their diverse business lines.
Outlook
The Fed's actions--combined with more clarity about troubled securities and the lack of a collapse by a major capital-markets player--seem to have thus far diffused the turmoil in the financial markets. The volatility and yield premiums (the extra yield paid above that of a comparable Treasury bond) of riskier corporate bonds have declined, and some buyers have emerged to take advantage of market opportunities. Also, stock prices have recently set new highs.
Yet there easily could be another round of turmoil ahead. The deep housing slump increases the risk of recession, and the rise in commodity prices and the falling dollar may keep the overall (not core) inflation rate elevated. Therefore, these are very challenging times for bond investors. We believe that the Fed may further reduce the target fed funds rate this fall, but perhaps not by as much as some expect. So, we will continue to look for attractive buying opportunities, though we are also very aware of the elevated market volatility that is likely to last.
October 2007
1. GDP data for the third quarter of 2007 was not available at the time of this writing, but the consensus was for a 2.2% pace of growth for that quarter (source: Wall Street Journal survey of forecasters).
2. Core Personal Consumption Expenditures (PCE) data available through August 2007.
3. Employment data is through August 2007.
As of September 30, 2007, the following companies represented the following percentages of Portfolio net assets: Atlantic Mutual 0.1%, Alliance Mortgage Investment 0%, Residential Capital LLC 2.6%, and CIT Group 0.3%. All holdings are subject to change without notice.
Bond Portfolio Statistics |
|||
6 Months |
12 Months |
||
Class A |
2.37% |
5.31% |
|
Class B |
1.90% |
4.29% |
|
Class C |
1.97% |
4.41% |
|
Class I |
2.66% |
5.89% |
|
Lehman U.S. Credit Index** |
1.33% |
4.23% |
|
Lipper Corporate Debt Funds A Rated Avg. |
1.36% |
4.04% |
|
Maturity Schedule |
|||
Weighted Average |
|||
9/30/07 |
9/30/06 |
||
9 years |
10 years |
||
SEC Yields |
|||
30 days ended |
|||
9/30/07 |
9/30/06 |
||
Class A |
4.93% |
4.27% |
|
Class B |
4.14% |
3.48% |
|
Class C |
4.31% |
3.58% |
|
Class I |
5.72% |
5.01% |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 3.75% front-end sales charge or any deferred sales charge.
**Source: Lipper Analytical Services, Inc.
Bond Portfolio |
|
Class A Shares |
|
One year |
1.34% |
Five year |
4.85% |
Ten year |
5.79% |
Class B Shares |
|
One year |
0.29% |
Five year |
4.68% |
Since inception |
4.99% |
(3/31/98) |
|
Class C Shares |
|
One year |
3.48% |
Five year |
4.75% |
Since inception |
4.89% |
(6/1/98) |
|
Bond Portfolio |
|
Class I Shares |
|
One year |
5.89% |
Five year |
6.26% |
Since inception |
7.18% |
(3/31/00) |
Performance Comparison
Comparison of change in value of $10,000 investment.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end sales charge of 3.75% or deferred sales charge, as applicable. No sales charge has been applied to the indices used for comparison. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. The value of an investment in Class A shares is plotted in the line graph. The value of an investment in another class of shares would be different. Past performance is no guarantee of future results.
*Source: Lipper Analytical Services, Inc.
Bond Portfolio Statistics
September 30, 2007
% of Total |
|
Economic Sectors |
|
Asset Backed Securities |
22.4% |
Banks |
11.3% |
Brokerages |
0.4% |
Commercial Mortgage |
|
Backed Securities |
2.0% |
Financial Services |
6.7% |
Financials |
1.3% |
Industrial |
7.7% |
Industrial - Finance |
0.2% |
Insurance |
0.9% |
Mortgage Backed Securities |
1.8% |
Municipal Obligations |
25.8% |
Real Estate Investment |
|
Trusts |
1.5% |
Special Purpose |
8.1% |
U.S. Government Agency |
|
Obligations |
8.7% |
Utilities |
1.2% |
Total |
100% |
Portfolio Management Discussion
Dan Boone
of Atlanta Capital Management Company
Performance
For the 12 months through September 30, 2007, Calvert Social Investment Fund Equity Portfolio Class A shares (at NAV*) earned 15.23%, versus 16.44% for the Standard & Poor's 500 Index. An underweight to the Energy sector caused the Fund's performance to lag its benchmark.
Investment Climate
The economy over the past 12 months appeared to be in a mid-cycle slowdown. Growth in gross domestic product (GDP) decelerated to about 2%. Consumer spending slowed as employment growth stalled and available home equity plummeted.
The excesses from extraordinarily low interest rates and easy access to credit began to correct during this period. Many headlines centered on subprime mortgages, but the excesses were much broader--involving lax lending standards for all types of borrowers. The correction actually worked in our favor because it reduced the headwinds we had been struggling against for so long. As the premiums for riskier investments increased, high-quality stocks1 began to outperform low-quality stocks for the first time in more than four years, narrowing the deficit to 6% for the 12-month period.
For the first time in almost eight years, large-cap stocks outperformed small-cap stocks during the 12-month period. Large-cap stocks are generally less impacted by domestic economic uncertainty and benefit more from stronger economic growth overseas. Also, growth stocks began to outperform value stocks for the first time in almost seven
years. 2
Fallout from subprime-mortgage woes hurt the value-oriented Financials sector, while sectors that are less dependent on the economy for growth prospered. The best-performing sectors were Energy, Materials, Telecommunications, Industrials, and Technology. Companies in the Materials, Industrials, and Technology sectors also benefited from the weaker dollar, which boosted exports. Not surprisingly, the weakest sector was Financials, but Consumer Discretionary and Health Care also trailed the averages.
Portfolio Strategy
Our underweight to the Energy sector was the single largest detractor from the Fund's relative performance. This strategy worked well when crude oil prices were in the mid-$50 range in February, but fared poorly when they surged. We believe oil prices may fall back into the $50 to $60 range as global growth moderates, so we are maintaining this underweight. We remain overweight to sectors where corporate earnings will be the least impacted by sluggish consumer spending, such as Technology, Health Care, and Consumer Staples. We have also reduced our exposure to Financials and Industrials.
Overall, stock selection was a positive for performance--strongly so in Financials, where we emphasized investment firms, and in Energy, where we emphasized oil service. Our stellar pick here was FMC Technologies, the leader in sub-sea oil production platforms, which increased 115%3 during the 12 months. However, three retailers with good earnings growth--Kohl's Corp., Staples, and Bed Bath & Beyond--suffered declines of 10% to 12% due to fears about future declines in earnings growth. We are retaining our positions in these stocks, as we believe they will perform well fundamentally.
Given our concerns about further weakness in the housing market, we took advantage of Home Depot's tender offer to sell our long-held position back to the company. Within Technology, good calls on Apple, Cisco Systems, Nokia, and CDW Corp. were offset by poor results from Motorola, Molex, Zebra Technologies Corp., and Microsoft. We subsequently sold Motorola and Molex.
Outlook
The market has reached new highs while celebrating the Federal Reserve's September interest-rate cut, but we remain cautious. Since the correction was short in both magnitude and length, we believe there may be more periods of correction and volatility ahead. Higher mortgage payments resulting from the interest rates on adjustable-rate mortgages resetting will further pressure consumer spending and temper the pace of the recovery next year.
While we are cautious about the broader outlook, we are very enthusiastic about the environment for high-quality, large-cap growth companies. We believe the reversal of trends noted earlier will continue for the foreseeable future. We also believe most companies in the Portfolio will see double-digit increases in earnings despite a weak economic outlook. We are well-positioned to play both offense and defense. We have seldom seen as great an opportunity to purchase high-quality growth companies at such low relative valuations.
A Personal Message
On a personal note, I will step down as the lead portfolio manager of the fund as of December 31, 2007. It has been a challenging but exciting nine years as we first improved performance and then grew the fund's assets by more than 10 times since September 30, 1998. Despite significant headwinds over the last four years to both high quality and growth and the worst bear market (down 50% top to bottom from 2000 to 2002) since the 1970's, the Class A shares at NAV increased an average of 10.5% per year since September 1998. This handily beat our primary benchmark, the S&P 500 Index, which increased an average of 6.3% per year. These results also outpaced the average return from our peer group, the Lipper Multi-Cap Core Index, which increased 7.8% per year. Relative to that universe, we were ranked in the top one-third of mutual funds.
In our first letter to shareholders, we set out our mission: To demonstrate that a portfolio of high quality, socially responsible growth companies can substantially outperform the broad markets over time. In short, investors can "do well by doing good." While not conclusive, a nine year annualized record of 4.2% outperformance per year is a good start. Atlanta Capital is proud of this record. For our more recent investors, who have experienced the temporary negative cycles for high quality and growth and thus have not participated in the long term outperformance, our advice is to exercise patience because we believe these trends are in the process of turning very favorable.
The past results of the fund reflect the effort of a team of portfolio managers and fundamental analysts at Atlanta Capital. Richard England will be stepping into the Lead Portfolio Manager role and will work along with co-portfolio managers Bill Hackney and Marilyn Irvin and our analyst team. I have great confidence in Richard and the group and know they are dedicated to the same high quality growth philosophy that has served you well over the years. They take over at a particularly opportune time. Thank you for your support during my tenure. It has been fun.
October 2007
1. Standard & Poor's defines a ranking of A as high quality and A+ as highest quality. Atlanta Capital considers the "high-quality universe" to include any rankings of B+ or better. Any ranking of B or lower is low quality. Source of Fund sector performance vis a vis that of Index: Thomson Vestek.
2. The S&P 500/Citibank Growth Index returned 16.78% while the S&P 500/Citibank Value Index gained 16.11% for the 12 months ending September 30, 2007.
3. All returns shown for individual holdings reflect the part of the reporting period that the holdings were held.
As of September 30, 2007, the following companies represented the following percentages of Fund net assets: FMC Technologies 4.35%, Kohl's 3.01%, Staples 1.87%, Bed Bath & Beyond 1.24%, Home Depot 0.00%, Apple 1.34%, Cisco Systems 4.80%, Nokia 2.20%, CDW 1.01%, Motorola 0.00%, Molex 0.00%, Zebra Technologies 1.59%, and Microsoft 2.88%. All portfolio holdings are subject to change.
Equity Portfolio Statistics
September 30, 2007
Investment Performance
(total return at NAV*)
6 Months |
12 Months |
|
Class A |
10.77% |
15.23% |
Class B |
10.33% |
14.28% |
Class C |
10.36% |
14.35% |
Class I |
11.09% |
15.88% |
S&P 500 Index |
8.44% |
16.44% |
Lipper Multi-Cap Core Funds Avg |
7.68% |
17.00% |
Ten Largest Stock Holdings |
||
% of Net Assets |
||
Cisco Systems, Inc. |
4.8% |
|
FMC Technologies, Inc. |
4.3% |
|
Medtronic, Inc. |
3.5% |
|
Procter & Gamble Co. |
3.3% |
|
Colgate-Palmolive Co. |
3.1% |
|
Kohl's Corp. |
3.0% |
|
Cooper Industries Ltd. |
3.0% |
|
Aflac, Inc. |
2.9% |
|
Microsoft Corp. |
2.9% |
|
Dover Corp. |
2.8% |
|
Total |
33.6% |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
Equity Portfolio Statistics
September 30, 2007
Average Annual Total Returns
(with max. load)
Class A Shares |
|
One year |
9.77% |
Five year |
11.71% |
Ten year |
7.05% |
Class B Shares |
|
One year |
9.28% |
Five year |
11.60% |
Since inception |
6.16% |
(3/31/98) |
|
Class C Shares |
|
One year |
13.35% |
Five year |
11.94% |
Ten Year |
6.68% |
Equity Portfolio Statistics
September 30, 2007
Average Annual Total Returns
Class I Shares |
|
One year |
15.88% |
Five year |
13.43% |
Since inception |
7.85% |
(11/1/99) |
Performance Comparison
Comparison of change in value of $10,000 investment.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end sales charge of 4.75% or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. The value of an investment in Class A shares is plotted in the line graph.The value of an investment in another class of shares would be different. New subadvisor assumed management of the Portfolio effective September 1998. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Equity Portfolio Statistics
September 30, 2007
. |
% of Total |
Economic Sectors |
|
Consumer Discretionary |
8.4% |
Consumer Staples |
11.6% |
Energy |
5.8% |
Financial Services |
0.5% |
Financials |
15.0% |
Health Care |
15.6% |
Industrials |
9.3% |
Information Technology |
25.0% |
Limited Partnership Interest |
0.1% |
Materials |
3.9% |
U.S. Government Agency Obligations |
2.4% |
Utilities |
2.1% |
Venture Capital |
0.3% |
Total |
100% |
Portfolio Management Discussion
Ric Thomas
of SSgA Funds Management, Inc.
Investment Performance
Calvert Social Investment Fund Enhanced Equity Portfolio Class A shares (at NAV*) rose 8.58% versus 16.90% for the Russell 1000® Index over the 12 months ended September 30, 2007. The Portfolio's relative underperformance was primarily due to sector allocation, the sharp shift in performance from value to growth stocks, and individual stock selection.
Investment Climate
U.S. large-cap stocks performed well over the past year as the market continued to climb in response to growing corporate profits, a strengthening global economy, and an end to interest-rate hikes by the Federal Reserve (Fed). Yet the benign rise in equity prices masked a sudden and sharp leadership shift from value to growth stocks that proved disruptive to our investment strategy.
Turmoil in the subprime mortgage market created a credit crisis which pushed value stocks out of favor. As the yield difference between lower- and higher-quality bonds began to widen in June, investors began to reassess the risk associated with leveraged buyouts (LBOs), which have been a key driver of stock market performance. Since LBOs are heavily financed with debt, rising interest rates for corporate debt makes potential takeovers very unattractive. As a result, cheap stocks--those ranking high on our value model, which are often seen as takeover candidates--suffered severely.
As value stocks began to struggle, so did a surprising number of hedge funds. We now know that some hedge funds used a great deal of leverage to buy securities based on valuation models. As these hedge funds ran into problems, they began to unwind their positions by selling cheap stocks--and the massive sell-off pushed value stocks down even more. As a result, daily volatility during this period was much higher than we had ever seen for these stocks.
Portfolio Strategy
Sector/Industry
Our sector allocation, particularly a persistent underweight to Energy and Materials, detracted from performance during the 12 months. A sharp depreciation in the U.S. dollar and strengthening global demand drove commodity prices up significantly and helped both of these sectors gain about 40%.
Individual Securities
Weak stock selection was also detrimental to performance, particularly in the last quarter of the period. This was due to the severe underperformance of the valuation model we use to rank prospective holdings--which was exacerbated by the market conditions noted above. Historically, this type of market dislocation may have taken two years to fully play out. But the impact of leverage made the shift quick and severe. The good news is that we believe a lot of leverage has been removed from the system, so such severe problems for our valuation model are unlikely to continue.
For the overall period, stock selection was weakest within the Consumer Discretionary and Information Technology sectors. Warner Music Group sank 50.8% during the reporting period due to the changing dynamics of music distribution and the fortunes of value stocks in general.1 Office Depot fell 35% as its share of the retail office supply market shrank and talks of a buyout fizzled. Motorola declined 25% as it lost market share to new wireless-phone rivals such as Apple.
Stock selection was strongest in Industrials. An overweight to construction-equipment manufacturer Terex Corp. paid off when the stock surged 97% over the period as the company enjoyed increased global demand. Parker Hannifin, which produces motion-and-control systems, also benefited from growing global demand as it beat ever-higher earnings estimates and gained 46%.
Market Outlook
While the sharp shift from value to growth leadership was clearly a negative for us, there is a silver lining. Our discussion with prime brokers--who service the hedge fund industry--indicates that hedge funds reduced their leverage by about 50% during the third quarter and have not yet reversed course. This means much less money is currently being invested through valuation models, which we believe is a positive for us in the long run.
Our investment strategy is based on a long-term perspective, using a five- to 10-year investment horizon. Therefore, we do not feel recent events warrant impulsive changes to the model. We are very comfortable with our process and believe that our disciplined style of investing will work over long periods of time. Our investment process favors cheap, well-managed stocks with positive near-term earnings momentum. In our experience, the long history of investing indicates that stocks possessing these characteristics tend to outperform the market over extended periods of time.
October 2007
1. All returns shown for individual holdings reflect the part of the reporting period that the holdings were held.
As of September 30, 2007, the following companies represented the following percentages of Portfolio net assets: Warner Music Group 0.39%, Office Depot 0.00%, Motorola 0.03% , Apple 0.62%, Terex 1.55%, and Parker Hannifin 1.32%. All holdings are subject to change without notice.
Enhanced Equity
Portfolio Statistics
September 30, 2007
Investment Performance
(total return at NAV*)
6 Months |
12 Months |
|
Class A |
3.22% |
8.58% |
Class B |
2.74% |
7.55% |
Class C |
2.79% |
7.69% |
Class I |
3.45% |
9.09% |
Russell 1000 Index** |
7.99% |
16.90% |
Lipper Multi-Cap Core Funds Avg.** |
7.68% |
17.00% |
Ten Largest Stock Holdings |
||
% of Net Assets |
||
AT&T Inc. |
3.1% |
|
Microsoft Corp. |
3.1% |
|
Bank of America Corp. |
2.9% |
|
Cisco Systems, Inc. |
2.7% |
|
Procter & Gamble Co. |
2.6% |
|
International Business |
||
Machines Corp. |
2.5% |
|
Pfizer, Inc. |
2.2% |
|
JPMorgan Chase & Co. |
2.1% |
|
Goldman Sachs Group, Inc. |
2.0% |
|
3M Co. |
2.0% |
|
Total |
25.2% |
*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
** Source: Lipper Analytical Services, Inc.
Enhanced Equity
Portfolio Statistics
September 30, 2007
Average Annual Total Returns
(with max. load)
Class A Shares |
|
One year |
3.45% |
Five year |
11.60% |
Since inception |
3.84% |
(4/15/98) |
|
Class B Shares |
|
One year |
2.55% |
Five year |
11.34% |
Since inception |
3.28% |
(4/15/98) |
|
Class C Shares |
|
One year |
6.69% |
Five year |
11.64% |
Since inception |
3.76% |
(6/1/98) |
|
Enhanced Equity |
|
Class I Shares** |
|
One year |
9.09% |
Five year |
12.87% |
Since inception |
4.65% |
(4/15/98) |
Performance Comparison
Comparison of change in value of $10,000 investment.
** Note Regarding Class I Shares Total Returns: There were times during the reporting period when there were no shareholders in Class I. For purposes of reporting Average Annual Total Return, Class A performance at NAV (i.e. does not reflect deduction of the Class A front-end sales charge) is used during these periods in which there were no shareholders in Class I. For purposes of this Average Annual Total Return, the Class A performance at NAV was used during the period January 18, 2002 through April 29, 2005.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's maximum front-end sales charge of 4.75%, or deferred sales charge as applicable. No sales charge has been applied to the index used for comparison. However, the Lipper average does reflect the deduction of the category's average front-end sales charge. The value of an investment in Class A, B and I shares is plotted in the line graph.The value of an investment in another class of shares would be different. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. The month-end date of 4/30/98 is used for comparison purposes only; actual Fund inception is 4/15/98. Past performance is no guarantee of future results.
Enhanced Equity
Portfolio Statistics
September 30, 2007
% of Total |
|
Economic Sectors |
|
Consumer Discretionary |
11.0% |
Consumer Staples |
7.7% |
Energy |
7.7% |
Financials |
18.1% |
Health Care |
13.8% |
Industrials |
12.5% |
Information Technology |
18.9% |
Materials |
1.7% |
Telecommunication Services |
3.3% |
Utilities |
5.3% |
Total |
100% |
Shareholder Expense Example
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs, including sales charges and redemption fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2007 to September 30, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
The Money Market Portfolio charges a monthly low balance account fee of $3 to those shareholders whose account balance is less than $1,000. The Enhanced Equity Portfolio charges an annual low balance account fee of $15 to those shareholders whose regular account balance is less than $5,000.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio's actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning |
Ending Account |
Expenses Paid |
|
CSIF Money Market |
|||
Actual |
$1,000.00 |
$1,023.00 |
$4.03 |
Hypothetical |
$1,000.00 |
$1,021.08 |
$4.03 |
(5% return per year before expenses) |
*Expenses for Money Market are equal to the annualized expense ratio of 0.79%, multiplied by the average account value over the period, multiplied by 183/365.
Beginning |
Ending Account |
Expenses Paid |
|
CSIF Balanced |
|||
Class A |
|||
Actual |
$1,000.00 |
$1,038.70 |
$6.03 |
Hypothetical |
$1,000.00 |
$1,019.15 |
$5.98 |
(5% return per year before expenses) |
|||
Class B |
|||
Actual |
$1,000.00 |
$1,033.40 |
$10.93 |
Hypothetical |
$1,000.00 |
$1,014.32 |
$10.82 |
(5% return per year before expenses) |
|||
Class C |
|||
Actual |
$1,000.00 |
$1,034.00 |
$10.47 |
Hypothetical |
$1,000.00 |
$1,014.78 |
$10.37 |
(5% return per year before expenses) |
|||
Class I |
|||
Actual |
$1,000.00 |
$1,041.10 |
$3.68 |
Hypothetical |
$1,000.00 |
$1,021.46 |
$3.65 |
(5% return per year before expenses) |
*Expenses for Balanced are equal to the annualized expense ratios of 1.18%, 2.14%, 2.05% and 0.72% for Class A, Class B, Class C and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/365.
Beginning |
Ending Account |
Expenses Paid |
|
CSIF Bond |
|||
Class A |
|||
Actual |
$1,000.00 |
$1,023.70 |
$5.62 |
Hypothetical |
$1,000.00 |
$1,019.52 |
$5.61 |
(5% return per year before expenses) |
|||
Class B |
|||
Actual |
$1,000.00 |
$1,019.00 |
$10.59 |
Hypothetical |
$1,000.00 |
$1,014.58 |
$10.56 |
(5% return per year before expenses) |
|||
Class C |
|||
Actual |
$1,000.00 |
$1,019.70 |
$9.67 |
Hypothetical |
$1,000.00 |
$1,015.50 |
$9.65 |
(5% return per year before expenses) |
|||
Class I |
|||
Actual |
$1,000.00 |
$1,026.60 |
$2.62 |
Hypothetical |
$1,000.00 |
$1,022.49 |
$2.61 |
(5% return per year before expenses) |
*Expenses for Bond are equal to the annualized expense ratios of 1.11%, 2.09%, 1.91%, and 0.51% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/365.
Beginning |
Ending Account |
Expenses Paid |
|
CSIF Equity |
|||
Class A |
|||
Actual |
$1,000.00 |
$1,107.70 |
$6.34 |
Hypothetical |
$1,000.00 |
$1,019.06 |
$6.07 |
(5% return per year before expenses) |
|||
Class B |
|||
Actual |
$1,000.00 |
$1,103.30 |
$10.74 |
Hypothetical |
$1,000.00 |
$1,014.86 |
$10.28 |
(5% return per year before expenses) |
|||
Class C |
|||
Actual |
$1,000.00 |
$1,103.60 |
$10.28 |
Hypothetical |
$1,000.00 |
$1,015.29 |
$9.85 |
(5% return per year before expenses) |
|||
Class I |
|||
Actual |
$1,000.00 |
$1,110.90 |
$3.49 |
Hypothetical |
$1,000.00 |
$1,021.76 |
$3.34 |
(5% return per year before expenses) |
*Expenses for Equity are equal to the annualized expense ratios of 1.20%, 2.04%, 1.95%, and 0.66% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 183/365.
Beginning |
Ending Account |
Expenses Paid |
|
CSIF Enhanced Equity |
|||
Class A |
|||
Actual |
$1,000.00 |
$1,032.20 |
$6.07 |
Hypothetical |
$1,000.00 |
$1,019.10 |
$6.03 |
(5% return per year before expenses) |
|||
Class B |
|||
Actual |
$1,000.00 |
$1,027.40 |
$10.97 |
Hypothetical |
$1,000.00 |
$1,014.25 |
$10.90 |
(5% return per year before expenses) |
|||
Class C |
|||
Actual |
$1,000.00 |
$1,027.90 |
$10.38 |
Hypothetical |
$1,000.00 |
$1,014.83 |
$10.31 |
(5% return per year before expenses) |
|||
Class I |
|||
Actual |
$1,000.00 |
$1,034.50 |
$3.74 |
Hypothetical |
$1,000.00 |
$1,021.39 |
$3.71 |
(5% return per year before expenses) |
*Expenses for Enhanced Equity are equal to the annualized expense ratios of 1.19%, 2.16%, 2.04% and 0.73% for Class A, Class B, Class C, and Class I respectively, multiplied by the average account value over the period, multiplied by 183/365.
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Calvert Social Investment Fund:
We have audited the accompanying statements of net assets of the Calvert Money Market, Balanced, Bond, Equity, and Enhanced Equity Portfolios (collectively the Portfolios), each a series of the Calvert Social Investment Fund, as of September 30, 2007, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2007, by correspondence with custodians and brokers. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert Money Market, Balanced, Bond, Equity, and Enhanced Equity Portfolios as of September 30, 2007, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/KPMG LLP
Philadelphia, Pennsylvania
November 19, 2007
MONEY MARKET PORTFOLIO
Statement of Net Assets
September 30, 2007
U.S. Government Agencies |
Principal |
|
and Instrumentalities - 24.6% |
Amount |
Value |
Fannie Mae: |
||
5.30%, 1/8/08 |
$2,000,000 |
$2,000,000 |
4.875%, 4/10/08 |
1,000,000 |
1,000,564 |
6.00%, 5/15/08 |
500,000 |
503,242 |
Fannie Mae Discount Notes: |
||
1/15/08 |
1,000,000 |
985,204 |
3/28/08 |
1,000,000 |
975,557 |
5/12/08 |
500,000 |
484,444 |
Federal Home Loan Bank: |
||
5.25%, 11/1/07 |
1,000,000 |
1,000,000 |
5.22%, 11/14/07 |
1,000,000 |
1,000,000 |
5.15%, 12/14/07 |
2,000,000 |
2,000,000 |
5.20%, 12/18/07 |
1,000,000 |
1,000,000 |
5.25%, 2/1/08 |
1,000,000 |
1,000,000 |
3.375%, 2/15/08 |
1,000,000 |
993,345 |
5.30%, 2/19/08 |
250,000 |
250,000 |
5.30%, 3/19/08 |
1,500,000 |
1,500,000 |
5.30%, 4/7/08 |
250,000 |
250,000 |
5.20%, 4/9/08 |
1,000,000 |
1,000,000 |
5.40%, 4/9/08 |
1,000,000 |
1,000,000 |
5.25%, 4/16/08 |
1,000,000 |
999,946 |
5.25%, 4/23/08 |
1,000,000 |
1,000,000 |
5.25%, 5/1/08 |
3,000,000 |
3,000,000 |
5.30%, 5/29/08 |
2,000,000 |
2,000,000 |
5.30%, 7/25/08 |
1,000,000 |
1,000,000 |
5.39%, 8/15/08 (r) |
2,000,000 |
2,001,160 |
5.20%, 8/28/08 |
1,000,000 |
1,000,000 |
5.544%, 9/17/08 (r) |
2,000,000 |
1,999,572 |
4.25%, 9/26/08 |
2,000,000 |
1,990,196 |
5.00%, 9/26/08 |
1,000,000 |
1,000,000 |
4.75%, 10/3/08 |
3,000,000 |
3,000,000 |
5.236%, 2/11/09 (r) |
2,000,000 |
2,001,504 |
5.438%, 2/18/09 (r) |
2,000,000 |
2,002,054 |
Freddie Mac: |
||
4.50%, 2/15/08 |
1,000,000 |
998,476 |
5.00%, 7/23/08 |
1,000,000 |
1,001,992 |
Freddie Mac Discount Notes: |
||
3/3/08 |
1,000,000 |
979,552 |
3/31/08 |
1,000,000 |
974,869 |
4/11/08 |
1,000,000 |
973,505 |
4/28/08 |
250,000 |
242,606 |
8/18/08 |
1,000,000 |
958,319 |
Total U.S. Government Agencies and Instrumentalities |
||
(Cost $46,066,107) |
46,066,107 |
|
Depository Receipts For U.S. |
Principal |
|
Government Guaranteed Loans - 0.5% |
Amount |
Value |
Colson Services Corporation Loan Sets: |
||
7.094%, 7/26/10 (c)(h)(r) |
$60,880 |
$60,892 |
7.00%, 1/22/11 (c)(h)(r) |
71,453 |
71,450 |
7.25%, 3/23/12 (c)(h)(r) |
77,386 |
77,512 |
7.125%, 5/29/12 (c)(h)(r) |
227,213 |
227,211 |
7.00%, 8/10/12 (c)(h)(r) |
480,923 |
482,559 |
7.00%, 9/2/12 (c)(h)(r) |
91,348 |
91,599 |
Total Depository Receipts For U.S. Government Guaranteed |
||
Loans (Cost $1,011,223) |
1,011,223 |
|
Certificates Of Deposit - 0.4% |
||
Bank of Cherokee County, 3.50%, 4/21/08 (k) |
100,000 |
100,000 |
Broadway Federal Bank FSB, 5.00%, 8/15/08 (k) |
100,000 |
100,000 |
Community Bank of the Bay, 4.85%, 10/8/07 (k) |
100,000 |
100,000 |
Community Capital Bank, 5.10%, 1/20/08 (k) |
100,000 |
100,000 |
Elk Horn Bank & Trust Co., 4.75%, 12/18/07 (k) |
100,000 |
100,000 |
One United Bank, 4.50%, 12/17/07 (k) |
100,000 |
100,000 |
Self Help Credit Union, 5.17%, 7/14/08 (k) |
100,000 |
100,000 |
Total Certificates of Deposit (Cost $700,000) |
700,000 |
|
Taxable Variable Rate Demand Notes - 74.2% |
||
Akron Hardware Consultants, Inc., 5.21%, 11/1/22, |
||
LOC: FirstMerit Bank, C/LOC: FHLB (r) |
1,929,000 |
1,929,000 |
Berks County Pennsylvania IDA Revenue, 5.30%, 6/1/15, |
||
LOC: Wachovia Bank (r) |
1,370,000 |
1,370,000 |
Bochasanwais Shree Akshar Purushottam Swaminarayan Sanstha, Inc.: |
||
5.179%, 6/1/21, LOC: Comerica Bank (r) |
5,300,000 |
5,300,000 |
5.179%, 6/1/22, LOC: Comerica Bank (r) |
1,495,000 |
1,495,000 |
Butler County Alabama IDA Revenue, 5.13%, 3/1/12, LOC: |
||
Whitney National Bank, C/LOC: FHLB (r) |
600,000 |
600,000 |
California Statewide Communities Development Authority MFH |
||
Revenue, 5.21%, 7/1/27, LOC: Bank of the West, C/LOC: |
||
CALSTRs (r) |
80,000 |
80,000 |
California Statewide Communities Development Authority Special |
||
Tax Revenue, 5.13%, 3/15/34, LOC: Fannie Mae (r) |
2,750,000 |
2,750,000 |
Chatham Centre LLC, 5.28%, 4/1/22, LOC: Bank of North |
||
Georgia (r) |
520,000 |
520,000 |
CIDC-Hudson House LLC New York Revenue, 6.15%, 12/1/34, |
||
LOC: Hudson River Bank & Trust, C/LOC: FHLB (r) |
1,870,000 |
1,870,000 |
Durham North Carolina GO, 5.21%, 5/1/18, BPA: Bank of |
||
America (r) |
2,410,000 |
2,410,000 |
Florida State Housing Finance Corp. MFH Revenue: |
||
Victoria B, 5.18%, 10/15/32, LOC: Fannie Mae (r) |
2,400,000 |
2,400,000 |
Victoria J-2, 5.18%, 10/15/32, LOC: Fannie Mae (r) |
2,580,000 |
2,580,000 |
5.12%, 11/1/32, LOC: Freddie Mac (r) |
1,150,000 |
1,150,000 |
Fuller Road Management Corp. New York Revenue, 5.18%, |
||
7/1/37, LOC: Key Bank (r) |
4,000,000 |
4,000,000 |
Taxable Variable Rate |
Principal |
|
Demand Notes - Cont'd |
Amount |
Value |
Grove City Church of the Nazarene, 5.18%, 2/1/24, LOC: |
||
National City Bank (r) |
$1,503,000 |
$1,503,000 |
Haskell Capital Partners Ltd., 5.15%, 9/1/20, LOC: Colonial |
||
Bank, C/LOC: FHLB (r) |
3,800,000 |
3,800,000 |
HHH Investment Co., 5.12%, 7/1/29, LOC: Bank of the West (r) |
2,220,000 |
2,220,000 |
Holland Board of Public Works Home Building Co., 5.30%, |
||
11/1/22, LOC: Wells Fargo Bank (r) |
935,000 |
935,000 |
Hopo Realty Investment LLC, 5.23%, 12/1/21 (r) |
2,965,000 |
2,965,000 |
Jobs Co. LLC, 5.15%, 5/1/22, LOC: First Commercial Bank (r) |
2,525,000 |
2,525,000 |
Kaneville Road Joint Venture, Inc., 5.18%, 11/1/32, LOC: First |
||
American Bank, C/LOC: FHLB (r) |
6,930,000 |
6,930,000 |
Lancaster California Redevelopment Agency MFH Revenue, |
||
5.18%, 1/15/35, LOC: Fannie Mae (r) |
200,000 |
200,000 |
Los Angeles California MFH Revenue, 5.12%, 12/15/34, LOC: |
||
Fannie Mae (r) |
1,200,000 |
1,200,000 |
Main & Walton Development Co., 5.10%, 9/1/26, LOC: |
||
Sovereign Bank, C/LOC: FHLB (r) |
5,315,000 |
5,315,000 |
Milpitas California MFH Revenue, 5.10%, 8/15/33, LOC: |
||
Fannie Mae (r) |
2,200,000 |
2,200,000 |
Milwaukee Wisconsin Redevelopment Authority Revenue, 5.23%, |
||
8/1/20, LOC: Marshall & Ilsley Bank (r) |
1,155,000 |
1,155,000 |
MOB Management One LLC, 5.40%, 12/1/26, LOC: Columbus |
||
Bank & Trust (r) |
1,260,000 |
1,260,000 |
Montgomery New York Industrial Development Board Pollution |
||
Control Revenue, 5.28%, 5/1/25, LOC: FHLB (r) |
3,070,000 |
3,070,000 |
New York State MMC Corp. Revenue, 6.10%, 11/1/35, LOC: |
||
JPMorgan Chase Bank (r) |
2,000,000 |
2,000,000 |
Ogden City Utah Redevelopment Agency Revenue, 5.26%, |
||
1/1/31, LOC: Bank of New York (r) |
5,245,000 |
5,245,000 |
Omaha Nebraska SO, 5.179%, 2/1/26, BPA: Dexia Credit Local, |
||
AMBAC Insured (r) |
2,700,000 |
2,700,000 |
Osprey Management Co. LLC, 5.20%, 6/1/27, LOC: Wells Fargo |
||
Bank (r) |
5,100,000 |
5,100,000 |
Peoploungers, Inc., 5.13%, 4/1/18, LOC: Bank of New Albany, |
||
C/LOC: FHLB (r) |
2,420,000 |
2,420,000 |
Portage Indiana Economic Development Revenue, 5.27%, |
||
3/1/20, LOC: FHLB (r) |
450,000 |
450,000 |
Post Apartment Homes LP, 5.13%, 7/15/29, LOC: Fannie Mae (r) |
16,940,000 |
16,940,000 |
Racetrac Capital LLC, 5.15%, 9/1/20, LOC: Regions Bank (r) |
4,755,000 |
4,755,000 |
Roosevelt Paper Co., 5.20%, 6/1/12, LOC: Wachovia Bank (r) |
1,760,000 |
1,760,000 |
Scott Street Land Co., 5.19%, 1/3/22, LOC: Fifth Third Bank (r) |
3,005,000 |
3,005,000 |
Scottsboro Alabama Industrial Development Board Revenue, |
||
5.15%, 10/1/10, LOC: Wachovia Bank (r) |
505,000 |
505,000 |
Sea Island Co., 5.33%, 2/1/21, LOC: Columbus Bank & Trust (r) |
1,585,000 |
1,585,000 |
Shawnee Kansas Private Activity Revenue, 5.95%, 12/1/12, |
||
LOC: JPMorgan Chase Bank (r) |
4,145,000 |
4,145,000 |
Sheridan Colorado Redevelopment Agency Tax Allocation Revenue, |
||
5.15%, 12/1/29, LOC: Citibank (r) |
1,000,000 |
1,000,000 |
St. Joseph County Indiana Economic Development Revenue, 5.32%, |
||
6/1/27, LOC: FHLB (r) |
375,000 |
375,000 |
St. Paul Minnesota Port Authority Revenue, 5.40%, 3/1/21, |
||
LOC: Dexia Credit Local (r) |
1,765,000 |
1,765,000 |
Standard Furniture Manufacturing Co., Inc., 5.18%, 3/1/15, |
||
LOC: RBC Centura Bank (r) |
5,536,000 |
5,536,000 |
Taxable Variable Rate |
Principal |
|
Demand Notes - Cont'd |
Amount |
Value |
Taylor County Kentucky Tax Notes, 5.13%, 1/1/19, LOC: Peoples |
||
Bank & Trust, C/LOC: FHLB (r) |
$2,985,000 |
$2,985,000 |
Tucson Arizona Airport Authority, Inc. Revenue, 5.30%, 11/1/18, |
||
LOC: Bank of America (r) |
3,180,000 |
3,180,000 |
Tyler Enterprises LLC, 5.15%, 10/1/22, LOC: Peoples Bank and |
||
Trust, C/LOC: FHLB (r) |
3,585,000 |
3,585,000 |
Washington State MFH Finance Commission Revenue: |
|
|
5.13%, 6/15/32, LOC: Fannie Mae (r) |
1,220,000 |
1,220,000 |
5.13%, 7/15/32, LOC: Fannie Mae (r) |
790,000 |
790,000 |
5.13%, 7/15/34, LOC: Fannie Mae (r) |
1,775,000 |
1,775,000 |
5.17%, 5/15/35, LOC: Fannie Mae (r) |
960,000 |
960,000 |
5.12%, 5/1/37, LOC: Freddie Mac (r) |
1,350,000 |
1,350,000 |
|
||
Total Taxable Variable Rate Demand Notes (Cost $135,863,000) |
138,863,000 |
|
|
||
TOTAL INVESTMENTS (Cost $186,640,330) - 99.7% |
186,640,330 |
|
Other assets and liabilities, net - 0.3% |
569,608 |
|
Net Assets - 100% |
$187,209,938 |
|
Net Assets Consist of: |
|
|
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized, 187,308,953 shares outstanding |
|
$187,267,682 |
Undistributed net investment income |
16,647 |
|
Accumulated net realized gain (loss) on investments |
(74,391) |
|
|
||
Net Assets |
$187,209,938 |
|
Net Asset Value Per Share |
$1.00 |
See notes to statements of net assets and notes to financial statements.
