N-CSRS 1 cvpncsrsfiled0910.htm CALVERT VARIABLE PRODUCTS, INC. SEMI-ANNUAL SHAREHOLDER REPORTS Calvert Variable Products, Inc.

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04000

CALVERT VARIABLE PRODUCTS, INC.
(Exact name of registrant as specified in charter)

4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Address of Principal Executive Offices)

William M. Tartikoff, Esq.
4550 Montgomery Avenue
Suite 1000N
Bethesda, Maryland 20814
(Name and Address of Agent for Service)

 

Registrant's telephone number, including area code: (301) 951-4800

Date of fiscal year end: December 31

Date of reporting period: Six months ended June 30, 2010

 

 

Item 1. Report to Stockholders.

 

<PAGE>

Calvert VP SRI Large Cap Value Portfolio

(formerly, Summit Zenith
Portfolio)

Semi-Annual Report

June 30, 2010

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

11

Statement of Operations

12

Statements of Changes in Net Assets

13

Notes to Financial Statements

18

Financial Highlights

20

Explanation of Financial Tables

21

Proxy Voting

22

Availability of Quarterly Portfolio Holdings

 

Calvert VP SRI Large Cap Value Portfolio

Managed by Calvert Asset Management Company, Inc.

Investment Climate

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. International markets fared poorly as well during the period, as the MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI) lost 12.27% due to a combination of poor market performance and a strong U.S. dollar.

In the S&P 500 Index, all 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

Calvert VP SRI Large Cap Value Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

Average Annual Total Return
(period ended 6.30.10)

Six month**

-7.52%

One year

13.25%

Five year

-1.56%

Ten year

3.67%

 

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

The performance data shown represents past performance, and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

** Total return is not annualized for periods of one year or less.

 

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Outlook

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant.

In our opinion, a slowdown in China is of more immediate concern than one in Europe. Chinese officials raised interest rates in an attempt to engineer a soft landing and prevent the bursting of the asset bubbles in that country. But these asset bubbles could deflate in a disorderly fashion, pushing the Chinese economy to a hard landing, which would certainly impact global growth prospects.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view this correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time.

Economic Sectors

% of Total
Investments

 

 

Consumer Discretionary

7.6%

Consumer Staples

10.9%

Energy

10.7%

Financials

25.2%

Health Care

9.3%

Industrials

8.0%

Information Technology

9.8%

Materials

2.7%

Telecommunication Services

6.7%

Time Deposit

4.3%

Utilities

4.8%

Total

100%

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$924.80

$3.53

Hypothetical (5% return per year before expenses)

$1,000.00

$1,021.12

$3.71

* Expenses are equal to the Fund's annualized expense ratio of .74%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
JUNE 30, 2010

Equity Securities - 96.0%

Shares

Value

Beverages - 2.4%

 

 

Coca-Cola Co.

71,700

$3,593,604

 

 

 

Capital Markets - 7.1%

 

 

AllianceBernstein Holding LP*

94,800

2,449,632

Bank of New York Mellon Corp.

127,558

3,149,407

Goldman Sachs Group, Inc.

18,100

2,375,987

Legg Mason, Inc.

42,900

1,202,487

Morgan Stanley

57,100

1,325,291

 

 

10,502,804

 

 

 

Chemicals - 1.1%

 

 

Dow Chemical Co.

70,400

1,669,888

 

 

 

Commercial Banks - 2.9%

 

 

US Bancorp

67,700

1,513,095

Wells Fargo & Co.

108,900

2,787,840

 

 

4,300,935

 

 

 

Communications Equipment - 3.5%

 

 

Cisco Systems, Inc.*

107,000

2,280,170

Motorola, Inc.*

236,700

1,543,284

Nokia Oyj (ADR)

159,600

1,300,740

 

 

5,124,194

 

 

 

Computers & Peripherals - 0.9%

 

 

Hewlett-Packard Co.

29,400

1,272,432

 

 

 

Consumer Finance - 1.7%

 

 

Discover Financial Services

178,100

2,489,838

 

 

 

Diversified Financial Services - 6.6%

 

 

Bank of America Corp.

216,684

3,113,749

CME Group, Inc.

10,300

2,899,965

JPMorgan Chase & Co.

102,204

3,741,688

 

 

9,755,402

 

 

 

Diversified Telecommunication Services - 6.7%

 

 

AT&T, Inc.

160,500

3,882,495

Frontier Communications Corp.

291,600

2,073,276

Verizon Communications, Inc.

140,300

3,931,206

 

 

9,886,977

 

 

 

Electric Utilities - 4.8%

 

 

Duke Energy Corp.

172,244

2,755,904

Exelon Corp.

90,800

3,447,676

Southern Co.

25,400

845,312

 

 

7,048,892

 

 

 

Equity Securities - Cont'd

Shares

Value

Electrical Equipment - 1.9%

 

 

Emerson Electric Co.

63,000

$2,752,470

 

 

 

Electronic Equipment & Instruments - 1.2%

 

 

Tyco Electronics Ltd.

72,025

1,827,994

 

 

 

Food & Staples Retailing - 4.4%

 

 

CVS Caremark Corp.

85,400

2,503,928

Walgreen Co.

34,800

929,160

Wal-Mart Stores, Inc.

63,900

3,071,673

 

 

6,504,761

 

 

 

Food Products - 2.2%

 

 

Kraft Foods, Inc.

13,272

371,616

Unilever NV, NY Shares

107,500

2,936,900

 

 

3,308,516

 

 

 

Health Care Equipment & Supplies - 1.2%

 

 

Covidien plc

45,325

1,821,158

 

 

 

Health Care Providers & Services - 1.8%

 

 

WellPoint, Inc.*

53,400

2,612,862

 

 

 

Household Durables - 1.0%

 

 

Sony Corp. (ADR)

57,600

1,536,768

 

 

 

Household Products - 1.8%

 

 

Procter & Gamble Co.

45,400

2,723,092

 

 

 

Industrial Conglomerates - 6.1%

 

 

3M Co.

40,600

3,206,994

General Electric Co.

228,200

3,290,644

Tyco International Ltd.

72,625

2,558,579

 

 

9,056,217

 

 

 

Insurance - 7.0%

 

 

Berkshire Hathaway, Inc., Class B*

40,950

3,263,307

Hartford Financial Services Group, Inc.

115,800

2,562,654

MetLife, Inc.

61,300

2,314,688

Travelers Co.'s, Inc.

45,000

2,216,250

 

 

10,356,899

 

 

 

Internet Software & Services - 1.0%

 

 

Google, Inc.*

3,400

1,512,830

 

 

 

IT Services - 1.8%

 

 

International Business Machines Corp.

21,400

2,642,472

 

 

 

Media - 6.6%

 

 

CBS Corp., Class B

142,274

1,839,603

Comcast Corp.

142,200

2,470,014

Gannett Co., Inc.

42,600

573,396

News Corp., Class B

176,300

2,441,755

Time Warner, Inc.

85,166

2,462,149

 

 

9,786,917

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Metals & Mining - 1.6%

 

 

Newmont Mining Corp.

38,000

$2,346,120

 

 

 

Oil, Gas & Consumable Fuels - 10.8%

 

 

Anadarko Petroleum Corp.

18,000

649,620

ConocoPhillips

69,242

3,399,090

Exxon Mobil Corp.

67,000

3,823,690

Marathon Oil Corp.

71,200

2,213,608

Royal Dutch Shell plc (ADR)

70,900

3,560,598

Spectra Energy Corp.

113,772

2,283,404

 

 

15,930,010

 

 

 

Pharmaceuticals - 6.4%

 

 

GlaxoSmithKline plc (ADR)

70,900

2,411,309

Johnson & Johnson

52,900

3,124,274

Pfizer, Inc.

272,100

3,880,146

 

 

9,415,729

 

 

 

Software - 1.5%

 

 

Microsoft Corp.

93,200

2,144,532

 

 

 

 

 

 

     Total Equity Securities (Cost $176,784,068)

 

141,924,313

 

 

 

 

Principal

 

Time Deposit - 4.3%

Amount

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

$6,340,565

6,340,565

 

 

 

     Total Time Deposit (Cost $6,340,565)

 

6,340,565

 

 

 

          TOTAL INVESTMENTS (Cost $183,124,633) - 100.3%

 

148,264,878

          Other assets and liabilities, net - (0.3%)

 

(413,834)

          Net Assets - 100%

 

$147,851,044

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to 2,631,112 shares of common stock outstanding;

 

 

     $0.10 par value, 40,000,000 shares authorized

 

$218,452,048

Undistributed net investment income

 

1,885,771

Accumulated net realized gain (loss) on investments

 

(37,627,020)

Net unrealized appreciation (depreciation) on investments

 

(34,859,755)

 

 

 

          Net Assets

 

$147,851,044

 

 

 

          Net Asset Value per Share

 

$56.19

 

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income (net of foreign taxes withheld of $39,672)

$2,219,264

     Interest income

2,224

          Total investment income

2,221,488

 

 

Expenses:

 

     Investment advisory fee

565,709

     Transfer agency fees and expenses

832

     Directors' fees and expenses

12,128

     Administrative fees

88,392

     Accounting fees

14,474

     Custodian fees

10,624

     Reports to shareholders

47,379

     Professional fees

18,508

     Miscellaneous

3,323

          Total expenses

761,369

          Reimbursement from Advisor

(107,037)

          Fees paid indirectly

(230)

               Net expenses

654,102

 

 

     Net Investment Income

1,567,386

 

 

Realized and Unrealized Gain (Loss) on Investments

 

Net realized gain (loss)

(5,948,136)

Change in unrealized appreciation (depreciation)

(7,802,022)

 

 

     Net Realized and Unrealized Gain (Loss) on Investments

(13,750,158)

 

 

     Increase (Decrease) in Net Assets

 

     Resulting From Operations

($12,182,772)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$1,567,386

$3,326,340

     Net realized gain (loss) on investments

(5,948,136)

(29,235,023)

     Change in unrealized appreciation or (depreciation)

(7,802,022)

62,691,043

 

 

 

     Increase (Decrease) in Net Assets

 

 

     Resulting From Operations

(12,182,772)

36,782,360

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(3,261,948)

     Net realized gain

--

(354,426)

          Total distributions

--

(3,616,374)

 

 

 

Capital share transactions:

 

 

     Shares sold

4,506,772

14,172,390

     Reinvestment of distributions

--

3,616,370

     Shares redeemed

(22,536,129)

(17,316,930)

          Total capital share transactions

(18,029,357)

471,830

 

 

 

Total Increase (Decrease) in Net Assets

(30,212,129)

33,637,816

 

 

 

Net Assets

 

 

Beginning of period

178,063,173

144,425,357

End of period (including undistributed net investment income

 

 

     of $1,885,771 and $318,385 respectively)

$147,851,044

$178,063,173

 

 

 

Capital Share Activity

 

 

Shares sold

72,209

289,892

Reinvestment of distributions

--

59,072

Shares redeemed

(371,936)

(338,718)

          Total capital share activity

(299,727)

10,246

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Signifcant Accounting Policies

General: The Calvert VP SRI Large Cap Value Portfolio (the "Portfolio"), formerly known as Summit Zenith Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.

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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity securities*

$141,924,313

--

--

$141,924,313

Other debt obligations

--

$6,340,565

--

6,340,565

TOTAL

$141,924,313

$6,340,565

--

$148,264,878

*For further breakdown of Equity Securities by industry type, please refer to the Statement of Net Assets.

Security Transactions and 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 Portfolio 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. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio's understanding of the applicable country's tax rules and rates.

Foreign Currency Transactions: The Portfolio's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities is included with the net realized and unrealized gain or loss on investments.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements:

In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .64% of the Portfolio's average daily net assets. Under the terms of the agreement, $84,267 was payable at period end. In addition, $6,144 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .74%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $13,182 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), a subsidiary of Calvert, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $32 for the six months ended June 30, 2010. Under the terms of the agreement, $5 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

 

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $26,231,262 and $42,974,941, respectively.

Capital Loss Carryforwards
Expiration Date

31-Dec-15

$2,277,422

31-Dec-17

29,095,011

Capital losses may be utilized to offset future capital gains until expiration. The Portfolio's use of net capital loss carryforwards acquired from Ameritas Income & Growth Portfolio may be limited under certain tax provisions.

As of June 30, 2010, the tax basis components of unrealized appreciation/ (depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$4,444,892

Unrealized (depreciation)               

(39,405,981)

Net unrealized appreciation/(depreciation)     

($34,961,089)

Federal income tax cost of investments     

$183,225,967

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

AVERAGE
DAILY
BALANCE

WEIGHTED
AVERAGE
INTEREST
RATE

MAXIMUM
AMOUNT
BORROWED

MONTH OF
MAXIMUM
AMOUNT
BORROWED

 

$76,854

1.56%

$974,734

May 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

Periods Ended

 

June 30,

December 31,

December 31,

 

2010

2009

2008

Net asset value, beginning

$60.76

$49.45

$92.96

Income from investment operations

 

 

 

     Net investment income

.61

1.16

.61

     Net realized and unrealized gain (loss)

(5.18)

11.41

(34.05)

     Total from investment operations

(4.57)

12.57

(33.44)

Distributions from

 

 

 

     Net investment income

--

(1.14)

(1.95)

     Net realized gain

--

(.12)

(8.12)

          Total distributions

--

(1.26)

(10.07)

Total increase (decrease) in net asset value

(4.57)

11.31

(43.51)

Net asset value, ending

$56.19

$60.76

$49.45

 

 

 

 

Total return*

(7.52%)

25.40%

(39.49%)

Ratios to average net assets: A

 

 

 

     Net investment income

1.77% (a)

2.19%

2.14%

     Total expenses

.86% (a)

.85%

.90%

     Expenses before offsets

.74% (a)

.74%

.90%

     Net expenses

.74% (a)

.74%

.90%

Portfolio turnover

16%

29%

34%

Net assets, ending (in thousands)

$147,851

$178,063

$144,425

 

 

 

 

 

 

 

 

 

 

Years Ended

 

 

December 31,

December 31,

December 31,

 

2007

2006

2005

Net asset value, beginning

$101.12

$91.78

$91.30

Income from investment operations

 

 

 

     Net investment income

1.64

1.42

1.35

     Net realized and unrealized gain (loss)

(.06)

18.02

4.57

          Total from investment operations

1.58

19.44

5.92

Distributions from

 

 

 

     Net investment income

(1.42)

(1.42)

(1.43)

     Net realized gain

(8.32)

(8.68)

(4.01)

          Total distributions

(9.74)

(10.10)

(5.44)

Total increase (decrease) in net asset value

(8.16)

9.34

.48

Net asset value, ending

$92.96

$101.12

$91.78

 

 

 

 

Total return*

1.40%

23.12%

6.92%

Ratios to average net assets: A

 

 

 

     Net investment income

1.61%

1.57%

1.49%

     Total expenses

.87%

.88%

.89%

     Expenses before offsets

.87%

.88%

.89%

     Net expenses

.87%

.88%

.89%

Portfolio turnover

42%

61%

57%

Net assets, ending (in thousands)

$58,157

$62,428

$52,795

 

See notes to financial highlights.

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

* Total return is not annualized for periods less than one year.

 

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 typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

<PAGE>

 

Calvert VP S&P 500
Index Portfolio

(formerly, Summit S&P 500 Index Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

23

Statement of Operations

24

Statements of Changes in Net Assets

25

Notes to Financial Statements

30

Financial Highlights

32

Explanation of Financial Tables

33

Proxy Voting

34

Availability of Quarterly Portfolio Holdings

 

Calvert VP S&P 500 Index Portfolio
Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. International markets fared poorly as well during the period, as the MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI) lost 12.27% due to a combination of poor market performance and a strong U.S. dollar.