Balanced Portfolio
Statement of Net Assets
September 30, 2007
EQUITY SECURITIES - 60.4% |
Shares |
Value |
||
Aerospace & Defense - 0.2% |
|
|||
BE Aerospace, Inc.* |
23,400 |
$971,802 |
||
Spirit AeroSystems Holdings, Inc.* |
1,000 |
38,940 |
||
1,010,742 |
||||
Air Freight & Logistics - 1.1% |
|
|||
Expeditors International Washington, Inc. |
10,300 |
487,190 |
||
FedEx Corp. |
18,802 |
1,969,510 |
||
United Parcel Service Inc., Class B |
58,100 |
4,363,310 |
||
6,820,010 |
||||
Airlines - 0.2% |
|
|||
UAL Corp.* |
23,800 |
1,107,414 |
||
Auto Components - 0.1% |
|
|||
Autoliv, Inc. |
4,800 |
286,800 |
||
TRW Automotive Holdings Corp.* |
16,800 |
532,224 |
||
819,024 |
||||
Beverages - 0.9% |
|
|||
PepsiCo, Inc. |
77,800 |
5,699,628 |
||
Biotechnology - 0.7% |
|
|||
Amgen, Inc.* |
13,610 |
769,918 |
||
Gilead Sciences, Inc.* |
75,610 |
3,090,181 |
||
Vertex Pharmaceuticals, Inc.* |
3,200 |
122,912 |
||
3,983,011 |
||||
Building Products - 0.0% |
|
|||
American Standard Co.'s, Inc. |
4,565 |
162,605 |
||
Capital Markets - 1.8% |
|
|||
E*Trade Financial Corp.* |
16,964 |
221,550 |
||
Eaton Vance Corp. |
4,400 |
175,824 |
||
Federated Investors, Inc., Class B |
8,600 |
341,420 |
||
Goldman Sachs Group, Inc. |
33,500 |
7,260,790 |
||
Legg Mason, Inc. |
24,772 |
2,088,032 |
||
SEI Investments Co. |
14,200 |
387,376 |
||
T. Rowe Price Group, Inc. |
8,614 |
479,714 |
||
10,954,706 |
||||
Chemicals - 0.7% |
|
|||
Ecolab, Inc. |
23,800 |
1,123,360 |
||
Lubrizol Corp. |
7,300 |
474,938 |
||
Praxair, Inc. |
31,800 |
2,663,568 |
||
4,261,866 |
||||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
||
Commercial Banks - 1.5% |
|
|||
US Bancorp |
84,200 |
$2,739,026 |
||
Wachovia Corp. |
85,300 |
4,277,795 |
||
Wells Fargo & Co. |
64,100 |
2,283,242 |
||
9,300,063 |
||||
Commercial Services & Supplies - 0.1% |
|
|||
Manpower, Inc. |
8,500 |
546,975 |
||
Communications Equipment - 1.8% |
|
|||
Cisco Systems, Inc.* |
276,456 |
9,153,458 |
||
CommScope, Inc.* |
31,000 |
1,557,440 |
||
Motorola, Inc. |
4,100 |
75,973 |
||
QUALCOMM, Inc. |
9,220 |
389,637 |
||
11,176,508 |
||||
Computers & Peripherals - 2.9% |
|
|||
Apple, Inc.* |
9,700 |
1,489,338 |
||
Dell, Inc.* |
62,100 |
1,713,960 |
||
EMC Corp.* |
35,412 |
736,570 |
||
Hewlett-Packard Co. |
119,200 |
5,934,968 |
||
International Business Machines Corp. |
57,100 |
6,726,380 |
||
Western Digital Corp.* |
28,280 |
716,050 |
||
17,317,266 |
||||
Consumer Finance - 0.9% |
|
|||
American Express Co. |
59,200 |
3,514,704 |
||
Capital One Financial Corp. |
20,600 |
1,368,458 |
||
MasterCard, Inc. |
4,400 |
651,068 |
||
5,534,230 |
||||
Containers & Packaging - 0.1% |
|
|||
Bemis Co., Inc. |
20,400 |
593,844 |
||
Sealed Air Corp. |
600 |
15,336 |
||
609,180 |
||||
Diversified Financial Services - 3.5% |
|
|||
Bank of America Corp. (s) |
149,440 |
7,512,349 |
||
CIT Group, Inc. |
50,200 |
2,018,040 |
||
First Republic Preferred Capital Corp., Preferred (e) |
500 |
550,365 |
||
JPMorgan Chase & Co. |
125,833 |
5,765,668 |
||
MFH Financial Trust I, Preferred (e) |
20,000 |
2,045,000 |
||
Moody's Corp. |
7,749 |
390,550 |
||
Roslyn Real Estate Asset Corp., Preferred |
10 |
1,008,437 |
||
WoodBourne Pass-Through Trust, Preferred (e) |
20 |
2,008,750 |
||
21,299,159 |
||||
Diversified Telecommunication Services - 1.8% |
|
|||
AT&T Inc. |
261,665 |
11,071,046 |
||
Electric Utilities - 0.3% |
|
|||
Cleco Corp. |
32,300 |
816,221 |
||
IDACORP, Inc. |
28,200 |
923,268 |
||
1,739,489 |
||||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
||
Electronic Equipment & Instruments - 1.0% |
|
|||
Amphenol Corp. |
54,300 |
$2,158,968 |
||
Avnet, Inc.* |
58,600 |
2,335,796 |
||
AVX Corp. |
90,900 |
1,463,490 |
||
Jabil Circuit, Inc. |
12,000 |
274,080 |
||
6,232,334 |
||||
Energy Equipment & Services - 1.6% |
|
|||
Grant Prideco, Inc.* |
53,300 |
2,905,916 |
||
Smith International, Inc. |
54,600 |
3,898,440 |
||
Superior Energy Services, Inc* |
46,900 |
1,662,136 |
||
Tidewater, Inc. |
16,400 |
1,030,576 |
||
Unit Corp.* |
300 |
14,520 |
||
9,511,588 |
||||
Food & Staples Retailing - 0.5% |
|
|||
CVS Caremark Corp. |
4,715 |
186,855 |
||
Walgreen Co. |
45,400 |
2,144,696 |
||
Whole Foods Market, Inc. |
11,731 |
574,350 |
||
2,905,901 |
||||
Food Products - 1.2% |
|
|||
General Mills, Inc. |
68,200 |
3,956,282 |
||
H.J. Heinz Co. |
3,100 |
143,220 |
||
Kellogg Co. |
45,800 |
2,564,800 |
||
McCormick & Co., Inc. |
10,000 |
359,700 |
||
7,024,002 |
||||
Gas Utilities - 1.0% |
|
|||
Energen Corp. |
5,500 |
314,160 |
||
Oneok, Inc. |
41,300 |
1,957,620 |
||
Questar Corp. |
66,400 |
3,487,992 |
||
5,759,772 |
||||
Health Care Equipment & Supplies - 1.3% |
|
|||
Beckman Coulter, Inc. |
4,000 |
295,040 |
||
Becton Dickinson & Co. |
28,200 |
2,313,810 |
||
Cytyc Corp.* |
11,000 |
524,150 |
||
Dentsply International, Inc. |
10,200 |
424,728 |
||
Hospira, Inc.* |
52,300 |
2,167,835 |
||
Intuitive Surgical, Inc.* |
900 |
207,000 |
||
Kinetic Concepts, Inc.* |
15,200 |
855,456 |
||
Medtronic, Inc. |
15,371 |
867,078 |
||
Varian Medical Systems, Inc.* |
3,000 |
125,670 |
||
7,780,767 |
||||
Health Care Providers & Services - 4.0% |
|
|||
AmerisourceBergen Corp. |
48,800 |
2,212,104 |
||
Cardinal Health, Inc. |
56,900 |
3,557,957 |
||
Cigna Corp. |
62,800 |
3,346,612 |
||
Coventry Health Care, Inc.* |
32,300 |
2,009,383 |
||
DaVita, Inc.* |
4,500 |
284,310 |
||
Express Scripts, Inc.* |
70,500 |
3,935,310 |
||
Laboratory Corp. of America Holdings, Inc.* |
22,100 |
1,728,883 |
||
Lincare Holdings Inc.* |
8,500 |
311,525 |
||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
||
Health Care Providers & Services - Cont'd |
||||
McKesson Corp. |
65,100 |
$3,827,229 |
||
Quest Diagnostics, Inc. |
8,224 |
475,100 |
||
WellCare Health Plans, Inc.* |
24,100 |
2,540,863 |
||
24,229,276 |
||||
Hotels, Restaurants & Leisure - 0.3% |
|
|||
Darden Restaurants, Inc. |
43,800 |
1,833,468 |
||
Household Durables - 0.7% |
|
|||
Garmin Ltd. |
8,029 |
958,663 |
||
Whirlpool Corp. |
34,600 |
3,082,860 |
||
4,041,523 |
||||
Household Products - 2.1% |
|
|||
Colgate-Palmolive Co. |
26,749 |
1,907,739 |
||
Kimberly-Clark Corp. |
24,700 |
1,735,422 |
||
Procter & Gamble Co. |
132,795 |
9,340,800 |
||
12,983,961 |
||||
Industrial Conglomerates - 1.2% |
|
|||
3M Co. |
79,573 |
7,446,441 |
||
Insurance - 3.1% |
|
|||
ACE Ltd. |
14,100 |
854,037 |
||
Aflac, Inc. |
8,750 |
499,100 |
||
Ambac Financial Group, Inc. |
23,700 |
1,490,967 |
||
American International Group, Inc. |
76,100 |
5,148,165 |
||
American Physicians Capital, Inc. |
1,161 |
45,232 |
||
Brown & Brown, Inc. |
9,500 |
249,850 |
||
Chubb Corp. |
36,000 |
1,931,040 |
||
Conseco, Inc.: |
|
|||
Common * |
110,276 |
1,764,416 |
||
Warrants (strike price $27.60/share, expires 9/10/08)* |
3,161 |
474 |
||
First American Corp. |
7,500 |
274,650 |
||
Hartford Financial Services Group, Inc. |
15,205 |
1,407,223 |
||
Lincoln National Corp. |
11,100 |
732,267 |
||
Phoenix Co.'s, Inc. |
4,800 |
67,728 |
||
Prudential Financial, Inc. |
1,000 |
97,580 |
||
The Travelers Co.'s, Inc. |
78,000 |
3,926,520 |
||
XL Capital Ltd. |
1,900 |
150,480 |
||
18,639,729 |
||||
Internet & Catalog Retail - 0.3% |
|
|||
Amazon.Com, Inc.* |
16,600 |
1,546,290 |
||
Gaiam, Inc.* |
12,500 |
300,375 |
||
1,846,665 |
||||
|
||||
Internet Software & Services - 0.5% |
|
|||
Akamai Technologies, Inc.* |
5,869 |
168,616 |
||
eBay, Inc.* |
10,000 |
390,200 |
||
Google, Inc.* |
3,978 |
2,256,600 |
||
2,815,416 |
||||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
||
IT Services - 1.2% |
|
|||
Acxiom Corp. |
14,100 |
$279,039 |
||
Automatic Data Processing, Inc. |
71,000 |
3,261,030 |
||
Fiserv, Inc.* |
42,200 |
2,146,292 |
||
Western Union Co. |
88,400 |
1,853,748 |
||
7,540,109 |
||||
Life Sciences - Tools & Services - 0.3% |
|
|||
Thermo Fisher Scientific, Inc.* |
28,100 |
1,621,932 |
||
Waters Corp.* |
4,700 |
314,524 |
||
1,936,456 |
||||
Machinery - 4.0% |
|
|||
Cummins, Inc. |
51,200 |
6,547,968 |
||
Danaher Corp. |
44,456 |
3,676,956 |
||
Deere & Co. |
7,000 |
1,038,940 |
||
Graco, Inc. |
10,100 |
395,011 |
||
Illinois Tool Works, Inc. |
90,570 |
5,401,595 |
||
Parker Hannifin Corp. |
28,800 |
3,220,704 |
||
Terex Corp.* |
42,100 |
3,747,742 |
||
Toro Co. |
4,000 |
235,320 |
||
24,264,236 |
||||
Media - 2.1% |
|
|||
Cox Radio, Inc.* |
5,300 |
69,165 |
||
Gray Television, Inc. |
10,700 |
90,843 |
||
Liberty Global, Inc.* |
100 |
4,102 |
||
McGraw-Hill Co.'s, Inc. |
94,400 |
4,805,904 |
||
Omnicom Group, Inc. |
39,400 |
1,894,746 |
||
Time Warner, Inc. |
255,700 |
4,694,652 |
||
Warner Music Group Corp. |
94,400 |
953,440 |
||
XM Satellite Radio Holdings, Inc.* |
4,500 |
63,765 |
||
12,576,617 |
||||
Metals & Mining - 0.5% |
|
|||
Reliance Steel & Aluminum Co. |
53,300 |
3,013,582 |
||
Multiline Retail - 0.6% |
|
|||
Dollar Tree Stores, Inc.* |
18,100 |
733,774 |
||
Kohl's Corp.* |
2,832 |
162,359 |
||
Target Corp. |
46,000 |
2,924,220 |
||
3,820,353 |
||||
Multi-Utilities - 1.2% |
|
|||
Black Hills Corp. |
52,900 |
2,169,958 |
||
MDU Resources Group, Inc. |
98,100 |
2,731,104 |
||
NiSource, Inc. |
129,500 |
2,478,630 |
||
OGE Energy Corp. |
1,500 |
49,650 |
||
7,429,342 |
||||
Office Electronics - 0.2% |
|
|||
Xerox Corp.* |
80,400 |
1,394,136 |
||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
||
Oil, Gas & Consumable Fuels - 3.4% |
|
|||
Cheniere Energy, Inc.* |
14,400 |
$564,048 |
||
Chesapeake Energy Corp. |
108,200 |
3,815,132 |
||
EOG Resources, Inc. |
88,800 |
6,422,904 |
||
Overseas Shipholding Group, Inc. |
100 |
7,683 |
||
Plains Exploration & Production Co.* |
8,000 |
353,760 |
||
Spectra Energy Corp. |
17,500 |
428,400 |
||
St. Mary Land & Exploration Co. |
4,600 |
164,082 |
||
World Fuel Services Corp. |
25,200 |
1,028,412 |
||
XTO Energy, Inc. |
123,013 |
7,607,124 |
||
20,391,545 |
||||
Paper & Forest Products - 0.1% |
|
|||
Weyerhaeuser Co. |
5,800 |
419,340 |
||
Pharmaceuticals - 1.9% |
|
|||
Barr Pharmaceuticals, Inc.* |
13,984 |
795,829 |
||
Johnson & Johnson |
81,500 |
5,354,550 |
||
Pfizer Inc. |
217,300 |
5,308,639 |
||
11,459,018 |
||||
Real Estate Investment Trusts - 0.0% |
|
|||
HRPT Properties Trust |
15,000 |
148,350 |
||
Road & Rail - 0.1% |
|
|||
Avis Budget Group, Inc.* |
37,800 |
865,242 |
||
Semiconductors & Semiconductor Equipment - 1.7% |
|
|||
Applied Materials, Inc. |
9,000 |
186,300 |
||
Intel Corp. |
203,611 |
5,265,380 |
||
Lam Research Corp.* |
21,500 |
1,145,090 |
||
Micron Technology, Inc.* |
6,300 |
69,930 |
||
Nvidia Corp.* |
35,250 |
1,277,460 |
||
Photronics, Inc.* |
24,623 |
280,948 |
||
Texas Instruments, Inc. |
60,400 |
2,210,036 |
||
10,435,144 |
||||
Software - 1.9% |
|
|||
Adobe Systems, Inc.* |
64,400 |
2,811,704 |
||
Citrix Systems, Inc.* |
11,000 |
443,520 |
||
Microsoft Corp. |
279,660 |
8,238,784 |
||
11,494,008 |
||||
Specialty Retail - 1.5% |
|
|||
Gap, Inc. |
33,500 |
617,740 |
||
Home Depot, Inc. |
134,683 |
4,369,117 |
||
Lowe's Co.'s, Inc. |
6,700 |
187,734 |
||
Staples, Inc. |
78,066 |
1,677,638 |
||
TJX Co.'s, Inc. |
71,000 |
2,063,970 |
||
8,916,199 |
||||
Textiles, Apparel & Luxury Goods - 0.8% |
|
|||
Crocs, Inc.* |
32,000 |
2,152,000 |
||
Nike, Inc., Class B |
46,200 |
2,710,092 |
||
4,862,092 |
||||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
||
Thrifts & Mortgage Finance - 0.1% |
|
|||
Freddie Mac |
3,000 |
$177,030 |
||
Washington Mutual, Inc. |
17,079 |
603,059 |
||
780,089 |
||||
Wireless Telecommunication Services - 0.1% |
|
|||
Centennial Communications Corp.* |
27,500 |
278,300 |
||
Venture Capital - 1.3% |
|
|||
Agraquest, Inc.: |
|
|||
Series B Preferred (b)(i)* |
190,477 |
38,033 |
||
Series C Preferred (b)(i)* |
117,647 |
27,191 |
||
Series H Preferred (b)(i)* |
4,647,053 |
316,892 |
||
Allos Therapeutics, Inc.* |
42,819 |
203,390 |
||
CFBanc Corp. (b)(i)* |
27,000 |
403,752 |
||
City Soft, Inc., Warrants: |
|
|||
(strike price $0.21/share, expires 05/15/12) (b)(i)* |
189,375 |
- |
||
(strike price $0.01/share, expires 10/15/12) (b)(i)* |
118,360 |
- |
||
(strike price $0.01/share, expires 10/15/12) (b)(i)* |
887,700 |
- |
||
(strike price $0.14/share, expires 10/15/12) (b)(i)* |
118,359 |
- |
||
(strike price $0.28/share, expires 10/15/12) (b)(i)* |
118,359 |
- |
||
(strike price $0.01/share, expires 2/28/13) (b)(i)* |
29,590 |
- |
||
(strike price $0.14/share, expires 2/28/13) (b)(i)* |
29,590 |
- |
||
(strike price $0.28/share, expires 2/28/13) (b)(i)* |
29,590 |
- |
||
(strike price $0.01/share, expires 5/31/13) (b)(i)* |
29,590 |
- |
||
(strike price $0.14/share, expires 5/31/13) (b)(i)* |
29,590 |
- |
||
(strike price $0.28/share, expires 5/31/13) (b)(i)* |
29,590 |
- |
||
(strike price $0.01/share, expires 8/31/13) (b)(i)* |
35,372 |
- |
||
(strike price $0.14/share, expires 8/31/13) (b)(i)* |
35,372 |
- |
||
(strike price $0.28/share, expires 8/31/13) (b)(i)* |
35,372 |
- |
||
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
250,000 |
- |
||
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
23,127 |
- |
||
(strike price $0.01/share, expires 9/4/13) (b)(i)* |
173,455 |
- |
||
(strike price $0.14/share, expires 9/4/13) (b)(i)* |
23,127 |
- |
||
(strike price $0.28/share, expires 9/4/13) (b)(i)* |
23,128 |
- |
||
(strike price $0.01/share, expires 11/30/13) (b)(i)* |
35,372 |
- |
||
(strike price $0.14/share, expires 11/30/13) (b)(i)* |
35,372 |
- |
||
(strike price $0.28/share, expires 11/30/13) (b)(i)* |
35,372 |
- |
||
(strike price $0.01/share, expires 4/21/14) (b)(i)* |
162,500 |
- |
||
Community Bank of the Bay* |
4,000 |
37,000 |
||
Community Growth Fund* |
1,498,306 |
1,808,704 |
||
Distributed Energy Systems Corp.* |
14,937 |
12,547 |
||
Environmental Private Equity Fund II, Liquidating Trust (b)(i)* |
200,000 |
49,009 |
||
Evergreen Solar, Inc. |
66,000 |
589,380 |
||
H2Gen Innovations, Inc.: |
|
|||
Common Stock (b)(i)* |
2,077 |
- |
||
Common Warrants (strike price $1.00/share, expires |
||||
10/31/13) (b)(i)* |
27,025 |
- |
||
Series A Preferred (b)(i)* |
69,033 |
111,143 |
||
Series A Preferred, Warrants (strike price $1.00/share, |
||||
expires 1/1/12) (b)(i)* |
1,104 |
674 |
||
Series B Preferred (b)(i)* |
161,759 |
260,432 |
||
Series C Preferred (b)(i)* |
36,984 |
59,544 |
||
Hayes Medical, Inc.: |
|
|||
Common Stock (b)(i)* |
180,877 |
- |
||
Series A-1 Preferred (b)(i)* |
420,683 |
- |
||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
||
Venture Capital - Cont'd |
||||
Hayes Medical, Inc.: |
||||
Series B Preferred (b)(i)* |
348,940 |
$17,447 |
||
Series C Preferred (b)(i)* |
601,710 |
120,342 |
||
Inflabloc Pharmaceuticals, Inc. (b)(i)* |
625 |
1 |
||
Neighborhood Bancorp (b)(i)* |
10,000 |
253,633 |
||
Pharmadigm, Inc. (b)(i)* |
568 |
- |
||
Plethora Technology, Inc.: |
|
|||
Common Warrants (strike price $0.01/share, |
||||
expires 4/29/15) (b)(i)* |
72,000 |
- |
||
Series A Preferred (a)(b)(i)* |
825,689 |
- |
||
Series A Preferred Warrants: |
|
|||
(strike price $0.85/share, expires 6/9/13) (b)(i)* |
176,471 |
- |
||
(strike price $0.85/share, expires 9/6/13) (b)(i)* |
88,236 |
- |
||
Promega Corp. (b)(i)* |
1,342 |
138,226 |
||
Seventh Generation, Inc.(b)(i)* |
200,295 |
2,165,232 |
||
SMARTTHINKING, Inc.: |
|
|||
Series 1-A, Convertible Preferred(b)(i)* |
104,297 |
172,388 |
||
Series 1-B, Convertible Preferred(b)(i)* |
163,588 |
31,050 |
||
Series 1-B, Preferred Warrants (strike price $0.01/share, |
||||
expires 5/26/15) (b)(i)* |
11,920 |
2,143 |
||
Wild Planet Entertainment, Inc.: |
|
|||
Series B Preferred (b)(i)* |
476,190 |
1,020,072 |
||
Series E Preferred (b)(i)* |
129,089 |
276,528 |
||
Wind Harvest Co., Inc. Series A Preferred (b)(i)* |
8,696 |
1 |
||
8,114,754 |
||||
Total Equity Securities (Cost $313,546,233) |
366,602,677 |
|||
Adjusted |
||||
Limited Partnership Interest - 0.6% |
Basis |
Value |
||
Angels With Attitude I LLC (a)(b)(i)* |
$200,000 |
170,416 |
||
Coastal Venture Partners (b)(i)* |
161,687 |
99,431 |
||
Common Capital (b)(i)* |
400,397 |
297,733 |
||
First Analysis Private Equity Fund IV (b)(i)* |
520,660 |
702,225 |
||
GEEMF Partners (a)(b)(i)* |
- |
300,550 |
||
Global Environment Emerging Markets Fund (b)(i)* |
- |
728,889 |
||
Infrastructure and Environmental Private Equity Fund III (b)(i)* |
493,425 |
380,050 |
||
Labrador Ventures III (b)(i)* |
360,875 |
85,884 |
||
Labrador Ventures IV (b)(i)* |
913,363 |
258,600 |
||
Milepost Ventures (a)(b)(i)* |
500,000 |
1 |
||
New Markets Growth Fund LLC (b)(i)* |
225,646 |
211,733 |
||
Solstice Capital (b)(i)* |
389,365 |
391,775 |
||
Utah Ventures (b)(i)* |
867,581 |
- |
||
Venture Strategy Partners (b)(i)* |
206,058 |
25,810 |
||
Total Limited Partnership Interest (Cost $5,239,057) |
|
3,653,097 |
||
|
||||
|
||||
Principal |
||||
Corporate Bonds - 20.5% |
Amount |
Value |
||
ACLC Business Loan Receivables Trust, 6.261%, 10/15/21 (e)(r) |
$324,850 |
$314,459 |
||
AgFirst Farm Credit Bank: |
|
|||
6.585% to 06/15/12, floating rate thereafter to 6/15/49 (e)(r) |
250,000 |
241,251 |
||
7.30%, 10/14/49 (e) |
2,000,000 |
1,971,360 |
||
Alliance Mortgage Investments, 12.61%, 6/1/10 (r)(x) |
385,345 |
- |
||
American National Red Cross, 5.362%, 11/15/11 |
3,215,000 |
3,265,990 |
||
APL Ltd., 8.00%, 1/15/24 |
550,000 |
510,125 |
||
Archstone-Smith Operating Trust, 5.25%, 12/1/10 |
1,000,000 |
1,011,588 |
||
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e)(p)* |
4,060,000 |
812,000 |
||
Aurora Military Housing LLC, 5.35%, 12/15/25 (e) |
2,665,000 |
2,595,070 |
||
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
1,280,000 |
1,444,821 |
||
BAC Capital Trust XV, 6.38%, 6/1/56 (r) |
3,000,000 |
2,777,469 |
||
Banc of America Commercial Mortgage, Inc., 5.449%, 1/15/49 |
2,000,000 |
2,015,060 |
||
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (e) |
1,000,000 |
1,040,000 |
||
BF Saul REIT, 7.50%, 3/1/14 |
750,000 |
723,750 |
||
Calfrac Holdings LP, 7.75%, 2/15/15 (e) |
380,000 |
366,700 |
||
CAM US Finance SA Sociedad Unipersonal, 5.506%, 2/1/10 (e)(r) |
500,000 |
495,278 |
||
Camp Pendleton & Quantico Housing LLC, 6.165%, 10/1/20 (e) |
600,000 |
603,426 |
||
Cardinal Health, Inc., 5.63%, 10/2/09 (e)(r) |
1,000,000 |
999,753 |
||
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
2,535,780 |
2,501,707 |
||
Chesapeake Energy Corp., 6.50%, 8/15/17 |
400,000 |
390,500 |
||
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
250,000 |
246,865 |
||
CIT Group, Inc., 6.10% to 3/15/17, floating rate thereafter |
||||
to 3/15/67 (r) |
|
900,000 |
747,261 |
|
City Soft, Inc.: |
|
|||
Convertible Notes I, 10.00%, 8/31/08 (b)(i)(w)* |
297,877 |
- |
||
Convertible Notes II, 10.00%, 8/31/08 (b)(i)(w)* |
32,500 |
- |
||
Convertible Notes III, 10.00%, 8/31/08 (b)(i)(w)* |
25,000 |
- |
||
Convertible Notes IV, 10.00%, 8/31/08 (b)(i)(w)* |
25,000 |
- |
||
COBALT CMBS Commercial Mortgage Trust, 5.935%, |
||||
8/25/12 (r) |
3,000,000 |
3,045,210 |
||
College Loan Corp. Trust, 6.35%, 1/25/47 (e)(r) |
3,000,000 |
3,000,000 |
||
Community Reinvestment Revenue Notes, 5.68%, 6/1/31 (e) |
529,289 |
532,269 |
||
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter to |
||||
12/31/49 (e)(r) |
2,800,000 |
2,612,242 |
||
Crown Castle Towers LLC, 4.643%, 6/15/35 (e) |
4,000,000 |
3,973,548 |
||
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) |
1,000,000 |
1,078,877 |
||
Discover Financial Services, 6.234%, 6/11/10 (e)(r) |
2,500,000 |
2,417,795 |
||
Education Loan Asset-Backed Trust: |
|
|||
6.33%, 2/1/43 (e)(r) |
1,000,000 |
1,000,000 |
||
6.62%, 2/1/43 (e)(r) |
2,000,000 |
2,000,000 |
||
Enterprise Products Operating LP, 7.034% to 1/15/18, floating |
||||
rate thereafter to 1/15/68 (r) |
2,600,000 |
2,359,409 |
||
ERAC USA Finance Co., 5.30%, 11/15/08 (e) |
1,000,000 |
1,001,839 |
||
Fort Knox Military Housing, 5.815%, 2/15/52 (e) |
2,000,000 |
1,955,520 |
||
Glitnir banki HF: |
|
|||
5.52%, 10/15/08 (e)(r) |
2,000,000 |
2,000,044 |
||
6.375%, 9/25/12 (e) |
1,100,000 |
1,102,184 |
||
6.693% to 6/15/11, floating rate thereafter to 6/15/16 (e)(r) |
1,500,000 |
1,561,937 |
||
Global Signal: |
|
|||
Trust II, 4.232%, 12/15/14 (e) |
500,000 |
489,040 |
||
Trust III, 5.361%, 2/15/36 (e) |
300,000 |
300,678 |
||
GMAC Commercial Mortgage Corp., 6.107%, 8/10/52 (e) |
1,900,000 |
1,926,087 |
||
Principal |
||||
Corporate Bonds - Cont'd |
Amount |
Value |
||
Great River Energy, 6.254%, 7/1/38 (e) |
$2,500,000 |
$2,598,600 |
||
HBOS plc, 6.413% to 10/1/35, floating rate thereafter to |
||||
9/29/49 (e)(r) |
1,900,000 |
1,681,967 |
||
Health Care Property Investors, Inc., 6.144%, 9/15/08 (r) |
3,000,000 |
2,987,401 |
||
HRPT Properties Trust, 6.294%, 3/16/11 (r) |
1,250,000 |
1,235,537 |
||
HSBC Finance Corp., 5.836%, 2/15/08 |
2,000,000 |
2,003,785 |
||
Impac CMB Trust, 5.401%, 5/25/35 (r) |
1,590,919 |
1,585,845 |
||
Independence Community Bank Corp., 3.75% to 4/1/09, |
||||
floating rate thereafter to 4/1/14 (r) |
2,500,000 |
2,457,779 |
||
JPMorgan Chase & Co., 4.17%, 10/28/08 (r) |
3,850,000 |
3,848,843 |
||
Kaupthing Bank HF, 5.75%, 10/4/11 (e) |
1,000,000 |
1,024,814 |
||
KDM Development Corp., 2.41%, 12/31/07 (b)(i) |
746,900 |
742,414 |
||
Leucadia National Corp.: |
||||
7.00%, 8/15/13 |
1,220,000 |
1,168,150 |
||
8.125%, 9/15/15 |
1,200,000 |
1,206,708 |
||
Lumbermens Mutual Casualty Co.: |
|
|||
9.15%, 7/1/26 (e)(m)* |
1,696,000 |
12,720 |
||
8.30%, 12/1/37 (e)(m)* |
6,130,000 |
45,975 |
||
8.45%, 12/1/97 (e)(m)* |
2,560,000 |
19,200 |
||
M&I Marshall & Ilsley Bank, 5.85%, 12/4/12 (r) |
500,000 |
500,416 |
||
Meridian Funding Co. LLC, 6.023%, 6/9/08 (r) |
500,000 |
499,834 |
||
Micro Finance Bank of Azerbaijan, 8.477%, 8/29/12 (b)(i) |
500,000 |
501,805 |
||
Nationwide Health Properties, Inc., 6.90%, 10/1/37 |
1,000,000 |
1,048,970 |
||
NextStudent Master Trust I, 6.50%, 9/1/42 (e)(r) |
5,000,000 |
5,000,000 |
||
Ohana Military Communities LLC, 5.675%, 10/1/26 (e) |
2,250,000 |
2,230,628 |
||
Orkney Re II plc, Series B, 8.36%, 12/21/35 (b)(e)(r) |
1,100,000 |
1,045,000 |
||
Pacific Beacon LLC, 5.628%, 7/15/51 (e) |
1,250,000 |
1,181,550 |
||
Pacific Pilot Funding Ltd., 6.11%, 10/20/16 (e)(r) |
978,338 |
978,043 |
||
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) |
500,000 |
515,250 |
||
Pioneer Natural Resources Co.: |
|
|||
6.65%, 3/15/17 |
1,300,000 |
1,212,873 |
||
6.875%, 5/1/18 |
2,500,000 |
2,340,625 |
||
Plethora Technology, 12.00%, 12/31/07 (b)(i)(w) |
150,000 |
7,500 |
||
Preferred Term Securities IX Ltd., 6.11%, 4/3/33 (e)(r) |
959,500 |
959,548 |
||
Prudential Financial, Inc., 5.853%, 6/13/08 (r) |
1,500,000 |
1,500,305 |
||
Redstone Arsenal Military Housing, 5.45%, 9/1/26 (e) |
1,250,000 |
1,222,825 |
||
Reed Elsevier Capital, Inc., 6.024%, 6/15/10 (r) |
3,000,000 |
2,990,692 |
||
Residential Capital LLC, 6.224%, 6/9/08 (r) |
8,000,000 |
7,340,000 |
||
Rose Smart Growth Investment Fund, 6.045%, 4/1/21 (b)(i) |
1,000,000 |
1,000,000 |
||
Salvation Army, 5.46%, 9/1/16 |
160,000 |
159,323 |
||
Sovereign Bank, 4.00%, 2/1/08 |
1,235,000 |
1,228,892 |
||
SPARCS Trust 99-1, STEP, 0.00% to 4/15/19, 7.697% |
||||
thereafter to 10/15/97 (e)(r) |
1,000,000 |
365,998 |
||
Student Loan Consolidation Center, 6.35%, 3/1/42 (e)(r) |
2,000,000 |
1,999,920 |
||
Toll Road Investors Partnership II LP, Zero Coupon, 2/15/45 (e) |
34,221,263 |
4,624,661 |
||
Weyerhaeuser Co., 6.21%, 9/24/09 (r) |
4,000,000 |
3,999,745 |
||
Total Corporate Bonds (Cost $137,103,605) |
124,505,253 |
|||
|
||||
U.S. Government Agencies |
Principal |
|||
and Instrumentalities - 5.6% |
Amount |
Value |
||
Fannie Mae, 5.50%, 12/25/16 |
$1,314,113 |
$1,311,597 |
||
Federal Home Loan Bank: |
|
|||
5.00%, 10/26/07 (r) |
5,000,000 |
5,000,109 |
||
0.00%, 12/28/07 (r) |
2,000,000 |
1,940,000 |
||
Federal Home Loan Bank Discount Notes, 10/1/07 |
16,300,000 |
16,300,000 |
||
Freddie Mac, 5.125%, 12/15/13 |
6,922,766 |
6,886,543 |
||
Small Business Administration: |
|
|||
5.038%, 3/10/15 |
931,641 |
918,350 |
||
4.94%, 8/10/15 |
1,797,742 |
1,772,503 |
||
Total U.S. Government Agencies and Instrumentalities (Cost $34,232,491) |
34,129,102 |
|||
|
||||
Municipal Obligations - 0.2% |
|
|||
Maryland State Economic Development Corp. Revenue Bonds, |
||||
8.625%, 10/1/19 (f)* |
3,750,000 |
1,070,474 |
||
Total Municipal Obligations (Cost $3,763,545) |
1,070,474 |
|||
|
||||
Taxable Municipal Obligations - 11.6% |
|
|||
Adams-Friendship Area Wisconsin School District GO Bonds, |
||||
5.42%, 3/1/17 |
200,000 |
196,608 |
||
Alameda California Corridor Transportation Authority Revenue |
||||
Bonds, Zero Coupon, 10/1/11 |
6,000,000 |
4,921,500 |
||
Baltimore Maryland General Revenue Bonds, 5.27%, 7/1/18 |
750,000 |
734,872 |
||
Brownsville Texas Utility System Revenue Bonds, 5.204%, 9/1/17 |
500,000 |
484,500 |
||
California Statewide Communities Development Authority |
||||
Revenue Bonds: |
|
|||
5.48%, 8/1/11 |
800,000 |
813,160 |
||
5.01%, 8/1/15 |
635,000 |
619,963 |
||
Chicago Illinois GO Bonds, 5.30%, 1/1/14 |
1,500,000 |
1,499,865 |
||
Commonwealth Pennsylvania Financing Authority Revenue |
||||
Bonds, 5.631%, 6/1/23 |
1,940,000 |
1,952,707 |
||
Cook County Illinois School District GO Bonds, Zero Coupon, |
||||
12/1/13 |
2,135,000 |
1,543,520 |
||
Detroit Michigan GO Bonds, 5.15%, 4/1/25 |
1,250,000 |
1,145,950 |
||
Escondido California Joint Powers Financing Authority Lease |
||||
Revenue Bonds, 5.53%, 9/1/18 |
750,000 |
760,575 |
||
Grant County Washington Public Utility District No. 2 Revenue |
||||
Bonds, 5.17%, 1/1/15 |
500,000 |
492,830 |
||
Illinois State MFH Development Authority Revenue Bonds: |
|
|||
5.60%, 12/1/15 |
1,270,000 |
1,285,367 |
||
6.537%, 1/1/33 |
1,000,000 |
1,000,370 |
||
Indiana State Bond Bank Revenue Bonds, 6.01%, 7/15/21 |
2,500,000 |
2,544,125 |
||
Inglewood California Pension Funding Revenue Bonds, |
||||
5.07%, 9/1/20 |
660,000 |
629,264 |
||
Kansas State Finance Development Authority Revenue Bonds, |
||||
4.152%, 5/1/11 |
1,500,000 |
1,457,820 |
||
King County Washington Housing Authority Revenue Bonds, |
||||
6.375%, 12/31/46 |
500,000 |
503,435 |
||
Principal |
||||
Taxable Municipal Obligations - Cont'd |
Amount |
Value |
||
Long Beach California Bond Finance Authority Revenue Bonds, |
||||
4.80%, 8/1/16 |
$1,545,000 |
$1,475,274 |
||
Los Angeles California Community Redevelopment Agency Tax |
||||
Allocation Bonds, 4.60%, 7/1/10 |
840,000 |
833,616 |
||
Los Angeles California Department of Airports Revenue Bonds, |
||||
5.404%, 5/15/16 |
1,515,000 |
1,506,243 |
||
Malibu California Integrated Water Quality Improvement COPs, |
||||
5.39%, 7/1/16 |
1,130,000 |
1,121,740 |
||
Michigan State Municipal Bond Authority Revenue Bonds, |
||||
5.252%, 6/1/15 |
2,000,000 |
1,971,940 |
||
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 |
700,000 |
676,039 |
||
Moreno Valley California Public Financing Authority Revenue |
||||
Bonds, 5.549%, 5/1/27 |
750,000 |
722,993 |
||
New York State MMC Corp. Revenue, 6.10%, 11/1/35 (r) |
|
1,000,000 |
1,000,000 |
|
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, |
||||
4.06%, 10/15/10 |
4,000,000 |
3,926,360 |
||
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|||
5.252%, 9/1/16 |
2,200,000 |
2,200,660 |
||
5.383%, 9/1/16 |
3,000,000 |
2,974,740 |
||
5.263%, 9/7/16 |
895,000 |
894,642 |
||
Oceanside California PO Revenue Bonds, 5.04%, 8/15/17 |
750,000 |
720,390 |
||
Oregon State School Boards Association GO Bonds, Zero Coupon: |
|
|||
6/30/12 |
4,000,000 |
3,162,760 |
||
6/30/14 |
1,500,000 |
1,057,005 |
||
Palm Springs California Community Redevelopment Agency Tax |
||||
Allocation Bonds, 6.411%, 9/1/34 |
1,250,000 |
1,251,825 |
||
Pennsylvania State Convention Center Authority Revenue Bonds, |
||||
4.97%, 9/1/11 |
3,000,000 |
2,984,790 |
||
Philadelphia Pennsylvania School District GO Bonds, |
||||
5.09%, 7/1/20 |
750,000 |
716,708 |
||
Pittsburgh Pennsylvania GO Bonds, 5.47%, 9/1/08 |
2,500,000 |
2,517,000 |
||
Roseville California Redevelopment Agency Tax Allocation Bonds, |
||||
5.90%, 9/1/28 |
250,000 |
244,698 |
||
Sacramento City California Financing Authority Tax Allocation |
||||
Revenue Bonds, 5.54%, 12/1/20 |
500,000 |
498,110 |
||
San Bernardino California Joint Powers Financing Authority Tax |
||||
Allocation Bonds, 5.625%, 5/1/16 |
500,000 |
501,255 |
||
San Diego California Redevelopment Agency Tax Allocation |
||||
Bonds, 5.66%, 9/1/16 |
1,450,000 |
1,475,535 |
||
San Diego County California PO Revenue Bonds, Zero Coupon, |
||||
8/15/12 |
|
1,790,000 |
1,402,948 |
|
San Jose California Redevelopment Agency Tax Allocation Bonds, |
||||
5.46%, 8/1/35 |
1,000,000 |
903,580 |
||
San Ramon California Public Financing Authority Tax Allocation |
||||
Bonds, 5.65%, 2/1/21 |
1,775,000 |
1,750,345 |
||
Santa Fe Springs California Community Development |
||||
Commission Tax Allocation Bonds, 5.35%, 9/1/18 |
1,500,000 |
1,485,270 |
||
Schenectady New York Metroplex Development Authority |
||||
Revenue Bonds, 5.29%, 8/1/14 |
170,000 |
168,536 |
||
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|||
3.65%, 12/1/08 |
745,000 |
737,669 |
||
3.90%, 12/1/09 |
1,150,000 |
1,132,532 |
||
St. Paul Minnesota Sales Tax Revenue Bonds, 5.65%, 11/1/17 |
1,295,000 |
1,298,082 |
||
Principal |
||||
Taxable Municipal Obligations - Cont'd |
Amount |
Value |
||
Utah State Housing Corp. Military Housing Revenue Bonds, |
||||
5.392%, 7/1/50 |
$1,500,000 |
$1,388,670 |
||
Vacaville California Redevelopment Agency Housing Tax |
||||
Allocation Bonds, 6.125%, 9/1/20 |
665,000 |
676,152 |
||
West Bend Wisconsin Joint School District GO Bonds, |
||||
5.46%, 4/1/21 |
750,000 |
747,165 |
||
West Contra Costa California Unified School District Revenue |
||||
Bonds, 4.90%, 1/1/15 |
555,000 |
536,535 |
||
Wilkes-Barre Pennsylvania GO Bonds, 5.23%, 11/15/18 |
1,000,000 |
963,980 |
||
Total Taxable Municipal Obligations (Cost $70,706,743) |
70,212,218 |
|||
|
||||
High Social Impact Investments - 0.8% |
|
|||
Calvert Social Investment Foundation Notes, 3.00%, |
||||
7/1/10 (b)(i)(r) |
|
5,016,666 |
4,902,687 |
|
Total High Social Impact Investments (Cost $5,016,666) |
4,902,687 |
|||
|
||||
|
||||
Certificates of Deposit - 0.1% |
|
|||
Alternative Federal Credit Union, 3.75%, 11/30/07 (b)(k) |
50,000 |
49,845 |
||
First American Credit Union, 5.35%, 12/26/07 (b)(k) |
92,000 |
91,595 |
||
Native American Credit Union, 4.25%, 11/13/07 (b)(k) |
92,000 |
91,678 |
||
ShoreBank & Trust Co., 4.80%, 12/6/07 (b)(k) |
100,000 |
99,610 |
||
Total Certificates of Deposit (Cost $334,000) |
332,728 |
|||
|
||||
TOTAL INVESTMENTS (Cost $569,942,340) - 99.8% |
605,408,236 |
|||
Other assets and liabilities, net - 0.2% |
1,078,770 |
|||
Net Assets - 100% |
$606,487,006 |
|||
Net Assets Consist of: |
|
|||
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: |
|
|
||
Class A: 17,299,504 shares outstanding |
|
$482,252,332 |
||
Class B: 795,515 shares outstanding |
|
23,374,327 |
||
Class C: 984,209 shares outstanding |
|
28,682,805 |
||
Class I: 275,659 shares outstanding |
|
7,941,074 |
||
Undistributed net investment income (loss) |
(617,630) |
|||
Accumulated net realized gain (loss) on investments |
29,365,559 |
|||
Net unrealized appreciation (depreciation) on investments |
35,488,539 |
|||
|
||||
Net Assets |
$606,487,006 |
|||
|
||||
Net Asset Value per Share |
|
|||
Class A (based on net assets of $542,659,118) |
$31.37 |
|||
Class B (based on net assets of $24,766,620) |
$31.13 |
|||
Class C (based on net assets of $30,339,882) |
$30.83 |
|||
Class I (based on net assets of $8,721,386) |
$31.64 |
# of |
Expiration |
Underlying |
Unrealized |
||
Futures |
|||||
Purchased: |
|||||
2 Year U.S. Treasury Notes |
150 |
12/07 |
$31,057,031 |
($11,944) |
|
10 Year U.S. Treasury Notes |
255 |
12/07 |
27,866,719 |
16,805 |
|
Total Purchased |
$4,861 |
||||
Sold: |
|||||
U.S. Treasury Bonds |
104 |
12/07 |
$11,579,750 |
$17,782 |
|
Total Sold |
$17,782 |
See notes to statements of net assets and notes to financial statements.