In the S&P 500 Index, all 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should

Calvert VP S&P 500 Index Portfolio*

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month**

-6.80%

One year

14.05%

Five year

-1.09%

Ten Year

-1.97%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

The performance data shown represents past performance, and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

** Total return is not annualized for periods of one year or less.

 

have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Outlook

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant.

In our opinion, a slowdown in China is of more immediate concern than one in Europe. Chinese officials raised interest rates in an attempt to engineer a soft landing and prevent the bursting of the asset bubbles in that country. But these asset bubbles could deflate in a disorderly fashion, pushing the Chinese economy to a hard landing, which would certainly impact global growth prospects.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view this correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time.

Economic Sectors

% of Total
Investments

Consumer Discretionary

10.0%

Consumer Staples

11.3%

Energy...........

10.5%

Exchange Traded Funds

...0.8%

Financials..........

15.9%

Government

0.4%

Health Care

11.8%

Industrials

10.1%

Information Technology

18.3%

Materials

3.3%

Telecommunication Services

2.9%

Time Deposit

1.1%

Utilities

3.6%

Total

100%

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$932.00

$1.82

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,022.91

$1.91

* Expenses are equal to the Fund's annualized expense ratio of .38%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
JUNE 30, 2010

 

Equity Securities - 97.7%

 

Shares

Value

 

Aerospace & Defense - 2.8%

 

 

 

 

Boeing Co.

 

16,364

$1,026,841

 

General Dynamics Corp.

 

8,337

488,215

 

Goodrich Corp.

 

2,706

179,272

 

Honeywell International, Inc.

 

16,528

645,088

 

ITT Corp.

 

3,954

177,614

 

L-3 Communications Holdings, Inc.

 

2,499

177,029

 

Lockheed Martin Corp.

 

6,818

507,941

 

Northrop Grumman Corp.

 

6,546

356,364

 

Precision Castparts Corp.

 

3,063

315,244

 

Raytheon Co.

 

8,195

396,556

 

Rockwell Collins, Inc.

 

3,397

180,483

 

United Technologies Corp.

 

20,243

1,313,973

 

 

 

 

5,764,620

 

 

 

 

 

 

Air Freight & Logistics - 1.0%

 

 

 

 

C.H. Robinson Worldwide, Inc.

 

3,601

200,432

 

Expeditors International of Washington, Inc.

 

4,586

158,263

 

FedEx Corp.

 

6,765

474,294

 

United Parcel Service, Inc., Class B

 

21,463

1,221,030

 

 

 

 

2,054,019

 

 

 

 

 

 

Airlines - 0.1%

 

 

 

 

Southwest Airlines Co.

 

16,068

178,515

 

 

 

 

 

 

Auto Components - 0.2%

 

 

 

 

Goodyear Tire & Rubber Co.*

 

5,237

52,056

 

Johnson Controls, Inc.

 

14,522

390,206

 

 

 

 

442,262

 

 

 

 

 

 

Automobiles - 0.4%

 

 

 

 

Ford Motor Co.*

 

73,686

742,755

 

Harley-Davidson, Inc.

 

5,066

112,617

 

 

 

 

855,372

 

 

 

 

 

 

Beverages - 2.6%

 

 

 

 

Brown-Forman Corp., Class B

 

2,352

134,605

 

Coca-Cola Co.

 

49,902

2,501,088

 

Coca-Cola Enterprises, Inc.

 

6,911

178,718

 

Constellation Brands, Inc.*

 

4,267

66,651

 

Dr Pepper Snapple Group, Inc.

 

5,316

198,765

 

Molson Coors Brewing Co., Class B

 

3,425

145,083

 

PepsiCo, Inc.

 

34,895

2,126,851

 

 

 

 

5,351,761

 

 

 

 

 

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Biotechnology - 1.4%

 

 

 

 

Amgen, Inc.*

 

20,728

$1,090,293

 

Biogen Idec, Inc.*

 

5,829

276,586

 

Celgene Corp.*

 

9,939

505,100

 

Cephalon, Inc.*

 

1,620

91,935

 

Genzyme Corp.*

 

5,753

292,080

 

Gilead Sciences, Inc.*

 

19,256

660,095

 

 

 

 

2,916,089

 

 

 

 

 

 

Building Products - 0.0%

 

 

 

 

Masco Corp.

 

7,756

83,455

 

 

 

 

 

 

Capital Markets - 2.3%

 

 

 

 

Ameriprise Financial, Inc.

 

5,524

199,582

 

Bank of New York Mellon Corp.

 

26,127

645,076

 

Charles Schwab Corp.

 

21,134

299,680

 

E*Trade Financial Corp.*

 

4,151

49,065

 

Federated Investors, Inc., Class B

 

1,821

37,713

 

Franklin Resources, Inc.

 

3,207

276,411

 

Goldman Sachs Group, Inc.

 

11,139

1,462,216

 

Invesco Ltd.

 

9,902

166,651

 

Janus Capital Group, Inc.

 

3,994

35,467

 

Legg Mason, Inc.

 

3,532

99,002

 

Morgan Stanley

 

30,223

701,476

 

Northern Trust Corp.

 

5,225

244,007

 

State Street Corp.

 

10,707

362,111

 

T. Rowe Price Group, Inc.

 

5,599

248,539

 

 

 

 

4,826,996

 

 

 

 

 

 

Chemicals - 1.8%

 

 

 

 

Air Products & Chemicals, Inc.

 

4,587

297,283

 

Airgas, Inc.

 

1,788

111,214

 

CF Industries Holdings, Inc.

 

1,499

95,112

 

Dow Chemical Co.

 

24,867

589,845

 

Eastman Chemical Co.

 

1,572

83,882

 

Ecolab, Inc.

 

5,109

229,445

 

EI Du Pont de Nemours & Co.

 

19,544

676,027

 

FMC Corp.

 

1,577

90,567

 

International Flavors & Fragrances, Inc.

 

1,709

72,496

 

Monsanto Co.

 

11,795

545,165

 

PPG Industries, Inc.

 

3,585

216,570

 

Praxair, Inc.

 

6,622

503,206

 

Sherwin-Williams Co.

 

1,991

137,757

 

Sigma-Aldrich Corp.

 

2,633

131,202

 

 

 

 

3,779,771

 

 

 

 

 

 

Commercial Banks - 3.0%

 

 

 

 

BB&T Corp.

 

14,936

392,966

 

Comerica, Inc.

 

3,762

138,554

 

Fifth Third Bancorp

 

17,188

211,241

 

First Horizon National Corp.*

 

4,933

56,477

 

Huntington Bancshares, Inc.

 

16,036

88,839

 

KeyCorp

 

18,983

145,979

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Commercial Banks - Cont'd

 

 

 

 

M&T Bank Corp.

 

1,796

$152,570

 

Marshall & Ilsley Corp.

 

11,386

81,751

 

PNC Financial Services Group, Inc.

 

11,379

642,914

 

Regions Financial Corp.

 

25,753

169,455

 

SunTrust Banks, Inc.

 

10,795

251,524

 

US Bancorp

 

41,362

924,441

 

Wells Fargo & Co.

 

112,697

2,885,043

 

Zions Bancorporation

 

3,252

70,146

 

 

 

 

6,211,900

 

 

 

 

 

 

Commercial Services & Supplies - 0.5%

 

 

 

 

Avery Dennison Corp.

 

2,440

78,397

 

Cintas Corp.

 

2,841

68,099

 

Iron Mountain, Inc.

 

3,918

87,998

 

Pitney Bowes, Inc.

 

4,486

98,513

 

Republic Services, Inc.

 

7,001

208,140

 

RR Donnelley & Sons Co.

 

4,655

76,202

 

Stericycle, Inc.*

 

1,825

119,684

 

Waste Management, Inc.