Bond Portfolio
Statement of Net Assets
September 30, 2007
Principal |
||||
Corporate Bonds - 61.9% |
Amount |
Value |
||
ACLC Business Loan Receivables Trust, 6.403%, 10/15/21 (e)(r) |
$324,850 |
$314,459 |
||
AgFirst Farm Credit Bank: |
|
|||
8.393% to 12/15/11, floating rate thereafter to 12/15/16 (r) |
1,000,000 |
1,078,747 |
||
6.585% to 6/15/12, floating rate thereafter to 6/15/49 (e)(r) |
3,250,000 |
3,136,265 |
||
7.30%, 10/14/49 (e) |
2,000,000 |
1,971,360 |
||
Alliance Mortgage Investments: |
|
|||
12.61%, 6/1/10 (r)(x) |
481,681 |
- |
||
15.36%, 12/1/10 (r)(y) |
207,840 |
- |
||
American National Red Cross: |
|
|||
5.33%, 11/15/08 |
3,000,000 |
3,015,630 |
||
5.32%, 11/15/09 |
2,500,000 |
2,521,225 |
||
5.316%, 11/15/10 |
2,410,000 |
2,442,680 |
||
5.392%, 11/15/12 |
2,000,000 |
2,034,900 |
||
5.567%, 11/15/17 |
2,000,000 |
2,036,560 |
||
APL Ltd., 8.00%, 1/15/24 |
600,000 |
556,500 |
||
Archstone-Smith Operating Trust, 5.25%, 12/1/10 |
1,000,000 |
1,011,588 |
||
Atlantic Mutual Insurance Co., 8.15%, 2/15/28 (e)(p)* |
3,500,000 |
700,000 |
||
Aurora Military Housing LLC, 5.32%, 12/15/20 (e) |
3,475,000 |
3,417,454 |
||
Autopista del Maipo Sociedad, 7.373%, 6/15/22 (e) |
2,655,000 |
2,996,875 |
||
BAC Capital Trust XV, 6.38%, 6/1/56 (r) |
7,000,000 |
6,480,762 |
||
Banc of America Commercial Mortgage, Inc., 5.449%, 1/15/49 |
5,000,000 |
5,037,650 |
||
Bank One Corp., 2.625%, 6/30/08 |
5,000,000 |
4,913,809 |
||
Bank One Texas, 6.25%, 2/15/08 |
2,080,000 |
2,088,471 |
||
Bayview Research Center Finance Trust, 6.33%, 1/15/37 (e) |
5,000,000 |
5,200,000 |
||
BF Saul, 7.50%, 3/1/14 |
1,250,000 |
1,206,250 |
||
Calfrac Holdings LP, 7.75%, 2/15/15 (e) |
1,000,000 |
965,000 |
||
CAM US Finance SA Sociedad Unipersonal, |
||||
5.506%, 2/1/10 (e)(r) |
2,000,000 |
1,981,110 |
||
Camp Pendleton & Quantico Housing LLC: |
|
|||
6.165%, 10/1/50 (e) |
1,000,000 |
1,005,710 |
||
5.937%, 10/1/43 (e) |
300,000 |
298,319 |
||
Cardinal Health, Inc., 5.63%, 10/2/09 (e)(r) |
1,250,000 |
1,249,692 |
||
Chase Funding Mortgage Loan, 4.045%, 5/25/33 |
2,535,780 |
2,501,707 |
||
Chesapeake Energy Corp., 6.50%, 8/15/17 |
1,085,000 |
1,059,231 |
||
Chevy Chase Bank FSB, 6.875%, 12/1/13 |
1,000,000 |
987,459 |
||
CIT Group, Inc., 6.10% to 3/15/17, floating rate thereafter to |
||||
3/15/67 (r) |
2,725,000 |
2,262,540 |
||
Clinic Building LLC VRDN, 5.18%, 2/1/23 (r) |
2,325,000 |
2,325,000 |
||
Cobalt CMBS Commercial Mortgage Trust, 5.935%, 8/15/12 (r) |
7,000,000 |
7,105,490 |
||
College Loan Corp Trust, 6.25%, 3/1/42 (e)(r) |
28,000,000 |
28,000,000 |
||
Community Reinvestment Revenue Notes, 5.90%, 6/1/31 (e) |
2,000,000 |
2,042,109 |
||
Credit Agricole SA, 6.637% to 5/31/17, floating rate thereafter |
||||
to 5/31/49 (e)(r) |
9,000,000 |
8,396,492 |
||
Crown Castle Towers LLC: |
|
|||
4.643%, 6/15/35 (e) |
4,000,000 |
3,973,548 |
||
5.245%, 11/15/36 (e) |
4,000,000 |
3,995,760 |
||
Principal |
||||
Corporate Bonds - Cont'd |
Amount |
Value |
||
Crystal Clinic, VRDN 5.18%, 4/1/20 (r) |
$6,260,000 |
$6,260,000 |
||
CVS Caremark Corp., 6.302% to 6/1/12, floating rate thereafter |
||||
to 6/1/37 (r) |
3,000,000 |
2,910,879 |
||
Dime Community Bancshares, Inc., 9.25%, 5/1/10 (e) |
1,000,000 |
1,078,877 |
||
Discover Financial Services, 6.234%, 6/11/10 (e)(r) |
6,500,000 |
6,286,268 |
||
Education Loan Asset-Backed Trust: |
|
|||
6.33%, 2/1/43 (e)(r) |
4,000,000 |
4,000,000 |
||
6.35%, 2/1/43 (e)(r) |
20,000,000 |
20,000,000 |
||
6.62%, 2/1/43 (e)(r) |
5,000,000 |
5,000,000 |
||
6.70%, 2/1/43 (e)(r) |
6,625,000 |
6,625,000 |
||
Enterprise Products Operating LP, 7.034% to 1/15/18, floating |
||||
rate thereafter to 1/15/68 (r) |
7,300,000 |
6,624,493 |
||
ERAC USA Finance Co., 5.30%, 11/15/08 (e) |
1,000,000 |
1,001,839 |
||
Fort Knox Military Housing, 5.815%, 2/15/52 (e) |
3,500,000 |
3,422,160 |
||
Glitnir banki HF: |
|
|||
5.52%, 10/15/08 (e)(r) |
8,000,000 |
8,000,176 |
||
5.80%, 1/21/11 (e)(r) |
1,000,000 |
1,000,034 |
||
6.693% to 6/15/11, floating rate thereafter to 6/15/16 (e)(r) |
750,000 |
780,968 |
||
6.375%, 9/25/12 (e) |
3,250,000 |
3,256,453 |
||
Global Signal Trust II, 4.232%, 12/15/14 (e) |
1,000,000 |
978,080 |
||
Global Signal Trust III, 5.361%, 2/15/36 (e) |
1,500,000 |
1,503,390 |
||
GMAC Commercial Mortgage Asset Corp., 6.107%, 8/10/52 (e) |
5,000,000 |
5,068,650 |
||
Goldman Sachs Group, Inc., 5.54%, 2/6/12 (r) |
2,950,000 |
2,891,091 |
||
Great River Energy: |
|
|||
5.829%, 7/1/17 (e) |
2,000,000 |
2,044,520 |
||
6.254%, 7/1/38 (e) |
5,500,000 |
5,716,920 |
||
HBOS plc, 6.413% to 10/1/35, floating rate thereafter to |
||||
9/29/49 (e)(r) |
5,000,000 |
4,426,230 |
||
Health Care Property Investors, Inc., 6.144%, 9/15/08 (r) |
3,000,000 |
2,987,401 |
||
HRPT Properties Trust, 6.294%, 3/16/11 (r) |
2,000,000 |
1,976,860 |
||
HSBC Finance Corp.: |
|
|||
5.836%, 2/15/08 |
6,000,000 |
6,011,355 |
||
4.45%, 9/15/08 |
3,000,000 |
2,980,467 |
||
Impac CMB Trust: |
|
|||
5.401%, 5/25/35 (r) |
1,590,919 |
1,585,845 |
||
5.451%, 8/25/35 (r) |
1,226,314 |
1,220,643 |
||
Independence Community Bank Corp., 3.75% to 4/1/09, |
||||
floating rate thereafter to 4/1/14 (r) |
3,000,000 |
2,949,335 |
||
Irwin Land LLC, 4.51%, 12/15/15 (e) |
2,500,000 |
2,404,050 |
||
JPMorgan Chase & Co., 4.17%, 10/28/08 (r) |
6,725,000 |
6,722,979 |
||
Kaupthing Bank HF: |
|
|||
6.06%, 1/15/10 (e)(r) |
1,000,000 |
1,009,541 |
||
5.75%, 10/4/11 (e) |
2,000,000 |
2,049,628 |
||
LB-UBS Commercial Mortgage Trust, 6.41%, 12/15/19 |
1,277,989 |
1,279,625 |
||
Leucadia National Corp.: |
|
|||
7.00%, 8/15/13 |
1,095,000 |
1,048,463 |
||
8.125%, 9/15/15 |
6,000,000 |
6,033,539 |
||
Lumbermens Mutual Casualty Co.: |
|
|||
9.15%, 7/1/26 (e)(m)* |
2,942,000 |
22,065 |
||
8.30%, 12/1/37 (e)(m)* |
3,500,000 |
26,250 |
||
M&I Marshall & Ilsley Bank, 5.85%, 12/4/12 (r) |
1,000,000 |
1,000,831 |
||
Mcguire Air Force Base Military Housing Project, |
||||
5.611%, 9/15/51 (e) |
1,500,000 |
1,425,960 |
||
Principal |
||||
Corporate Bonds - Cont'd |
Amount |
Value |
||
Mid-Atlantic Family Military Communities LLC, 5.24%, |
||||
8/1/50 (e) |
$1,250,000 |
$1,166,100 |
||
National Collegiate Student Loan Trust, 6.30%, 2/25/23 (r) |
35,750,000 |
35,750,000 |
||
Nationwide Health Properties, Inc.: |
|
|||
6.50%, 7/15/11 |
1,500,000 |
1,523,489 |
||
6.90%, 10/1/37 |
1,300,000 |
1,363,661 |
||
NextStudent Master Trust I, 6.50%, 9/1/42 (e)(r) |
20,000,000 |
20,000,000 |
||
Ohana Military Communities LLC, 5.675%, 10/1/26 (e) |
5,580,000 |
5,531,956 |
||
Orkney Re II plc, Series B, 8.36%, 12/21/35 (b)(e)(r) |
1,700,000 |
1,615,000 |
||
Pacific Beacon LLC, 5.628%, 7/15/51 (e) |
2,750,000 |
2,599,410 |
||
Pacific Pilot Funding Ltd., 6.11%, 10/20/16 (e)(r) |
978,338 |
978,043 |
||
Pedernales Electric Cooperative, 5.952%, 11/15/22 (e) |
1,500,000 |
1,545,751 |
||
Pioneer Natural Resources Co.: |
|
|||
5.875%, 7/15/16 |
4,500,000 |
4,043,469 |
||
6.65%, 3/15/17 |
8,000,000 |
7,463,832 |
||
Preferred Term Securities IX Ltd., 6.11%, 4/3/33 (e)(r) |
959,500 |
959,548 |
||
Prudential Financial, Inc., 5.853%, 6/13/08 (r) |
2,000,000 |
2,000,406 |
||
Reed Elsevier Capital, Inc., 6.024%, 6/15/10 (r) |
3,500,000 |
3,489,141 |
||
Regions Financial Corp., 4.50%, 8/8/08 |
3,500,000 |
3,486,935 |
||
Residential Capital LLC, 6.107%, 6/9/08 (r) |
19,000,000 |
17,432,500 |
||
Richmond County Capital Corp., 8.61%, 7/15/49 (e) |
2,000,000 |
2,007,500 |
||
Salvation Army, 5.46%, 9/1/16 |
310,000 |
308,689 |
||
Sovereign Bancorp, Inc., 5.901%, 3/1/09 (r) |
2,770,000 |
2,766,144 |
||
Sovereign Bank, 4.00%, 2/1/08 |
1,500,000 |
1,492,581 |
||
SPARCS Trust 99-1, Step 0.00% to 4/15/19, 7.697% |
||||
thereafter to 10/15/97 (e)(r) |
1,000,000 |
365,998 |
||
Student Loan Consolidation Center: |
|
|||
6.35%, 3/1/42 (e)(r) |
5,000,000 |
4,999,800 |
||
6.60%, 3/1/42 (e)(r) |
5,000,000 |
4,998,450 |
||
TIERS Trust, 8.45%, 12/1/17 (n)* |
439,239 |
6,589 |
||
Toll Road Investors Partnership II LP, Zero Coupon: |
|
|||
2/15/28 (e) |
3,300,000 |
949,537 |
||
2/15/45 (e) |
68,351,384 |
9,237,006 |
||
Weyerhaeuser Co., 6.21%, 9/24/09 (r) |
7,000,000 |
6,999,553 |
||
Whitney National Bank, 5.875%, 4/1/17 |
500,000 |
483,994 |
||
|
||||
Total Corporate Bonds (Cost $416,422,257) |
407,486,299 |
|||
|
||||
Taxable Municipal Obligations - 25.9% |
|
|||
Adams-Friendship Area Wisconsin School District GO Bonds: |
|
|||
5.28%, 3/1/14 |
155,000 |
153,903 |
||
5.32%, 3/1/15 |
165,000 |
163,043 |
||
5.47%, 3/1/18 |
190,000 |
187,030 |
||
Alameda California Corridor Transportation Authority Revenue |
||||
Bonds, Zero Coupon: |
|
|||
10/1/08 |
9,545,000 |
9,084,740 |
||
10/1/11 |
11,655,000 |
9,560,014 |
||
Baltimore Maryland General Revenue Bonds, 5.27%, 7/1/18 |
1,250,000 |
1,224,788 |
||
Brownsville Texas Utility System Revenue Bonds, 5.204%, 9/1/17 |
260,000 |
251,940 |
||
California Statewide Communities Development Authority |
||||
Revenue Bonds: |
|
|||
Zero Coupon, 6/1/10 |
1,415,000 |
1,243,106 |
||
Zero Coupon, 6/1/12 |
1,530,000 |
1,211,974 |
||
Principal |
||||
Taxable Municipal Obligations - Cont'd |
Amount |
Value |
||
California Statewide Communities Development Authority |
||||
Revenue Bonds: |
|
|||
Zero Coupon, 6/1/13 |
$1,585,000 |
$1,189,210 |
||
5.58%, 8/1/13 |
1,085,000 |
1,104,367 |
||
2004 Series A-2, Zero Coupon, 6/1/14 |
1,645,000 |
1,160,860 |
||
2006 Series A-2, Zero Coupon, 6/1/14 |
3,305,000 |
2,332,305 |
||
5.01%, 8/1/15 |
700,000 |
683,424 |
||
Zero Coupon, 6/1/19 |
2,910,000 |
1,495,827 |
||
Camarillo California Community Development Commission Tax |
||||
Allocation Bonds, 5.78%, 9/1/26 |
970,000 |
952,453 |
||
Canyon Texas Regional Water Authority Revenue Bonds, |
||||
6.10%, 8/1/21 |
750,000 |
767,925 |
||
Chicago Illinois GO Bonds, 5.20%, 1/1/11 |
4,770,000 |
4,809,400 |
||
College Park Georgia Revenue Bonds, 5.581%, 1/1/10 |
4,350,000 |
4,415,946 |
||
Commonwealth Pennsylvania Financing Authority Revenue |
||||
Bonds, 5.631%, 6/1/23 |
2,910,000 |
2,929,060 |
||
Cook County Illinois School District GO Bonds, Zero Coupon: |
||||
12/1/14 |
1,975,000 |
1,338,872 |
||
12/1/19 |
280,000 |
137,164 |
||
12/1/20 |
700,000 |
319,809 |
||
12/1/21 |
700,000 |
301,140 |
||
12/1/24 |
620,000 |
223,119 |
||
Dallas-Fort Worth Texas International Airport Facilities |
||||
Improvement Corp. Revenue Bonds, 6.60%, 11/1/12 |
1,635,000 |
1,717,241 |
||
Detroit Michigan GO Bonds, 5.15%, 4/1/25 |
2,500,000 |
2,291,900 |
||
El Paso Texas GO Bonds, 5.86%, 8/15/17 |
1,575,000 |
1,609,949 |
||
Elkhart Indiana Community Schools GO Bonds, 5.70%, 7/5/15 |
1,435,000 |
1,457,888 |
||
Escondido California Joint Powers Financing Authority Lease |
||||
Revenue Bonds, 5.53%, 9/1/18 |
1,250,000 |
1,267,625 |
||
Fairfield California PO Revenue Bonds, 5.22%, 6/1/20 |
845,000 |
817,554 |
||
Florida State First Governmental Financing Commission Revenue |
||||
Bonds, 5.30%, 7/1/19 |
1,340,000 |
1,298,996 |
||
Grant County Washington Public Utility District No. 2 Revenue |
||||
Bonds, 5.17%, 1/1/15 |
895,000 |
882,166 |
||
Illinois State Housing Development Authority Revenue Bonds, |
||||
5.60%, 12/1/15 |
1,265,000 |
1,280,307 |
||
Illinois State MFH Development Authority Revenue Bonds, |
||||
6.537%, 1/1/33 |
3,330,000 |
3,331,232 |
||
Indiana State Bond Bank Revenue Bonds, 6.01%, 7/15/21 |
4,000,000 |
4,070,600 |
||
Inglewood California Pension Funding Revenue Bonds, |
||||
5.07%, 9/1/20 |
1,000,000 |
953,430 |
||
Jackson & Williamson Counties Illinois GO Bonds, Zero Coupon: |
|
|||
12/1/18 |
180,000 |
93,906 |
||
12/1/19 |
180,000 |
87,660 |
||
12/1/20 |
180,000 |
81,711 |
||
12/1/22 |
180,000 |
71,867 |
||
12/1/23 |
180,000 |
67,545 |
||
12/1/24 |
180,000 |
62,955 |
||
Johnson City Tennessee Public Building Authority Revenue Bonds, |
||||
6.20%, 9/1/21 |
2,310,000 |
2,365,463 |
||
Kansas State Finance Development Authority Revenue Bonds, |
||||
4.372%, 5/1/12 |
2,250,000 |
2,180,295 |
||
King County Washington Housing Authority Revenue Bonds, |
||||
6.375%, 12/31/46 |
1,000,000 |
1,006,870 |
||
Principal |
||||
Taxable Municipal Obligations - Cont'd |
Amount |
Value |
||
Lancaster Pennsylvania Parking Authority Revenue Bonds, |
||||
5.76%, 12/1/17 |
$655,000 |
$654,443 |
||
Lawrence Township Indiana School District GO Bonds, |
||||
5.80%, 7/5/18 |
1,095,000 |
1,108,983 |
||
Long Beach California Bond Finance Authority Revenue Bonds: |
|
|||
4.66%, 8/1/15 |
1,535,000 |
1,469,394 |
||
4.90%, 8/1/17 |
1,715,000 |
1,635,836 |
||
Los Angeles California Community Redevelopment Agency Tax |
||||
Allocation Bonds, 5.27%, 7/1/13 |
970,000 |
967,682 |
||
Malibu California Integrated Water Quality Improvement COPs, |
||||
5.64%, 7/1/21 |
1,160,000 |
1,153,307 |
||
Michigan State Revenue Bonds, 5.252%, 6/1/15 |
4,000,000 |
3,943,880 |
||
Monrovia California Redevelopment Agency Tax Allocation |
||||
Bonds, 5.30%, 5/1/17 |
1,160,000 |
1,146,440 |
||
Montgomery Alabama GO Bonds, 4.94%, 4/1/17 |
880,000 |
849,878 |
||
Moreno Valley California Public Financing Authority Revenue |
||||
Bonds, 5.549%, 5/1/27 |
1,500,000 |
1,445,985 |
||
Nekoosa Wisconsin School District GO Bonds, 5.74%, 4/1/16 |
485,000 |
495,069 |
||
Nevada Department of Business & Industry Lease Revenue |
||||
Bonds, 5.32%, 6/1/17 |
1,245,000 |
1,246,357 |
||
New Jersey State Economic Development Authority State Pension |
||||
Funding Revenue Bonds, Zero Coupon, 2/15/12 |
2,822,000 |
2,274,476 |
||
New York City IDA Revenue Bonds, 6.027%, 1/1/46 |
1,885,000 |
1,906,640 |
||
New York State MMC Corp. Revenue Bonds, 6.10%, 11/1/35 (r) |
2,000,000 |
2,000,000 |
||
New York State Sales Tax Asset Receivables Corp. Revenue Bonds, |
||||
3.60%, 10/15/08 |
715,000 |
708,107 |
||
Oakland California PO Revenue Bonds, Zero Coupon, 12/15/20 |
1,490,000 |
678,993 |
||
Oakland California Redevelopment Agency Tax Allocation Bonds: |
|
|||
5.383%, 9/1/16 |
5,565,000 |
5,518,143 |
||
5.263%, 9/7/16 |
1,785,000 |
1,784,286 |
||
5.411%, 9/1/21 |
2,270,000 |
2,186,963 |
||
Oceanside California PO Revenue Bonds, 5.04%, 8/15/17 |
1,000,000 |
960,520 |
||
Oklahoma City Oklahoma Airport Trust Revenue Bonds, |
||||
5.05%, 10/1/11 |
1,455,000 |
1,453,691 |
||
Oregon State School Boards Association GO Bonds, Zero Coupon: |
|
|||
6/30/12 |
7,000,000 |
5,534,830 |
||
6/30/14 |
2,500,000 |
1,761,675 |
||
6/30/18 |
1,195,000 |
655,625 |
||
Palm Springs California Community Redevelopment Agency Tax |
||||
Allocation Bonds, 6.411%, 9/1/34 |
3,355,000 |
3,359,898 |
||
Pennsylvania State Convention Center Authority Revenue Bonds, |
||||
4.97%, 9/1/11 |
6,000,000 |
5,969,580 |
||
Philadelphia Pennsylvania School District GO Bonds, |
||||
5.09%, 7/1/20 |
1,000,000 |
955,610 |
||
Pierce County Washington Cascade Christian Schools Revenue |
||||
Bonds, 7.65%, 12/1/09 |
452,000 |
447,480 |
||
Pittsburgh Pennsylvania GO Bonds, 5.47%, 9/1/08 |
6,000,000 |
6,040,800 |
||
Placer County California Redevelopment Agency Tax Allocation |
||||
Bonds, 5.95%, 8/1/22 |
1,040,000 |
1,052,230 |
||
Pomona California Public Finance Authority Tax Allocation |
||||
Revenue Bonds, 5.23%, 2/1/16 |
2,285,000 |
2,292,449 |
||
Redlands California PO Revenue Bonds, Zero Coupon: |
|
|||
8/1/18 |
|
120,000 |
62,138 |
|
8/1/19 |
|
135,000 |
65,232 |
|
8/1/20 |
|
145,000 |
65,253 |
|
8/1/21 |
|
160,000 |
67,437 |
|
Principal |
||||
Taxable Municipal Obligations - Cont'd |
Amount |
Value |
||
Roseville California Redevelopment Agency Tax Allocation Bonds, |
||||
5.90%, 9/1/28 |
$500,000 |
$489,395 |
||
Sacramento City California Financing Authority Tax Allocation |
||||
Revenue Bonds, 5.54%, 12/1/20 |
1,000,000 |
996,220 |
||
San Bernardino California Joint Powers Financing Authority Tax |
||||
Allocation Bonds, 5.625%, 5/1/16 |
1,000,000 |
1,002,510 |
||
San Diego California Redevelopment Agency Tax Allocation |
||||
Bonds, 5.66%, 9/1/16 |
2,905,000 |
2,956,157 |
||
San Diego County California PO Revenue Bonds, |
||||
0.01%, 8/15/12 |
4,000,000 |
3,135,080 |
||
San Jose California Redevelopment Agency Tax Allocation |
||||
Bonds, 5.10%, 8/1/20 |
2,555,000 |
2,432,181 |
||
Santa Fe Springs California Community Development Commission |
||||
Tax Allocation Bonds, 5.35%, 9/1/18 |
2,500,000 |
2,475,450 |
||
Schenectady New York Metroplex Development Authority Revenue |
||||
Bonds, 5.33%, 8/1/16 |
445,000 |
436,705 |
||
Secaucus New Jersey Municipal Utilities Authority Revenue Bonds: |
|
|||
3.20%, 12/1/07 |
1,295,000 |
1,292,488 |
||
4.20%, 12/1/10 |
1,235,000 |
1,216,055 |
||
Shawano-Gresham Wisconsin School District GO Bonds, |
||||
5.94%, 3/1/17 |
825,000 |
835,692 |
||
Sonoma County California PO Bonds, 6.625%, 6/1/13 |
2,710,000 |
2,848,346 |
||
St. Paul Minnesota Sales Tax Revenue Bonds, 6.125%, 11/1/25 |
3,475,000 |
3,489,039 |
||
Thorp Wisconsin School District GO Bonds, 6.15%, 4/1/26 |
560,000 |
569,632 |
||
Utah State Housing Corp. Military Housing Revenue Bonds, |
||||
5.392%, 7/1/50 |
2,000,000 |
1,851,560 |
||
Vacaville California Redevelopment Agency Housing Tax Allocation |
||||
Bonds, 6.00%, 9/1/18 |
1,185,000 |
1,207,882 |
||
Vigo County Indiana Redevelopment Authority Economic |
||||
Development Revenue Bonds, 4.96%, 8/1/14 |
530,000 |
520,004 |
||
West Bend Wisconsin Joint School District No. 1 GO Bonds, |
||||
5.46%, 4/1/21 |
1,270,000 |
1,265,199 |
||
West Contra Costa California Unified School District |
||||
Revenue Bonds: |
|
|||
4.71%, 1/1/11 |
455,000 |
450,778 |
||
4.76%, 1/1/12 |
475,000 |
468,317 |
||
4.82%, 1/1/13 |
500,000 |
489,520 |
||
Wilkes-Barre Pennsylvania GO Bonds, 5.33%, 11/15/20 |
1,655,000 |
1,594,377 |
||
|
||||
Total Taxable Municipal Obligations (Cost $170,257,877) |
170,180,476 |
|||
|
||||
U.S. Government Agencies |
||||
And Instrumentalities - 10.5% |
|
|||
Fannie Mae, 5.50%, 12/25/16 |
2,190,188 |
2,185,995 |
||
Federal Home Loan Bank: |
|
|||
5.00%, 10/26/07 (r) |
7,000,000 |
7,000,153 |
||
Zero Coupon, 12/28/07 (r) |
5,000,000 |
4,850,000 |
||
Federal Home Loan Bank Discount Notes, 10/1/07 |
39,400,000 |
39,400,000 |
||
Freddie Mac: |
|
|||
4.125%, 7/12/10 |
3,000,000 |
2,980,181 |
||
5.125%, 12/15/13 |
9,440,135 |
9,390,740 |
||
U.S. Government Agencies |
Principal |
|||
And Instrumentalities - Cont'd |
Amount |
Value |
||
Small Business Administration: |
|
|||
5.038%, 3/10/15 |
$931,641 |
$918,350 |
||
4.94%, 8/10/15 |
2,247,178 |
2,215,629 |
||
|
||||
Total U.S. Government Agencies and Instrumentalities (Cost $69,132,909) |
68,941,048 |
|||
|
||||
High Social Impact Investments - 0.3% |
|
|||
Calvert Social Investment Foundation Notes, |
||||
3.00%, 7/1/09 (b)(i)(r) |
2,087,392 |
2,039,966 |
||
|
||||
Total High Social Impact Investments (Cost $2,087,392) |
2,039,966 |
|||
|
||||
Equity Securities - 1.3% |
Shares |
|||
Conseco, Inc. * |
143,839 |
2,301,424 |
||
MFH Financial Trust I, Preferred (e) |
20,000 |
2,045,000 |
||
Roslyn Real Estate Asset Corp., Preferred |
17 |
1,714,344 |
||
WoodBourne Pass-Through Trust, Preferred (e) |
25 |
2,510,937 |
||
|
||||
Total Equity Securities (Cost $8,842,814) |
8,571,705 |
|||
|
||||
TOTAL INVESTMENTS (Cost $666,743,249) - 99.9% |
657,219,494 |
|||
Other assets and liabilities, net - 0.1% |
500,470 |
|||
Net Assets - 100% |
$657,719,964 |
|||
Net Assets Consist of: |
|
|||
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: |
|
|
||
Class A: 28,500,315 shares outstanding |
|
$454,917,692 |
||
Class B: 936,620 shares outstanding |
|
14,917,545 |
||
Class C: 2,286,341 shares outstanding |
|
36,210,394 |
||
Class I: 9,589,176 shares outstanding |
|
151,588,909 |
||
Undistributed net investment income (loss) |
(89,569) |
|||
Accumulated net realized gain (loss) on investments |
9,443,159 |
|||
Net unrealized appreciation (depreciation) on investments |
(9,268,166) |
|||
|
||||
Net Assets |
$657,719,964 |
|||
Net Asset Value per Share |
|
|||
Class A (based on net assets of $453,813,090) |
$15.92 |
|||
Class B (based on net assets of $14,833,579) |
$15.84 |
|||
Class C (based on net assets of $36,201,955) |
$15.83 |
|||
Class I (based on net assets of $152,871,340) |
$15.94 |
See notes to statements of net assets and notes to financial statements.
# of |
Expiration |
Underlying |
Unrealized |
|
Futures |
||||
Purchased: |
||||
2 Year U.S. Treasury Notes |
300 |
12/07 |
$62,114,063 |
($23,887) |
10 Year U.S. Treasury Notes |
1,145 |
12/07 |
125,127,031 |
281,610 |
Total Purchased |
$257,723 |
|||
Sold: |
||||
U.S. Treasury Bonds |
173 |
12/07 |
$19,262,469 |
($2,134) |
Total Sold |
($2,134) |
See notes to statements of net assets and notes to financial statements.
Equity Portfolio
Statement of Net Assets
September 30, 2007
EQUITY SECURITIES - 96.9% |
Shares |
Value |
|
Biotechnology - 3.0% |
|
||
Amgen, Inc.* |
250,000 |
$14,142,500 |
|
Novartis AG (ADR) |
500,000 |
27,480,000 |
|
41,622,500 |
|||
|
|||
Capital Markets - 7.0% |
|
||
A.G. Edwards, Inc. |
175,000 |
14,656,250 |
|
Bank of New York Mellon Corp. |
700,000 |
30,898,000 |
|
Charles Schwab Corp. |
500,000 |
10,800,000 |
|
Goldman Sachs Group, Inc. |
70,000 |
15,171,800 |
|
SEI Investments Co. |
900,000 |
24,552,000 |
|
96,078,050 |
|||
|
|||
Chemicals - 3.9% |
|
||
Air Products & Chemicals, Inc. |
380,000 |
37,148,800 |
|
Ecolab, Inc. |
350,000 |
16,520,000 |
|
53,668,800 |
|||
|
|||
Commercial Banks - 2.2% |
|
||
Synovus Financial Corp. |
450,000 |
12,622,500 |
|
Wachovia Corp. |
350,000 |
17,552,500 |
|
30,175,000 |
|||
|
|||
Communications Equipment - 7.0% |
|
||
Cisco Systems, Inc.* |
2,000,000 |
66,220,000 |
|
Nokia Oyj (ADR) |
800,000 |
30,344,000 |
|
96,564,000 |
|||
|
|||
Computers & Peripherals - 2.5% |
|
||
Apple, Inc.* |
120,000 |
18,424,800 |
|
Network Appliance, Inc.* |
600,000 |
16,146,000 |
|
34,570,800 |
|||
|
|||
Consumer Finance - 1.7% |
|
||
American Express Co. |
400,000 |
23,748,000 |
|
|
|||
Electrical Equipment - 5.7% |
|
||
Cooper Industries Ltd. |
800,000 |
40,872,000 |
|
Emerson Electric Co. |
700,000 |
37,254,000 |
|
78,126,000 |
|||
|
|||
Electronic Equipment & Instruments - 1.0% |
|
||
CDW Corp. |
160,000 |
13,952,000 |
|
|
|||
Energy Equipment & Services - 4.4% |
|
||
FMC Technologies, Inc.* |
1,040,000 |
59,966,400 |
|
|
|||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
|
Food & Staples Retailing - 4.1% |
|
||
Costco Wholesale Corp. |
350,000 |
$21,479,500 |
|
Walgreen Co. |
750,000 |
35,430,000 |
|
56,909,500 |
|||
|
|||
Food Products - 1.0% |
|
||
SYSCO Corp. |
400,000 |
14,236,000 |
|
|
|||
Gas Utilities - 2.1% |
|
||
Questar Corp. |
560,000 |
29,416,800 |
|
|
|||
Health Care Equipment & Supplies - 11.6% |
|
||
Medtronic, Inc. |
850,000 |
47,948,500 |
|
Respironics, Inc.* |
600,000 |
28,818,000 |
|
St. Jude Medical, Inc.* |
700,000 |
30,849,000 |
|
Stryker Corp. |
420,000 |
28,879,200 |
|
Varian Medical Systems, Inc.* |
550,000 |
23,039,500 |
|
159,534,200 |
|||
|
|||
Household Products - 6.4% |
|
||
Colgate-Palmolive Co. |
600,000 |
42,792,000 |
|
Procter & Gamble Co. |
650,000 |
45,721,000 |
|
88,513,000 |
|||
|
|||
Insurance - 4.1% |
|
||
Aflac, Inc. |
700,000 |
39,928,000 |
|
American International Group, Inc. |
250,000 |
16,912,500 |
|
56,840,500 |
|||
|
|||
Internet Software & Services - 1.3% |
|
||
eBay, Inc.* |
450,000 |
17,559,000 |
|
|
|||
IT Services - 3.8% |
|
||
Automatic Data Processing, Inc. |
340,000 |
15,616,200 |
|
Cognizant Technology Solutions Corp.* |
300,000 |
23,931,000 |
|
Fiserv, Inc.* |
250,000 |
12,715,000 |
|
52,262,200 |
|||
|
|||
Machinery - 3.6% |
|
||
Deere & Co. |
75,000 |
11,131,500 |
|
Dover Corp. |
750,000 |
38,212,500 |
|
49,344,000 |
|||
|
|||
Multiline Retail - 5.3% |
|
||
Kohl's Corp.* |
725,000 |
41,564,250 |
|
Target Corp. |
500,000 |
31,785,000 |
|
73,349,250 |
|||
|
|||
Office Electronics - 1.6% |
|
||
Zebra Technologies Corp.* |
600,000 |
21,894,000 |
|
|
|||
Oil, Gas & Consumable Fuels - 1.4% |
|
||
EOG Resources, Inc. (t) |
275,000 |
19,890,750 |
|
|
|||
EQUITY SECURITIES - Cont'd |
Shares |
Value |
|
Pharmaceuticals - 1.0% |
|
||
Johnson & Johnson |
210,000 |
$13,797,000 |
|
|
|||
Semiconductors & Semiconductor Equipment - 3.9% |
|
||
Intel Corp. |
800,000 |
20,688,000 |
|
Texas Instruments, Inc. |
900,000 |
32,931,000 |
|
53,619,000 |
|||
|
|||
Software - 3.9% |
|
||
Citrix Systems, Inc.* |
350,000 |
14,112,000 |
|
Microsoft Corp. |
1,350,000 |
39,771,000 |
|
53,883,000 |
|||
|
|||
Specialty Retail - 3.1% |
|
||
Bed Bath & Beyond, Inc.* |
500,000 |
17,060,000 |
|
Staples, Inc. |
1,200,000 |
25,788,000 |
|
42,848,000 |
|||
|
|||
Venture Capital - 0.3% |
|
||
20/20 Gene Systems Inc., Warrants (strike price $.01/share, |
|||
expires 8/27/13) (b)(i)* |
30,000 |
- |
|
Cerionx Inc.: |
|
||
Series A Preferred (a)(b)(i)* |
351,864 |
706,297 |
|
Series A Preferred, Warrants (strike price $.01/share, expires |
|||
6/30/16) (b)(i)* |
143,001 |
285,616 |
|
Chesapeake PERL, Inc.: |
|
||
Series A-2 Preferred (b)(i)* |
240,000 |
30,000 |
|
Series A-2 Preferred, Warrants (strike price $1.25/share, expires |
|||
7/31/09) (b)(i)* |
75,000 |
- |
|
Series A-2 Preferred, Warrants (strike price $1.25/share, expires |
|||
12/27/10) (b)(i)* |
45,000 |
- |
|
Cylex, Inc.: |
|
||
Common Stock (b)(i)* |
285,706 |
- |
|
Series B Preferred (b)(i)* |
1,134,830 |
162,526 |
|
Series C-1 Preferred (b)(i)* |
2,542,915 |
897,140 |
|
Digital Directions International, Inc., Warrants (strike price |
|||
$1.50/share, expires 10/18/16) (b)(i)* |
50,000 |
- |
|
Earthanol, Inc., Series A Preferred (b)(i)* |
213,527 |
152,672 |
|
Global Resource Options, Inc., Series A Preferred (a)(b)(i)* |
750,000 |
750,000 |
|
H2Gen Innovations, Inc.: |
|
||
Common Stock (b)(i)* |
2,077 |
- |
|
Common Warrants (strike price $1.00/share, expires |
|||
10/31/13) (b)(i)* |
27,025 |
- |
|
Series A Preferred (b)(i)* |
69,033 |
111,143 |
|
Series A Preferred, Warrants (strike price $1.00/share, expires |
|||
10/10/12) (b)(i)* |
1,104 |
673 |
|
Series B Preferred (b)(i)* |
161,759 |
260,432 |
|
Series C Preferred (b)(i)* |
36,984 |
59,544 |
|
Marrone Organic Innovations, Inc., Series A Preferred (b)(i)* |
240,761 |
200,000 |
|
Sword Diagnostics, Series B Preferred (b)(i)* |
640,697 |
250,000 |
|
3,866,043 |
|||
|
|||
|
|||
Total Equity Securities (Cost $959,018,573) |
1,336,233,793 |
||
|
|||
Adjusted |
|||
Limited Partnership Interest - 0.1% |
Basis |
Value |
|
China Environment Fund 2004 (b)(i)* |
$84,416 |
$55,763 |
|
SEAF India International Growth Fund LLC (b)(i)* |
338,932 |
324,045 |
|
Sustainable Job Fund II (b)(i)* |
225,000 |
199,040 |
|
|
|||
|
|||
Total Limited Partnership Interest (Cost $648,348) |
578,848 |
||
|
|||
Principal |
|||
Corporate Bonds - 0.0% |
Amount |
||
20/20 Gene Systems Inc., 8.00%, 12/31/07 (b)(i)(w) |
200,000 |
50,000 |
|
Digital Directions International, Inc., 8.00%, 10/18/09 (b)(i) |
500,000 |
500,000 |
|
|
|||
Total Corporate Bonds (Cost $700,000) |
550,000 |
||
|
|||
High Social Impact Investments - 0.5% |
|
||
Calvert Social Investment Foundation Notes, |
|||
3.00%, 7/1/09 (b)(i)(r) |
|
7,583,877 |
7,411,572 |
|
|||
Total High Social Impact Investments (Cost $7,583,877) |
7,411,572 |
||
|
|||
U.S. Government Agencies |
|||
and Instrumentalities - 2.4% |
|
||
Federal Home Loan Bank Discount Notes, 10/1/07 |
33,400,000 |
33,400,000 |
|
|
|||
Total U.S. Government Agencies and Instrumentalities (Cost $33,400,000) |
33,400,000 |
||
|
|||
TOTAL INVESTMENTS (Cost $1,001,350,798) - 99.9% |
1,378,174,213 |
||
Other assets and liabilities, net - 0.1% |
977,675 |
||
Net Assets - 100% |
$1,379,151,888 |
||
Net Assets Consist of: |
|
||
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: |
|
||
Class A: 24,380,466 shares outstanding |
$674,668,925 |
||
Class B: 2,345,794 shares outstanding |
58,774,471 |
||
Class C: 3,452,553 shares outstanding |
88,252,589 |
||
Class I: 3,990,982 shares outstanding |
125,402,227 |
||
Accumulated net realized gain (loss) on investments |
55,230,261 |
||
Net unrealized appreciation (depreciation) on investments |
376,823,415 |
||
Net Assets |
$1,379,151,888 |
||
Net Asset Value per Share |
|
||
Class A (based on net assets of $1,000,991,728) |
$41.06 |
||
Class B (based on net assets of $87,476,201) |
$37.29 |
||
Class C (based on net assets of $119,917,044) |
$34.73 |
||
Class I (based on net assets of $170,766,915) |
$42.79 |
See notes to statements of net assets and notes to financial statements.
Enhanced Equity Portfolio
Statement of Net Assets
September 30, 2007
Equity Securities - 99.2% |
Shares |
Value |
||
Aerospace & Defense - 0.4% |
||||
BE Aerospace, Inc.* |
|
10,400 |
$431,912 |
|
Spirit Aerosystems Holdings, Inc.* |
400 |
15,576 |
||
447,488 |
||||
Air Freight & Logistics - 2.5% |
||||
FedEx Corp. |
6,500 |
680,875 |
||
United Parcel Service Inc., Class B |
|
26,200 |
1,967,620 |
|
2,648,495 |
||||
Airlines - 0.5% |
||||
UAL Corp.* |
|
10,500 |
488,565 |
|
Auto Components - 0.3% |
||||
Autoliv, Inc. |
|
2,100 |
125,475 |
|
TRW Automotive Holdings Corp.* |
7,400 |
234,432 |
||
359,907 |
||||
Beverages - 1.3% |
||||
PepsiCo, Inc. |
|
18,600 |
1,362,636 |
|
Biotechnology - 1.1% |
||||
Gilead Sciences, Inc.* |
27,300 |
1,115,751 |
||
Vertex Pharmaceuticals, Inc.* |
1,500 |
57,615 |
||
1,173,366 |
||||
Capital Markets - 2.1% |
||||
Eaton Vance Corp. |
1,900 |
75,924 |
||
Goldman Sachs Group, Inc. |
10,040 |
2,176,070 |
||
2,251,994 |
||||
Chemicals - 0.2% |
||||
Lubrizol Corp. |
3,200 |
208,192 |
||
Commercial Banks - 3.6% |
||||
US Bancorp |
|
37,000 |
1,203,610 |
|
Wachovia Corp. |
|
37,800 |
1,895,670 |
|
Wells Fargo & Co. |
|
22,000 |
783,640 |
|
3,882,920 |
||||
Communications Equipment - 3.4% |
||||
Cisco Systems, Inc.* |
86,800 |
2,873,948 |
||
CommScope, Inc.* |
|
13,600 |
683,264 |
|
Motorola, Inc. |
1,800 |
33,354 |
||
QUALCOMM, Inc. |
|
600 |
25,356 |
|
|
3,615,922 |
|||
Equity Securities - Cont'd |
Shares |
Value |
||
Computers & Peripherals - 5.3% |
||||
Apple, Inc.* |
|
4,330 |
$664,828 |
|
Dell, Inc.* |
|
27,300 |
753,480 |
|
Hewlett-Packard Co. |
|
31,400 |
1,563,406 |
|
International Business Machines Corp. |
|
23,100 |
2,721,180 |
|
5,702,894 |
||||
Consumer Finance - 1.1% |
||||
American Express Co. |
|
19,500 |
1,157,715 |
|
Containers & Packaging - 0.2% |
||||
Bemis Co., Inc. |
|
9,000 |
261,990 |
|
Sealed Air Corp. |
300 |
7,668 |
||
|
269,658 |
|||
Diversified Financial Services - 5.9% |
||||
Bank of America Corp. |
|
61,679 |
3,100,603 |
|
CIT Group, Inc. |
|
22,300 |
896,460 |
|
JPMorgan Chase & Co. |
|
50,084 |
2,294,849 |
|
6,291,912 |
||||
Diversified Telecommunication Services - 3.2% |
||||
AT&T, Inc. |
|
79,938 |
3,382,177 |
|
Electric Utilities - 0.7% |
||||
Cleco Corp. |
|
15,800 |
399,266 |
|
IDACORP, Inc. |
|
12,400 |
405,976 |
|
|
805,242 |
|||
Electronic Equipment & Instruments - 1.6% |
||||
Avnet, Inc.* |
|
25,800 |
1,028,388 |
|
AVX Corp. |
|
40,000 |
644,000 |
|
1,672,388 |
||||
Energy Equipment & Services - 2.7% |
||||
Grant Prideco, Inc.* |
|
23,600 |
1,286,672 |
|
Smith International, Inc. |
|
5,900 |
421,260 |
|
Superior Energy Services, Inc* |
20,600 |
730,064 |
||
Tidewater, Inc. |
7,200 |
452,448 |
||
Unit Corp.* |
200 |
9,680 |
||
2,900,124 |
||||
Food & Staples Retailing - 0.1% |
||||
CVS Caremark Corp. |
|
2,061 |
81,677 |
|
Food Products - 2.4% |
||||
General Mills, Inc. |
27,200 |
1,577,872 |
||
H.J. Heinz Co. |
|
1,400 |
64,680 |
|
Kellogg Co. |
|
16,600 |
929,600 |
|
2,572,152 |
||||
Gas Utilities - 1.4% |
||||
Questar Corp. |
|
29,400 |
1,544,382 |
|
Equity Securities - Cont'd |
Shares |
Value |
||
Health Care Equipment & Supplies - 0.5% |
||||
Intuitive Surgical, Inc.* |
400 |
$92,000 |
||
Kinetic Concepts, Inc.* |
6,700 |
377,076 |
||
Medtronic, Inc. |
|
500 |
28,205 |
|
497,281 |
||||
Health Care Providers & Services - 8.0% |
||||
AmerisourceBergen Corp. |
|
21,500 |
974,595 |
|
Cardinal Health, Inc. |
25,050 |
1,566,377 |
||
Cigna Corp. |
27,800 |
1,481,462 |
||
Express Scripts Inc.* |
31,900 |
1,780,658 |
||
McKesson Corp. |
28,900 |
1,699,031 |
||
WellCare Health Plans, Inc.* |
|
10,700 |
1,128,101 |
|
8,630,224 |
||||
Hotels, Restaurants & Leisure - 0.7% |
||||
Darden Restaurants, Inc. |
19,300 |
807,898 |
||
Household Durables - 1.3% |
||||
Whirlpool Corp. |
|
15,300 |
1,363,230 |
|
Household Products - 3.9% |
||||
Colgate-Palmolive Co. |
8,800 |
627,616 |
||
Kimberly-Clark Corp. |
11,000 |
772,860 |
||
Procter & Gamble Co. |
39,137 |
2,752,897 |
||
4,153,373 |
||||
Industrial Conglomerates - 2.0% |
||||
3M Co. |
22,400 |
2,096,192 |
||
Insurance - 5.0% |
||||
ACE Ltd. |
6,200 |
375,534 |
||
American International Group, Inc. |
|
21,000 |
1,420,650 |
|
American Physicians Capital, Inc. |
500 |
19,480 |
||
Chubb Corp. |
15,800 |
847,512 |
||
Hartford Financial Services Group, Inc. |
|
5,400 |
499,770 |
|
Lincoln National Corp. |
|
4,900 |
323,253 |
|
Phoenix Co's, Inc. |
2,000 |
28,220 |
||
Prudential Financial, Inc. |
400 |
39,032 |
||
The Travelers Co's, Inc. |
|
34,600 |
1,741,764 |
|
XL Capital Ltd. |
800 |
63,360 |
||
|
5,358,575 |
|||
Internet & Catalog Retail - 0.8% |
||||
Amazon.Com, Inc.* |
|
7,340 |
683,721 |
|
Gaiam, Inc.* |
|
5,500 |
132,165 |
|
815,886 |
||||
Internet Software & Services - 0.9% |
||||
Google, Inc.* |
|
1,800 |
1,021,086 |
|
Equity Securities - Cont'd |
Shares |
Value |
||
IT Services - 1.8% |
||||
Acxiom Corp. |
6,100 |
$120,719 |
||
Automatic Data Processing, Inc. |
19,200 |
881,856 |
||
Mastercard, Inc. |
1,900 |
281,143 |
||
Western Union Co. |
32,300 |
677,331 |
||
1,961,049 |
||||
Machinery - 6.8% |
||||
Cummins, Inc. |
12,900 |
1,649,781 |
||
Danaher Corp. |
15,900 |
1,315,089 |
||
Illinois Tool Works, Inc. |
20,040 |
1,195,186 |
||
Parker Hannifin Corp. |
12,700 |
1,420,241 |
||
Terex Corp.* |
18,700 |
1,664,674 |
||
7,244,971 |
||||
Media - 4.0% |
||||
Cox Radio, Inc.* |
|
2,300 |
30,015 |
|
Gray Television, Inc. |
|
4,700 |
39,903 |
|
Liberty Global, Inc.* |
100 |
4,102 |
||
McGraw-Hill Co.'s, Inc. |
25,600 |
1,303,296 |
||
Omnicom Group, Inc. |
10,600 |
509,754 |
||
Time Warner, Inc. |
106,700 |
1,959,012 |
||
Warner Music Group Corp. |
41,500 |
419,150 |
||
XM Satellite Radio Holdings, Inc.* |
2,200 |
31,174 |
||
4,296,406 |
||||
Metals & Mining - 1.2% |
||||
Reliance Steel & Aluminum Co. |
23,600 |
1,334,344 |
||
Multiline Retail - 0.4% |
||||
Dollar Tree Stores, Inc.* |
|
8,000 |
324,320 |
|
Target Corp. |
|
1,800 |
114,426 |
|
438,746 |
||||
Multi-Utilities - 3.0% |
||||
Black Hills Corp. |
|
23,300 |
955,766 |
|
MDU Resources Group, Inc. |
|
43,100 |
1,199,904 |
|
NiSource, Inc. |
|
56,900 |
1,089,066 |
|
OGE Energy Corp. |
700 |
23,170 |
||
3,267,906 |
||||
Office Electronics - 0.1% |
||||
Xerox Corp.* |
|
4,300 |
74,562 |
|
Oil, Gas & Consumable Fuels - 4.9% |
||||
Cheniere Energy, Inc.* |
|
6,500 |
254,605 |
|
Chesapeake Energy Corp. |
47,900 |
1,688,954 |
||
EOG Resources, Inc. |
|
20,600 |
1,489,998 |
|
Overseas Shipholding Group, Inc. |
40 |
3,073 |
||
Spectra Energy Corp. |
7,900 |
193,392 |
||
St Mary Land & Exploration Co. |
2,100 |
74,907 |
||
World Fuel Services Corp. |
11,100 |
452,991 |
||
XTO Energy, Inc. |
|
17,942 |
1,109,533 |
|
|
5,267,453 |
|||
Equity Securities - Cont'd |
Shares |
Value |
||
Pharmaceuticals - 4.1% |
||||
Johnson & Johnson |
|
30,400 |
$1,997,280 |
|
Pfizer, Inc. |
|
96,300 |
2,352,609 |
|
4,349,889 |
||||
Real Estate Investment Trusts - 0.1% |
||||
HRPT Properties Trust |
6,500 |
64,285 |
||
Road & Rail - 0.3% |
||||
Avis Budget Group, Inc.* |
16,600 |
379,974 |
||
Semiconductors & Semiconductor Equipment - 2.6% |
||||
Applied Materials, Inc. |
|
3,900 |
80,730 |
|
Intel Corp. |
|
80,400 |
2,079,144 |
|
Lam Research Corp.* |
9,500 |
505,970 |
||
Micron Technology, Inc.* |
|
2,800 |
31,080 |
|
Photronics, Inc.* |
10,900 |
124,369 |
||
2,821,293 |
||||
Software - 3.1% |
||||
Microsoft Corp. |
112,300 |
3,308,358 |
||
Specialty Retail - 2.5% |
||||
Gap, Inc. |
|
14,725 |
271,529 |
|
Home Depot, Inc. |
55,100 |
1,787,444 |
||
Lowe's Co.'s, Inc. |
|
3,000 |
84,060 |
|
Staples, Inc. |
|
26,950 |
579,155 |
|
2,722,188 |
||||
Textiles, Apparel & Luxury Goods - 0.9% |
||||
CROCS, Inc.* |
14,100 |
948,225 |
||
Thrifts & Mortgage Finance - 0.2% |
||||
Freddie Mac |
|
1,300 |
76,713 |
|
Washington Mutual, Inc. |
|
4,125 |
145,654 |
|
222,367 |
||||
Wireless Telecommunication Services - 0.1% |
||||
Centennial Communications Corp.* |
12,100 |
122,452 |
||
Total Equity Securities (Cost $94,414,471) |
106,388,019 |
|||
TOTAL INVESTMENTS (Cost $94,414,471) - 99.2% |
106,388,019 |
|||
Other assets and liabilities, net - 0.8% |
829,478 |
|||
Net Assets - 100% |
$107,217,497 |
|||
Net Assets Consist of: |
|
|||
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: |
|
|||
Class A: 3,182,745 shares outstanding |
$51,424,158 |
|||
Class B: 387,684 shares outstanding |
5,549,225 |
|||
Class C: 536,091 shares outstanding |
8,824,464 |
|||
Class I: 1,193,245 shares outstanding |
23,592,779 |
|||
Undistributed net investment income |
478,707 |
|||
Accumulated net realized gain (loss) on investments |
5,374,616 |
|||
Net unrealized appreciation (depreciation) on investments |
11,973,548 |
|||
Net Assets |
$107,217,497 |
|||
Net Asset Value Per Share |
||||
Class A (based on net assets of $65,209,295) |
$20.49 |
|||
Class B (based on net assets of $7,256,761) |
$18.72 |
|||
Class C (based on net assets of $10,088,891) |
$18.82 |
|||
Class I (based on net assets of $24,662,550) |
$20.67 |
See notes to statements of net assets and notes to financial statements.
Notes to Statements of Net Assets
(a) Affiliated company.
(b) This security was valued by the Board of Trustees. See note A.
(c) Colson Services Corporation is the collection and transfer agent for certain U.S. Government guaranteed variable rate loans. Each depository receipt pertains to a set, grouped by interest rate, of these loans.
(e) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(f) Interest payments have been deferred per conditions of the Supplemental Indenture until October 31, 2007. At September 30, 2007 accumulated deferred interest totaled $1,252,126 and includes interest accrued since and due on October 1, 2003. During the period, the Balanced Portfolio stopped accruing interest on this security. Subsequent to period end, the conditions of the Supplemental Indenture have been extended.
(h) Represents rate in effect at September 30, 2007, after regularly scheduled adjustments on such date. Interest rates adjust generally at the beginning of the month, calendar quarter, or semiannually based on prime plus contracted adjustments. As of September 30, 2007, the prime rate was 7.75%.
(i) Restricted securities represent 2.7% of the net assets for Balanced Portfolio, 0.3% for Bond Portfolio, and 0.9% for Equity Portfolio.
(k) These certificates of deposit are fully insured by agencies of the federal government.
(m) The Illinois Insurance Department prohibited Lumbermens from making interest payments. This security is no longer accruing interest.
(n) The Illinois Insurance Department prohibited Lumbermens from making interest payments. This TIERS security is based on interest payments from Lumbermens. This security is no longer accruing interest.
(p) The State of New York Insurance Department has prohibited Atlantic Mutual Insurance Co. from making interest payments due in August of 2006, February 2007 and August of 2007. This security is no longer accruing interest. During the period $194,292 and $148,172 was written off in the Balanced and Bond Portfolios, respectively.
(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.
(s) 45,000 shares of Bank of America Corp. held by the Balanced Portfolio have been soft segregated in order to cover outstanding commitments to certain limited partnership investments within the Portfolio. There are no restrictions on the trading of this security.
(t) 35,000 shares of EOG Resources, Inc. held by the Equity Portfolio have been soft segregated in order to cover outstanding commitments to certain limited partnership investments within the Portfolio. There are no restrictions on the trading of this security.
(x) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. As a result, the value of the bonds was marked down to $0. $3,914 and $4,893 of accrued interest was written off for Balanced and Bond, respectively.
(y) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. As a result, the value of the bonds was marked down to $0 and $2,572 of accrued interest written off.
(w) Security is in default and is no longer accruing interest.
* Non-income producing security.
See notes to financial statements.
Explanation of Guarantees: |
Abbreviations: |
BPA: Bond Purchase Agreement |
ADR: American Depositary Receipt |
CA: Collateral Agreement |
AMBAC: American Municipal Bond Assurance Corp. |
C/LOC: Confirming Letter of Credit |
COPs: Certificates of Participation |
LOC: Letter of Credit |
FGIC: Financial Guaranty Insurance Company |
FHLB: Federal Home Loan Bank |
|
FSB: Federal Savings Bank |
|
GO: General Obligation |
|
IDA: Industrial Development Authority |
|
LLC: Limited Liability Corporation |
|
LP: Limited Partnership |
|
PO: Pension obligation |
|
MBIA: Municipal Bond Insurance Association |
|
MFH: Multi-Family Housing |
|
REIT: Real Estate Investment Trust |
|
SO: Special Obligation |
|
SPI: Securities Purchase, Inc. |
|
STEP: Stepped coupon bond for which the coupon rate of interest will adjust on specified future date |
See notes to financial statements.
Balanced Portfolio |
||||
Restricted Securities |
Acquisition Dates |
Cost |
||
Agraquest, Inc., Series B Preferred |
02/26/97 |
$200,001 |
||
Agraquest, Inc., Series C Preferred |
03/11/98 |
200,000 |
||
Agraquest, Inc., Series H Preferred |
05/25/05 - 01/11/07 |
316,894 |
||
Angels With Attitude LLC |
08/28/00 - 04/30/03 |
200,000 |
||
Calvert Social Investment Foundation Notes |
|
07/02/07 |
5,016,666 |
|
CFBanc Corp. |
03/14/03 |
270,000 |
||
CitySoft Note I |
09/04/07 |
297,877 |
||
CitySoft Note II |
09/04/07 |
32,500 |
||
CitySoft Note III |
09/04/07 |
25,000 |
||
CitySoft Note IV |
09/04/07 |
25,000 |
||
City Soft, Inc., Warrants: |
|
|||
(strike price $0.21/share, expires 05/31/12) |
11/22/02 |
- |
||
(strike price $0.01/share, expires 10/15/12) |
|
05/04/04 |
- |
|
(strike price $0.01/share, expires 10/15/12) |
11/22/02 |
- |
||
(strike price $0.14/share, expires 10/15/12) |
11/22/02 |
- |
||
(strike price $0.28/share, expires 10/15/12) |
11/22/02 |
- |
||
(strike price $0.01/share, expires 02/28/13) |
04/11/03 |
- |
||
(strike price $0.14/share, expires 02/28/13) |
04/11/03 |
- |
||
(strike price $0.28/share, expires 02/28/13) |
04/11/03 |
- |
||
(strike price $0.01/share, expires 05/31/13) |
07/15/03 |
- |
||
(strike price $0.14/share, expires 05/31/13) |
07/15/03 |
- |
||
(strike price $0.28/share, expires 05/31/13) |
07/15/03 |
- |
||
(strike price $0.01/share, expires 08/31/13) |
|
09/09/03 |
- |
|
(strike price $0.14/share, expires 08/31/13) |
09/09/03 |
- |
||
(strike price $0.28/share, expires 08/31/13) |
09/09/03 |
- |
||
(strike price $0.01/share, expires 09/4/13) |
03/11/05 |
- |
||
(strike price $0.01/share, expires 09/4/13) |
09/09/03 |
- |
||
(strike price $0.01/share, expires 09/4/13) |
05/04/04 |
- |
||
(strike price $0.14/share, expires 09/4/13) |
09/09/03 |
- |
||
(strike price $0.28/share, expires 09/4/13) |
09/09/03 |
- |
||
(strike price $0.01/share, expires 11/30/13) |
01/16/04 |
- |
||
(strike price $0.14/share, expires 11/30/13) |
|
01/16/04 |
- |
|
(strike price $0.28/share, expires 11/30/13) |
01/16/04 |
- |
||
(strike price $0.01/share, expires 4/21/14) |
03/11/05 |
- |
||
Coastal Venture Partners |
06/07/96 - 06/22/00 |
161,687 |
||
Commons Capital |
02/15/01 - 05/14/07 |
400,398 |
||
Environmental Private Equity Fund II |
04/26/07 |
18,422 |
||
First Analysis Private Equity Fund IV |
02/25/02 - 09/06/07 |
520,660 |
||
GEEMF Partners |
02/28/97 |
- |
||
Global Environment Emerging Markets Fund |
01/14/94 - 12/01/95 |
- |
||
H2Gen Innovations Common Stock |
11/04/04 |
- |
||
H2Gen Innovations Common Warrants |
11/06/03 - 02/02/04 |
- |
||
H2Gen Innovations, Inc., Series A Preferred |
11/04/04 |
251,496 |
||
H2Gen Innovations, Inc., Series A Preferred, Warrants |
11/07/02 |
- |
||
H2Gen Innovations, Inc., Series B Preferred |
|
11/06/03 - 10/21/04 |
161,759 |
|
H2Gen Innovations, Inc., Series C Preferred |
06/1/06 |
52,886 |
||
Hayes Medical Common Stock |
02/10/05 |
504,331 |
||
Hayes Medical Series A-1 Preferred Stock |
08/19/05 |
4,417 |
||
Hayes Medical Series B Preferred Stock |
02/10/06 |
139,576 |
||
Hayes Medical Series C Preferred Stock |
02/10/06 |
120,342 |
||
Balanced Portfolio |
||||
Restricted Securities (Cont'd) |
Acquisition Dates |
Cost |
||
Inflabloc |
12/29/03 |
$261,945 |
||
Infrastructure and Environmental Private Equity Fund III |
04/16/97 - 02/12/01 |
493,425 |
||
KDM Development Corp. |
11/03/99 |
742,414 |
||
Labrador Ventures III |
08/11/98 - 04/02/01 |
360,875 |
||
Labrador Ventures IV |
12/14/99 - 08/27/07 |
913,364 |
||
Micro Finance Bank of Azerbaijan |
08/29/07 |
500,000 |
||
Milepost Ventures |
05/27/98 - 04/23/02 |
500,000 |
||
Neighborhood Bancorp |
06/25/97 |
100,000 |
||
New Markets Growth Fund LLC |
01/08/03 - 07/18/07 |
225,646 |
||
Pharmadigm, Inc. |
07/05/96 - 06/18/97 |
238,055 |
||
Plethora Technology, Inc: |
||||
Common Warrants |
06/23/03-02/10/04 |
75,360 |
||
Series A Preferred |
04/29/05-05/13/05 |
701,835 |
||
Series A Preferred Warrants: |
||||
(expires 6/9/13) |
06/08/06 |
-- |
||
(expires 9/6/13) |
11/03/06 |
-- |
||
Plethora Technology, Inc., Note |
06/08/06 |
150,000 |
||
Promega Corporation Common Stock |
08/11/89 - 08/10/94 |
22,371 |
||
Rose Smart Growth Fund, Note |
04/10/06 |
1,000,000 |
||
Seventh Generation, Inc. |
04/12/00 - 05/06/03 |
230,500 |
||
SMARTTHINKING, Inc., Series 1-A, Convertible |
||||
Preferred |
04/22/03 - 05/27/05 |
159,398 |
||
SMARTTHINKING, Inc., Series 1-B, Convertible |
||||
Preferred |
06/10/03 |
250,000 |
||
SMARTTHINKING, Inc., Series 1-B Preferred |
||||
Warrants |
05/27/05 |
- |
||
Solstice Capital |
06/26/01 - 04/26/07 |
389,365 |
||
Utah Ventures |
11/17/97 - 02/05/03 |
867,581 |
||
Venture Strategy Partners |
08/21/98 - 02/26/03 |
206,058 |
||
Wild Planet Toys, Inc., Series B Preferred |
07/12/94 |
200,000 |
||
Wild Planet Toys, Inc., Series E Preferred |
04/09/98 |
180,725 |
||
Wind Harvest Co., Inc. Series A Preferred |
05/16/94 |
100,000 |
||
Equity Portfolio |
||||
Restricted Securities |
Acquisition Dates |
Cost |
||
20/20 Gene Systems, Inc.: |
|
|||
Note |
8/29/03 |
$200,000 |
||
Warrants |
8/29/03 |
14,700 |
||
Calvert Social Investment Foundation Notes |
7/3/06 |
7,583,877 |
||
Cerionx, Inc.: |
|
|||
Series A Preferred |
6/30/06-1/30/07 |
714,384 |
||
Series A Preferred Warrants |
6/30/06-1/30/07 |
285,616 |
||
Chesapeake PERL, Inc.: |
|
|||
Series A-2 Preferred |
7/30/04 -9/8/06 |
300,000 |
||
Series A-2 Preferred Warrants (expires 7/31/09) |
12/22/06 |
- |
||
Series A-2 Preferred Warrants (expires 12/27/10) |
12/22/06 |
- |
||
China Environment Fund 2004 LP |
9/15/05-7/17/07 |
84,416 |
||
Cylex, Inc.: |
|
|||
Common Stock |
11/22/06 |
16,382 |
||
Series B Preferred |
11/30/06 |
547,525 |
||
Series C-1 Preferred |
11/30/06 |
471,342 |
||
Digital Directions International, Inc.: |
|
|||
Note |
10/18/06 |
500,000 |
||
Warrants |
10/18/06 |
- |
||
Earthanol, Inc., Series A Preferred |
1/25/07 |
152,672 |
||
Global Resource Options, Inc., Series A Preferred |
9/18/06 |
750,000 |
||
H2Gen Innovations, Inc.: |
|
|||
Common Stock |
11/4/04 |
- |
||
Common Warrants |
11/4/04 |
- |
||
Series A Preferred |
11/4/04 |
251,496 |
||
Series A Preferred Warrants |
11/4/04 |
- |
||
Series B Preferred |
10/21/04-10/27/04 |
161,759 |
||
Series C Preferred |
6/1/06 |
52,886 |
||
Marrone Organic Innovations, Inc., Series A Preferred Stock |
4/25/2007 |
200,000 |
||
SEAF India International Growth Fund LLC |
3/22/05-9/24/07 |
338,932 |
||
Sustainable Jobs Fund II LP |
2/14/06-8/6/07 |
225,000 |
||
Sword Diagnostics Series B Preferred |
12/26/06 |
250,000 |
||
|
||||
Bond Portfolio |
||||
Restricted Securities |
Acquisition Dates |
Cost |
||
Calvert Social Investment Foundation Notes |
07/03/06 |
$2,087,392 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2007
Money |
|||||
Market |
Balanced |
Bond |
|||
Net Investment Income |
Portfolio |
Portfolio |
Portfolio |
||
Investment Income: |
|||||
Interest income |
$9,599,682 |
$12,473,107 |
$29,387,990 |
||
Dividend income (net of foreign taxes withheld of $0, $0, and $288, respectively) |
-- |
6,442,781 |
623,762 |
||
Total investment income |
9,599,682 |
18,915,888 |
30,011,752 |
||
Expenses: |
|||||
Investment advisory fee |
539,838 |
2,542,986 |
1,903,964 |
||
Transfer agency fees and expenses |
395,503 |
1,038,044 |
862,730 |
||
Administrative fees |
359,892 |
1,651,089 |
1,403,909 |
||
Distribution Plan expenses: |
|||||
Class A |
-- |
1,277,640 |
763,555 |
||
Class B |
-- |
265,446 |
161,446 |
||
Class C |
-- |
293,783 |
320,376 |
||
Trustees' fees and expenses |
20,905 |
70,228 |
65,046 |
||
Custodian fees |
16,853 |
137,634 |
111,849 |
||
Registration fees |
24,604 |
46,114 |
69,568 |
||
Reports to shareholders |
32,330 |
152,489 |
106,929 |
||
Professional fees |
24,541 |
39,252 |
37,209 |
||
Miscellaneous |
58,797 |
186,665 |
30,107 |
||
Total expenses |
1,473,263 |
7,701,370 |
5,836,688 |
||
Reimbursement from Advisor: |
|||||
Class I |
-- |
(3,248) |
-- |
||
Fees paid indirectly |
(31,248) |
(47,083) |
(64,855) |
||
Net expenses |
1,442,015 |
7,651,039 |
5,771,833 |
||
Net Investment Income |
8,157,667 |
11,264,849 |
24,239,919 |
||
Realized and Unrealized Gain (Loss) |
|||||
Net realized gain (loss) on: |
|||||
Investments |
(3,628) |
34,121,106 |
726,072 |
||
Foreign currency transactions |
-- |
(79) |
(72) |
||
Futures |
-- |
2,909,778 |
8,610,402 |
||
(3,628) |
37,030,805 |
9,336,402 |
|||
Change in unrealized appreciation or |
|||||
(depreciation) on: |
|||||
Investments |
-- |
(116,017) |
(5,078,166) |
||
Foreign currency transactions |
-- |
(17) |
(24) |
||
Futures |
-- |
245,728 |
739,051 |
||
-- |
129,694 |
(4,339,139) |
|||
Net Realized and Unrealized |
|||||
Gain (Loss) on Investments |
(3,628) |
37,160,499 |
4,997,263 |
||
Increase (Decrease) in Net Assets |
|||||
Resulting From Operations |
$8,154,039 |
$48,425,348 |
$29,237,182 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2007
Enhanced |
||||
Equity |
Equity |
|||
Net Investment Income |
Portfolio |
Portfolio |
||
Investment Income: |
||||
Interest income |
$2,338,615 |
$38,556 |
||
Dividend income (net of foreign taxes withheld of $69,299 and $0, respectively) |
13,401,652 |
1,799,054 |
||
Total investment income |
15,740,267 |
1,837,610 |
||
Expenses: |
||||
Investment advisory fee |
6,574,688 |
592,936 |
||
Transfer agency fees and expenses |
2,407,929 |
180,073 |
||
Administrative fees |
2,475,638 |
139,753 |
||
Distribution Plan expenses: |
||||
Class A |
2,383,271 |
161,381 |
||
Class B |
923,853 |
80,515 |
||
Class C |
1,150,063 |
92,560 |
||
Trustees' fees and expenses |
153,236 |
11,697 |
||
Custodian fees |
118,424 |
36,365 |
||
Registration fees |
57,616 |
41,640 |
||
Reports to shareholders |
324,860 |
28,986 |
||
Professional fees |
62,567 |
20,668 |
||
Miscellaneous |
120,319 |
6,953 |
||
Total expenses |
16,752,464 |
1,393,527 |
||
Fees waived |
-- |
(98,823) |
||
Fees paid indirectly |
(82,352) |
(26,150) |
||
Net expenses |
16,670,112 |
1,268,554 |
||
Net Investment Income (Loss) |
(929,845) |
569,056 |
||
Realized and Unrealized |
||||
Gain (Loss) on Investments |
||||
Net realized gain (loss) |
64,505,738 |
6,031,108 |
||
Change in unrealized appreciation or (depreciation) |
122,521,104 |
910,758 |
||
Net Realized and Unrealized |
||||
Gain (Loss) on Investments |
187,026,842 |
6,941,866 |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
$186,096,997 |
$7,510,922 |
See notes to financial statements.
Money Market Portfolio
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income |
$8,157,667 |
$6,414,967 |
||
Net realized gain (loss) |
(3,628) |
(1,406) |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
8,154,039 |
6,413,561 |
||
Distributions to shareholders from |
||||
Net investment income |
(8,156,172) |
(6,408,722) |
||
Capital share transactions: |
||||
Shares sold |
151,766,552 |
140,614,162 |
||
Reinvestment of distributions |
7,994,721 |
6,267,054 |
||
Shares redeemed |
(139,141,232) |
(140,511,863) |
||
Total capital share transactions |
20,620,041 |
6,369,353 |
||
Total Increase (Decrease) in Net Assets |
20,617,908 |
6,374,192 |
||
Net Assets |
||||
Beginning of year |
166,592,030 |
160,217,838 |
||
End of year (including undistributed net investment income of $16,647 and $15,152, respectively) |
$187,209,938 |
$166,592,030 |
||
Capital Share Activity |
||||
Shares sold |
151,764,804 |
140,612,935 |
||
Reinvestment of distributions |
7,994,721 |
6,267,054 |
||
Shares redeemed |
(139,141,232) |
(140,511,863) |
||
Total capital share activity |
20,618,293 |
6,368,126 |
See notes to financial statements.