 

10,484

328,044

 

 

 

 

1,065,077

 

 

 

 

 

 

Communications Equipment - 2.2%

 

 

 

 

Cisco Systems, Inc.*

 

123,773

2,637,603

 

Harris Corp.

 

2,818

117,370

 

JDS Uniphase Corp.*

 

5,037

49,564

 

Juniper Networks, Inc.*

 

11,359

259,212

 

Motorola, Inc.*

 

49,929

325,537

 

QUALCOMM, Inc.

 

35,494

1,165,623

 

Tellabs, Inc.

 

8,309

53,094

 

 

 

 

4,608,003

 

 

 

 

 

 

Computers & Peripherals - 4.5%

 

 

 

 

Apple, Inc.*

 

19,682

4,950,613

 

Dell, Inc.*

 

37,201

448,644

 

EMC Corp.*

 

44,375

812,063

 

Hewlett-Packard Co.

 

50,513

2,186,203

 

Lexmark International, Inc.*

 

1,689

55,788

 

NetApp, Inc.*

 

7,449

277,922

 

QLogic Corp.*

 

2,463

40,935

 

SanDisk Corp.*

 

4,944

207,994

 

Teradata Corp.*

 

3,604

109,850

 

Western Digital Corp.*

 

4,945

149,141

 

 

 

 

9,239,153

 

 

 

 

 

 

Construction & Engineering - 0.2%

 

 

 

 

Fluor Corp.

 

3,866

164,305

 

Jacobs Engineering Group, Inc.*

 

2,693

98,133

 

Quanta Services, Inc.*

 

4,540

93,751

 

 

 

 

356,189

 

 

 

 

 

 

Construction Materials - 0.1%

 

 

 

 

Vulcan Materials Co.

 

2,731

119,700

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Consumer Finance - 0.8%

 

 

 

 

American Express Co.

 

25,984

$1,031,565

 

Capital One Financial Corp.

 

9,838

396,471

 

Discover Financial Services

 

11,745

164,195

 

SLM Corp.*

 

10,759

111,786

 

 

 

 

1,704,017

 

 

 

 

 

 

Containers & Packaging - 0.2%

 

 

 

 

Ball Corp.

 

2,034

107,456

 

Bemis Co., Inc.

 

2,358

63,666

 

Owens-Illinois, Inc.*

 

3,644

96,384

 

Pactiv Corp.*

 

2,861

79,679

 

Sealed Air Corp.

 

3,438

67,797

 

 

 

 

414,982

 

 

 

 

 

 

Distributors - 0.1%

 

 

 

 

Genuine Parts Co.

 

3,431

135,353

 

 

 

 

 

 

Diversified Consumer Services - 0.2%

 

 

 

 

Apollo Group, Inc.*

 

2,778

117,982

 

DeVry, Inc.

 

1,339

70,284

 

H&R Block, Inc.

 

7,494

117,581

 

 

 

 

305,847

 

 

 

 

 

 

Diversified Financial Services - 4.4%

 

 

 

 

Bank of America Corp.

 

216,865

3,116,350

 

Citigroup, Inc.*

 

488,939

1,838,411

 

CME Group, Inc.

 

1,441

405,714

 

IntercontinentalExchange, Inc.*

 

1,592

179,944

 

JPMorgan Chase & Co.

 

86,061

3,150,693

 

Leucadia National Corp.*

 

4,103

80,049

 

Moody's Corp.

 

4,381

87,269

 

NYSE Euronext

 

5,641

155,861

 

The NASDAQ OMX Group, Inc.*

 

3,326

59,136

 

 

 

 

9,073,427

 

 

 

 

 

 

Diversified Telecommunication Services - 2.6%

 

 

 

 

AT&T, Inc.

 

127,814

3,091,821

 

CenturyTel, Inc.

 

6,476

215,716

 

Frontier Communications Corp.

 

6,531

46,435

 

Qwest Communications International, Inc.

 

32,166

168,871

 

Verizon Communications, Inc.

 

61,301

1,717,654

 

Windstream Corp.

 

10,477

110,637

 

 

 

 

5,351,134

 

 

 

 

 

 

Electric Utilities - 1.9%

 

 

 

 

Allegheny Energy, Inc.

 

3,845

79,515

 

American Electric Power Co., Inc.

 

10,335

333,820

 

Duke Energy Corp.

 

28,304

452,864

 

Edison International

 

7,044

223,436

 

Entergy Corp.

 

4,092

293,069

 

Exelon Corp.

 

14,262

541,528

 

FirstEnergy Corp.

 

6,588

232,095

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Electric Utilities - Cont'd

 

 

 

 

NextEra Energy, Inc.

 

8,935

$435,670

 

Northeast Utilities

 

3,795

96,697

 

Pepco Holdings, Inc.

 

4,806

75,358

 

Pinnacle West Capital Corp.

 

2,446

88,936

 

PPL Corp.

 

10,122

252,544

 

Progress Energy, Inc.

 

6,153

241,321

 

Southern Co.

 

17,735

590,221

 

 

 

 

3,937,074

 

 

 

 

 

 

Electrical Equipment - 0.5%

 

 

 

 

Emerson Electric Co.

 

16,263

710,531

 

First Solar, Inc.*

 

1,051

119,635

 

Rockwell Automation, Inc.

 

3,087

151,541

 

Roper Industries, Inc.

 

2,026

113,375

 

 

 

 

1,095,082

 

 

 

 

 

 

Electronic Equipment & Instruments - 0.5%

 

 

 

 

Agilent Technologies, Inc.*

 

7,540

214,362

 

Amphenol Corp.

 

3,745

147,104

 

Corning, Inc.

 

33,683

543,981

 

FLIR Systems, Inc.*

 

3,306

96,172

 

Jabil Circuit, Inc.

 

4,448

59,158

 

Molex, Inc.

 

3,006

54,829

 

 

 

 

1,115,606

 

 

 

 

 

 

Energy Equipment & Services - 1.7%

 

 

 

 

Baker Hughes, Inc.

 

9,282

385,853

 

Cameron International Corp.*

 

5,285

171,868

 

Diamond Offshore Drilling, Inc.

 

1,503

93,472

 

FMC Technologies, Inc.*

 

2,638

138,917

 

Halliburton Co.

 

19,566

480,345

 

Helmerich & Payne, Inc.

 

2,286

83,485

 

Nabors Industries Ltd.*

 

6,442

113,508

 

National Oilwell Varco, Inc.

 

9,044

299,085

 

Rowan Co.'s, Inc.*

 

2,394

52,524

 

Schlumberger Ltd.

 

25,868

1,431,535

 

Smith International, Inc.

 

5,372

202,256

 

 

 

 

3,452,848

 

 

 

 

 

 

Food & Staples Retailing - 2.5%

 

 

 

 

Costco Wholesale Corp.

 

9,497

520,720

 

CVS Caremark Corp.

 

29,446

863,357

 

Kroger Co.

 

14,049

276,625

 

Safeway, Inc.

 

8,405

165,242

 

SUPERVALU, Inc.

 

4,582

49,669

 

Sysco Corp.

 

12,810

365,982

 

Walgreen Co.

 

21,297

568,630

 

Wal-Mart Stores, Inc.

 

44,950

2,160,746

 

Whole Foods Market, Inc.*

 

3,683

132,662

 

 

 

 

5,103,633

 

 

 

 

 

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Food Products - 1.9%

 

 

 

 

Archer-Daniels-Midland Co.

 

13,896

$358,795

 

Campbell Soup Co.

 

4,130

147,978

 

ConAgra Foods, Inc.

 

9,586

223,546

 

Dean Foods Co.*

 

3,917

39,444

 

General Mills, Inc.

 

14,248

506,089

 

H.J. Heinz Co.

 

6,837

295,495

 

Hershey Co.

 

3,595

172,308

 

Hormel Foods Corp.

 

1,503

60,842

 

J.M. Smucker Co.