Balanced Portfolio
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income |
$11,264,849 |
$10,510,878 |
||
Net realized gain (loss) |
37,030,805 |
25,741,963 |
||
Change in net unrealized appreciation or (depreciation) |
129,694 |
(3,466,180) |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
48,425,348 |
32,786,661 |
||
Distributions to shareholders from: |
||||
Net investment income: |
||||
Class A Shares |
(10,026,373) |
(8,257,102) |
||
Class B Shares |
(241,211) |
(179,289) |
||
Class C Shares |
(286,774) |
(178,850) |
||
Class I Shares |
(172,753) |
(52,154) |
||
Total distributions |
(10,727,111) |
(8,667,395) |
||
Capital share transactions: |
||||
Shares sold: |
||||
Class A Shares |
47,184,100 |
41,010,513 |
||
Class B Shares |
2,512,399 |
3,431,432 |
||
Class C Shares |
5,480,044 |
4,654,174 |
||
Class I Shares |
3,151,736 |
5,179,485 |
||
Reinvestment of distributions: |
||||
Class A Shares |
9,309,912 |
7,678,407 |
||
Class B Shares |
214,017 |
157,471 |
||
Class C Shares |
228,968 |
141,219 |
||
Class I Shares |
172,753 |
52,154 |
||
Redemption Fees: |
||||
Class A Shares |
1,603 |
6,064 |
||
Class B Shares |
725 |
1,045 |
||
Class C Shares |
210 |
76 |
||
Shares redeemed: |
||||
Class A Shares |
(73,292,229) |
(62,377,817) |
||
Class B Shares |
(7,476,918) |
(5,539,048) |
||
Class C Shares |
(4,722,575) |
(4,317,171) |
||
Class I Shares |
(1,384,988) |
(212,693) |
||
Total capital share transactions |
(18,620,243) |
(10,134,689) |
||
Total Increase (Decrease) in Net Assets |
19,077,994 |
13,984,577 |
||
Net Assets |
||||
Beginning of year |
587,409,012 |
573,424,435 |
||
End of year (including distributions in excess of net investment income of $617,630 and $330,182, respectively) |
$606,487,006 |
$587,409,012 |
See notes to financial statements.
Balanced Portfolio
Statements of Changes in Net Assets
Balanced Portfolio (Cont'd)
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Capital Share Activity |
2007 |
2006 |
||
Shares sold: |
||||
Class A Shares |
1,525,141 |
1,429,297 |
||
Class B Shares |
82,329 |
120,224 |
||
Class C Shares |
181,461 |
164,769 |
||
Class I Shares |
101,842 |
182,645 |
||
Reinvestment of distributions: |
||||
Class A Shares |
301,086 |
265,723 |
||
Class B Shares |
6,979 |
5,477 |
||
Class C Shares |
7,536 |
4,961 |
||
Class I Shares |
5,530 |
1,775 |
||
Shares redeemed: |
||||
Class A Shares |
(2,374,341) |
(2,175,021) |
||
Class B Shares |
(244,616) |
(194,190) |
||
Class C Shares |
(156,467) |
(152,953) |
||
Class I Shares |
(44,394) |
(7,399) |
||
Total capital share activity |
(607,914) |
(354,692) |
See notes to financial statements.
Bond Portfolio
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income |
$24,239,919 |
$15,715,113 |
||
Net realized gain (loss) |
9,336,402 |
962,455 |
||
Change in net unrealized appreciation or (depreciation) |
(4,339,139) |
(746,197) |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
29,237,182 |
15,931,371 |
||
Distributions to shareholders from: |
||||
Net investment income: |
||||
Class A Shares |
(17,025,159) |
(11,961,983) |
||
Class B Shares |
(559,913) |
(566,638) |
||
Class C Shares |
(1,169,580) |
(736,469) |
||
Class I Shares |
(5,756,054) |
(2,419,730) |
||
Net realized gain: |
||||
Class A Shares |
(667,424) |
(4,707,247) |
||
Class B Shares |
(32,600) |
(343,184) |
||
Class C Shares |
(57,797) |
(373,442) |
||
Class I shares |
(163,580) |
(630,977) |
||
Total distributions |
(25,432,107) |
(21,739,670) |
||
Capital share transactions: |
||||
Shares sold: |
||||
Class A Shares |
180,170,412 |
152,030,120 |
||
Class B Shares |
1,974,132 |
2,799,182 |
||
Class C Shares |
14,129,761 |
12,331,016 |
||
Class I Shares |
83,464,510 |
51,898,733 |
||
Reinvestment of distributions: |
||||
Class A Shares |
14,764,203 |
14,226,137 |
||
Class B Shares |
474,380 |
720,575 |
||
Class C Shares |
814,541 |
763,125 |
||
Class I Shares |
5,765,220 |
2,555,650 |
||
Redemption Fees |
||||
Class A Shares |
8,869 |
10,563 |
||
Class B Shares |
785 |
108 |
||
Class C Shares |
2,209 |
1,044 |
||
Class I Shares |
309 |
-- |
||
Shares redeemed: |
||||
Class A Shares |
(80,422,930) |
(62,210,559) |
||
Class B Shares |
(4,841,837) |
(4,494,744) |
||
Class C Shares |
(6,385,184) |
(4,571,499) |
||
Class I Shares |
(12,018,240) |
(8,746,461) |
||
Total capital share transactions |
197,901,140 |
157,312,990 |
||
Total Increase (Decrease) In Net Assets |
201,706,215 |
151,504,691 |
||
Net Assets |
||||
Beginning of year |
456,013,749 |
304,509,058 |
||
End of year (including distributions in excess of net investment income and undistributed net investment income of $89,569 and $180,151, respectively) |
$657,719,964 |
$456,013,749 |
See notes to financial statements.
Bond Portfolio
Statements of Changes in Net Assets
Bond Portfolio (Cont'd)
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Capital Share Activity |
2007 |
2006 |
||
Shares sold: |
||||
Class A Shares |
11,381,810 |
9,641,342 |
||
Class B Shares |
125,249 |
178,026 |
||
Class C Shares |
897,077 |
788,743 |
||
Class I Shares |
5,268,922 |
3,297,475 |
||
Reinvestment of distributions: |
||||
Class A Shares |
933,706 |
904,327 |
||
Class B Shares |
30,149 |
45,966 |
||
Class C Shares |
51,791 |
48,763 |
||
Class I Shares |
364,267 |
162,618 |
||
Shares redeemed: |
||||
Class A Shares |
(5,079,397) |
(3,956,333) |
||
Class B Shares |
(307,492) |
(287,432) |
||
Class C Shares |
(405,702) |
(292,379) |
||
Class I Shares |
(759,046) |
(554,713) |
||
Total capital share activity |
12,501,334 |
9,976,403 |
See notes to financial statements.
Equity Portfolio
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income (loss) |
($929,845) |
($1,624,994) |
||
Net realized gain (loss) |
64,505,738 |
50,314,004 |
||
Change in net unrealized appreciation or (depreciation) |
122,521,104 |
31,258,382 |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
186,096,997 |
79,947,392 |
||
Distributions to shareholders from: |
||||
Net realized gain: |
||||
Class A Shares |
(38,799,889) |
(14,503,159) |
||
Class B Shares |
(4,360,424) |
(1,866,742) |
||
Class C Shares |
(5,458,634) |
(2,070,445) |
||
Class I shares |
(5,482,443) |
(2,211,269) |
||
Total distributions |
(54,101,390) |
(20,651,615) |
||
Capital share transactions: |
||||
Shares sold: |
||||
Class A Shares |
153,379,527 |
176,379,714 |
||
Class B Shares |
4,493,147 |
5,868,644 |
||
Class C Shares |
14,829,105 |
15,101,597 |
||
Class I Shares |
50,620,711 |
48,424,776 |
||
Reinvestment of distributions: |
||||
Class A Shares |
36,064,357 |
13,424,975 |
||
Class B Shares |
3,750,770 |
1,602,754 |
||
Class C Shares |
4,195,253 |
1,604,063 |
||
Class I Shares |
5,337,706 |
2,175,397 |
||
Redemption Fees: |
||||
Class A Shares |
8,714 |
11,367 |
||
Class B Shares |
536 |
172 |
||
Class C Shares |
889 |
298 |
||
Class I Shares |
6,754 |
254 |
||
Shares redeemed: |
||||
Class A Shares |
(192,225,795) |
(184,186,017) |
||
Class B Shares |
(24,601,005) |
(20,539,843) |
||
Class C Shares |
(18,523,999) |
(18,651,988) |
||
Class I Shares |
(66,696,147) |
(29,060,358) |
||
Total capital share transactions |
(29,359,477) |
12,155,805 |
||
Total Increase (Decrease) in Net Assets |
102,636,130 |
71,451,582 |
||
Net Assets |
||||
Beginning of year |
1,276,515,758 |
1,205,064,176 |
||
End of year |
$1,379,151,888 |
$1,276,515,758 |
See notes to financial statements.
Equity Portfolio
Statements of Changes in Net Assets
Equity Portfolio (Cont'd)
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Capital Share Activity |
2007 |
2006 |
||
Shares sold: |
||||
Class A Shares |
3,994,152 |
4,906,670 |
||
Class B Shares |
128,902 |
176,817 |
||
Class C Shares |
456,249 |
486,790 |
||
Class I Shares |
1,277,491 |
1,309,682 |
||
Reinvestment of distributions: |
||||
Class A Shares |
963,514 |
374,790 |
||
Class B Shares |
109,576 |
48,348 |
||
Class C Shares |
131,678 |
51,844 |
||
Class I Shares |
137,428 |
58,938 |
||
Shares redeemed: |
||||
Class A Shares |
(5,006,820) |
(5,127,682) |
||
Class B Shares |
(701,155) |
(619,939) |
||
Class C Shares |
(568,395) |
(603,149) |
||
Class I Shares |
(1,681,686) |
(784,029) |
||
Total capital share activity |
(759,066) |
279,080 |
See notes to financial statements.
Enhanced Equity Portfolio
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income |
$569,056 |
$286,847 |
||
Net realized gain (loss) |
6,031,108 |
3,979,468 |
||
Change in net unrealized appreciation or (depreciation) |
910,758 |
1,975,152 |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
7,510,922 |
6,241,467 |
||
Distributions to shareholders from: |
||||
Net investment income: |
||||
Class A Shares |
(290,471) |
(183,283) |
||
Class I Shares |
(59,529) |
(6,295) |
||
Net realized gain: |
||||
Class A Shares |
(2,482,645) |
(1,550,349) |
||
Class B Shares |
(367,558) |
(286,135) |
||
Class C Shares |
(372,440) |
(231,961) |
||
Class I shares |
(472,989) |
(55,983) |
||
Total distributions |
(4,045,632) |
(2,314,006) |
||
Capital share transactions: |
||||
Shares sold: |
||||
Class A Shares |
16,623,918 |
11,078,086 |
||
Class B Shares |
1,137,129 |
864,503 |
||
Class C Shares |
3,270,087 |
1,764,957 |
||
Class I Shares |
14,485,562 |
8,067,927 |
||
Reinvestment of distributions: |
||||
Class A Shares |
2,487,921 |
1,524,500 |
||
Class B Shares |
320,696 |
248,186 |
||
Class C Shares |
289,454 |
187,221 |
||
Class I Shares |
532,512 |
62,278 |
||
Redemption Fees: |
||||
Class A Shares |
398 |
1,443 |
||
Class B Shares |
794 |
7 |
||
Class C Shares |
18 |
2 |
||
Shares redeemed: |
||||
Class A Shares |
(14,312,489) |
(11,999,180) |
||
Class B Shares |
(2,605,946) |
(2,351,093) |
||
Class C Shares |
(1,566,334) |
(1,773,911) |
||
Class I Shares |
(398,360) |
(366,830) |
||
Total capital share transactions |
20,265,360 |
7,308,096 |
||
Total Increase (Decrease) in Net Assets |
23,730,650 |
11,235,557 |
||
Net Assets |
||||
Beginning of year |
83,486,847 |
72,251,290 |
||
End of year (including undistributed net investment income of $478,707, and $281,353, respectively) |
$107,217,497 |
$83,486,847 |
||
See notes to financial statements.
Enhanced Equity Portfolio (Cont'd) |
||||
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Capital Share Activity |
2007 |
2006 |
||
Shares sold: |
||||
Class A Shares |
821,690 |
584,574 |
||
Class B Shares |
60,870 |
49,541 |
||
Class C Shares |
174,698 |
100,316 |
||
Class I Shares |
708,917 |
426,755 |
||
Reinvestment of distributions: |
||||
Class A Shares |
124,641 |
81,311 |
||
Class B Shares |
17,543 |
14,305 |
||
Class C Shares |
15,766 |
10,748 |
||
Class I Shares |
26,530 |
3,320 |
||
Shares redeemed: |
||||
Class A Shares |
(701,718) |
(638,979) |
||
Class B Shares |
(138,976) |
(134,362) |
||
Class C Shares |
(83,745) |
(101,439) |
||
Class I Shares |
(19,357) |
(19,383) |
||
Total capital share activity |
1,006,859 |
376,707 |
See notes to financial statements.
Notes to Financial Statements
Note A -- Significant Accounting Policies
General: The Calvert Social Investment Fund (the "Fund") is registered under the Investment Company Act of 1940 as an open-end management investment company. The Fund operates as a series fund with eight separate portfolios, five of which are reported herein: Money Market, Balanced, Bond, Equity, and Enhanced Equity. Money Market, Balanced, Equity and Enhanced Equity are registered as diversified portfolios. Bond is registered as a non-diversified portfolio. The operations of each series is accounted for separately. Money Market shares are sold without a sales charge. Balanced, Bond, Equity, and Enhanced Equity have Class A, Class B, Class C, and Class I shares. Class A shares are sold with a maximum front-end sales charge of 4.75% (3.75% for Bond). Class B shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge at the time of redemption, depending on how long investors have owned the shares. Class C shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment may be waived for certain institutional accounts, where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges and (c) class-specific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of Trustees to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Short-term notes are stated at amortized cost, which approximates fair value. Municipal securities are valued utilizing a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the Fund's net asset value is determined, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. All securities held by Money Market are valued at amortized cost which approximates fair value in accordance with Rule 2a-7 of the Investment Company Act of 1940. The Fund may invest in securities whose resale is subject to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.
The following securities were fair valued in good faith under the direction of the Board of Trustees as of September 30, 2007:
Total Investments |
% of Net Assets |
|
Balanced |
$17,648,964 |
2.9% |
Bond |
3,654,966 |
0.6% |
Equity |
12,406,463 |
0.9% |
Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.
Futures Contracts: The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms.
Restricted Securities: The Fund may invest in securities that are subject to legal or contractual restrictions on resale. Generally, these securities may only be sold publicly upon registration under the Securities Act of 1933 or in transactions exempt from such registration. Information regarding restricted securities is included at the end of the Statements of Net Assets.
Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date or, in the case of dividends on certain foreign securities, as soon as the Fund is informed of the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. (See Notes to Statements of Net Assets on page 71.) A debt obligation may be removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withholding taxes on foreign dividends have been provided for in accordance with management's understanding of the applicable country's tax rules and rates.
Foreign Currency Transactions: The Fund's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are translated into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities is included in the net realized and unrealized gain or loss on securities.
Distributions to Shareholders: Distributions to shareholders are recorded by the Fund on ex-dividend date. Dividends from net investment income are accrued daily and paid monthly by Money Market. Dividends from net investment income are paid monthly by Bond, quarterly by Balanced and annually by Equity and Enhanced Equity. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Fund's capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Redemption Fees: The Balanced, Bond, Equity, and Enhanced Equity Portfolios charge a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Portfolio (within seven days for all Class I shares). The redemption fee is paid to the Class of the Portfolio from which the redemption is made and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Portfolio.
Expense Offset Arrangements: The Fund has arrangements with its custodian banks whereby the custodian's fees may be paid indirectly by credits earned on each Portfolio's cash on deposit with the banks. These credits are used to reduce the Portfolios' expenses. Such deposit arrangements may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
New Accounting Pronouncements: In July 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" -- an interpretation of FASB Statement 109 (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Fund's tax returns to determine whether tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. The adoption of FIN 48 is not expected to have a material impact on the Fund's financial statements.
In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2007, the Fund does not believe the adoption of SFAS No. 157 will impact the financial statement amounts, however, additional disclosures may be r equired about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the year.
Money Market Insurance: The Money Market Portfolio has obtained private insurance that partially protects it against default of principal or interest payments on the instruments it holds. U.S. government securities held by the Fund are excluded from this coverage. Coverage under the policy is subject to certain conditions and may not be renewable upon expiration. While the policy is intended to provide some protection against credit risk and to help the fund maintain a constant price per share of $1.00, there is no guarantee that the insurance will do so.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Trustees of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives monthly fees based on the following annual rates of average daily net assets:
Money Market |
.30% |
Balanced: |
|
First $500 Million |
.425% |
Next $500 Million |
.40% |
Over $1 Billion |
.375% |
Bond |
.35% |
Equity: |
|
First $2 Billion |
.50% |
Next $1 Billion |
.475% |
Over $3 Billion |
.45% |
Enhanced Equity: |
|
First $500 Million |
.60% |
Over $500 Million |
.55% |
Under the terms of the agreement $45,987, $207,953, $185,741, $550,729, and $43,173 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively. In addition, $72,261, $115,126, $111,238, $189,150, and $22,949 was payable at year end for operating expenses paid by the Advisor during September 2007 for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively. For the year ended September 30, 2007, the Advisor waived $98,823 of its fee in Enhanced Equity.
The Advisor has contractually agreed to limit net annual fund operating expenses through January 31, 2008 for Money Market, Balanced Class I and Enhanced Equity Class I. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
The contractual expense caps are as follows: for Money Market, .875%; for Balanced Class I, .72%; and for Enhanced Equity Class I, .81%.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. Distribution Plans, adopted by Class A, Class B, and Class C shares, allow the Portfolios to pay the Distributor for expenses and services associated with distribution of shares. The expenses of Money Market are limited to .25% annually of average daily net assets. The Distributor currently does not charge any Distribution Plan expenses for Money Market. The expenses paid for Class A may not exceed .25% of Enhanced Equity's and .35% of Balanced, Bond and Equity's annual average daily net assets. The amount actually paid by Class A of Enhanced Equity, Balanced, Bond and Equity, is an annualized fee, payable monthly of .25%, .24%, .20%, and .25%, respectively, of each Classes' average daily net assets. The expenses paid for Class B and Class C may not exceed 1.00% of Enhanced Equity, Balanced, Bond and Equity's annual average daily net assets. The amount actually paid, is an annualized fee, pa yable monthly of 1.00%, of each Classes' average daily net assets. Class I for Balanced, Bond, Equity and Enhanced Equity do not have Distribution Plan expenses. Under the terms of the agreement $149,255, $114,706, $366,521 and $27,243 was payable at year end for Balanced, Bond, Equity, and Enhanced Equity, respectively.
The Distributor received the following amounts as its portion of the commissions charged on sales of the Funds' Class A shares for the year ended September 30, 2007: $177,326 for Balanced, $131,756 for Bond, $216,977 for Equity and $37,607 for Enhanced Equity.
Calvert Shareholder Services, Inc. (CSSI), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. Under the terms of the agreement $15,229, $20,115, $10,833, $32,533, and $3,098 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively.
For its services, CSSI received fees of $183,522, $248,787, $127,590, $419,387, and $37,207 for the year ended September 30, 2007 for Money Market, Balanced, Bond, Equity and Enhanced Equity, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Calvert Administrative Services Company (CASC), an affiliate of the Advisor, provides administrative services for the Fund. For providing such services, CASC receives an annual fee, payable monthly, based on the following annual rates of average daily net assets:
Money Market |
.20% |
Balanced (Class A, B, & C) |
.275% |
Balanced (Class I) |
.125% |
Bond (Class A, B, & C) |
.30% |
Bond (Class I) |
.10% |
Equity (Class A, B, & C) |
.20% |
Equity (Class I) |
.10% |
Enhanced Equity (Class A, B, & C) |
.15% |
Enhanced Equity (Class I) |
.10% |
Under the terms of the agreement $30,658, $134,844, $134,540, $206,757 and $11,976 was payable at year end for Money Market, Balanced, Bond, Equity, and Enhanced Equity, respectively.
The Fund invests in Community Investment Notes issued by the Calvert Social Investment Foundation (the "CSI Foundation"). The CSI Foundation is a 501(c)(3) non-profit organization that receives in-kind support from the Calvert Group, Ltd. and its subsidiaries. The Fund has received from the Securities and Exchange Commission an exemptive order permitting the Fund to make investments in these notes under certain conditions.
Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $34,000 plus a meeting fee of $2,000 for each Board meeting attended. An additional Chair support fee of $24,000 annually is paid to the Fund Chair. Additional fees of up to $10,000 annually may be paid to the Chairperson of special committees of the Board and the lead disinterested Trustee. Trustees' fees are allocated to each of the funds served.
Note C -- Investment Activity
During the year, cost of purchases and proceeds from sales of investments, other than short-term securities, were:
Enhanced |
||||
Balanced |
Bond |
Equity |
Equity |
|
Purchases: |
$465,818,710 |
$1,147,154,063 |
$451,906,116 |
$72,353,878 |
Sales: |
470,889,018 |
944,190,502 |
527,956,939 |
54,751,749 |
Money Market held only short-term investments.
The following tables present the cost of investments for federal income tax purposes and the components of net unrealized appreciation (depreciation) at September 30, 2007 and net realized capital loss carryforwards as of September 30, 2007 with expiration dates:
Money |
|||
Market |
Balanced |
Bond |
|
Federal income tax cost of investments |
$186,640,330 |
$571,152,061 |
$667,060,529 |
Unrealized appreciation |
-- |
66,537,738 |
3,014,350 |
Unrealized (depreciation) |
-- |
(32,281,563) |
(12,855,385) |
Net appreciation/(depreciation) |
-- |
34,256,175 |
(9,841,035) |
Enhanced |
|||
Equity |
Equity |
||
Federal income tax cost of investments |
$1,001,301,865 |
$94,783,367 |
|
Unrealized appreciation |
382,337,339 |
15,229,995 |
|
Unrealized (depreciation) |
(5,464,991) |
(3,625,343) |
|
Net appreciation/(depreciation) |
376,872,348 |
11,604,652 |
|
Capital Loss Carryforwards |
|||
Money |
|||
Expiration Date |
Market |
Equity |
|
30-Sep-08 |
$41,585 |
-- |
|
30-Sep-10 |
14,601 |
$653,105 |
|
30-Sep-11 |
6,847 |
-- |
|
30-Sep-12 |
-- |
-- |
|
30-Sep-13 |
6,183 |
-- |
|
30-Sep-14 |
211 |
-- |
|
30-Sep-15 |
2,100 |
-- |
|
$71,527 |
$653,105 |
Capital losses may be utilized to offset future capital gains until expiration. Equity's use of capital loss carryforwards acquired from Delaware Social Awareness Fund may be limited under certain tax provisions.
Money Market Portfolio intends to elect to defer net capital losses of $2,865 incurred from November 1, 2006 through September 30, 2007 and treat them as arising in the fiscal year ending September 30, 2008.
The tax character of dividends and distributions for the years ended September 30, 2007, and September 30, 2006 were as follows:
Money Market |
||
Distributions from: |
2007 |
2006 |
Ordinary income |
$8,156,172 |
$6,408,722 |
Total |
$8,156,172 |
$6,408,722 |
Balanced |
||
Distributions paid from: |
2007 |
2006 |
Ordinary income |
$10,727,111 |
$8,667,395 |
Total |
$10,727,111 |
$8,667,395 |
Bond |
||
Distributions paid from: |
2007 |
2006 |
Ordinary income |
$25,102,231 |
$18,069,122 |
Long-term capital gain |
329,876 |
3,670,548 |
Total |
$25,432,107 |
$21,739,670 |
Equity |
||
Distributions paid from: |
2007 |
2006 |
Long-term capital gain |
$54,101,390 |
$20,651,615 |
Total |
$54,101,390 |
$20,651,615 |
Enhanced Equity |
||
Distributions paid from: |
2007 |
2006 |
Ordinary income |
$350,000 |
$189,578 |
Long-term capital gain |
3,695,632 |
2,124,428 |
Total |
$4,045,632 |
$2,314,006 |
As of September 30, 2007, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
Money |
|||
Market |
Balanced |
Bond |
|
Undistributed ordinary income |
$84,573 |
$762,644 |
$4,864,648 |
Undistributed long-term capital gain |
-- |
29,411,938 |
5,209,982 |
Capital loss carryforward |
(71,527) |
-- |
-- |
Unrealized appreciation (depreciation) |
-- |
34,256,175 |
(9,841,035) |
Total |
$13,046 |
$64,430,757 |
$233,595 |
Enhanced |
|||
Equity |
Equity |
||
Undistributed ordinary income |
-- |
$478,707 |
|
Undistributed long-term capital gain |
$55,834,434 |
5,743,513 |
|
Capital loss carryforward |
(653,105) |
-- |
|
Unrealized appreciation (depreciation) |
376,872,348 |
11,604,652 |
|
Total |
$432,053,677 |
$17,826,872 |
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the statements of net assets are primarily due to temporary book-tax differences that will reverse in a subsequent period. For Balanced Portfolio, the differences are due to passive foreign investment companies, Section 1256 contracts, partnerships, wash sales and interest defaults. For Bond Portfolio, the differences are due to Section 1256 contracts, wash sales, and interest defaults. For Enhanced Equity Portfolio, the difference is due to wash sales. For Equity Portfolio, the differences are due to wash sales and capital loss carryovers subject to limitations under Internal Revenue Code section 382. For Money Market Portfolio, the differences are due to post-October losses and distributions paid after fiscal year end.
Reclassifications, as shown in the table below, have been made to the Funds' components of net assets to reflect income and gains available for distribution (or available capital loss carryovers, as applicable) under income tax law and regulations. These reclassifications are due to permanent book-tax differences and have no impact on net assets. For Balanced Portfolio, the reclassifications are due to partnerships, real estate investment trusts, asset-backed securities, foreign currency transactions and tax-exempt securities. For Bond Portfolio, the reclassifications are due to foreign currency transactions, asset-backed securities, commission reimbursements and partnerships. For Enhanced Equity Portfolio, the reclassifications are due to real estate investment trusts. For Equity Portfolio, the reclassifications are due to partnerships and net operating losses.
Balanced |
Bond |
|
Undistributed net investment income |
($825,186) |
$1,067 |
Accumulated net realized gain (loss) |
707,441 |
(1,067) |
Paid in capital |
117,745 |
-- |
Enhanced |
||
Equity |
Equity |
|
Undistributed net investment income |
$929,845 |
($21,702) |
Accumulated net realized gain (loss) |
42,088 |
21,702 |
Paid in capital |
(971,933) |
-- |
The Portfolios may sell or purchase securities to and from other Portfolios managed by the Advisor, typically short-term variable rate demand notes. Interportfolio transactions are primarily used for cash management purposes. Interportfolio transactions are made pursuant to Rule 17a-7 of the Investment Company Act of 1940. For the year ended September 30, 2007, such purchases and sales transactions and net realized gains on sales of securities were:
Money |
||||
Market |
Balanced |
Bond |
Equity |
|
Purchases |
$112,259,000 |
-- |
-- |
$40,000,000 |
Sales |
96,960,000 |
$2,291,225 |
$2,799,376 |
40,000,000 |
Net realized gains |
-- |
41,225 |
89,376 |
-- |
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds (except for the Calvert Social Investment Fund's Balanced and Enhanced Equity Portfolios and the CVS Social Balanced Portfolio) and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Equity Portfolio had $2,642,347 of outstanding borrowing at an interest rate of 5.75% at September 30, 2007. For the year ended September 30, 2007, borrowings by the Portfolios under the Agreement were as follows:
Weighted |
Month of |
|||
Average |
Average |
Maximum |
Maximum |
|
Daily |
Interest |
Amount |
Amount |
|
Portfolio |
Balance |
Rate |
Borrowed |
Borrowed |
Money Market |
$6,895 |
5.86% |
$995,101 |
April 2007 |
Bond |
186,863 |
5.85% |
12,430,242 |
July 2007 |
Equity |
189,706 |
5.87% |
16,325,676 |
March 2007 |
Note E -- Affiliated Companies
An affiliated company is a company in which the Portfolios have a direct or indirect ownership of, control of, or voting power over 5 percent or more of the outstanding voting shares.
Affiliated companies of the Balanced Portfolio are as follows:
Affiliates |
Cost |
Value |
Angels With Attitude LP |
$200,000 |
$170,416 |
GEEMF Partners LP |
-- |
300,550 |
Milepost Ventures LP |
500,000 |
1 |
Plethora Technology, Inc. |
701,835 |
-- |
TOTALS |
$1,401,835 |
$470,967 |
Affiliated companies of the Equity Portfolio are as follows:
Affiliates |
Cost |
Value |
Cerionx, Inc. |
$714,384 |
$706,297 |
Global Resource Options, Inc. |
750,000 |
750,000 |
TOTALS |
$1,464,384 |
$1,456,297 |
Note F -- Other
In connection with certain venture capital investments, the Balanced and Equity Portfolios are committed to future capital calls, which will increase the Portfolios' investment in these securities. The aggregate amount of the future capital commitments totals $440,000 and $1,279,078 for the Balanced and Equity Portfolios, respectively, at September 30, 2007.
Tax Information (Unaudited)
Bond, Enhanced Equity, and Equity Portfolios designate $329,876, $3,695,632 and $54,101,390 respectively, as capital gain dividends for the fiscal year ended 9/30/07.
For ordinary dividends distributed during the fiscal year, Balanced Portfolio designates 52.5% as qualifying for the corporate dividend-received deduction and 52.6% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
For ordinary dividends distributed during the fiscal year, Enhanced Equity Portfolio designates 100% as qualifying for the corporate dividend-received deduction and 100% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)11.
Additional information will be provided to shareholders in January 2008 for use in preparing 2007 income tax returns.
Money Market Portfolio
Financial Highlights
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
2007 |
2006 |
2005 |
|||
Net asset value, beginning |
$1.00 |
$1.00 |
$1.00 |
||
Income from investment operations |
|||||
Net investment income |
.045 |
.039 |
.019 |
||
Distributions from |
|||||
Net investment income |
(.045) |
(.039) |
(.019) |
||
Net asset value, ending |
$1.00 |
$1.00 |
$1.00 |
||
Total return* |
4.64% |
3.97% |
1.94% |
||
Ratios to average net assets:A |
|||||
Net investment income |
4.53% |
3.90% |
1.91% |
||
Total expenses |
.82% |
.86% |
.91% |
||
Expenses before offsets |
.82% |
.86% |
.88% |
||
Net expenses |
.80% |
.85% |
.87% |
||
Net assets, ending (in thousands) |
$187,210 |
$166,592 |
$160,218 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
2004 |
2003 |
||||
Net asset value, beginning |
$1.00 |
$1.00 |
|||
Income from investment operations |
|||||
Net investment income |
.004 |
.006 |
|||
Distributions from |
|||||
Net investment income |
(.004) |
(.006) |
|||
Net asset value, ending |
$1.00 |
$1.00 |
|||
Total return* |
.44% |
.63% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
.44% |
.63% |
|||
Total expenses |
.91% |
.90% |
|||
Expenses before offsets |
.88% |
.88% |
|||
Net expenses |
.87% |
.87% |
|||
Net assets, ending (in thousands) |
$169,916 |
$181,788 |
|||
See notes to financial highlights. |
|||||
Balanced Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class A Shares |
2007 |
2006 (z) |
2005 |
||
Net asset value, beginning |
$29.46 |
$28.25 |
$26.13 |
||
Income from investment operations |
|||||
Net investment income |
.60 |
.55 |
.44 |
||
Net realized and unrealized gain (loss) |
1.88 |
1.12 |
2.08 |
||
Total from investment operations |
2.48 |
1.67 |
2.52 |
||
Distributions from |
|||||
Net investment income |
(.57) |
(.46) |
(.40) |
||
Total distributions |
(.57) |
(.46) |
(.40) |
||
Total increase (decrease) in net asset value |
1.91 |
1.21 |
2.12 |
||
Net asset value, ending |
$31.37 |
$29.46 |
$28.25 |
||
Total return* |
8.47% |
5.94% |
9.68% |
||
Ratios to average net assets:A |
|||||
Net investment income |
1.94% |
1.90% |
1.59% |
||
Total expenses |
1.20% |
1.21% |
1.22% |
||
Expenses before offsets |
1.20% |
1.21% |
1.22% |
||
Net expenses |
1.19% |
1.20% |
1.21% |
||
Portfolio turnover |
81% |
73% |
83% |
||
Net assets, ending (in thousands) |
$542,659 |
$525,740 |
$517,840 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class A Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$24.35 |
$21.44 |
|||
Income from investment operations |
|||||
Net investment income |
.36 |
.38 |
|||
Net realized and unrealized gain (loss) |
1.77 |
2.87 |
|||
Total from investment operations |
2.13 |
3.25 |
|||
Distributions from |
|||||
Net investment income |
(.35) |
(.34) |
|||
Total distributions |
(.35) |
(.34) |
|||
Total increase (decrease) in net asset value |
1.78 |
2.91 |
|||
Net asset value, ending |
$26.13 |
$24.35 |
|||
Total return* |
8.77% |
15.28% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
1.37% |
1.67% |
|||
Total expenses |
1.25% |
1.25% |
|||
Expenses before offsets |
1.25% |
1.25% |
|||
Net expenses |
1.25% |
1.24% |
|||
Portfolio turnover |
106% |
175% |
|||
Net assets, ending (in thousands) |
$486,255 |
$480,201 |
|||
See notes to financial highlights. |
|||||
Balanced Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class B Shares |
2007 |
2006 (z) |
2005 |
||
Net asset value, beginning |
$29.24 |
$28.05 |
$25.94 |
||
Income from investment operations |
|||||
Net investment income |
.28 |
.27 |
.17 |
||
Net realized and unrealized gain (loss) |
1.89 |
1.10 |
2.06 |
||
Total from investment operations |
2.17 |
1.37 |
2.23 |
||
Distributions from |
|||||
Net investment income |
(.28) |
(.18) |
(.12) |
||
Total distributions |
(.28) |
(.18) |
(.12) |
||
Total increase (decrease) in net asset value |
1.89 |
1.19 |
2.11 |
||
Net asset value, ending |
$31.13 |
$29.24 |
$28.05 |
||
Total return* |
7.45% |
4.90% |
8.62% |
||
Ratios to average net assets:A |
|||||
Net investment income |
.99% |
.95% |
.60% |
||
Total expenses |
2.15% |
2.16% |
2.20% |
||
Expenses before offsets |
2.15% |
2.16% |
2.20% |
||
Net expenses |
2.14% |
2.15% |
2.20% |
||
Portfolio turnover |
81% |
73% |
83% |
||
Net assets, ending (in thousands) |
$24,767 |
$27,805 |
$28,592 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class B Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$24.18 |
$21.31 |
|||
Income from investment operations |
|||||
Net investment income |
.11 |
.13 |
|||
Net realized and unrealized gain (loss) |
1.74 |
2.86 |
|||
Total from investment operations |
1.85 |
2.99 |
|||
Distributions from |
|||||
Net investment income |
(.09) |
(.12) |
|||
Total distributions |
(.09) |
(.12) |
|||
Total increase (decrease) in net asset value |
1.76 |
2.87 |
|||
Net asset value, ending |
$25.94 |
$24.18 |
|||
Total return* |
7.63% |
14.06% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
.34% |
.55% |
|||
Total expenses |
2.27% |
2.34% |
|||
Expenses before offsets |
2.27% |
2.34% |
|||
Net expenses |
2.26% |
2.34% |
|||
Portfolio turnover |
106% |
175% |
|||
Net assets, ending (in thousands) |
$24,839 |
$19,670 |
|||
See notes to financial highlights. |
|||||
Balanced Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class C Shares |
2007 |
2006 (z) |
2005 |
||
Net asset value, beginning |
$28.95 |
$27.79 |
$25.70 |
||
Income from investment operations |
|||||
Net investment income |
.32 |
.28 |
.18 |
||
Net realized and unrealized gain (loss) |
1.85 |
1.07 |
2.04 |
||
Total from investment operations |
2.17 |
1.35 |
2.22 |
||
Distributions from |
|||||
Net investment income |
(.29) |
(.19) |
(.13) |
||
Total distributions |
(.29) |
(.19) |
(.13) |
||
Total increase (decrease) in net asset value |
1.88 |
1.16 |
2.09 |
||
Net asset value, ending |
$30.83 |
$28.95 |
$27.79 |
||
Total return* |
7.53% |
4.87% |
8.67% |
||
Ratios to average net assets:A |
|||||
Net investment income |
1.07% |
.99% |
.65% |
||
Total expenses |
2.07% |
2.11% |
2.16% |
||
Expenses before offsets |
2.07% |
2.11% |
2.16% |
||
Net expenses |
2.06% |
2.10% |
2.15% |
||
Portfolio turnover |
81% |
73% |
83% |
||
Net assets, ending (in thousands) |
$30,340 |
$27,547 |
$25,980 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class C Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$23.95 |
$21.12 |
|||
Income from investment operations |
|||||
Net investment income |
.12 |
.13 |
|||
Net realized and unrealized gain (loss) |
1.73 |
2.82 |
|||
Total from investment operations |
1.85 |
2.95 |
|||
Distributions from |
|||||
Net investment income |
(.10) |
(.12) |
|||
Total distributions |
(.10) |
(.12) |
|||
Total increase (decrease) in net asset value |
1.75 |
2.83 |
|||
Net asset value, ending |
$25.70 |
$23.95 |
|||
Total return* |
7.71% |
14.02% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
.39% |
.59% |
|||
Total expenses |
2.22% |
2.31% |
|||
Expenses before offsets |
2.22% |
2.31% |
|||
Net expenses |
2.22% |
2.30% |
|||
Portfolio turnover |
106% |
175% |
|||
Net assets, ending (in thousands) |
$21,819 |
$16,585 |
|||
See notes to financial highlights. |
|||||
Balanced Portfolio |
|||||
Financial Highlights |
|||||
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class I Shares |
2007 |
2006 (z) |
2005 (x) |
||
Net asset value, beginning |
$29.70 |
$28.38 |
$27.47 |
||
Income from investment operations |
|||||
Net investment income |
.76 |
.64 |
.41 |
||
Net realized and unrealized gain (loss) |
1.90 |
1.17 |
.87 |
||
Total from investment operations |
2.66 |
1.81 |
1.28 |
||
Distributions from |
|||||
Net investment income |
(.72) |
(.49) |
(.37) |
||
Total distributions |
(.72) |
(.49) |
(.37) |
||
Total increase (decrease) in net asset value |
1.94 |
1.32 |
.91 |
||
Net asset value, ending |
$31.64 |
$29.70 |
$28.38 |
||
Total return* |
9.00% |
6.43% |
4.71% |
||
Ratios to average net assets:A |
|||||
Net investment income |
2.40% |
2.44% |
1.94% (a) |
||
Total expenses |
.77% |
1.07% |
1.28% (a) |
||
Expenses before offsets |
.73% |
.73% |
.72% (a) |
||
Net expenses |
.72% |
.72% |
.72% (a) |
||
Portfolio turnover |
81% |
73% |
70% |
||
Net assets, ending (in thousands) |
$8,721 |
$6,317 |
$1,012 |
||
Periods Ended |
|||||
June 30, |
September 30, |
||||
Class I Shares |
2003 (y) |
2002 |
|||
Net asset value, beginning |
$21.33 |
$24.35 |
|||
Income from investment operations |
|||||
Net investment income |
.38 |
.68 |
|||
Net realized and unrealized gain (loss) |
2.49 |
(3.01) |
|||
Total from investment operations |
2.87 |
(2.33) |
|||
Distributions from |
|||||
Net investment income |
(.33) |
(.69) |
|||
Net realized gains |
-- |
-- |
|||
Total distributions |
(.33) |
(.69) |
|||
Total increase (decrease) in net asset value |
2.54 |
(3.02) |
|||
Net asset value, ending |
$23.87 |
$21.33 |
|||
Total return* |
13.63% |
(9.87%) |
|||
Ratios to average net assets:A |
|||||
Net investment income |
2.25% (a) |
2.77% |
|||
Total expenses |
.72% (a) |
.72% |
|||
Expenses before offsets |
.72% (a) |
.72% |
|||
Net expenses |
.72% (a) |
.71% |
|||
Portfolio turnover |
140% |
192% |
|||
Net assets, ending (in thousands) |
$0 |
$26,612 |
|||
See notes to financial highlights. |
|||||
Bond Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class A Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$15.83 |
$16.18 |
$16.33 |
||
Income from investment operations |
|||||
Net investment income |
.69 |
.64 |
.47 |
||
Net realized and unrealized gain (loss) |
.13 |
(.05) |
.32 |
||
Total from investment operations |
.82 |
.59 |
.79 |
||
Distributions from |
|||||
Net investment income |
(.70) |
(.64) |
(.48) |
||
Net realized gains |
(.03) |
(.30) |
(.46) |
||
Total distributions |
(.73) |
(.94) |
(.94) |
||
Total increase (decrease) in net asset value |
0.09 |
(.35) |
(.15) |
||
Net asset value, ending |
$15.92 |
$15.83 |
$16.18 |
||
Total return* |
5.31% |
3.82% |
5.05% |
||
Ratios to average net assets:A |
|||||
Net investment income |
4.41% |
4.16% |
3.00% |
||
Total expenses |
1.12% |
1.14% |
1.16% |
||
Expenses before offsets |
1.12% |
1.14% |
1.16% |
||
Net expenses |
1.11% |
1.13% |
1.16% |
||
Portfolio turnover |
190% |
150% |
161% |
||
Net assets, ending (in thousands) |
$453,813 |
$336,698 |
$237,396 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class A Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$16.29 |
$15.80 |
|||
Income from investment operations |
|||||
Net investment income |
.45 |
.58 |
|||
Net realized and unrealized gain (loss) |
.48 |
.67 |
|||
Total from investment operations |
.93 |
1.25 |
|||
Distributions from |
|||||
Net investment income |
(.45) |
(.56) |
|||
Net realized gains |
(.44) |
(.20) |
|||
Total distributions |
(.89) |
(.76) |
|||
Total increase (decrease) in net asset value |
.04 |
.49 |
|||
Net asset value, ending |
$16.33 |
$16.29 |
|||
Total return* |
5.97% |
8.20% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
2.82% |
3.62% |
|||
Total expenses |
1.19% |
1.18% |
|||
Expenses before offsets |
1.19% |
1.18% |
|||
Net expenses |
1.18% |
1.17% |
|||
Portfolio turnover |
244% |
395% |
|||
Net assets, ending (in thousands) |
$172,470 |
$148,791 |
|||
See notes to financial highlights. |
|||||
Bond Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class B Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$15.76 |
$16.11 |
$16.27 |
||
Income from investment operations |
|||||
Net investment income |
.54 |
.50 |
.32 |
||
Net realized and unrealized gain (loss) |
.12 |
(.05) |
.31 |
||
Total from investment operations |
.66 |
.45 |
.63 |
||
Distributions from |
|||||
Net investment income |
(.55) |
(.50) |
(.33) |
||
Net realized gains |
(.03) |
(.30) |
(.46) |
||
Total distributions |
(.58) |
(.80) |
(.79) |
||
Total increase (decrease) in net asset value |
0.08 |
(.35) |
(.16) |
||
Net asset value, ending |
$15.84 |
$15.76 |
$16.11 |
||
Total return* |
4.29% |
2.89% |
4.03% |
|
|
Ratios to average net assets:A |
|||||
Net investment income |
3.43% |
3.17% |
2.03% |
||
Total expenses |
2.09% |
2.09% |
2.11% |
||
Expenses before offsets |
2.09% |
2.09% |
2.11% |
||
Net expenses |
2.08% |
2.08% |
2.10% |
||
Portfolio turnover |
190% |
150% |
161% |
||
Net assets, ending (in thousands) |
$14,834 |
$17,154 |
$18,559 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class B Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$16.22 |
$15.75 |
|||
Income from investment operations |
|||||
Net investment income |
.31 |
.43 |
|||
Net realized and unrealized gain (loss) |
.49 |
.66 |
|||
Total from investment operations |
.80 |
1.09 |
|||
Distributions from |
|||||
Net investment income |
(.31) |
(.42) |
|||
Net realized gains |
(.44) |
(.20) |
|||
Total distributions |
(.75) |
(.62) |
|||
Total increase (decrease) in net asset value |
.05 |
.47 |
|||
Net asset value, ending |
$16.27 |
$16.22 |
|||
Total return* |
5.11% |
7.13% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
1.93% |
2.70% |
|||
Total expenses |
2.09% |
2.08% |
|||
Expenses before offsets |
2.09% |
2.08% |
|||
Net expenses |
2.08% |
2.07% |
|||
Portfolio turnover |
244% |
395% |
|||
Net assets, ending (in thousands) |
$17,605 |
$18,860 |
|||
See notes to financial highlights. |
|||||
Bond Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class C Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$15.75 |
$16.09 |
$16.25 |
||
Income from investment operations |
|||||
Net investment income |
.56 |
.51 |
.34 |
||
Net realized and unrealized gain (loss) |
.12 |
(.04) |
.30 |
||
Total from investment operations |
.68 |
.47 |
.64 |
||
Distributions from |
|||||
Net investment income |
(.57) |
(.51) |
(.34) |
||
Net realized gains |
(.03) |
(.30) |
(.46) |
||
Total distributions |
(.60) |
(.81) |
(.80) |
||
Total increase (decrease) in net asset value |
0.08 |
(.34) |
(.16) |
||
Net asset value, ending |
$15.83 |
$15.75 |
$16.09 |
||
Total return* |
4.41% |
3.01% |
4.09% |
||
Ratios to average net assets:A |
|||||
Net investment income |
3.61% |
3.31% |
2.13% |
||
Total expenses |
1.92% |
1.99% |
2.04% |
||
Expenses before offsets |
1.92% |
1.99% |
2.04% |
||
Net expenses |
1.91% |
1.98% |
2.03% |
||
Portfolio turnover |
190% |
150% |
161% |
||
Net assets, ending (in thousands) |
$36,202 |
$27,447 |
$19,276 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class C Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$16.21 |
$15.73 |
|||
Income from investment operations |
|||||
Net investment income |
.31 |
.43 |
|||
Net realized and unrealized gain (loss) |
.48 |
.67 |
|||
Total from investment operations |
.79 |
1.10 |
|||
Distributions from |
|||||
Net investment income |
(.31) |
(.42) |
|||
Net realized gains |
(.44) |
(.20) |
|||
Total distributions |
(.75) |
(.62) |
|||
Total increase (decrease) in net asset value |
.04 |
.48 |
|||
Net asset value, ending |
$16.25 |
$16.21 |
|||
Total return* |
5.06% |
7.21% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
1.94% |
2.71% |
|||
Total expenses |
2.07% |
2.07% |
|||
Expenses before offsets |
2.07% |
2.07% |
|||
Net expenses |
2.06% |
2.06% |
|||
Portfolio turnover |
244% |
395% |
|||
Net assets, ending (in thousands) |
$13,130 |
$11,320 |
|||
See notes to financial highlights. |
|||||
Bond Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class I Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$15.85 |
$16.18 |
$16.33 |
||
Income from investment operations |
|||||
Net investment income |
.78 |
.73 |
.57 |
||
Net realized and unrealized gain (loss) |
.13 |
(.04) |
.31 |
||
Total from investment operations |
.91 |
.69 |
.88 |
||
Distributions from |
|||||
Net investment income |
(.79) |
(.72) |
(.57) |
||
Net realized gains |
(.03) |
(.30) |
(.46) |
||
Total distributions |
(.82) |
(1.02) |
(1.03) |
||
Total increase (decrease) in net asset value |
0.09 |
(.33) |
(.15) |
||
Net asset value, ending |
$15.94 |
$15.85 |
$16.18 |
||
Total return* |
5.89% |
4.48% |
5.63% |
||
Ratios to average net assets:A |
|||||
Net investment income |
4.99% |
4.77% |
3.57% |
||
Total expenses |
.53% |
.56% |
.61% |
||
Expenses before offsets |
.53% |
.56% |
.61% |
||
Net expenses |
.52% |
.55% |
.60% |
||
Portfolio turnover |
190% |
150% |
161% |
||
Net assets, ending (in thousands) |
$152,871 |
$74,714 |
$29,278 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class I Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$16.29 |
$15.81 |
|||
Income from investment operations |
|||||
Net investment income |
.55 |
.67 |
|||
Net realized and unrealized gain (loss) |
.48 |
.66 |
|||
Total from investment operations |
1.03 |
1.33 |
|||
Distributions from |
|||||
Net investment income |
(.55) |
(.65) |
|||
Net realized gains |
(.44) |
(.20) |
|||
Total distributions |
(.99) |
(.85) |
|||
Total increase (decrease) in net asset value |
.04 |
.48 |
|||
Net asset value, ending |
$16.33 |
$16.29 |
|||
Total return* |
6.62% |
8.74% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
3.41% |
4.14% |
|||
Total expenses |
.61% |
.61% |
|||
Expenses before offsets |
.61% |
.61% |
|||
Net expenses |
.60% |
.60% |
|||
Portfolio turnover |
244% |
395% |
|||
Net assets, ending (in thousands) |
$17,324 |
$17,527 |
|||
See notes to financial highlights. |
|||||
Equity Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class A Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$37.15 |
$35.38 |
$31.63 |
||
Income from investment operations |
|||||
Net investment income (loss) |
** |
(.02) |
.03 |
||
Net realized and unrealized gain (loss) |
5.50 |
2.38 |
3.72 |
||
Total from investment operations |
5.50 |
2.36 |
3.75 |
||
Distributions from |
|||||
Net realized gains |
(1.59) |
(.59) |
-- |
||
Total distributions |
(1.59) |
(.59) |
-- |
||
Total increase (decrease) in net asset value |
3.91 |
1.77 |
3.75 |
||
Net asset value, ending |
$41.06 |
$37.15 |
$35.38 |
||
Total return* |
15.23% |
6.74% |
11.86% |
||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.01%) |
(.06%) |
.08% |
||
Total expenses |
1.21% |
1.23% |
1.25% |
||
Expenses before offsets |
1.21% |
1.23% |
1.25% |
||
Net expenses |
1.21% |
1.23% |
1.24% |
||
Portfolio turnover |
35% |
35% |
31% |
||
Net assets, ending (in thousands) |
$1,000,992 |
$907,459 |
$858,873 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class A Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$29.43 |
$23.84 |
|||
Income from investment operations |
|||||
Net investment income (loss) |
(.09) |
(.06) |
|||
Net realized and unrealized gain (loss) |
2.29 |
5.67 |
|||
Total from investment operations |
2.20 |
5.61 |
|||
Distributions from |
|||||
Net realized gains |
-- |
(.02) |
|||
Total increase (decrease) in net asset value |
2.20 |
5.59 |
|||
Net asset value, ending |
$31.63 |
$29.43 |
|||
Total return* |
7.48% |
23.56% |
|||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.32%) |
(.26%) |
|||
Total expenses |
1.25% |
1.29% |
|||
Expenses before offsets |
1.25% |
1.29% |
|||
Net expenses |
1.24% |
1.29% |
|||
Portfolio turnover |
17% |
29% |
|||
Net assets, ending (in thousands) |
$695,472 |
$530,322 |
|||
See notes to financial highlights. |
|||||
Equity Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class B Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$34.15 |
$32.84 |
$29.61 |
||
Income from investment operations |
|||||
Net investment income (loss) |
(.33) |
(.32) |
(.24) |
||
Net realized and unrealized gain (loss) |
5.06 |
2.22 |
3.47 |
||
Total from investment operations |
4.73 |
1.90 |
3.23 |
||
Distributions from |
|||||
Net realized gains |
(1.59) |
(.59) |
-- |
||
Total distributions |
(1.59) |
(.59) |
-- |
||
Total increase (decrease) in net asset value |
3.14 |
1.31 |
3.23 |
||
Net asset value, ending |
$37.29 |
$34.15 |
$32.84 |
||
Total return* |
14.28% |
5.85% |
10.91% |
||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.84%) |
(.90%) |
(.77%) |
||
Total expenses |
2.04% |
2.06% |
2.09% |
||
Expenses before offsets |
2.04% |
2.06% |
2.09% |
||
Net expenses |
2.04% |
2.06% |
2.09% |
||
Portfolio turnover |
35% |
35% |
31% |
||
Net assets, ending (in thousands) |
$87,476 |
$95,903 |
$105,189 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class B Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$27.78 |
$22.70 |
|||
Income from investment operations |
|||||
Net investment income (loss) |
(.33) |
(.25) |
|||
Net realized and unrealized gain (loss) |
2.16 |
5.35 |
|||
Total from investment operations |
1.83 |
5.10 |
|||
Distributions from |
|||||
Net realized gains |
-- |
(.02) |
|||
Total increase (decrease) in net asset value |
1.83 |
5.08 |
|||
Net asset value, ending |
$29.61 |
$27.78 |
|||
Total return* |
6.59% |
22.50% |
|||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(1.16%) |
(1.12%) |
|||
Total expenses |
2.09% |
2.15% |
|||
Expenses before offsets |
2.09% |
2.15% |
|||
Net expenses |
2.08% |
2.15% |
|||
Portfolio turnover |
17% |
29% |
|||
Net assets, ending (in thousands) |
$86,242 |
$70,824 |
|||
See notes to financial highlights. |
|||||
Equity Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class C Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$31.89 |
$30.68 |
$27.64 |
||
Income from investment operations. |
|||||
Net investment income (loss) |
(.25) |
(.26) |
(.20) |
||
Net realized and unrealized gain (loss) |
4.68 |
2.06 |
3.24 |
||
Total from investment operations |
4.43 |
1.80 |
3.04 |
||
Distributions from |
|||||
Net realized gains |
(1.59) |
(.59) |
-- |
||
Total distributions |
(1.59) |
(.59) |
-- |
||
Total increase (decrease) in net asset value |
2.84 |
1.21 |
3.04 |
||
Net asset value, ending |
$34.73 |
$31.89 |
$30.68 |
||
Total return* |
14.35% |
5.93% |
11.00% |
||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.76%) |
(.82%) |
(.69%) |
||
Total expenses |
1.96% |
1.99% |
2.01% |
||
Expenses before offsets |
1.96% |
1.99% |
2.01% |
||
Net expenses |
1.96% |
1.98% |
2.01% |
||
Portfolio turnover |
35% |
35% |
31% |
||
Net assets, ending (in thousands) |
$119,917 |
$109,468 |
$107,305 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class C Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$25.92 |
$21.17 |
|||
Income from investment operations. |
|||||
Net investment income (loss) |
(.27) |
(.22) |
|||
Net realized and unrealized gain (loss) |
1.99 |
4.99 |
|||
Total from investment operations |
1.72 |
4.77 |
|||
Distributions from |
|||||
Net realized gains |
-- |
(.02) |
|||
Total increase (decrease) in net asset value |
1.72 |
4.75 |
|||
Net asset value, ending |
$27.64 |
$25.92 |
|||
Total return* |
6.64% |
22.56% |
|||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(1.09%) |
(1.06%) |
|||
Total expenses |
2.03% |
2.10% |
|||
Expenses before offsets |
2.03% |
2.10% |
|||
Net expenses |
2.03% |
2.09% |
|||
Portfolio turnover |
17% |
29% |
|||
Net assets, ending (in thousands) |
$86,514 |
$61,897 |
|||
See notes to financial highlights. |
|||||
Equity Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class I Shares |
2007 |
2006 |
2005 |
||
Net asset value, beginning |
$38.44 |
$36.40 |
$32.36 |
||
Income from investment operations |
|||||
Net investment income |
.21 |
.17 |
.19 |
||
Net realized and unrealized gain (loss) |
5.73 |
2.46 |
3.85 |
||
Total from investment operations |
5.94 |
2.63 |
4.04 |
||
Distributions from |
|||||
Net realized gains |
(1.59) |
(.59) |
-- |
||
Total distributions |
(1.59) |
(.59) |
-- |
||
Total increase (decrease) in net asset value |
4.35 |
2.04 |
4.04 |
||
Net asset value, ending |
$42.79 |
$38.44 |
$36.40 |
||
Total return* |
15.88% |
7.30% |
12.48% |
||
Ratios to average net assets:A |
|||||
Net investment income |
.53% |
.49% |
.63% |
||
Total expenses |
.67% |
.68% |
.68% |
||
Expenses before offsets |
.67% |
.68% |
.68% |
||
Net expenses |
.66% |
.67% |
.68% |
||
Portfolio turnover |
35% |
35% |
31% |
||
Net assets, ending (in thousands) |
$170,767 |
$163,685 |
$133,696 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class I Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$29.94 |
$24.12 |
|||
Income from investment operations |
|||||
Net investment income |
.07 |
.05 |
|||
Net realized and unrealized gain (loss) |
2.35 |
5.79 |
|||
Total from investment operations |
2.42 |
5.84 |
|||
Distributions from |
|||||
Net realized gains |
-- |
(.02) |
|||
Total increase (decrease) in net asset value |
2.42 |
5.82 |
|||
Net asset value, ending |
$32.36 |
$29.94 |
|||
Total return* |
8.08% |
24.24% |
|||
Ratios to average net assets:A |
|||||
Net investment income |
.25% |
.32% |
|||
Total expenses |
.68% |
.70% |
|||
Expenses before offsets |
.68% |
.70% |
|||
Net expenses |
.68% |
.70% |
|||
Portfolio turnover |
17% |
29% |
|||
Net assets, ending (in thousands) |
$93,347 |
$62,951 |
|||
See notes to financial highlights. |
|||||
|
|||||
Enhanced Equity Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class A Shares |
2007 (z) |
2006 (z) |
2005 |
||
Net asset value, beginning |
$19.75 |
$18.76 |
$16.96 |
||
Income from investment operations |
|||||
Net investment income (loss) |
.13 |
.10 |
.12 |
||
Net realized and unrealized gain (loss) |
1.53 |
1.51 |
1.75 |
||
Total from investment operations |
1.66 |
1.61 |
1.87 |
||
Distributions from |
|||||
Net investment income |
(.09) |
(.06) |
(.07) |
||
Net realized gain |
(.83) |
(.56) |
-- |
||
Total distributions |
(.92) |
(.62) |
(.07) |
||
Total increase (decrease) in net asset value |
.74 |
.99 |
1.80 |
||
Net asset value, ending |
$20.49 |
$19.75 |
$18.76 |
||
Total return* |
8.58% |
8.79% |
11.03%(r) |
||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
.66% |
.56% |
.64% |
||
Total expenses |
1.33% |
1.36% |
1.38% |
||
Expenses before offsets |
1.23% |
1.26% |
1.28% |
||
Net expenses |
1.20% |
1.23% |
1.27% |
||
Portfolio turnover |
56% |
47% |
38% |
||
Net assets, ending (in thousands) |
$65,209 |
$58,020 |
$54,618 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class A Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$15.17 |
$12.24 |
|||
Income from investment operations |
|||||
Net investment income (loss) |
.03 |
.03 |
|||
Net realized and unrealized gain (loss) |
1.76 |
2.90 |
|||
Total from investment operations |
1.79 |
2.93 |
|||
Total increase (decrease) in net asset value |
1.79 |
2.93 |
|||
Net asset value, ending |
$16.96 |
$15.17 |
|||
Total return* |
11.80% |
23.94% |
|||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
.19% |
.24% |
|||
Total expenses |
1.43% |
1.54% |
|||
Expenses before offsets |
1.43% |
1.45% |
|||
Net expenses |
1.41% |
1.44% |
|||
Portfolio turnover |
13% |
42% |
|||
Net assets, ending (in thousands) |
$55,253 |
$39,145 |
|||
See notes to financial highlights. |
|||||
Enhanced Equity Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class B Shares |
2007 (z) |
2006 (z) |
2005 |
||
Net asset value, beginning |
$18.20 |
$17.43 |
$15.84 |
||
Income from investment operations |
|||||
Net investment income (loss) |
(.06) |
(.07) |
(.05) |
||
Net realized and unrealized gain (loss) |
1.41 |
1.40 |
1.64 |
||
Total from investment operations |
1.35 |
1.33 |
1.59 |
||
Distributions from |
|||||
Net realized gains |
(.83) |
(.56) |
-- |
||
Total distributions |
(.83) |
(.56) |
-- |
||
Total increase (decrease) in net asset value |
.52 |
.77 |
1.59 |
||
Net asset value, ending |
$18.72 |
$18.20 |
$17.43 |
||
Total return* |
7.55% |
7.78% |
10.04%(r) |
||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.30%) |
(.38%) |
(.31%) |
||
Total expenses |
2.29% |
2.30% |
2.32% |
||
Expenses before offsets |
2.19% |
2.20% |
2.22% |
||
Net expenses |
2.16% |
2.17% |
2.21% |
||
Portfolio turnover |
56% |
47% |
38% |
||
Net assets, ending (in thousands) |
$7,257 |
$8,156 |
$9,043 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class B Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$14.30 |
$11.67 |
|||
Income from investment operations |
|||||
Net investment income (loss) |
(.12) |
(.10) |
|||
Net realized and unrealized gain (loss) |
1.66 |
2.73 |
|||
Total from investment operations |
1.54 |
2.63 |
|||
Total increase (decrease) in net asset value |
1.54 |
2.63 |
|||
Net asset value, ending |
$15.84 |
$14.30 |
|||
Total return* |
10.77% |
22.54% |
|||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.75%) |
(.82%) |
|||
Total expenses |
2.37% |
2.55% |
|||
Expenses before offsets |
2.37% |
2.51% |
|||
Net expenses |
2.36% |
2.50% |
|||
Portfolio turnover |
13% |
42% |
|||
Net assets, ending (in thousands) |
$8,391 |
$6,936 |
|||
See notes to financial highlights. |
|||||
Enhanced Equity Portfolio |
|||||
Financial Highlights |
|||||
Years Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class C Shares |
2007 (z) |
2006 (z) |
2005 |
||
Net asset value, beginning |
$18.27 |
$17.50 |
$15.90 |
||
Income from investment operations |
|||||
Net investment income (loss) |
(.04) |
(.06) |
(.05) |
||
Net realized and unrealized gain (loss) |
1.42 |
1.39 |
1.65 |
||
Total from investment operations |
1.38 |
1.33 |
1.60 |
||
Distributions from |
|||||
Net realized gains |
(.83) |
(.56) |
-- |
||
Total distributions |
(.83) |
(.56) |
-- |
||
Total increase (decrease) in net asset value |
.55 |
.77 |
1.60 |
||
Net asset value, ending |
$18.82 |
$18.27 |
$17.50 |
||
Total return* |
7.69% |
7.75% |
10.06%(r) |
||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.20%) |
(.33%) |
(.29%) |
||
Total expenses |
2.19% |
2.25% |
2.28% |
||
Expenses before offsets |
2.09% |
2.15% |
2.18% |
||
Net expenses |
2.06% |
2.12% |
2.17% |
||
Portfolio turnover |
56% |
47% |
38% |
||
Net assets, ending (in thousands) |
$10,089 |
$7,846 |
$7,344 |
||
Years Ended |
|||||
September 30, |
September 30, |
||||
Class C Shares |
2004 |
2003 |
|||
Net asset value, beginning |
$14.35 |
$11.71 |
|||
Income from investment operations |
|||||
Net investment income (loss) |
(.10) |
(.10) |
|||
Net realized and unrealized gain (loss) |
1.65 |
2.74 |
|||
Total from investment operations |
1.55 |
2.64 |
|||
Total increase (decrease) in net asset value |
1.55 |
2.64 |
|||
Net asset value, ending |
$15.90 |
$14.35 |
|||
Total return* |
10.80% |
22.54% |
|||
Ratios to average net assets:A |
|||||
Net investment income (loss) |
(.72%) |
(.83%) |
|||
Total expenses |
2.34% |
2.56% |
|||
Expenses before offsets |
2.34% |
2.51% |
|||
Net expenses |
2.32% |
2.50% |
|||
Portfolio turnover |
13% |
42% |
|||
Net assets, ending (in thousands) |
$6,038 |
$4,433 |
|||
See notes to financial highlights. |
|||||
Enhanced Equity Portfolio |
|||||
Financial Highlights |
|||||
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class I Shares |
2007 (z) |
2006(z) |
2005(v) |
||
Net asset value, beginning |
$19.83 |
$18.75 |
$17.42 |
||
Income from investment operations |
|||||
Net investment income |
.22 |
.19 |
.03 |
||
Net realized and unrealized gain (loss) |
1.55 |
1.50 |
1.30 |
||
Total from investment operations |
1.77 |
1.69 |
1.33 |
||
Distributions from |
|||||
Net investment income |
(.10) |
(.05) |
-- |
||
Net realized gain |
(.83) |
(.56) |
-- |
||
Total distributions |
(.93) |
(.61) |
-- |
||
Total increase (decrease) in net asset value |
.84 |
1.08 |
1.33 |
||
Net asset value, ending |
$20.67 |
$19.83 |
$18.75 |
||
Total return* |
9.09% |
9.19% |
7.63% |
||
Ratios to average net assets:A |
|||||
Net investment income |
1.09% |
.99% |
.65% (a) |
||
Total expenses |
.88% |
1.20% |
2.57% (a) |
||
Expenses before offsets |
.78% |
.84% |
.82% (a) |
||
Net expenses |
.76% |
.81% |
.81% (a) |
||
Portfolio turnover |
56% |
47% |
15% |
||
Net assets, ending (in thousands) |
$24,663 |
$9,464 |
$1,246 |
||
Periods Ended |
|||||
January 18, |
September 30, |
||||
Class I Shares |
2002(w) |
2001 |
|||
Net asset value, beginning |
$14.84 |
$20.04 |
|||
Income from investment operations |
|||||
Net investment income |
.02 |
.07 |
|||
Net realized and unrealized gain (loss) |
1.62 |
(5.13) |
|||
Total from investment operations |
1.64 |
(5.06) |
|||
Distributions from |
|||||
Net investment income |
-- |
(.14) |
|||
Total increase (decrease) in net asset value |
1.64 |
(5.20) |
|||
Net asset value, ending |
$16.48 |
$14.84 |
|||
Total return* |
11.08% |
(25.40%) |
|||
Ratios to average net assets:A |
|||||
Net investment income |
.53% (a) |
.38% |
|||
Total expenses |
1,022.38%(a) |
1.00% |
|||
Expenses before offsets |
.77% (a) |
.82% |
|||
Net expenses |
.75% (a) |
.75% |
|||
Portfolio turnover |
10% |
39% |
|||
Net assets, ending (in thousands) |
$0 |
$1 |
See notes to financial statements.
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Portfolio.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
** Amount was less than (0.01) per share.
(a) Annualized.
(r) Total return would have been 10.86%, 9.79% and 9.81% for Classes A, B and C, respectively without the payment by affiliate.
(v) Class I shares resumed operations upon shareholder investment on April 29, 2005.
(w) The last remaining shareholder in Class I redeemed on January 18, 2002.
(x) Class I shares resumed operations upon shareholder investment on December 27, 2004.
(y) The last remaining shareholder in Class I redeemed on June 30, 2003.
(z) Per share figures are calculated using the Average Shares Method.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, ex pressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio.
PROXY VOTING
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio Holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Director and Officer Information Table
Name & |
|
|
Principal Occupation |
(Not Applicable to Officers) |
|
# of Calvert |
Other |
DISINTERESTED TRUSTEES/DIRECTORS |
|||||||
REBECCA ADAMSON AGE: 58 |
Trustee
Director
Director
Director |
1989 CSIF 2000 IMPACT 2000 CSIS 2005 CWVF |
President of the national non-profit, First Nations Financial Project. Founded by her in 1980, First Nations is the only American Indian alternative development institute in the country. |
16 |
|
||
RICHARD L. BAIRD, JR. AGE: 59 |
Trustee
Director
Director
Director
|
1982 CSIF 2000 CSIS 2005 CWVF 2005 Impact
|
President and CEO of Adagio Health Inc. (formerly Family Health Council, Inc.) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. |
28 |
|||
FREDERICK A. DAVIE, JR. AGE: 51
|
Trustee
Director
Director
Director |
2001 CSIF 2001 CSIS 2005 CWVF 2005 IMPACT |
Vice President of Public/Private Ventures since June, 2001. He was formerly Program Officer for the Ford Foundation and prior to that he served as Deputy Borough President for the Borough of Manhattan. |
16 |
|
||
JOHN GUFFEY, JR. AGE: 59 |
Director
Trustee
Director
Director
|
1992 CWVF 1982 CSIF 2000 CSIS 2005 IMPACT
|
Treasurer and Director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003). President, Aurora Press, Inc., 2002.
|
28 |
|
||
MILES DOUGLAS HARPER, III AGE: 45 |
Director
Trustee
Director
Director |
2000 Impact 2005 CSIF 2005 CSIS 2005 CWVF |
Partner, Gainer Donnelly & Desroches (public accounting firm) since January 1999. |
16 |
|
||
JOY V. JONES AGE: 57 |
Director
Trustee
Director
Director |
2000 Impact 1990 CSIF 2000 CSIS 2005 CWVF |
Attorney and entertainment manager in New York City.
|
16 |
|
||
TERRENCE J. MOLLNER, Ed.D. AGE: 62 |
Director
Trustee
Director
Director |
1992 CWVF 1982 CSIF 2000 CSIS 2005 IMPACT |
Founder, Chairperson, and President of Trusteeship Institute, Inc., a diverse foundation known principally for its consultation to corporations converting to cooperative employee-ownership and the development of socially and spiritually responsible investment vehicles. |
16 |
|
||
SYDNEY AMARA MORRIS AGE: 58 |
Trustee
Director
Director
Director |
1982 CSIF 2000 CSIS 2005 CWVF 2005 IMPACT |
Rev. Morris currently serves as Parish Minister to the Keweenaw Unitarian Universalist Fellowship in Houghton, MI. She previously served as Senior Minister of the Unitarian Church of Vancouver and as Minister of the Unitarian-Universalist Fellowship of Ames, IA. Rev. Morris is a graduate of Harvard Divinity School. She currently chairs the Umbrian Universalist Committee on Socially Responsible Investing. |
16 |
|||
RUSTUM ROY AGE: 83 |
Director
Trustee
Director
Director |
1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT |
Evan Pugh Professor of Solid State and of Geo-chemistry Emeritus, at Pennsylvania State University, Distinguished Professor of materials, Arizona State University, & visiting Professor of Medicine, University of Arizona. |
16 |
|
||
TESSA TENNANT AGE: 48 |
Director
Trustee
Director
Director |
1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT |
Executive Chair, The ICE Organisation, UK and former Chair and founder of ASrIA Ltd. Director of ASrIA Ltd., a not-for-profit membership organization for Socially Responsible Investing (SRI), serving the Asia Pacific region. Previously, Ms. Tennant served as Head of SRI Policy for Henderson Investors, U.K. and Head of Green and Ethical Investing for National Provident Investment Managers Ltd. Initially, Ms. Tennant headed the Environmental Research Unit of Jupiter Tyndall Merlin Ltd., and served as Director of Jupiter Tyndall Merlin investment managers. |
16 |
|
||
INTERESTED TRUSTEES/DIRECTORS |
|||||||
BARBARA J. KRUMSIEK AGE: 55 |
Director & President Trustee & Senior Vice President Director & Senior Vice President
Director & President |
1997 CWVF
1997 CSIF
2000 CSIS
2000 Impact |
President, Chief Executive Officer and Chairman of Calvert Group, Ltd. Prior to joining Calvert in 1997, Ms. Krumsiek had served as a Managing Director of Alliance Fund Distributors, Inc.
|
41 |
|
||
D. WAYNE SILBY, Esq. AGE: 59 |
Director & Chair Trustee, Chair & President Director & President Director |
1992 CWVF 1982 CSIF
2000 CSIS 2000 Impact |
Mr. Silby is a private investor and one of the founders of Calvert Group. He was an officer and director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003).
|
28 |
|
||
OFFICERS |
|||||||
KAREN BECKER Age: 55 |
Chief Compliance Officer |
2005 |
Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. |
||||
SUSAN WALKER BENDER , Esq.AGE: 48 |
Assistant Vice-President & Assistant Secretary
|
1988 CSIF 2000 CSIS 1992 CWVF
2000 Impact |
Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. |
|
|||
THOMAS DAILEY AGE: 43 |
Vice President
|
2004 CSIF |
Vice President of Calvert Asset Management Company, Inc.
|
|
|||
IVY WAFFORD DUKE , Esq.AGE: 39 |
Assistant Vice-President & Assistant Secretary
|
1996 CSIF 2000 CSIS 1996 CWVF
2000 Impact |
Assistant Vice President and Associate General Counsel of Calvert Group, Ltd., and since 2004, Chief Compliance Officer for Calvert Asset Management Company, investment advisor to the Funds. |
||||
TRACI L. GOLDT AGE: 34 |
Assistant Secretary |
2004 |
Executive Assistant to General Counsel, Calvert Group, Ltd. |
||||
GREGORY B. HABEEB AGE: 57 |
Vice President |
2004 CSIF |
Senior Vice President of Calvert Asset Management Company, Inc. |
|
|||
DANIEL K. HAYES AGE: 57 |
Vice President |
1996 CSIF 2000 CSIS 1996 CWVF
2000 Impact |
Senior Vice President of Calvert Asset Management Company, Inc. |
|
|
||
HUI PING HO, CPA AGE: 42 |
Assistant Treasurer |
2000
|
Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. |
||||
LANCELOT A. KING, Esq.AGE: 37 |
Assistant Vice President & Assistant Secretary |
2002 |
Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2002, Mr. King was an associate with Mintz, Levin, Cohn, Ferris, Glovsky & Popeo. |
||||
EDITH LILLIE AGE: 50 |
Assistant Secretary |
2007 |
Assistant Secretary (since 2007) and Regulatory Matters Manager of Calvert Group, Ltd. |
||||
AUGUSTO DIVO MACEDO, Esq. AGE: 44 |
Assistant Vice President & Assistant Secretary |
2007 |
Assistant Vice President, Assistant Secretary, and Associate Counsel Compliance Calvert Group, Ltd. Mr. Macedo joined Calvert in 2005. Prior to joining Calvert, Mr. Macedo served as 2nd Vice President at Acacia Life Insurance Company and The Advisors Group, Acacia's broker-dealer and federally registered investment adviser. |
||||
JANE B. MAXWELL Esq. AGE: 55 |
Assistant Vice President & Assistant Secretary |
2005 |
Assistant Vice President, Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2004, Ms. Maxwell was an associate with Sullivan & Worcester LLP. |
||||
ANDREW K. NIEBLER, Esq.AGE: 40 |
Assistant Vice President & Assistant Secretary |
2006 |
Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert, Mr. Niebler was an Associate with Cleary, Gottlieb, Steen & Hamilton LLP. |
||||
CATHERINE P. ROY AGE: 51 |
Vice President |
2004
|
Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2004, Ms. Roy was Senior Vice President of US Fixed Income for Baring Asset Management, and SVP and Senior Portfolio Manager of Scudder Insurance Asset Management. |
||||
WILLIAM M. TARTIKOFF, Esq .AGE: 60 |
Vice President and Secretary |
1990 CSIF 2000 CSIS 1992 CWVF 2000 Impact |
Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd. |
|
|||
RONALD M. WOLFSHEIMER, CPA AGE: 55 |
Treasurer
|
1982 CSIF 2000 CSIS 1992 CWVF
2000 Impact |
Senior Vice President and Chief Financial and Administrative Officer of Calvert Group, Ltd. and Fund Treasurer. |
||||
MICHAEL V. YUHAS JR. , CPAAGE: 46 |
Fund Controller |
1999 CSIF 2000 CSIS 1999 CWVF 2000 Impact |
Vice President of Fund Administration of Calvert Group, Ltd. and Fund Controller. |
|
The address of Directors/Trustees and Officers is 4550 Montgomery Avenue, Suite 1000N, Bethesda, Maryland 20814, except Mr. Silby's address is 1715 18th Street, N.W., Washington, DC 20009. Ms. Krumsiek is an interested person of the Fund since she is an officer and director of the Fund's advisor and its affiliates. Mr. Silby is an interested person of the Fund since he is a director of the parent company of the Fund's advisor.
Additional information about the Fund's Directors/Trustees can be found in the Statement of Additional Information (SAI). You can get a free copy of the SAI at www.calvert.com, or by contacting your broker, or the Fund at 1-800-368-2745.
Calvert Social Investment Funds
To Open an Account
800-368-2748
Yields and Prices
Calvert Information Network
(24 hours, 7 days a week)
800-368-2745
Service for Existing Account
Shareholders: 800-368-2745
Brokers: 800-368-2746
TDD for Hearing Impaired
800-541-1524
Branch Office
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
Registered, Certified
or Overnight Mail
Calvert Group
c/o BFDS
330 West 9th Street
Kansas City, MO 64105
Web Site
http://www.calvert.com
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
Tax-Exempt Money Market Funds
CTFR Money Market Portfolio
Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
CTFR Vermont Municipal Portfolio
National Muni. Intermediate Fund
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Floating Income Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Calvert Social Index Fund
Calvert Small Cap Value Fund
Calvert Mid Cap Value Fund
Calvert Global Alternative Energy Fund
Calvert International Opportunities Fund
Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
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<PAGE>
Calvert
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September 30, 2007
Annual Report
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Investments that make a difference®
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Table of Contents
President's Letter
1
Social Update
4
Portfolio Management Discussion
7
Shareholder Expense Example
13
Report of Independent Registered Public Accounting Firm
16
Statements of Net Assets
17
Statements of Operations
20
Statements of Changes in Net Assets
21
Notes to Financial Statements
24
Financial Highlights
30
Explanation of Financial Tables
34
Proxy Voting and Availability of Quarterly Portfolio Holdings
36
Trustee and Officer Information Table
38
Dear Shareholder:
Over the 12 months ended September 30, 2007, the U.S. and international equity markets fluctuated dramatically, moving from a fairly steady upward climb during the first half of the period to marked volatility in the third quarter of this year. In July, turmoil from the subprime mortgage market spilled over into stock markets at home and abroad as subprime lenders and other financial institutions worldwide suffered declines and investors became increasingly risk averse.
Despite the subprime woes, the overall U.S. stock market, as measured by the Standard & Poor's 500 Index, climbed a healthy 16.42% for the 12-month period. U.S. mid-cap stocks were the strongest performers, followed by large-cap stocks. Small-cap stocks brought up the rear, ending a five-year stint in the leadership position. International stock markets outpaced the U.S., demonstrating resilience despite high energy prices, inflationary pressures, and other global concerns. The Morgan Stanley Capital International (MSCI) Europe Australasia Far East (EAFE) Index, a benchmark for non-U.S. stocks, returned 25.38%, boosted in part by a weak U.S. dollar. Emerging markets, however, again outshone other regions, as many of these countries continued to enjoy growing consumer demand.
A Look at the Subprime Situation
The volatility in the global stock markets this summer was caused by the turmoil in the subprime mortgage market. Many of these mortgages were packaged into securities of varying complexity. Some of these received top credit ratings and were purchased by financial firms, including hedge funds and investment banks, around the world. When default rates for the underlying mortgages started to increase much more quickly than expected, some holders of the securities were forced to mark down their values.