 

2,574

155,006

 

Kellogg Co.

 

5,512

277,254

 

Kraft Foods, Inc.

 

37,554

1,051,512

 

McCormick & Co., Inc.

 

2,978

113,045

 

Mead Johnson Nutrition Co.

 

4,420

221,530

 

Sara Lee Corp.

 

14,314

201,827

 

Tyson Foods, Inc.

 

6,595

108,092

 

 

 

 

3,932,763

 

 

 

 

 

 

Gas Utilities - 0.1%

 

 

 

 

EQT Corp.

 

3,110

112,395

 

Nicor, Inc.

 

945

38,273

 

Oneok, Inc.

 

2,280

98,610

 

 

 

 

249,278

 

 

 

 

 

 

Health Care Equipment & Supplies - 1.8%

 

 

 

 

Baxter International, Inc.

 

13,029

529,499

 

Becton Dickinson & Co.

 

5,095

344,524

 

Boston Scientific Corp.*

 

32,649

189,364

 

C.R. Bard, Inc.

 

2,069

160,410

 

CareFusion Corp.*

 

3,829

86,907

 

DENTSPLY International, Inc.

 

3,183

95,204

 

Hospira, Inc.*

 

3,541

203,430

 

Intuitive Surgical, Inc.*

 

842

265,752

 

Medtronic, Inc.

 

23,875

865,946

 

St. Jude Medical, Inc.*

 

7,035

253,893

 

Stryker Corp.

 

6,110

305,867

 

Varian Medical Systems, Inc.*

 

2,680

140,110

 

Zimmer Holdings, Inc.*

 

4,388

237,171

 

 

 

 

3,678,077

 

 

 

 

 

 

Health Care Providers & Services - 2.1%

 

 

 

 

Aetna, Inc.

 

9,318

245,809

 

AmerisourceBergen Corp.

 

6,107

193,897

 

Cardinal Health, Inc.

 

7,814

262,629

 

CIGNA Corp.

 

5,945

184,652

 

Coventry Health Care, Inc.*

 

3,228

57,071

 

DaVita, Inc.*

 

2,232

139,366

 

Express Scripts, Inc.*

 

11,902

559,632

 

Humana, Inc.*

 

3,681

168,111

 

Laboratory Corp. of America Holdings*

 

2,264

170,592

 

McKesson Corp.

 

5,824

391,140

 

Medco Health Solutions, Inc.*

 

9,885

544,466

 

Patterson Co.'s, Inc.

 

1,980

56,489

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Health Care Providers & Services - Cont'd

 

 

 

 

Quest Diagnostics, Inc.

 

3,249

$161,703

 

Tenet Healthcare Corp.*

 

10,103

43,847

 

UnitedHealth Group, Inc.

 

24,595

698,498

 

WellPoint, Inc.*

 

9,243

452,260

 

 

 

 

4,330,162

 

 

 

 

 

 

Health Care Technology - 0.1%

 

 

 

 

Cerner Corp.*

 

1,520

115,353

 

 

 

 

 

 

Hotels, Restaurants & Leisure - 1.6%

 

 

 

 

Carnival Corp.

 

9,385

283,802

 

Darden Restaurants, Inc.

 

3,024

117,482

 

International Game Technology

 

6,410

100,637

 

Marriott International, Inc.

 

5,504

164,787

 

McDonald's Corp.

 

23,263

1,532,334

 

Starbucks Corp.

 

16,068

390,453

 

Starwood Hotels & Resorts Worldwide, Inc.

 

4,039

167,336

 

Wyndham Worldwide Corp.

 

3,754

75,606

 

Wynn Resorts Ltd.

 

1,494

113,947

 

Yum! Brands, Inc.

 

10,145

396,061

 

 

 

 

3,342,445

 

 

 

 

 

 

Household Durables - 0.4%

 

 

 

 

D.R. Horton, Inc.

 

5,975

58,734

 

Fortune Brands, Inc.

 

3,286

128,745

 

Harman International Industries, Inc.*

 

1,447

43,251

 

Leggett & Platt, Inc.

 

3,210

64,393

 

Lennar Corp.

 

3,675

51,119

 

Newell Rubbermaid, Inc.

 

6,004

87,899

 

Pulte Homes, Inc.*

 

6,859

56,794

 

Stanley Black & Decker, Inc.

 

3,403

171,919

 

Whirlpool Corp.

 

1,618

142,093

 

 

 

 

804,947

 

 

 

 

 

 

Household Products - 2.6%

 

 

 

 

Clorox Co.

 

3,032

188,469

 

Colgate-Palmolive Co.

 

10,673

840,605

 

Kimberly-Clark Corp.

 

9,000

545,670

 

Procter & Gamble Co.

 

62,314

3,737,594

 

 

 

 

5,312,338

 

 

 

 

 

 

Independent Power Producers & Energy Traders - 0.2%

 

 

 

 

AES Corp.*

 

14,463

133,638

 

Constellation Energy Group, Inc.

 

4,348

140,223

 

NRG Energy, Inc.*

 

5,524

117,164

 

 

 

 

391,025

 

 

 

 

 

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Industrial Conglomerates - 2.3%

 

 

 

 

3M Co.

 

15,386

$1,215,340

 

General Electric Co.

 

230,937

3,330,112

 

Textron, Inc.

 

5,896

100,055

 

 

 

 

4,645,507

 

 

 

 

 

 

Insurance - 3.9%

 

 

 

 

Aflac, Inc.

 

10,139

432,631

 

Allstate Corp.

 

11,600

333,268

 

American International Group, Inc.*

 

2,917

100,461

 

AON Corp.

 

5,770

214,182

 

Assurant, Inc.

 

2,518

87,375

 

Berkshire Hathaway, Inc., Class B*

 

35,775

2,850,910

 

Chubb Corp.

 

7,103

355,221

 

Cincinnati Financial Corp.

 

3,689

95,434

 

Genworth Financial, Inc.*

 

10,573

138,189

 

Hartford Financial Services Group, Inc.

 

9,594

212,315

 

Lincoln National Corp.

 

6,535

158,735

 

Loews Corp.

 

7,671

255,521

 

Marsh & McLennan Co.'s, Inc.

 

11,505

259,438

 

MetLife, Inc.

 

17,704

668,503

 

Principal Financial Group, Inc.

 

6,906

161,877

 

Progressive Corp.

 

14,518

271,777

 

Prudential Financial, Inc.

 

10,053

539,444

 

Torchmark Corp.

 

1,791

88,672

 

Travelers Co.'s, Inc.

 

10,718

527,862

 

Unum Group

 

7,188

155,980

 

XL Group plc

 

7,402

118,506

 

 

 

 

8,026,301

 

 

 

 

 

 

Internet & Catalog Retail - 0.5%

 

 

 

 

Amazon.com, Inc.*

 

7,400

808,524

 

Expedia, Inc.

 

4,569

85,806

 

priceline.com, Inc.*

 

1,000

176,540

 

 

 

 

1,070,870

 

 

 

 

 

 

Internet Software & Services - 1.7%

 

 

 

 

Akamai Technologies, Inc.*

 

3,623

146,985

 

eBay, Inc.*

 

24,431

479,092

 

Google, Inc.*

 

5,236

2,329,758

 

Monster Worldwide, Inc.*

 

2,716

31,642

 

VeriSign, Inc.*

 

3,967

105,324

 

Yahoo!, Inc.*

 

25,729

355,832

 

 

 

 

3,448,633

 

 

 

 

 

 

IT Services - 3.1%

 

 

 

 

Automatic Data Processing, Inc.

 

10,911

439,277

 

Cognizant Technology Solutions Corp.*

 

6,432

321,986

 

Computer Sciences Corp.

 

3,321

150,275

 

Fidelity National Information Services, Inc.

 

7,133

191,307

 

Fiserv, Inc.*

 

3,293

150,358

 

International Business Machines Corp.

 

27,747

3,426,200

 

MasterCard, Inc.