A Reevaluation of Risk
The unexpected declines in value forced the liquidation of several high-profile hedge funds, hurt the stock prices of financial companies, and generally caused investors to reevaluate risk in the global stock and bond markets. While these events may seem unsettling, we view them as a normal correction in the equity and financial markets, returning to the traditionally lower prices seen for riskier assets. In recent years, investors had been irrationally paying as much for riskier stocks as for higher-quality stocks in the hopes of earning a little more return. Also, volatility in the stock market had been near historic lows. Now, in this more cautious environment, we see opportunities for larger-cap and higher-quality stocks to shine.
Growth Overtakes Value
The reporting period also featured the reversal of a long trend. For the first time in nearly seven years, growth stocks outperformed value stocks, as the Russell 1000® Growth Index returned 19.35% while the Russell 1000® Value Index gained 14.45%. Many of Calvert's equity funds tend to have a growth tilt, so the continued leadership of growth stocks would be a welcome change. And given the current market environment, we believe this trend may build momentum.
Calvert Conducts Climate Change Survey
In early 2007, Calvert conducted an on-line survey of shareholders and clients to help us sharpen the focus and assess the relevance of the environmental, social, and governance criteria that we use to evaluate companies for our socially responsible portfolios.
More than 1,500 Calvert shareholders responded to the survey on climate change and other environmental concerns. Of those responding, 97% said the leading reason they chose socially responsible funds was to invest in companies with good environmental practices. Also, climate change topped the list of socially responsible investors' concerns, and 90% of investors said that their unease about climate change has increased over the last five years.
Two New Funds Debut
Partially in response to these results, Calvert launched the Calvert Global Alternative Energy Fund on May 31, 2007. The Fund, which is managed by Dublin-based KBC Asset Management International Ltd., invests in a broad universe of U.S. and non-U.S. stocks that are significantly involved in the alternative energy industry. The Fund offers investors the opportunity to address the urgent issue of climate change while investing in one of the fastest-growing market sectors globally. Keep in mind, however, that this is a sector fund, which means it is likely to be volatile over time. It's important that investors in this Fund have a long-term perspective and time horizon.
In addition, Calvert launched the Calvert International Opportunities Fund, managed by London-based subadvisor F&C Management Limited, on May 31. This Fund seeks long-term capital appreciation by investing in growth-oriented small-cap and mid-cap foreign stocks. Coupled with the Calvert World Values International Equity Fund, which invests in large-cap foreign stocks, the Calvert International Opportunities Fund gives Calvert investors access to the full range of market capitalizations in foreign companies.
Calvert Continues to Grow
Also during the reporting period, Calvert surpassed $15 billion in total assets under management. As we continue to grow, Calvert remains committed to striving to maximize the performance of our funds in terms of both financial returns to shareholders and returns to society as a whole.
Thank you for your continued confidence in our mutual funds, and we look forward to continuing our endeavor to meet your investment needs in the future.
Sincerely,
Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
October 2007
For more information on any Calvert fund, please contact Calvert at 800.368.2748 for a free prospectus. An investor should consider the investment objectives, risks, charges, and expenses of an investment carefully before investing. The prospectus contains this and other information. Read it carefully before you invest or send money.
Calvert mutual funds are underwritten and distributed by Calvert Distributors, Inc., member FINRA, subsidiary of Calvert Group, Ltd., 4550 Montgomery Avenue, Suite 1000N, Bethesda, MD 20814.
Social Update
from the Calvert Social Research Department
The work of Calvert's Social Research Department and our unique investment programs continue to demonstrate Calvert's leadership in socially responsible investment practices. This Social Update highlights key initiatives and involvement for the 12-month reporting period ended September 30, 2007.
Shareholder Advocacy
Shareholder resolutions have been a key tool in enhancing shareholders' communications with the companies they invest in for more than three decades--but now that tool is in serious jeopardy as the Securities and Exchange Commission (SEC) evaluates making changes to the shareholder resolution process. As a result, Calvert Group has been playing a major role in the campaign to preserve shareholder rights this year. We have expressed our strong opposition to the SEC in formal comments on several alternative proposals. In September, Paul Hilton, Calvert Director of Advanced Equities Research, along with other members of the Social Investment Forum, spent a day lobbying members of Congress on the issue. Calvert also participated in a press event to bring public attention to this issue.
We believe the SEC's proposed alternatives would severely undermine shareholders' rights to submit resolutions that raise environmental, governance, and social issues. In fact, Calvert believes that, instead of rolling back investors' rights, the Commission ought to move in the other direction and allow shareholders to submit a wider range of resolutions. We will continue to actively work toward a favorable resolution of this issue.
The Results of This Year's Campaign
Our 2007 proxy season was our most successful one yet. We filed or co-filed an all-time high of 36 shareholder resolutions encouraging the companies in our portfolios to change their policies on issues ranging from employee diversity to climate-change reporting. Of these, 20 were withdrawn after companies agreed to make changes in these areas. Of the 11 that have been voted upon, two resolutions received more than 50% of the vote--our best showing ever. One of the resolutions was for Unisys Corp. on disclosure of political contributions and the other was for HCC Insurance Holdings on employee diversity.1 Four more resolutions received about one-third of the vote or higher, which is still a remarkably high number. For more information on the proxy votes, please visit www.calvert.com, select "Socially Responsible Investing" and click on "Shareholder Advocacy."
Political Contributions
As the 2008 elections draw near, we have increased our focus on corporate political contributions. We believe it is important for companies to ensure that political activity is conducted with integrity as part of a strong and enforceable code of conduct, and that political spending is fully disclosed to shareholders. In fact, five of the shareholder resolutions we filed this year called for companies to report all types of political contributions. One received a vote of 52% (Unisys), and three--Hewlett-Packard Co., Pfizer, and Medtronic-- were withdrawn successfully after those companies decided to make the disclosures. In one case, the resolution was withdrawn after the company was acquired.
Special Equities
A modest but important portion of certain Funds is allocated for venture capital investment in innovative companies that are developing for-profit products or services that address important social or environmental issues. Illinois-based Sword Diagnostics is one such investment. Sword's technology reduces the time for food manufacturers to detect the presence of potentially deadly listeria bacteria by one-third--so they can act to stop the contamination within hours instead of two to three days.2 In New York, Marrone Organic Innovations is tackling one of the biggest hurdles to lowering the cost and increasing the availability of organically grown food--by creating effective, natural products for pest management.3 Specifically, the company creates new products to control weeds, pests, and other plant diseases using naturally occurring microorganisms it has identified.
Sudan Divestment
Calvert Group's work toward ending the atrocities in Darfur continues. On October 3, Calvert Senior Vice President of Social Research and Policy, Bennett Freeman, delivered testimony to the U.S. Senate Committee on Banking, Housing, and Urban Affairs about how asset managers can use targeted divestment to increase economic and political pressure on the Khartoum Government in ways consistent with their fiduciary responsibilities. We also continue to lend analytical and advocacy support to the Sudan Divestment Task Force (SDTF) and the Save Darfur Coalition (SDC), with whom we formed relationships earlier this year.
Community Investments
Many of our Funds participate in Calvert's High Social Impact Investing (HSII) program, which is administered through the Calvert Social Investment Foundation. This community investment program may allocate up to 1% to 3% of Fund assets at below-market interest rates to investments that provide economic opportunity for struggling populations.4
During the reporting period, the Calvert Social Investment Foundation invested in Tides Shared Spaces, a program of the Tides nonprofit network, to help develop a nonprofit office center in New York City using a "green" architectural plan. This shared-space facility will provide stable rental rates for a number of nonprofits as well as conference center facilities and opportunities for tenant collaboration and sharing. Tides has already established a similar center in San Francisco.
As a result of the HSII program, eBay-owned MicroPlace has chosen the Calvert Foundation's Community Investment Note program as one of the first securities issuers for its new microfinance business.5 The MicroPlace website allows the public to invest in various institutions that provide small loans to impoverished entrepreneurs around the world. This is a major innovation--harnessing the power of the Internet to exponentially expand and revolutionize the practice of microfinance investing. You should feel proud that your investment in the Calvert Funds was instrumental in the establishment of this groundbreaking online marketplace.
As always, we appreciate your investment in Calvert mutual funds and will continue to manage your investments with an eye on both financial performance and corporate integrity.
1. As of September 30, 2007, the following companies represented the following percentages of net assets: Unisys 0.03% of Calvert Social Index Fund; HCC Insurance Holdings 1.03% of Calvert New Vision Small Cap Fund and 0.04% Calvert Social Index Fund; Hewlett-Packard 2.19% of Calvert Large Cap Growth Fund and 1.55% of Calvert Social Index Fund; Pfizer 2.01% of Calvert Social Index Fund and 1.24% of Calvert Large Cap Growth Fund; and Medtronic 0.76% of Calvert Social Index Fund and 0.67% of Calvert Large Cap Growth Fund.
2. As of September 30, 2007, Sword Diagnostics represented 0.02% of CSIF Equity Portfolio.
3. As of September 30, 2007, Marrone Organic Innovations represented 0.02% of CSIF Equity Portfolio.
4. As of September 30, 2007, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: Calvert Capital Accumulation Fund, 1.01%; Calvert World Values Fund International Equity Fund, 0.54%; Calvert New Vision Small Cap Fund, 0.81%; and Calvert Large Cap Growth Fund, 0.17%. All holdings are subject to change without notice. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization. The Foundation's Community Investment Note Program is not a mutual fund and should not be confused with any Calvert Group-sponsored-investment product.
5. As of September 30, 2007, eBay represented 0.54% of Calvert Social Index Fund and 2.06% of Calvert Large Cap Growth Fund.
Portfolio Management Discussion
John Nichols,
Vice President,
Equities
of Calvert Asset Management Company
Investment Performance
For the 12 months ended September 30, 2007, the Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund all performed solidly, although they did underperform their respective blended benchmarks.1
Calvert Conservative Allocation Fund, Class A shares (at NAV*) returned 8.27% versus 8.73% for its blended benchmark. Calvert Moderate Allocation Fund Class A shares (at NAV*) returned 11.46%, lagging the 13.87% return of its blended benchmark. Calvert Aggressive Allocation Fund A shares (at NAV*) returned 14.18%, behind the 17.59% return of the benchmark blend. Across all three Funds, the underlying U.S. equity Funds were the primary source of underperformance during the period.
Investment Climate
Over the past year, stocks outperformed bonds, generally rewarding those investors willing to take on a higher level of risk in their investments. The Russell 3000® Index--a measure of the U.S. stock market included in each of the Funds' blended benchmarks--returned 16.52%. Bonds posted more modest returns of 4.23%, as measured by the Lehman U.S. Credit Index. International stocks continued to shine, with a 25.38% return for the Morgan Stanley Capital International Europe Australasia Far East (MSCI EAFE) Index.
Investor enthusiasm was high last fall once it became apparent that the Federal Reserve (Fed) was not planning any more hikes in short-term interest rates, and the enthusiasm carried over into 2007. Equity markets generally continued to fare well through the spring, propelled by strong merger and leveraged buyout activity. Then, declining home sales and values, rising mortgage defaults, and mounting losses by financial companies from the turmoil in fixed-income markets--with signs that more of all were yet to come--conspired to drive stocks down.
Increasing uncertainty in the U.S. markets spread abroad as the prices of fixed-income securities backed by mortgages and other types of assets fell sharply. Investors flocked to quality and the yield difference between lower- and higher-quality securities widened sharply. The Fed responded with a surprise cut in the bank discount rate on August 17, making it less expensive for member banks to borrow money. A month later, it cut the target fed funds rate by 0.5% to further assuage the markets.
Both equity and bond markets have responded favorably to the Fed's actions and the period ended on a positive note.
Portfolio Strategy
For the 12-month reporting period, the Funds enjoyed a performance boost from the relatively strong return of CSIF Bond Portfolio, which is the fixed-income allocation in each Allocation Fund. While the overall market performance of bonds was weak relative to stocks, CSIF Bond Portfolio (Class I) returned 5.89% for the period, ahead of the Lehman U.S. Credit Index, which returned 4.23%.
The strong performance of CSIF Bond Portfolio was the result of several factors. First, we maintained an overall high credit-quality bias and short relative duration. (Duration is a measure of a portfolio's sensitivity to changes in interest rates. The longer the duration, the greater the price change relative to interest-rate movements.) Short-term securities (those maturing in one year or less) offered higher yields than those of longer-term bonds (maturing in 10 years or more) through early 2007. The short relative duration also protected the portfolio when this trend reversed during the second quarter.
Calvert's equity funds fared less well during the period, and that fact contributed to the underperformance of the three Allocation Funds relative to their respective benchmarks. Unfavorable sector weightings and stock selection were the common elements that detracted from performance. Underweights to the Energy and Materials sectors and overweights to Financials were particularly detrimental.
The tide seemed to turn in favor of large-cap stocks midway through the period, but only two of the four underlying Calvert large-cap Funds outperformed the benchmark Russell 3000 Index: CSIF Equity Portfolio and Calvert Large Cap Growth Fund.2 Unfortunately, we tended to have more exposure to the underperforming large-cap funds--Calvert Social Index Fund and CSIF Enhanced Equity Portfolio. Calvert World Values International Equity Fund posted the best 12-month return among the underlying equity Funds, but still underperformed its benchmark, the MSCI EAFE Index.
New Additions
During 2007, Calvert's newest equity funds became eligible for inclusion in the Calvert Allocation Funds. Calvert International Opportunities Fund focuses on non-U.S. small- and mid-cap stocks, which will complement the Calvert World Values International Equity Fund with a measure of market-cap diversification. Calvert Global Alternative Energy Fund, which seeks the best investment opportunities in alternative energy companies around the globe, was added to increase the Energy sector exposure of the Funds' equity portfolios.
Outlook
Although it is difficult to assess the long-term implications, the Fed's actions in August and September seem to have thus far diffused the turmoil in the equity and bond markets. One unknown is whether investors will once again start downplaying risk, which could create more volatility down the road. The deep housing slump increases the risk of recession, and the rise in commodity prices and the falling dollar may keep the overall (not core) inflation rate elevated. We believe that the Fed may further reduce the target fed funds rate this fall, but perhaps not by as much as some expect.
We are encouraged by the good performance of large-cap growth stocks over the past year--which bodes well for the Funds since the lion's share of the U.S. equity allocation is devoted to large-cap Funds.
Looking ahead, we believe that our disciplined processes and diversified portfolios should reward long-term investors in these socially responsible asset-allocation funds.
October 2007
* Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.
1. Calvert Conservative Allocation Benchmark Blend: 60% Lehman U.S. Credit Index, 22% Russell 3000® Index, 8% MSCI EAFE Index, 10% 3-month U.S. Treasury Bills. Calvert Moderate Allocation Benchmark Blend: 30% Lehman U.S. Credit Index, 47% Russell 3000® Index, 18% MSCI EAFE Index, 5% 3-month U.S. Treasury Bills. Calvert Aggressive Allocation Benchmark Blend: 10% Lehman U.S. Credit Index, 64% Russell 3000® Index, 26% MSCI EAFE Index.
2. For the purposes of the Allocation Funds, the performance of each of the underlying equity Funds is measured against the Russell 3000® Index. However, each individual Fund has a benchmark specific to its investment style, which it may or may not have outperformed for the same time period.
Conservative Allocation Fund
September 30, 2007
Asset Allocation |
% of total investments |
||
Domestic Equity Mutual Funds |
21% |
||
International Equity Mutual Funds |
8% |
||
Fixed Income Mutual Funds |
71% |
||
Total |
100% |
||
Investment |
6 Months |
12 Months |
|
Performance |
|||
(TOTAL RETURN AT NAV*) |
|||
Class A |
3.66% |
8.27% |
|
Class C |
2.88% |
6.67% |
|
Conservative Allocation |
|||
Blended Benchmark1 |
3.42% |
8.73% |
|
Lipper Mixed-Asset Target Allocation |
|||
Conservative Funds Average |
3.23% |
8.04% |
|
Moderate Allocation Fund |
|||
September 30, 2007 |
|||
Asset Allocation |
% of total investments |
||
Domestic Equity Mutual Funds |
47% |
||
International Equity Mutual Funds |
18% |
||
Fixed Income Mutual Funds |
35% |
||
Total |
100% |
||
Investment |
6 Months |
12 Months |
|
Performance |
|||
(TOTAL RETURN AT NAV*) |
|||
Class A |
5.24% |
11.46% |
|
Class C |
4.85% |
10.62% |
|
Moderate Allocation |
|||
Blended Benchmark1 |
5.64% |
13.87% |
|
Lipper Mixed-Asset Target Allocation |
|||
Growth Funds Average |
6.51% |
14.04% |
|
Aggressive Allocation Fund |
|||
September 30, 2007 |
|||
Asset Allocation |
% of total investments |
||
Domestic Equity Mutual Funds |
63% |
||
International Equity Mutual Funds |
27% |
||
Fixed Income Mutual Funds |
10% |
||
Total |
100% |
||
Investment |
6 Months |
12 Months |
|
Performance |
|||
(TOTAL RETURN AT NAV*) |
|||
Class A |
6.26% |
14.18% |
|
Class C |
5.55% |
12.56% |
|
Aggressive Allocation |
|||
Blended Benchmark1 |
7.22% |
17.59% |
|
Lipper Multi-Cap |
|||
Core Funds Average |
7.68% |
17.00% |
|
Conservative Allocation Fund Statistics |
|||
September 30, 2007 |
|||
Average Annual Total Returns |
|||
(with max. load) |
|||
Class A Shares |
|||
One year |
3.12% |
||
Since Inception |
4.92% |
||
(4/29/05) |
|||
Class C Shares |
|||
One year |
5.67% |
||
Since inception |
5.75% |
||
(4/29/05) |
Performance Comparison
Comparison of change in value of $10,000 investment.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's Class A maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. The value of an investment in Class A and C shares is plotted in the line graph. The value of an investment in another class of shares would be different. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Moderate Allocation Fund Statistics |
|||
September 30, 2007 |
|||
Average Annual Total Returns |
|||
(with max. load) |
|||
Class A Shares |
|||
One year |
6.15% |
||
Since Inception |
7.96% |
||
(4/29/05) |
|||
Class C Shares |
|||
One year |
9.69% |
||
Since inception |
9.17% |
||
(4/29/05) |
Performance Comparison
Comparison of change in value of $10,000 investment.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's Class A maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. The value of an investment in Class A and C shares is plotted in the line graph. The value of an investment in another class of shares would be different. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Aggressive Allocation Fund Statistics |
|||
September 30, 2007 |
|||
Average Annual Total Returns |
|||
(with max. load) |
|||
Class A Shares |
|||
One year |
8.78% |
||
Since Inception |
9.64% |
||
(6/30/05) |
|||
Class C Shares |
|||
One year |
11.56% |
||
Since inception |
10.71% |
||
(6/30/05) |
Performance Comparison
Comparison of change in value of $10,000 investment.
Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's Class A maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. The value of an investment in Class A and C shares is plotted in the line graph. The value of an investment in another class of shares would be different. The graph and table do not reflect the deduction of taxes that a shareholder would pay on the Fund's distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges and redemption fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2007 to September 30, 2007).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, each Fund, as a shareholder in underlying Calvert funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Calvert funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calcutlate the expense estimates in the table below. If they were, the estimate of expense you paid during the period would be higher, and your ending account value lower.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, each Fund, as a shareholder in underlying Calvert funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Calvert funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below. If they were, the estimate of expense you paid during the per iod would be higher, and your ending account value lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning |
Ending Account Value |
Expenses Paid |
|
Conservative |
|||
Class A |
|||
Actual |
$1,000.00 |
$1,036.60 |
$2.25 |
Hypothetical |
$1,000.00 |
$1,022.86 |
$2.23 |
(5% return per year before expenses) |
|||
Class C |
|||
Actual |
$1,000.00 |
$1,028.80 |
$10.17 |
Hypothetical |
$1,000.00 |
$1,015.04 |
$10.10 |
(5% return per year before expenses) |
*Expenses for Conservative are equal to the annualized expense ratios of 0.44% and 2.00% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/365. The fees and expenses of the underlying Calvert funds in which the Fund invests are not included in the annualized expense ratios.
Beginning |
Ending Account |
Expenses Paid |
|
Moderate |
|||
Class A |
|||
Actual |
$1,000.00 |
$1,052.40 |
$3.73 |
Hypothetical |
$1,000.00 |
$1,021.43 |
$3.68 |
(5% return per year before expenses) |
|||
Class C |
|||
Actual |
$1,000.00 |
$1,048.50 |
$7.58 |
Hypothetical |
$1,000.00 |
$1,017.66 |
$7.47 |
(5% return per year before expenses) |
*Expenses for Moderate are equal to the annualized expense ratios of 0.73% and 1.48% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/365. The fees and expenses of the underlying Calvert funds in which the Fund invests are not included in the annualized expense ratios.
Beginning |
Ending Account |
Expenses Paid |
|
Aggressive |
|||
Class A |
|||
Actual |
$1,000.00 |
$1,062.60 |
$2.22 |
Hypothetical |
$1,000.00 |
$1,022.91 |
$2.18 |
(5% return per year before expenses) |
|||
Class C |
|||
Actual |
$1,000.00 |
$1,055.50 |
$8.81 |
Hypothetical |
$1,000.00 |
$1,016.50 |
$8.64 |
(5% return per year before expenses) |
*Expenses for Aggressive are equal to the annualized expense ratios of 0.43% and 1.71% for Class A and Class C respectively, multiplied by the average account value over the period, multiplied by 183/365. The fees and expenses of the underlying Calvert funds in which the Fund invests are not included in the annualized expense ratios.
Report of Independent Registered Public Accounting Firm
The Board of Trustees of Calvert Social Investment Fund and Shareholders of the Calvert Allocation Portfolios:
We have audited the accompanying statements of net assets of the Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund (collectively the Funds) each a series of the Calvert Social Investment Fund, as of September 30, 2007, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the two-year period then ended and the period from inception through September 30, 2005 (inception for the Calvert Conservative Allocation Fund and Calvert Moderate Allocation Fund was April 29, 2005, inception for the Calvert Aggressive Allocation Fund was June 30, 2005). These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2007, by correspondence with custodians and brokers. As to securities purchased or sold but not yet received or delivered, we performed other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund as of September 30, 2007, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the two-year period then ended and the period from inception through September 30, 2005, in conformity with U.S. generally accepted accounting principles.
/s/KPMG LLP
Philadelphia, Pennsylvania
November 19, 2007
Conservative Allocation Fund
Statement of Net Assets
September 30, 2007
Mutual Funds - 99.9% |
Shares |
Value |
||
Calvert Impact Fund, Inc: |
|
|||
Calvert Large Cap Growth Fund, Class I* |
13,145 |
$490,966 |
||
Calvert Mid Cap Value Fund, Class I |
15,136 |
313,924 |
||
Calvert Small Cap Value Fund, Class I* |
7,070 |
136,528 |
||
Calvert Social Index Series, Inc: |
|
|||
Calvert Social Index Fund, Class I |
46,193 |
643,008 |
||
Calvert Social Investment Fund: |
|
|||
Bond Portfolio, Class I |
722,172 |
11,511,415 |
||
Enhanced Equity Portfolio, Class I |
60,127 |
1,242,816 |
||
Equity Portfolio, Class I* |
11,573 |
495,193 |
||
Calvert World Values Fund, Inc: |
|
|||
Calvert Capital Accumulation Fund, Class I* |
4,980 |
145,211 |
||
International Equity Fund, Class I |
48,041 |
1,304,322 |
||
|
||||
Total Mutual Funds (Cost $15,769,729) |
16,283,383 |
|||
|
||||
TOTAL INVESTMENTS (Cost $15,769,729) - 99.9% |
16,283,383 |
|||
Other assets and liabilities, net - 0.1% |
17,632 |
|||
Net Assets - 100% |
$16,301,015 |
|||
Net Assets Consist of: |
|
|||
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: |
||||
Class A: 745,463 shares outstanding |
$11,769,595 |
|||
Class C: 246,021 shares outstanding |
3,852,586 |
|||
Undistributed net investment income |
1,159 |
|||
Accumulated net realized gain (loss) on investments |
164,021 |
|||
Net unrealized appreciation (depreciation) on investments |
513,654 |
|||
Net Assets |
$16,301,015 |
|||
|
||||
Net Asset Value Per Share |
|
|||
Class A (based on net assets of $12,265,057) |
$16.45 |
|||
Class C (based on net assets of $4,035,958) |
$16.40 |
*Non-income producing security.
See notes to financial statements.
Moderate Allocation Fund
Statement of Net Assets
September 30, 2007
Mutual Funds - 100.1% |
|||
Calvert Impact Fund, Inc.: |
|
||
Calvert Global Alternative Energy Fund, Class I* |
93,783 |
$1,535,221 |
|
Calvert Large Cap Growth Fund, Class I* |
221,183 |
8,261,185 |
|
Calvert Mid Cap Value Fund, Class I |
82,175 |
1,704,302 |
|
Calvert Small Cap Value Fund, Class I* |
129,988 |
2,510,073 |
|
Calvert Social Index Series, Inc.: |
|
||
Calvert Social Index Fund, Class I |
252,085 |
3,509,028 |
|
Calvert Social Investment Fund: |
|
||
Bond Portfolio, Class I |
1,941,897 |
30,953,835 |
|
Enhanced Equity Portfolio, Class I |
624,672 |
12,911,976 |
|
Equity Portfolio, Class I* |
210,867 |
9,022,990 |
|
Calvert World Values Fund, Inc.: |
|
||
Calvert Capital Accumulation Fund, Class I* |
60,994 |
1,778,572 |
|
Calvert International Opportunities Fund, Class I* |
97,970 |
1,503,847 |
|
International Equity Fund, Class I |
483,056 |
13,114,965 |
|
The Calvert Fund: |
|
||
Calvert New Vision Small Cap Fund, Class I * |
139,169 |
2,574,629 |
|
|
|||
|
|||
Total Mutual Funds (Cost $83,803,900) |
89,380,623 |
||
|
|||
TOTAL INVESTMENTS (Cost $83,803,900) - 100.1% |
89,380,623 |
||
Other assets and liabilities, net - (0.1%) |
(70,551) |
||
Net Assets - 100% |
$89,310,072 |
||
Net Assets Consist of: |
|
||
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: |
|
||
Class A: 3,919,579 shares outstanding |
$66,195,964 |
||
Class C: 967,154 shares outstanding |
16,151,214 |
||
Undistributed net investment income |
7,058 |
||
Accumulated net realized gain (loss) on investments |
1,379,113 |
||
Net unrealized appreciation (depreciation) on investments |
5,576,723 |
||
Net Assets |
$89,310,072 |
||
|
|||
|
|||
Net Asset Value Per Share |
|
||
Class A (based on net assets of $71,745,921) |
$18.30 |
||
Class C (based on net assets of $17,564,151) |
$18.16 |
*Non-income producing security.
See notes to financial statements.
Aggressive Allocation Fund
Statement of Net Assets
September 30, 2007
Mutual Funds - 100.0% |
Shares |
Value |
|
Calvert Impact Fund, Inc.: |
|
||
Calvert Global Alternative Energy Fund, Class I * |
94,305 |
$1,543,773 |
|
Calvert Large Cap Growth Fund, Class I * |
138,944 |
5,189,566 |
|
Calvert Mid Cap Value Fund, Class I |
51,437 |
1,066,802 |
|
Calvert Small Cap Value Fund, Class I * |
157,205 |
3,035,635 |
|
Calvert Social Index Series, Inc.: |
|
||
Calvert Social Index Fund, Class I |
143,100 |
1,991,953 |
|
Calvert Social Investment Fund: |
|
||
Bond Portfolio, Class I |
321,998 |
5,132,654 |
|
Enhanced Equity Portfolio, Class I |
503,328 |
10,403,791 |
|
Equity Portfolio, Class I * |
169,035 |
7,233,000 |
|
Calvert World Values Fund, Inc.: |
|
||
Calvert Capital Accumulation Fund, Class I * |
30,350 |
885,016 |
|
Calvert International Opportunities Fund, Class I * |
99,195 |
1,522,639 |
|
International Equity Fund, Class I |
391,016 |
10,616,078 |
|
The Calvert Fund: |
|
||
Calvert New Vision Small Cap Fund, Class I * |
162,043 |
2,997,791 |
|
Total Mutual Funds (Cost $47,997,465) |
51,618,698 |
||
|
|||
TOTAL INVESTMENTS (Cost $47,997,465) - 100.0% |
51,618,698 |
||
Other assets and liabilities, net - (0.0%) |
(9,722) |
||
Net Assets - 100% |
$51,608,976 |
||
Net Assets Consist of: |
|
||
Paid-in capital applicable to the following shares of beneficial interest, unlimited number of no par value shares authorized: |
|
||
Class A: 2,316,116 shares outstanding |
$40,233,901 |
||
Class C: 408,200 shares outstanding |
6,927,653 |
||
Accumulated net realized gain (loss) on investments |
826,189 |
||
Net unrealized appreciation (depreciation) on investments |
3,621,233 |
||
Net Assets |
$51,608,976 |
||
|
|||
Net Asset Value Per Share |
|
||
Class A (based on net assets of $44,004,076) |
|
$19.00 |
|
Class C (based on net assets of $7,604,900) |
|
$18.63 |
*Non-income producing security.
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2007
Conservative |
Moderate |
Aggressive |
||
Net Investment Income |
||||
Investment Income: |
||||
Dividend income |
$479,831 |
$1,620,127 |
$482,956 |
|
Total investment income |
479,831 |
1,620,127 |
482,956 |
|
Expenses: |
||||
Transfer agency fees and expenses |
36,200 |
120,228 |
107,348 |
|
Administrative fees |
18,048 |
98,609 |
51,906 |
|
Distribution Plan expenses: |
|
|||
Class A |
22,368 |
131,219 |
72,764 |
|
Class C |
30,848 |
132,514 |
54,983 |
|
Trustees' fees and expenses |
1,481 |
8,117 |
4,331 |
|
Registration fees |
24,157 |
28,333 |
25,739 |
|
Reports to shareholders |
2,710 |
17,451 |
12,241 |
|
Professional fees |
17,952 |
19,175 |
18,428 |
|
Accounting fees |
30,266 |
34,410 |
33,588 |
|
Miscellaneous |
1,605 |
3,090 |
2,009 |
|
Total expenses |
185,635 |
593,146 |
383,337 |
|
Reimbursement from Advisor: |
||||
Class A |
(81,642) |
-- |
(160,923) |
|
Class C |
(2,929) |
-- |
-- |
|
Net expenses |
101,064 |
593,146 |
222,414 |
|
Net Investment Income |
378,767 |
1,026,981 |
260,542 |
|
Realized and Unrealized |
||||
Gain (Loss) on Investments |
||||
Net realized gain (loss) |
176,222 |
1,395,164 |
904,614 |
|
Change in unrealized appreciation or (depreciation) |
353,099 |
4,096,172 |
2,889,844 |
|
Net Realized and Unrealized |
||||
Gain (Loss) on Investments |
529,321 |
5,491,336 |
3,794,458 |
|
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
$908,088 |
$6,518,317 |
$4,055,000 |
See notes to financial statements.
Statements of Operations
Year Ended September 30, 2007
Conservative |
Moderate |
Aggressive |
|||
Net Investment Income |
|||||
Investment Income: |
|||||
Dividend income |
$479,831 |
$1,620,127 |
$482,956 |
||
Total investment income |
479,831 |
1,620,127 |
482,956 |
||
Expenses: |
|||||
Transfer agency fees and expenses |
36,200 |
120,228 |
107,348 |
||
Administrative fees |
18,048 |
98,609 |
51,906 |
||
Distribution Plan expenses: |
|
||||
Class A |
22,368 |
131,219 |
72,764 |
||
Class C |
30,848 |
132,514 |
54,983 |
||
Trustees' fees and expenses |
1,481 |
8,117 |
4,331 |
||
Registration fees |
24,157 |
28,333 |
25,739 |
||
Reports to shareholders |
2,710 |
17,451 |
12,241 |
||
Professional fees |
17,952 |
19,175 |
18,428 |
||
Accounting fees |
30,266 |
34,410 |
33,588 |
||
Miscellaneous |
1,605 |
3,090 |
2,009 |
||
Total expenses |
185,635 |
593,146 |
383,337 |
||
Reimbursement from Advisor: |
|||||
Class A |
(81,642) |
-- |
(160,923) |
||
Class C |
(2,929) |
-- |
-- |
||
Net expenses |
101,064 |
593,146 |
222,414 |
||
Net Investment Income |
378,767 |
1,026,981 |
260,542 |
||
Realized and Unrealized |
|||||
Gain (Loss) on Investments |
|||||
Net realized gain (loss) |
176,222 |
1,395,164 |
904,614 |
||
Change in unrealized appreciation or (depreciation) |
353,099 |
4,096,172 |
2,889,844 |
||
Net Realized and Unrealized |
|||||
Gain (Loss) on Investments |
529,321 |
5,491,336 |
3,794,458 |
||
Increase (Decrease) in Net Assets |
|||||
Resulting From Operations |
$908,088 |
$6,518,317 |
$4,055,000 |
See notes to financial statements.
Conservative Allocation Fund
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income |
$378,767 |
$149,795 |
||
Net realized gain (loss) on investments |
176,222 |
47,328 |
||
Change in unrealized appreciation (depreciation) |
353,099 |
127,621 |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
908,088 |
324,744 |
||
Distributions to shareholders from |
||||
Net investment income: |
||||
Class A Shares |
(316,694) |
(119,052) |
||
Class C Shares |
(61,102) |
(30,555) |
||
Net realized gain: |
||||
Class A Shares |
(43,407) |
(1,119) |
||
Class C Shares |
(15,975) |
(546) |
||
Total distributions |
(437,178) |
(151,272) |
||
Capital share transactions: |
||||
Shares sold: |
||||
Class A Shares |
6,629,989 |
4,475,379 |
||
Class C Shares |
1,716,209 |
1,424,174 |
||
Reinvestment of distributions: |
||||
Class A Shares |
338,602 |
111,454 |
||
Class C Shares |
66,716 |
27,435 |
||
Redemption Fees: |
||||
Class A Shares |
20 |
104 |
||
Shares redeemed: |
||||
Class A Shares |
(1,310,235) |
(426,039) |
||
Class C Shares |
(182,619) |
(181,210) |
||
Total capital share transactions |
7,258,682 |
5,431,297 |
||
Total Increase (Decrease) in Net Assets |
7,729,592 |
5,604,769 |
||
Net Assets |
||||
Beginning of year |
8,571,423 |
2,966,654 |
||
End of year (including undistributed net investment income of $1,159 and $188, respectively) |
$16,301,015 |
$8,571,423 |
||
Capital Share Activity |
||||
Shares sold: |
||||
Class A Shares |
409,242 |
288,387 |
||
Class C Shares |
106,530 |
91,780 |
||
Reinvestment of distributions: |
||||
Class A Shares |
20,917 |
7,176 |
||
Class C Shares |
4,138 |
1,772 |
||
Shares redeemed: |
||||
Class A Shares |
(80,634) |
(27,312) |
||
Class C Shares |
(11,361) |
(11,645) |
||
Total capital share activity |
448,832 |
350,158 |
See notes to financial statements.
Moderate Allocation Fund
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income |
$1,026,981 |
$221,464 |
||
Net realized gain (loss) on investments |
1,395,164 |
260,853 |
||
Change in unrealized appreciation (depreciation) |
4,096,172 |
1,285,276 |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
6,518,317 |
1,767,593 |
||
Distributions to shareholders from |
||||
Net investment income: |
||||
Class A Shares |
(896,261) |
(203,830) |
||
Class C Shares |
(127,302) |
(13,994) |
||
Net realized gain: |
||||
Class A Shares |
(220,369) |
(1,452) |
||
Class C Shares |
(56,203) |
(398) |
||
Total distributions |
(1,300,135) |
(219,674) |
||
Capital share transactions: |
||||
Shares sold: |
||||
Class A Shares |
37,705,666 |
26,720,192 |
||
Class C Shares |
8,907,416 |
6,238,254 |
||
Reinvestment of distributions: |
||||
Class A Shares |
1,055,547 |
194,322 |
||
Class C Shares |
147,432 |
11,968 |
||
Redemption fees: |
||||
Class A Shares |
977 |
202 |
||
Class C Shares |
521 |
7 |
||
Shares redeemed: |
||||
Class A Shares |
(4,469,573) |
(2,497,956) |
||
Class C Shares |
(1,043,968) |
(254,295) |
||
Total capital share transactions |
42,304,018 |
30,412,694 |
||
Total Increase (Decrease) in Net Assets |
47,522,200 |
31,960,613 |
||
Net Assets |
||||
Beginning of year |
41,787,872 |
9,827,259 |
||
End of year (including undistributed net investment income of $7,058 and $3,640, respectively) |
$89,310,072 |
$41,787,872 |
||
Capital Share Activity |
||||
Shares sold: |
||||
Class A Shares |
2,132,459 |
1,639,768 |
||
Class C Shares |
508,024 |
385,504 |
||
Reinvestment of distributions: |
||||
Class A Shares |
59,856 |
11,884 |
||
Class C Shares |
8,490 |
745 |
||
Shares redeemed: |
||||
Class A Shares |
(252,013) |
(152,857) |
||
Class C Shares |
(59,172) |
(15,615) |
||
Total capital share activity |
(2,397,644) |
1,869,429 |
See notes to financial statements.
Aggressive Allocation Fund
Statements of Changes in Net Assets
Year Ended |
Year Ended |
|||
September 30, |
September 30, |
|||
Increase (Decrease) in Net Assets |
2007 |
2006 |
||
Operations: |
||||
Net investment income (loss) |
$260,542 |
($30,843) |
||
Net realized gain (loss) on investments |
904,614 |
100,748 |
||
Change in unrealized appreciation (depreciation) |
2,889,844 |
679,134 |
||
Increase (Decrease) in Net Assets |
||||
Resulting From Operations |
4,055,000 |
749,039 |
||
Distributions to shareholders from |
||||
Net investment income: |
||||
Class A Shares |
(259,195) |
(11,614) |
||
Class C Shares |
(30,182) |
(535) |
||
Net realized gain: |
||||
Class A Shares |
(89,196) |
-- |
||
Class C Shares |
(18,110) |
-- |
||
Total distributions |
(396,683) |
(12,149) |
||
Capital share transactions: |
||||
Shares sold: |
||||
Class A Shares |
27,835,488 |
13,699,365 |
||
Class C Shares |
4,270,027 |
2,411,536 |
||
Reinvestment of distributions: |
||||
Class A Shares |
335,303 |
11,188 |
||
Class C Shares |
41,910 |
523 |
||
Redemption fees: |
||||
Class A Shares |
407 |
193 |
||
Class C Shares |
58 |
1,337 |
||
Shares redeemed: |
||||
Class A Shares |
(2,475,754) |
(522,951) |
||
Class C Shares |
(466,596) |
(140,050) |
||
Total capital share transactions |
29,540,843 |
15,461,141 |
||
Total Increase (Decrease) in Net Assets |
33,199,160 |
16,198,031 |
||
Net Assets |
||||
Beginning of year |
18,409,816 |
2,211,785 |
||
End of year |
$51,608,976 |
$18,409,816 |
||
Capital Share Activity |
||||
Shares sold: |
||||
Class A Shares |
1,535,445 |
840,220 |
||
Class C Shares |
238,280 |
148,545 |
||
Reinvestment of distributions: |
||||
Class A Shares |
18,828 |
699 |
||
Class C Shares |
2,381 |
33 |
||
Shares redeemed: |
||||
Class A Shares |
(135,174) |
(32,245) |
||
Class C Shares |
(25,974) |
(8,419) |
||
Total capital share activity |
1,633,786 |
948,833 |
See notes to financial statements.