 

2,088

416,619

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

IT Services - Cont'd

 

 

 

 

Paychex, Inc.

 

6,954

$180,595

 

SAIC, Inc.*

 

6,591

110,333

 

Total System Services, Inc.

 

4,264

57,990

 

Visa, Inc.

 

9,790

692,643

 

Western Union Co.

 

14,760

220,072

 

 

 

 

6,357,655

 

 

 

 

 

 

Leisure Equipment & Products - 0.2%

 

 

 

 

Eastman Kodak Co.*

 

5,808

25,207

 

Hasbro, Inc.

 

2,824

116,066

 

Mattel, Inc.

 

7,860

166,318

 

 

 

 

307,591

 

 

 

 

 

 

Life Sciences - Tools & Services - 0.5%

 

 

 

 

Life Technologies Corp.*

 

3,909

184,700

 

Millipore Corp.*

 

1,212

129,260

 

PerkinElmer, Inc.

 

2,449

50,621

 

Thermo Fisher Scientific, Inc.*

 

8,852

434,190

 

Waters Corp.*

 

2,024

130,953

 

 

 

 

929,724

 

 

 

 

 

 

Machinery - 1.7%

 

 

 

 

Caterpillar, Inc.

 

13,504

811,185

 

Cummins, Inc.

 

4,353

283,511

 

Danaher Corp.

 

11,330

420,570

 

Deere & Co.

 

9,166

510,363

 

Dover Corp.

 

4,028

168,330

 

Eaton Corp.

 

3,576

234,014

 

Flowserve Corp.

 

1,208

102,438

 

Illinois Tool Works, Inc.

 

8,362

345,183

 

PACCAR, Inc.

 

7,872

313,857

 

Pall Corp.

 

2,648

91,012

 

Parker Hannifin Corp.

 

3,477

192,834

 

Snap-on, Inc.

 

1,212

49,583

 

 

 

 

3,522,880

 

 

 

 

 

 

Media - 3.1%

 

 

 

 

CBS Corp., Class B

 

14,627

189,127

 

Comcast Corp.

 

61,341

1,065,493

 

DIRECTV*

 

19,664

667,003

 

Discovery Communications, Inc.*

 

6,130

218,902

 

Gannett Co., Inc.

 

5,134

69,104

 

Interpublic Group of Co.'s, Inc.*

 

10,493

74,815

 

McGraw-Hill Co.'s, Inc.

 

6,825

192,055

 

Meredith Corp.

 

736

22,912

 

New York Times Co.*

 

2,202

19,047

 

News Corp.

 

48,743

582,966

 

Omnicom Group, Inc.

 

6,708

230,084

 

Scripps Networks Interactive, Inc.

 

1,997

80,559

 

Time Warner Cable, Inc.

 

7,619

396,798

 

Time Warner, Inc.

 

24,661

712,950

 

Viacom, Inc., Class B

 

13,126

411,763

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Media - Cont'd

 

 

 

 

Walt Disney Co.

 

42,364

$1,334,466

 

Washington Post Co., Class B

 

133

54,594

 

 

 

 

6,322,638

 

 

 

 

 

 

Metals & Mining - 1.0%

 

 

 

 

AK Steel Holding Corp.

 

2,376

28,322

 

Alcoa, Inc.

 

22,056

221,883

 

Allegheny Technologies, Inc.

 

2,124

93,860

 

Cliffs Natural Resources, Inc.

 

2,987

140,867

 

Freeport-McMoRan Copper & Gold, Inc.

 

10,164

600,997

 

Newmont Mining Corp.

 

10,616

655,432

 

Nucor Corp.

 

6,810

260,687

 

Titanium Metals Corp.*

 

1,566

27,546

 

United States Steel Corp.

 

3,100

119,505

 

 

 

 

2,149,099

 

 

 

 

 

 

Multiline Retail - 0.8%

 

 

 

 

Big Lots, Inc.*

 

1,737

55,740

 

Family Dollar Stores, Inc.

 

2,990

112,693

 

J.C. Penney Co., Inc.

 

5,100

109,548

 

Kohl's Corp.*

 

6,628

314,830

 

Macy's, Inc.

 

9,102

162,926

 

Nordstrom, Inc.

 

3,574

115,047

 

Sears Holdings Corp.*

 

1,050

67,883

 

Target Corp.

 

15,936

783,573

 

 

 

 

1,722,240

 

 

 

 

 

 

Multi-Utilities - 1.4%

 

 

 

 

Ameren Corp.

 

5,124

121,797

 

Centerpoint Energy, Inc.

 

9,007

118,532

 

CMS Energy Corp.

 

4,964

72,723

 

Consolidated Edison, Inc.

 

6,083

262,177

 

Dominion Resources, Inc.

 

12,973

502,574

 

DTE Energy Co.

 

3,568

162,736

 

Integrys Energy Group, Inc.

 

1,595

69,765

 

NiSource, Inc.

 

5,984

86,768

 

PG&E Corp.

 

8,028

329,951

 

Public Service Enterprise Group, Inc.

 

10,938

342,688

 

SCANA Corp.

 

2,410

86,182

 

Sempra Energy

 

5,341

249,905

 

TECO Energy, Inc.

 

4,622

69,654

 

Wisconsin Energy Corp.

 

2,527

128,220

 

Xcel Energy, Inc.

 

9,872

203,462

 

 

 

 

2,807,134

 

 

 

 

 

 

Office Electronics - 0.1%

 

 

 

 

Xerox Corp.

 

29,226

234,977

 

 

 

 

 

 

Oil, Gas & Consumable Fuels - 8.8%

 

 

 

 

Anadarko Petroleum Corp.

 

10,650

384,358

 

Apache Corp.

 

7,276

612,566

 

Cabot Oil & Gas Corp.

 

2,349

73,571

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Oil, Gas & Consumable Fuels - Cont'd

 

 

 

 

Chesapeake Energy Corp.

 

14,092

$295,227

 

Chevron Corp.

 

43,416

2,946,210

 

ConocoPhillips

 

32,142

1,577,851

 

Consol Energy, Inc.

 

4,751

160,394

 

Denbury Resources, Inc.*

 

8,545

125,099

 

Devon Energy Corp.

 

9,659

588,426

 

El Paso Corp.

 

15,149

168,305

 

EOG Resources, Inc.

 

5,461

537,199

 

Exxon Mobil Corp.

 

110,608

6,312,382

 

Hess Corp.

 

6,296

316,941

 

Marathon Oil Corp.

 

15,299

475,646

 

Massey Energy Co.

 

2,161

59,103

 

Murphy Oil Corp.

 

4,132

204,741

 

Noble Energy, Inc.

 

3,772

227,565

 

Occidental Petroleum Corp.

 

17,553

1,354,214

 

Peabody Energy Corp.

 

5,810

227,345

 

Pioneer Natural Resources Co.

 

2,498

148,506

 

QEP Resources, Inc.*

 

3,640

112,221

 

Range Resources Corp.

 

3,441

138,156

 

Southwestern Energy Co.*

 

7,483

289,143

 

Spectra Energy Corp.

 

13,991

280,799

 

Sunoco, Inc.

 

2,531

88,003

 

Tesoro Corp.

 

2,957

34,508

 

Valero Energy Corp.

 

12,210

219,536

 

Williams Co.'s, Inc.

 

12,614

230,584

 

 

 

 

18,188,599

 

 

 

 

 

 

Paper & Forest Products - 0.2%

 

 

 

 

International Paper Co.

 

9,363

211,884

 

MeadWestvaco Corp.

 

3,704

82,229

 

Weyerhaeuser Co.

 

4,570

160,864

 

 

 

 

454,977

 

 

 

 

 

 

Personal Products - 0.2%

 

 

 

 

Avon Products, Inc.

 

9,242

244,913

 

Estee Lauder Co.'s, Inc.

 

2,556

142,446

 

 

 

 

387,359

 

 

 

 

 

 

Pharmaceuticals - 6.0%

 

 

 

 

Abbott Laboratories, Inc.

 

33,399

1,562,405

 

Allergan, Inc.

 

6,648

387,312

 

Bristol-Myers Squibb Co.

 

37,056

924,177

 

Eli Lilly & Co.

 

21,937

734,890

 

Forest Laboratories, Inc.*

 

6,539

179,365

 

Johnson & Johnson

 

59,658

3,523,401

 

King Pharmaceuticals, Inc.*

 

5,217

39,597

 

Merck & Co., Inc.

 

67,449

2,358,692

 

Mylan, Inc.*

 

6,630

112,975

 

Pfizer, Inc.

 

174,460

2,487,800

 

Watson Pharmaceuticals, Inc.*

 

2,307

93,595

 

 

 

 

12,404,209

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Professional Services - 0.1%

 

 

 

 

Dun & Bradstreet Corp.

 

1,112

$74,638

 

Equifax, Inc.

 

2,732

76,660

 

Robert Half International, Inc.

 

3,213

75,666

 

 

 

 

226,964

 

 

 

 

 

 

Real Estate Investment Trusts - 1.3%

 

 

 

 

Apartment Investment & Management Co.

 

2,364

45,791

 

AvalonBay Communities, Inc.

 

1,764

164,705

 

Boston Properties, Inc.

 

3,002

214,163

 

Equity Residential

 

6,094

253,754

 

HCP, Inc.

 

6,353

204,884

 

Health Care REIT, Inc.

 

2,674

112,629

 

Host Hotels & Resorts, Inc.

 

14,121

190,351

 

Kimco Realty Corp.

 

8,770

117,869

 

Plum Creek Timber Co., Inc.

 

3,525

121,718

 

ProLogis

 

10,252

103,853

 

Public Storage

 

2,933

257,840

 

Simon Property Group, Inc.

 

6,267

506,060

 

Ventas, Inc.

 

3,388

159,066

 

Vornado Realty Trust

 

3,407

248,541

 

 

 

 

2,701,224

 

 

 

 

 

 

Real Estate Management & Development - 0.0%

 

 

 

 

CB Richard Ellis Group, Inc.*

 

5,844

79,537

 

 

 

 

 

 

Road & Rail - 0.8%

 

 

 

 

CSX Corp.

 

8,430

418,381

 

Norfolk Southern Corp.

 

7,994

424,082

 

Ryder System, Inc.

 

1,155

46,465

 

Union Pacific Corp.

 

10,922

759,188

 

 

 

 

1,648,116

 

 

 

 

 

 

Semiconductors & Semiconductor Equipment - 2.5%

 

 

 

 

Advanced Micro Devices, Inc.*

 

12,218

89,436

 

Altera Corp.

 

6,431

159,553

 

Analog Devices, Inc.

 

6,437

179,335

 

Applied Materials, Inc.

 

29,050

349,181

 

Broadcom Corp.

 

9,321

307,313

 

Intel Corp.

 

120,351

2,340,827

 

KLA-Tencor Corp.

 

3,720

103,714

 

Linear Technology Corp.

 

4,832

134,378

 

LSI Corp.*

 

14,193

65,288

 

MEMC Electronic Materials, Inc.*

 

4,916

48,570

 

Microchip Technology, Inc.

 

3,983

110,488

 

Micron Technology, Inc.*

 

18,390

156,131

 

National Semiconductor Corp.

 

5,138

69,157

 

Novellus Systems, Inc.*

 

2,037

51,658

 

NVIDIA Corp.*

 

12,003

122,551

 

Teradyne, Inc.*

 

3,535

34,466

 

Texas Instruments, Inc.

 

26,446

615,663

 

Xilinx, Inc.

 

5,980

151,055

 

 

 

 

5,088,764

 

 

 

 

 

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Software - 3.7%

 

 

 

 

Adobe Systems, Inc.*

 

11,332

$299,505

 

Autodesk, Inc.*

 

4,966

120,972

 

BMC Software, Inc.*

 

3,948

136,719

 

CA, Inc.

 

8,548

157,283

 

Citrix Systems, Inc.*

 

3,975

167,864

 

Compuware Corp.*

 

4,553

36,333

 

Electronic Arts, Inc.*

 

7,062

101,693

 

Intuit, Inc.*

 

6,787

235,984

 

McAfee, Inc.*

 

3,431

105,400

 

Microsoft Corp.

 

164,947

3,795,430

 

Novell, Inc.*

 

7,081

40,220

 

Oracle Corp.

 

84,497

1,813,306

 

Red Hat, Inc.*

 

4,234

122,532

 

Salesforce.com, Inc.*

 

2,448

210,087

 

Symantec Corp.*

 

17,424

241,845

 

 

 

 

7,585,173

 

 

 

 

 

 

Specialty Retail - 2.0%

 

 

 

 

Abercrombie & Fitch Co.

 

1,859

57,053

 

AutoNation, Inc.*

 

1,954

38,103

 

AutoZone, Inc.*

 

638

123,274

 

Bed Bath & Beyond, Inc.*

 

5,664

210,021

 

Best Buy Co., Inc.

 

7,408

250,835

 

CarMax, Inc.*

 

4,745

94,425

 

GameStop Corp.*

 

3,483

65,445

 

Gap, Inc.

 

9,713

189,015

 

Home Depot, Inc.

 

36,359

1,020,597

 

Limited Brands, Inc.

 

5,781

127,587

 

Lowe's Co.'s, Inc.

 

30,925

631,488

 

Office Depot, Inc.*

 

5,940

23,998

 

O'Reilly Automotive, Inc.*

 

2,974

141,443

 

RadioShack Corp.

 

2,709

52,853

 

Ross Stores, Inc.

 

2,678

142,711

 

Staples, Inc.

 

15,759

300,209

 

Tiffany & Co.

 

2,690

101,978

 

TJX Co.'s, Inc.

 

8,828

370,335

 

Urban Outfitters, Inc.*

 

2,805

96,464

 

 

 

 

4,037,834

 

 

 

 

 

 

Textiles, Apparel & Luxury Goods - 0.5%

 

 

 

 

Coach, Inc.

 

6,602

241,303

 

Nike, Inc., Class B

 

8,430

569,447

 

Polo Ralph Lauren Corp.

 

1,428

104,187

 

VF Corp.

 

1,913

136,167

 

 

 

 

1,051,104

 

 

 

 

 

 

Thrifts & Mortgage Finance - 0.1%

 

 

 

 

Hudson City Bancorp, Inc.

 

10,244

125,387

 

People's United Financial, Inc.

 

8,022

108,297

 

 

 

 

233,684

 

 

 

 

 

 

Equity Securities - Cont'd

 

Shares

Value

 

Tobacco - 1.5%

 

 

 

 

Altria Group, Inc.

 

44,955

$900,898

 

Lorillard, Inc.

 

3,349

241,061

 

Philip Morris International, Inc.

 

40,070

1,836,809

 

Reynolds American, Inc.

 

3,655

190,499

 

 

 

 

3,169,267

 

 

 

 

 

 

Trading Companies & Distributors - 0.1%

 

 

 

 

Fastenal Co.

 

2,837

142,389

 

W.W. Grainger, Inc.