Notes to Financial Statements
Note A -- Significant Accounting Policies
General: The Calvert Conservative Allocation Fund, Calvert Moderate Allocation Fund, and Calvert Aggressive Allocation Fund (the "Funds"), each a series of the Calvert Social Investment Fund, are registered under the Investment Company Act of 1940 as non-diversified, open-end management investment companies. The operations of each series are accounted for separately. The Funds invest primarily in a combination of other Calvert equity and fixed income funds (the "Underlying Funds"). Each Fund offers Class A and Class C shares. Class A shares are sold with a maximum front-end sales charge of 4.75%. Class C shares are sold without a front-end sales charge. With certain exceptions, the Funds will impose a deferred sales charge on shares sold within one year of purchase. Class C shares have higher levels of expenses than Class A shares. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class-specific expenses, (b) exchange privileges and (c) class-spe cific voting rights.
Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in the Underlying Funds are valued at their net asset value each business day. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of Trustees.
Security Transactions and Net Investment Income: Security transactions, normally shares of the Underlying Funds, are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds.
Distributions to Shareholders: Distributions to shareholders are recorded by the Funds on ex-dividend date. Dividends from net investment income are paid quarterly. Distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Funds' capital accounts to reflect income and gains available for distribution under income tax regulations.
Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reported period. Actual results could differ from those estimates.
Redemption Fees: The Funds charge a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund. The redemption fee is paid to the Class of the Fund from which the redemption is made and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.
Expense Offset Arrangements: The Funds have an arrangement with their custodian bank whereby the custodian's fees may be paid indirectly by credits earned on each Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. Such a deposit arrangement may be an alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.
New Accounting Pronouncements: In July 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" -- an interpretation of FASB Statement 109 (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Fund's tax returns to determine whether tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. The adoption of FIN 48 is not expected to have a material impact on the Fund's financial statements.
In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2007, the Fund does not believe the adoption of SFAS No. 157 will impact the financial statement amounts, however, additional disclosures may be r equired about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
Note B -- Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services for the Funds and the Underlying Funds in which the Funds invest. The Advisor also pays the salaries and fees of officers and Trustees of the Funds who are employees of the Advisor or its affiliates. The Funds do not pay advisory fees to the Advisor for performing investment advisory services. The Advisor, however, will receive advisory fees from managing the Underlying Funds. At year end, $5,757, $22,411 and $4,674 was payable to the Advisor from Conservative, Moderate and Aggressive, respectively, for operating expenses paid by the Advisor during September 2007.
The Advisor has contractually agreed to limit direct ordinary operating expenses through January 31, 2008. The contractual expense cap is 0.44%, 0.80%, and 0.43% for Class A shares of Conservative, Moderate, and Aggressive, respectively. The contractual expense cap is 2.00% for Class C shares of each Fund. This expense limitation does not include the Underlying Fund expenses indirectly incurred by the Funds. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes, and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.
Calvert Administrative Services Company ("CASC"), an affiliate of the Advisor, provides administrative services to the Funds for an annual fee. Class A and Class C of each Fund pay an annual rate of .15%, based on their average daily net assets. Under the terms of the agreement, $1,918, $10,603, and $6,121 was payable at year end for Conservative, Moderate, and Aggressive, respectively.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Funds. Distribution Plans, adopted by Class A and Class C shares, allow the Funds to pay the Distributor for expenses and services associated with distribution of shares. The expenses paid may not exceed .35% and 1.00% annually of average daily net assets of Class A and Class C, respectively, for each Fund. The amount actually paid by the Funds is an annualized fee, payable monthly of .25% and 1.00% of the Funds' average daily net assets of Class A and Class C, respectively. Under the terms of the agreement, $5,637, $28,169, and $14,701 was payable at year end for Conservative, Moderate, and Aggressive, respectively.
The Distributor received $21,690, $157,675, and $110,543 as its portion of the commissions charged on the sales of Conservative, Moderate, and Aggressive Class A shares, respectively, for the year ended September 30, 2007.
Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Funds. For its services, CSSI received fees of $3,841, $27,993 and $23,123 for the year ended September 30, 2007 for Conservative, Moderate, and Aggressive, respectively. Under the terms of the agreement, $387, $2,715, and $2,365 was payable at year end for Conservative, Moderate and Aggressive, respectively. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.
Each Trustee of the Funds who is not an employee of the Advisor or its affiliates receives an annual retainer of $34,000 plus a meeting fee of $2,000 for each Board meeting attended. An additional Chair support fee of $24,000 annually is paid to the Fund Chair. Additional fees of up to $10,000 annually may be paid to the Chairperson of special committees of the Board and the lead disinterested Trustee. Trustees' fees are allocated to each of the funds served.
Note C -- Investment Activity
During the year, cost of purchases and proceeds from sales of the Underlying Funds were:
Conservative |
Moderate |
Aggressive |
|
Purchases |
$8,725,780 |
$45,108,164 |
$30,866,509 |
Sales |
1,288,425 |
1,645,132 |
581,251 |
The following tables present the cost of investments for federal income tax purposes, and the components of net unrealized appreciation (depreciation) at September 30, 2007:
Conservative |
Moderate |
Aggressive |
|
Federal income tax cost of investments |
$15,795,043 |
$83,833,913 |
$48,004,889 |
Unrealized appreciation |
491,957 |
5,546,710 |
3,613,809 |
Unrealized depreciation |
(3,617) |
-- |
-- |
Net appreciation/(depreciation |
488,340 |
5,546,710 |
3,613,809 |
The tax character of dividends and distributions paid during the years ended September 30, 2007 and September 30, 2006 were as follows:
Conservative
Distributions paid from: |
2007 |
2006 |
Ordinary income |
$384,557 |
$151,272 |
Long-term capital gain |
52,621 |
-- |
Total |
$437,178 |
$151,272 |
Moderate |
||
Distributions paid from: |
2007 |
2006 |
Ordinary income |
$1,099,220 |
$219,674 |
Long-term capital gain |
200,915 |
-- |
Total |
$1,300,135 |
$219,674 |
Aggressive |
||
Distributions paid from: |
2007 |
2006 |
Ordinary income |
$336,967 |
$12,149 |
Long-term capital gain |
59,716 |
-- |
Total |
$396,683 |
$12,149 |
As of September 30, 2007, the components of distributable earnings/(accumulated losses) on a tax basis were as follows:
Conservative |
Moderate |
Aggressive |
|
Undistributed ordinary income |
$2,962 |
$7,058 |
$-- |
Undistributed long-term capital gain |
187,531 |
1,409,126 |
833,612 |
Unrealized appreciation (depreciation) |
488,340 |
5,546,710 |
3,613,809 |
Total |
$678,833 |
$6,962,894 |
$4,447,421 |
The differences between the components of distributable earnings on a tax basis and the amounts reflected in the statements of net assets are primarily due to temporary book-tax differences that will reverse in a subsequent period. These differences are mainly due to wash sales for all Funds.
Reclassifications, as shown in the table below, have been made to the Fund's components of net assets to reflect income and gains available for distribution (or available capital loss carryovers, as applicable) under income tax law and regulations. These reclassifications are due to permanent book-tax differences and have no impact on net assets. The primary permanent difference causing such reclassification is due to the recharacterization of distributions for Aggressive.
Aggressive |
|
Undistributed net investment income |
$28,835 |
Accumulated net realized gain (loss) |
(28,835) |
Note D -- Line of Credit
A financing agreement is in place with all Calvert Group Funds (except for the Calvert Social Investment Fund's Balanced and Enhanced Equity Portfolios and the CVS Social Balanced Portfolio) and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the overnight Federal Funds Rate plus .50% per annum. A commitment fee of .10% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Funds had no loans outstanding pursuant to this line of credit during the year ended September 30, 2007.
Tax Information (Unaudited)
Conservative, Moderate and Aggressive designate $52,621, $200,915, and $131,543, respectively, as capital gain dividends for the fiscal year ended September 30, 2007.
For ordinary dividends distributed during the fiscal year, Conservative designates 2.5% as qualifying for the corporate dividend-received deduction and 8% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
For ordinary dividends distributed during the fiscal year, Moderate designates 6.2% as qualifying for the corporate dividend-received deduction and 26.3% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
For ordinary dividends distributed during the fiscal year, Aggressive designates 11.1% as qualifying for the corporate dividend-received deduction and 55.1% as qualified dividend income subject to the maximum rate under Internal Revenue Code Section 1(h)(11).
Additional information will be provided to shareholders in January 2008 for use in preparing 2007 income tax returns.
Conservative Allocation Fund
Financial Highlights
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class A Shares |
2007 |
2006 |
2005 # |
||
Net asset value, beginning |
$15.81 |
$15.42 |
$15.00 |
||
Income from investment operations |
|||||
Net investment income |
.55 |
.42 |
.08 |
||
Net realized and unrealized gain (loss) |
.74 |
.40 |
.42 |
||
Total from investment operations |
1.29 |
.82 |
.50 |
||
Distributions from |
|||||
Net investment income |
(.55) |
(.42) |
(.08) |
||
Net realized gain |
(.10) |
(.01) |
-- |
||
Total distributions |
(.65) |
(.43) |
(.08) |
||
Total increase (decrease) in net asset value |
.64 |
.39 |
.42 |
||
Net asset value, ending |
$16.45 |
$15.81 |
$15.42 |
||
Total return* |
8.27% |
5.40% |
3.34% |
||
Ratios to average net assets: A,B |
|||||
Net investment income |
3.55% |
2.91% |
1.69% (a) |
||
Total expenses |
1.35% |
2.62% |
9.04% (a) |
||
Expenses before offsets |
.44% |
.87% |
1.00% (a) |
||
Net expenses |
.44% |
.87% |
1.00% (a) |
||
Portfolio turnover |
11% |
9% |
4% |
||
Net assets, ending (in thousands) |
$12,265 |
$6,258 |
$1,968 |
||
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class C Shares |
2007 |
2006 |
2005# |
||
Net asset value, beginning |
$15.77 |
$15.40 |
$15.00 |
||
Income from investment operations |
|||||
Net investment income |
.31 |
.28 |
.03 |
||
Net realized and unrealized gain (loss) |
.73 |
.38 |
.40 |
||
Total from investment operations |
1.04 |
.66 |
.43 |
||
Distributions from |
|||||
Net investment income |
(.31) |
(.28) |
(.03) |
||
Net realized gain |
(.10) |
(.01) |
-- |
||
Total distributions |
(.41) |
(.29) |
(.03) |
||
Total increase (decrease) in net asset value |
.63 |
.37 |
.40 |
||
Net asset value, ending |
$16.40 |
$15.77 |
$15.40 |
||
Total return* |
6.67% |
4.28% |
2.90% |
||
Ratios to average net assets: A,B |
|||||
Net investment income |
1.99% |
1.87% |
.61% (a) |
||
Total expenses |
2.09% |
3.42% |
9.34% (a) |
||
Expenses before offsets |
2.00% |
2.00% |
2.00% (a) |
||
Net expenses |
2.00% |
2.00% |
2.00% (a) |
||
Portfolio turnover |
11% |
9% |
4% |
||
Net assets, ending (in thousands) |
$4,036 |
$2,314 |
$998 |
||
Moderate Allocation Fund |
|||||
Financial Highlights |
|||||
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class A Shares |
2007 |
2006 |
2005# |
||
Net asset value, beginning |
$16.81 |
$15.88 |
$15.00 |
||
Income from investment operations |
|||||
Net investment income |
.32 |
.18 |
.02 |
||
Net realized and unrealized gain (loss) |
1.59 |
.92 |
.87 |
||
Total from investment operations |
1.91 |
1.10 |
.89 |
||
Distributions from |
|||||
Net investment income |
(.32) |
(.17) |
(.01) |
||
Net realized gain |
(.10) |
** |
-- |
||
Total distributions |
(.42) |
(.17) |
(.01) |
||
Total increase (decrease) in net asset value |
1.49 |
.93 |
.88 |
||
Net asset value, ending |
$18.30 |
$16.81 |
$15.88 |
||
Total return* |
11.46% |
7.00% |
5.95% |
||
Ratios to average net assets: A,B |
|||||
Net investment income |
1.71% |
1.08% |
.43% (a) |
||
Total expenses |
.75% |
1.12% |
3.99% (a) |
||
Expenses before offsets |
.75% |
.95% |
1.00% (a) |
||
Net expenses |
.75% |
.95% |
1.00% (a) |
||
Portfolio turnover |
3% |
5% |
1% |
||
Net assets, ending (in thousands) |
$71,746 |
$33,279 |
$7,628 |
||
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class C Shares |
2007 |
2006 |
2005# |
||
Net asset value, beginning |
$16.69 |
$15.80 |
$15.00 |
||
Income from investment operations |
|||||
Net investment income |
.20 |
.05 |
(.02) |
||
Net realized and unrealized gain (loss) |
1.56 |
.91 |
.82 |
||
Total from investment operations |
1.76 |
.96 |
.80 |
||
Distributions from |
|||||
Net investment income |
(.19) |
(.07) |
-- |
||
Net realized gain |
(.10) |
** |
-- |
||
Total distributions |
(.29) |
(.07) |
-- |
||
Total increase (decrease) in net asset value |
1.47 |
.89 |
.80 |
||
Net asset value, ending |
$18.16 |
$16.69 |
$15.80 |
||
Total return* |
10.62% |
6.08% |
5.33% |
||
Ratios to average net assets: A,B |
|||||
Net investment income |
.97% |
.07% |
(.62%) (a) |
||
Total expenses |
1.50% |
1.95% |
5.22% (a) |
||
Expenses before offsets |
1.50% |
1.94% |
2.00% (a) |
||
Net expenses |
1.50% |
1.94% |
2.00% (a) |
||
Portfolio turnover |
3% |
5% |
1% |
||
Net assets, ending (in thousands) |
$17,564 |
$8,508 |
$2,200 |
||
Aggressive Allocation Fund |
|||||
Financial Highlights |
|||||
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class A Shares |
2007 |
2006 |
2005## |
||
Net asset value, beginning |
$16.91 |
$15.62 |
$15.00 |
||
Income from investment operations |
|||||
Net investment income |
.22 |
.03 |
(.01) |
||
Net realized and unrealized gain (loss) |
2.16 |
1.31 |
.63 |
||
Total from investment operations |
2.38 |
1.34 |
.62 |
||
Distributions from |
|||||
Net investment income |
(.21) |
(.05) |
-- |
||
Net realized gain |
(.08) |
-- |
-- |
||
Total distributions |
(.29) |
(.05) |
-- |
||
Total increase (decrease) in net asset value |
2.09 |
1.29 |
.62 |
||
Net asset value, ending |
$19.00 |
$16.91 |
$15.62 |
||
Total return* |
14.18% |
8.59% |
4.13% |
||
Ratios to average net assets: A,B |
|||||
Net investment income |
.96% |
(.11%) |
(.59%) (a) |
||
Total expenses |
.98% |
2.08% |
15.10% (a) |
||
Expenses before offsets |
.43% |
.83% |
1.00% (a) |
||
Net expenses |
.43% |
.83% |
1.00% (a) |
||
Portfolio turnover |
2% |
9% |
5% |
||
Net assets, ending (in thousands) |
$44,004 |
$15,170 |
$1,380 |
||
Periods Ended |
|||||
September 30, |
September 30, |
September 30, |
|||
Class C Shares |
2007 |
2006 |
2005## |
||
Net asset value, beginning |
$16.74 |
$15.59 |
$15.00 |
||
Income from investment operations |
|||||
Net investment income |
** |
(.11) |
(.05) |
||
Net realized and unrealized gain (loss) |
2.09 |
1.27 |
.64 |
||
Total from investment operations |
2.09 |
1.16 |
.59 |
||
Distributions from |
|||||
Net investment income |
(.12) |
(.01) |
-- |
||
Net realized gain |
(.08) |
-- |
-- |
||
Total distributions |
(.20) |
(.01) |
-- |
||
Total increase (decrease) in net asset value |
1.89 |
1.15 |
.59 |
||
Net asset value, ending |
$18.63 |
$16.74 |
$15.59 |
||
Total return* |
12.56% |
7.43% |
3.93% |
||
Ratios to average net assets: A,B |
|||||
Net investment income |
(.32%) |
(1.24%) |
(1.63%) (a) |
||
Total expenses |
1.77% |
3.04% |
13.06% (a) |
||
Expenses before offsets |
1.77% |
2.00% |
2.00% (a) |
||
Net expenses |
1.77% |
2.00% |
2.00% (a) |
||
Portfolio turnover |
2% |
9% |
5% |
||
Net assets, ending (in thousands) |
$7,605 |
$3,240 |
$832 |
A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the Fund.
B Amounts do not include the activity of the underlying funds.
(a) Annualized.
* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.
** Less than $.01 per share.
# From April 29, 2005 inception.
## From June 30, 2005 inception.
See notes to financial statements.
Explanation of Financial Tables
Schedule of Investments
The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.
Statement of Assets and Liabilities
The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.
Statement of Net Assets
The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.
At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
Statement of Operations
The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor (not applicable to the Asset Allocation Funds), administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.
Statement of Changes in Net Assets
The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.
The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.
Financial Highlights
The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, ex pressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.
PROXY VOTING
The Proxy Voting Guidelines of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.
Availability of Quarterly Portfolio Holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Trustee and Officer Information Table
Name & |
|
|
Principal Occupation |
(Not Applicable to Officers) |
|
# of Calvert |
Other |
DISINTERESTED TRUSTEES/DIRECTORS |
|||||||
REBECCA ADAMSON AGE: 58 |
Trustee
Director
Director
Director |
1989 CSIF 2000 IMPACT 2000 CSIS 2005 CWVF |
President of the national non-profit, First Nations Financial Project. Founded by her in 1980, First Nations is the only American Indian alternative development institute in the country. |
16 |
|
||
RICHARD L. BAIRD, JR. AGE: 59 |
Trustee
Director
Director
Director
|
1982 CSIF 2000 CSIS 2005 CWVF 2005 Impact
|
President and CEO of Adagio Health Inc. (formerly Family Health Council, Inc.) in Pittsburgh, PA, a non-profit corporation which provides family planning services, nutrition, maternal/child health care, and various health screening services and community preventive health programs. |
28 |
|||
FREDERICK A. DAVIE, JR. AGE: 51
|
Trustee
Director
Director
Director |
2001 CSIF 2001 CSIS 2005 CWVF 2005 IMPACT |
Vice President of Public/Private Ventures since June, 2001. He was formerly Program Officer for the Ford Foundation and prior to that he served as Deputy Borough President for the Borough of Manhattan. |
16 |
|
||
JOHN GUFFEY, JR. AGE: 59 |
Director
Trustee
Director
Director
|
1992 CWVF 1982 CSIF 2000 CSIS 2005 IMPACT
|
Treasurer and Director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003). President, Aurora Press, Inc., 2002.
|
28 |
|
||
MILES DOUGLAS HARPER, III AGE: 45 |
Director
Trustee
Director
Director |
2000 Impact 2005 CSIF 2005 CSIS 2005 CWVF |
Partner, Gainer Donnelly & Desroches (public accounting firm) since January 1999. |
16 |
|
||
JOY V. JONES AGE: 57 |
Director
Trustee
Director
Director |
2000 Impact 1990 CSIF 2000 CSIS 2005 CWVF |
Attorney and entertainment manager in New York City.
|
16 |
|
||
TERRENCE J. MOLLNER, Ed.D. AGE: 62 |
Director
Trustee
Director
Director |
1992 CWVF 1982 CSIF 2000 CSIS 2005 IMPACT |
Founder, Chairperson, and President of Trusteeship Institute, Inc., a diverse foundation known principally for its consultation to corporations converting to cooperative employee-ownership and the development of socially and spiritually responsible investment vehicles. |
16 |
|
||
SYDNEY AMARA MORRIS AGE: 58 |
Trustee
Director
Director
Director |
1982 CSIF 2000 CSIS 2005 CWVF 2005 IMPACT |
Rev. Morris currently serves as Parish Minister to the Keweenaw Unitarian Universalist Fellowship in Houghton, MI. She previously served as Senior Minister of the Unitarian Church of Vancouver and as Minister of the Unitarian-Universalist Fellowship of Ames, IA. Rev. Morris is a graduate of Harvard Divinity School. She currently chairs the Umbrian Universalist Committee on Socially Responsible Investing. |
16 |
|||
RUSTUM ROY AGE: 83 |
Director
Trustee
Director
Director |
1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT |
Evan Pugh Professor of Solid State and of Geo-chemistry Emeritus, at Pennsylvania State University, Distinguished Professor of materials, Arizona State University, & visiting Professor of Medicine, University of Arizona. |
16 |
|
||
TESSA TENNANT AGE: 48 |
Director
Trustee
Director
Director |
1992 CWVF 2005 CSIF 2005 CSIS 2005 IMPACT |
Executive Chair, The ICE Organisation, UK and former Chair and founder of ASrIA Ltd. Director of ASrIA Ltd., a not-for-profit membership organization for Socially Responsible Investing (SRI), serving the Asia Pacific region. Previously, Ms. Tennant served as Head of SRI Policy for Henderson Investors, U.K. and Head of Green and Ethical Investing for National Provident Investment Managers Ltd. Initially, Ms. Tennant headed the Environmental Research Unit of Jupiter Tyndall Merlin Ltd., and served as Director of Jupiter Tyndall Merlin investment managers. |
16 |
|
||
INTERESTED TRUSTEES/DIRECTORS |
|||||||
BARBARA J. KRUMSIEK AGE: 55 |
Director & President Trustee & Senior Vice President Director & Senior Vice President
Director & President |
1997 CWVF
1997 CSIF
2000 CSIS
2000 Impact |
President, Chief Executive Officer and Chairman of Calvert Group, Ltd. Prior to joining Calvert in 1997, Ms. Krumsiek had served as a Managing Director of Alliance Fund Distributors, Inc.
|
41 |
|
||
D. WAYNE SILBY, Esq. AGE: 59 |
Director & Chair Trustee, Chair & President Director & President Director |
1992 CWVF 1982 CSIF
2000 CSIS 2000 Impact |
Mr. Silby is a private investor and one of the founders of Calvert Group. He was an officer and director of Silby, Guffey and Co., Inc., a venture capital firm (inactive as of 2003).
|
28 |
|
||
OFFICERS |
|||||||
KAREN BECKER Age: 55 |
Chief Compliance Officer |
2005 |
Senior Vice President of Calvert Group, Ltd. and Head of Calvert Client Services. |
||||
SUSAN WALKER BENDER , Esq.AGE: 48 |
Assistant Vice-President & Assistant Secretary
|
1988 CSIF 2000 CSIS 1992 CWVF
2000 Impact |
Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. |
|
|||
THOMAS DAILEY AGE: 43 |
Vice President
|
2004 CSIF |
Vice President of Calvert Asset Management Company, Inc.
|
|
|||
IVY WAFFORD DUKE , Esq.AGE: 39 |
Assistant Vice-President & Assistant Secretary
|
1996 CSIF 2000 CSIS 1996 CWVF
2000 Impact |
Assistant Vice President and Associate General Counsel of Calvert Group, Ltd., and since 2004, Chief Compliance Officer for Calvert Asset Management Company, investment advisor to the Funds. |
||||
TRACI L. GOLDT AGE: 34 |
Assistant Secretary |
2004 |
Executive Assistant to General Counsel, Calvert Group, Ltd. |
||||
GREGORY B. HABEEB AGE: 57 |
Vice President |
2004 CSIF |
Senior Vice President of Calvert Asset Management Company, Inc. |
|
|||
DANIEL K. HAYES AGE: 57 |
Vice President |
1996 CSIF 2000 CSIS 1996 CWVF
2000 Impact |
Senior Vice President of Calvert Asset Management Company, Inc. |
|
|
||
HUI PING HO, CPA AGE: 42 |
Assistant Treasurer |
2000
|
Tax Compliance Manager of Calvert Group, Ltd. and Assistant Fund Treasurer. |
||||
LANCELOT A. KING, Esq.AGE: 37 |
Assistant Vice President & Assistant Secretary |
2002 |
Assistant Vice President and Associate General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2002, Mr. King was an associate with Mintz, Levin, Cohn, Ferris, Glovsky & Popeo. |
||||
EDITH LILLIE AGE: 50 |
Assistant Secretary |
2007 |
Assistant Secretary (since 2007) and Regulatory Matters Manager of Calvert Group, Ltd. |
||||
AUGUSTO DIVO MACEDO, Esq. AGE: 44 |
Assistant Vice President & Assistant Secretary |
2007 |
Assistant Vice President, Assistant Secretary, and Associate Counsel Compliance Calvert Group, Ltd. Mr. Macedo joined Calvert in 2005. Prior to joining Calvert, Mr. Macedo served as 2nd Vice President at Acacia Life Insurance Company and The Advisors Group, Acacia's broker-dealer and federally registered investment adviser. |
||||
JANE B. MAXWELL Esq. AGE: 55 |
Assistant Vice President & Assistant Secretary |
2005 |
Assistant Vice President, Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert in 2004, Ms. Maxwell was an associate with Sullivan & Worcester LLP. |
||||
ANDREW K. NIEBLER, Esq.AGE: 40 |
Assistant Vice President & Assistant Secretary |
2006 |
Assistant Secretary & Assistant General Counsel of Calvert Group, Ltd. Prior to joining Calvert, Mr. Niebler was an Associate with Cleary, Gottlieb, Steen & Hamilton LLP. |
||||
CATHERINE P. ROY AGE: 51 |
Vice President |
2004
|
Senior Vice President of Calvert Asset Management Company, Inc. Prior to joining Calvert in 2004, Ms. Roy was Senior Vice President of US Fixed Income for Baring Asset Management, and SVP and Senior Portfolio Manager of Scudder Insurance Asset Management. |
||||
WILLIAM M. TARTIKOFF, Esq .AGE: 60 |
Vice President and Secretary |
1990 CSIF 2000 CSIS 1992 CWVF 2000 Impact |
Senior Vice President, Secretary, and General Counsel of Calvert Group, Ltd. |
|
|||
RONALD M. WOLFSHEIMER, CPA AGE: 55 |
Treasurer
|
1982 CSIF 2000 CSIS 1992 CWVF
2000 Impact |
Senior Vice President and Chief Financial and Administrative Officer of Calvert Group, Ltd. and Fund Treasurer. |
||||
MICHAEL V. YUHAS JR. , CPAAGE: 46 |
Fund Controller |
1999 CSIF 2000 CSIS 1999 CWVF 2000 Impact |
Vice President of Fund Administration of Calvert Group, Ltd. and Fund Controller. |
|
The address of Directors/Trustees and Officers is 4550 Montgomery Avenue, Suite 1000N, Bethesda, Maryland 20814, except Mr. Silby's address is 1715 18th Street, N.W., Washington, DC 20009. Ms. Krumsiek is an interested person of the Fund since she is an officer and director of the Fund's advisor and its affiliates. Mr. Silby is an interested person of the Fund since he is a director of the parent company of the Fund's advisor.
Additional information about the Fund's Directors/Trustees can be found in the Statement of Additional Information (SAI). You can get a free copy of the SAI at www.calvert.com, or by contacting your broker, or the Fund at 1-800-368-2745.
Calvert Asset Allocation Funds
To Open an Account
800-368-2748
Yields and Prices
Calvert Information Network
(24 hours, 7 days a week)
800-368-2745
Service for Existing Account
Shareholders: 800-368-2745
Brokers: 800-368-2746
TDD for Hearing Impaired
800-541-1524
Branch Office
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
Registered, Certified
or Overnight Mail
Calvert Group
c/o BFDS
330 West 9th Street
Kansas City, MO 64105
Web Site
http://www.calvert.com
Note: The information on our website is not incorporated by reference into this report; our website address is included as an inactive textual reference only.
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund information to shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by a prospectus.
Calvert's Family of Funds
Tax-Exempt Money Market Funds
CTFR Money Market Portfolio
Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
CTFR Vermont Municipal Portfolio
National Muni. Intermediate Fund
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Floating Income Fund
Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Calvert Social Index Fund
Calvert Small Cap Value Fund
Calvert Mid Cap Value Fund
Calvert Global Alternative Energy Fund
Calvert International Opportunities Fund
Balanced and Asset Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund
printed on recycled paper using soy-based inks
<PAGE>
Item 2. Code of Ethics.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer and principal financial officer (also referred to as "principal accounting officer").
(b) No information need be disclosed under this paragraph.
(c) The registrant has not amended its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or implicit waiver from a provision of its Code of Ethics during the period covered by the shareholder report presented in Item 1 hereto.
(e) Not applicable.
(f) The registrant's Code of Ethics is attached as an Exhibit hereto.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees has determined that Miles D. Harper, III, an "independent" Trustee serving on the registrant's audit committee, is an "audit committee financial expert," as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services.
Services fees paid to auditing firm:
Fiscal Year |
Fiscal Year |
|||
$ |
%* |
$ |
% * |
|
(a) Audit Fees |
$123,310 |
$117,920 |
||
(b) Audit-Related Fees |
$0 |
0% |
$0 |
0% |
(c) Tax Fees (tax return preparation and filing for the registrant) |
$23,100 |
0% |
$22,000 |
0% |
(d) All Other Fees |
$0 |
0% |
$0 |
0% |
Total |
$146,410 |
0% |
$139,920 |
0% |
* Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of Committee's requirement to pre-approve)
(e) Audit Committee pre-approval policies and procedures:
The Audit Committee is required to pre-approve all audit and non-audit services provided to the registrant by the auditors, and to the registrant's investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant. In determining whether to pre-approve non-audit services, the Audit Committee considers whether the services are consistent with maintaining the independence of the auditors. The Committee may delegate its authority to pre-approve certain matters to one or more of its members. In this regard, the Committee has delegated authority jointly to the Audit Committee Chair together with another Committee member with respect to non-audit services not exceeding $25,000 in each instance. In addition, the Committee has pre-approved the retention of the auditors to provide tax-related services related to the tax treatment and tax accounting of newly acquired securities, upon request by the investment advisor in each instance.
(f) Not applicable.
(g) Aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for each of the last two fiscal years of the registrant:
Fiscal Year |
Fiscal Year |
|||
$ |
%* |
$ |
% * |
|
$8,500 |
0%* |
$5,000 |
%* |
* Percentage of fees approved by the Audit Committee pursuant to (c)(7)(i)(C) of Rule 2-01 of Reg. S-X (statutory de minimis waiver of Committee's requirement to pre-approve)
(h) The registrant's Audit Committee of the Board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c) (7)(ii) of Rule 2-01 of Reg. S-X is compatible with maintaining the principal accountant's independence and found that the provision of such services is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
This Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
No material changes were made to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees since last disclosure in response to this Item on registrant's Form N-CSR for the period ending March 31, 2007.
Item 11. Controls and Procedures.
(a) The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act, as of a date within 90 days of the filing date of this report.
(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) A copy of the Registrant's Code of Ethics.
Attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).
Attached hereto.
(a)(3) Not applicable.
(b) A certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. The certification furnished pursuant to this paragraph is not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
CALVERT SOCIAL INVESTMENT FUND
By: |
/s/ Barbara J. Krumsiek |
Date: |
November 29, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ Barbara J. Krumsiek
Barbara J. Krumsiek
Senior Vice President -- Principal Executive Officer
Date: November 29, 2007
/s/ D. Wayne Silby
D. Wayne Silby
President -- Principal Executive Officer
Date: November 29, 2007
/s/ Ronald M. Wolfsheimer
Ronald M. Wolfsheimer
Treasurer -- Principal Financial Officer
Date: November 29, 2007
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
I, Barbara J. Krumsiek, certify that:
1. I have reviewed this report on Form N-CSR of Calvert Social Investment Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date: November 29, 2007 |
/s/ Barbara J. Krumsiek |
|
<PAGE>
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
I, D. Wayne Silby, certify that:
1. I have reviewed this report on Form N-CSR of Calvert Social Investment Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date: November 29, 2007 |
/s/ D. Wayne Silby |
<PAGE>
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
I, Ronald M. Wolfsheimer, certify that:
1. I have reviewed this report on Form N-CSR of Calvert Social Investment Fund;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;
4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and
(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
Date: November 29, 2007 |
/s/ Ronald M. Wolfsheimer |
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
In connection with the accompanying Form N-CSR of Calvert Social Investment Fund (the "Company"), as filed with the Securities and Exchange Commission (the "Report"), I, Barbara J. Krumsiek, Senior Vice President of the Company, certify, pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to my knowledge:
Date November 29, 2007 |
/s/ Barbara J. Krumsiek |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Calvert Social Investment Fund will be retained by Calvert Social Investment Fund and furnished to the SEC or its staff upon request.
This certification is being furnished solely pursuant to 18 U.S.C. 1350 and is not being filed as part of the Report or as a separate disclosure document.
<PAGE>
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
In connection with the accompanying Form N-CSR of Calvert Social Investment Fund (the "Company"), as filed with the Securities and Exchange Commission (the "Report"), I, D. Wayne Silby, President of the Company, certify, pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to my knowledge:
Date: November 29, 2007 |
/s/ D. Wayne Silby |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Calvert Social Investment Fund will be retained by Calvert Social Investment Fund and furnished to the SEC or its staff upon request.
This certification is being furnished solely pursuant to 18 U.S.C. 1350 and is not being filed as part of the Report or as a separate disclosure document.
<PAGE>
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
In connection with the accompanying Form N-CSR of Calvert Social Investment Fund (the "Company"), as filed with the Securities and Exchange Commission (the "Report"), I, Ronald M. Wolfsheimer, Treasurer of the Company, certify, pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that, to my knowledge:
Date: November 29, 2007 |
/s/ Ronald M. Wolfsheimer |
A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to Calvert Social Investment Fund and will be retained by Calvert Social Investment Fund and furnished to the SEC or its staff upon request.
This certification is being furnished solely pursuant to 18 U.S.C. 1350 and is not being filed as part of the Report or as a separate disclosure document.
THE CALVERT GROUP OF FUNDS (collectively, the "Funds")
CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND PRINCIPAL ACCOUNTING OFFICERS
I. Introduction
The Boards of Directors/Trustees of the Funds have adopted this Code of Ethics (this "Code") pursuant to Section 406 of the Sarbanes-Oxley Act applicable to the Funds' Principal Executive Officer[s] and Principal Accounting Officer[s] (the "Covered Officers") to promote:
II. General Standards of Conduct
The Code embodies the commitment of the Funds to conduct their business with the highest ethical standards and in accordance with all applicable governmental laws, rules and regulations.
Each Covered Officer must:
III. Personal Conflicts of Interest
A "personal conflict of interest" occurs when a Covered Officer's private interest improperly interferes with the interests of a Fund. In particular, a Covered Officer must never use or attempt to use his or her position with a Fund to obtain any improper personal benefit for himself or herself, for his or her family members or for any other person.
Certain conflicts of interest covered by this Code arise out of the relationships between Covered Officers and the Funds that already are subject to conflict of interest provisions in the Investment Company Act of 1940 and the Investment Advisers Act of 1940. For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of their status as "affiliated persons" of the Funds. Therefore, as to the existing statutory and regulatory prohibitions on individual behavior there will not be a violation of this Code unless there is a violation of such prohibition. Covered Officers must in all cases comply with applicable statutes and regulations.
As to conflicts arising from, or as a result of the contract relationship between, the Funds and the Funds' investment adviser, Calvert Asset Management Company, Inc. ("CAMCO"), of which the Covered Officers are also officers or employees, it is recognized by the Boards that, subject to CAMCO's fiduciary duties to the Funds, the Covered Officers will in the normal course of their duties (whether formally for the Funds or for CAMCO, or for both) be involved in establishing policies and implementing decisions which will have different effects on CAMCO and the Funds. The Boards recognize that the participation of the Covered Officers in such activities is inherent in the contract relationship between the Funds and CAMCO and is consistent with the expectation of the Boards of the performance by the Covered Officers of their duties as officers of the Funds.
In particular, each Covered Officer must:
IV. Disclosure
Each Covered Officer is required to be familiar, and comply, with the Funds' disclosure controls and procedures to promote full, fair, accurate, timely and understandable disclosure in the Funds' subject reports and documents filed with the SEC that is compliant with applicable laws, rules and regulations. In addition, each Covered Officer having direct or supervisory authority regarding these SEC filings or the Funds' other public communications should, to the extent appropriate within his or her area of responsibility, consult with Fund or CAMCO officers and/or employees and take other appropriate steps regarding these disclosures with the goal of making full, fair, accurate, timely and understandable disclosure.
Each Covered Officer must:
V. Compliance
It is the Funds' policy to comply with all applicable laws and governmental rules and regulations. It is the personal responsibility of each Covered Officer to adhere to the standards and restrictions imposed by those laws, rules and regulations, including those relating to affiliated transactions, accounting and auditing matters.
VI. Reporting and Accountability
The Covered Officers should strive to identify and raise potential issues before they lead to problems, and should ask the Audit Committee for clarification about the application of this Code whenever in doubt.
Each Covered Officer must:
The Audit Committee is responsible for applying this Code to specific situations in which questions are presented to it and has the authority to interpret this Code in any particular situation. The Audit Committee shall take all action it considers appropriate to investigate any actual or potential violations reported to it.
The Audit Committee is responsible for granting waivers and determining sanctions, as appropriate. In addition, approvals, interpretations, or waivers sought by the Covered Officers will be considered by the Audit Committee.
VII. Other Policies and Procedures
The Code of Ethics of the Funds and CAMCO under Rule 17j-1 of the Investment Company Act of 1940, as amended, and CAMCO's more detailed policies and procedures set forth in the CAMCO Compliance Procedures Manual are separate requirements applying to Covered Officers and others, and are not part of this Code.
VIII. Amendments
This Code may not be amended except in written form, which is specifically approved by a majority vote of the Funds' Boards of Directors/Trustees, including a majority of independent Directors/Trustees.
IX. Confidentiality
All reports and records prepared or maintained pursuant to this Code shall be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Funds, the Audit Committee and CAMCO.
X. Internal Use
The Code is intended solely for internal use by the Funds and does not constitute an admission, by or on behalf of the Funds, as to any fact, circumstance or legal conclusion.
EXHIBIT A
Barbara Krumsiek
Ronald Wolfsheimer
Wayne Silby (CSIF and CSIS)
Sarbanes-Oxley Code of Ethics Acknowledgment Form
I have received, read and understand the Code of Ethics for Principal Executive and Principal Accounting Officers for the Calvert Group of Funds. I have complied with the requirements of the Code.
By: |
/s/Barbara J. Krumsiek |
Date: |
November 26, 2007 |
By: |
/s/D. Wayne Silby |
Date: |
November 26, 2007 |
By: |
/s/ Ronald M. Wolfsheimer |
Date: |
November 26, 2007 |
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