 

1,331

132,368

 

 

 

 

274,757

 

 

 

 

 

 

Wireless Telecommunication Services - 0.3%

 

 

 

 

American Tower Corp.*

 

8,703

387,284

 

MetroPCS Communications, Inc.*

 

5,643

46,216

 

Sprint Nextel Corp.*

 

64,363

272,899

 

 

 

 

706,399

 

 

 

 

 

 

     Total Equity Securities (Cost $211,575,178)

 

 

201,481,489

 

 

 

 

 

 

Exchange Traded Funds - 0.8%

 

 

 

 

SPDR Trust Series 1

 

16,200

1,672,164

 

 

 

 

 

 

     Total Exchange Traded Funds (Cost $1,929,044)

 

 

1,672,164

 

 

 

 

 

 

 

 

Principal

 

 

U.S. Treasury - 0.4%

 

Amount

 

 

United States Treasury Bills, 7/8/10^

 

$800,000

799,978

 

 

 

 

 

 

     Total U.S. Treasury (Cost $799,978)

 

 

799,978

 

 

 

 

 

 

Time Deposit - 1.0%

 

 

 

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

 

2,149,293

2,149,293

 

 

 

 

 

 

     Total Time Deposit (Cost $2,149,293)

 

 

2,149,293

 

 

 

 

 

 

          TOTAL INVESTMENTS (Cost $216,453,493) - 99.9%

 

 

206,102,924

 

          Other assets and liabilities, net - 0.1%

 

 

189,667

 

          Net Assets - 100%

 

 

$206,292,591

 

Net Assets Consist of:

 

 

 

 

Paid-in capital applicable to 3,094,521 shares of common stock outstanding; $0.10 par value, 30,000,000 shares authorized

 

 

$226,386,483

 

Undistributed net investment income

 

 

2,251,072

 

Accumulated net realized gain (loss) on investments

 

 

(11,811,234)

 

Net unrealized appreciation (depreciation) on investments

 

 

(10,533,730)

 
 

 

 

 

 

          Net Assets

 

 

$206,292,591

 

 

 

 

 

 

          Net Asset Value Per Share

 

 

$66.66

 

 

Futures

Number of
Contracts

Expiration
Date

Underlying
Face Amount
At Value

Unrealized
Appreciation
(Depreciation)

Purchased:

 

 

 

 

     E-Mini S&P 500 Index^

11

9/10

$564,630

($33,956)

     S&P 500 Index^

10

9/10

2,566,500

(149,205)

          Total Purchased

 

 

 

($183,161)

 

^ Futures collateralized by 800,000 units of U.S. Treasury Bills.

* Non-income producing security.

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income

$2,240,077

     Interest income

1,595

          Total investment income

2,241,672

 

 

Expenses:

 

     Investment advisory fee

289,671

     Transfer agency fees and expenses

1,035

     Accounting fees

18,446

     Directors' fees and expenses

15,645

     Administrative fees

115,869

     Custodian fees

26,391

     Reports to shareholders

37,235

     Professional fees

21,267

     Miscellaneous

21,492

          Total expenses

547,051

          Reimbursement from Advisor

(106,452)

          Fees paid indirectly

(299)

               Net expenses

440,300

 

 

                    Net Investment Income

1,801,372

 

 

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) on:

 

     Investments

3,010,911

     Futures

(612,594)

 

2,398,317

 

 

Change in unrealized appreciation (depreciation) on:

 

     Investments

(18,673,089)

     Futures

(295,562)

 

(18,968,651)
 

 

          Net Realized and Unrealized Gain

 

           (Loss)

(16,570,334)

 

 

          Increase (Decrease) in Net Assets

 

          Resulting From Operations

($14,768,962)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$1,801,372

$4,258,478

     Net realized gain (loss) on investments

2,398,317

9,875,911

     Change in unrealized appreciation (depreciation)

(18,968,651)

37,336,063

 

 

 

          Increase (Decrease) in Net Assets

 

 

          Resulting From Operations

(14,768,962)

51,470,452

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(4,209,282)

     Net realized gain

--

(2,915,695)

          Total distributions

--

(7,124,977)

 

 

 

Capital share transactions:

 

 

     Shares sold

5,459,195

21,427,150

     Reinvestment of distributions

--

7,124,975

     Shares redeemed

(22,474,799)

(48,444,184)

          Total capital share transactions

(17,015,604)

(19,892,059)
 

 

 

 

 

 

Total Increase (Decrease) In Net Assets

(31,784,566)

24,453,416

 

 

 

 

 

 

Net Assets

 

 

Beginning of period

238,077,157

213,623,741

End of period (including undistributed net investment

 

 

     income of $2,251,072 and $449,700, respectively)

$206,292,591

$238,077,157

 

 

 

Capital Share Activity

 

 

Shares sold

75,293

356,748

Shares reinvested

--

98,615

Shares redeemed

(309,522)

(781,868)

     Total capital share activity

(234,229)

(326,505)

 

See notes to financial statements.

 

Notes to Financial Statements

Note A -- Significant Accounting Policies

General: The Calvert VP S&P 500 Index Portfolio (the "Portfolio"), formerly known as Summit S&P 500 Index Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.

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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date.

These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity securities*

$201,481,489

--

--

$201,481,489

U.S. government obligations

--

$799,978

--

799,978

Exchange traded funds

1,672,164

--

--

1,672,164

Other debt obligations

--

2,149,293

--

2,149,293

TOTAL

$203,153,653

$2,949,271

--

$206,102,924

 

 

 

 

 

Other financial instruments**

($183,161)

--

--

($183,161)

* For further breakdown of Equity Securities by industry type, please refer to the Statement of Net Assets.

** Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives. The Portfolio may use futures contracts to hedge against changes in the value of securities. The Portfolio 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 Portfolio. 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 Portfolio's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms. Futures contracts are designed by boards of trade which are designated "contracts markets" by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio.

Security Transactions and 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 Portfolio 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.

Foreign Currency Transactions: The Portfolio's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are translated into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included with the net realized and unrealized gain or loss on investments and foreign currencies.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. ("the Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .25% of the Portfolio's average daily net assets. Under the terms of the agreement, $44,814 was payable at period end. In addition, $14,968 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .38%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $17,926 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $44 for the six months ended June 30, 2010. Under the terms of the agreement, $7 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $9,032,808 and $18,577,398, respectively.

Capital Loss Carryforwards
Expiration Date

31-Dec-10

$2,110,080

31-Dec-11

960,576

31-Dec-12

2,529,937

31-Dec-13

1,687,669

31-Dec-15

2,330,473

31-Dec-16

280,386

31-Dec-17

2,509,534

The Portfolio's use of capital loss carryforwards may be limited under certain tax provisions.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$34,792,190

Unrealized (depreciation)               

(52,676,433)

Net unrealized appreciation/(depreciation)     

($17,884,243)

Federal income tax cost of investments     

$223,987,167

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

AVERAGE
DAILY
BALANCE

WEIGHTED
AVERAGE
INTEREST
RATE

MAXIMUM
AMOUNT
BORROWED

MONTH OF
MAXIMUM
AMOUNT
BORROWED

 

$101,780

1.51%

$1,492,484

June 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009

2008

Net asset value, beginning

$71.52

$58.44

$97.44

Income from investment operations

 

 

 

     Net investment income

.59

1.33

1.44

     Net realized and unrealized gain (loss)

(5.45)

13.95

(36.76)

          Total from investment operations

(4.86)

15.28

(35.32)

Distributions from

 

 

 

     Net investment income

--

(1.30)

(2.60)

     Net realized gain

--

(.90)

(1.08)

          Total distributions

--

(2.20)

(3.68)

Total increase (decrease) in net asset value

(4.86)

13.08

(39.00)

Net asset value, ending

$66.66

$71.52

$58.44

 

 

 

 

Total return*

(6.80%)

26.11%

(37.10%)

Ratios to average net assets: A

 

 

 

     Net investment income

1.55% (a)

1.98%

2.00%

     Total expenses

.47% (a)

.46%

.47%

     Expenses before offsets

.38% (a)

.38%

.39%

     Net expenses

.38% (a)

.38%

.39%

Portfolio turnover

4%

9%

7%

Net assets, ending (in thousands)

$206,293

$238,077

$213,624

 

 

 

 

 

 

 

 

 

 

Years Ended

 

 

December 31,

December 31,

December 31,

 

2007

2006

2005

Net asset value, beginning

$94.19

$82.85

$80.48

Income from investment operations

 

 

 

     Net investment income

1.52

1.40

1.17

     Net realized and unrealized gain (loss)

3.31

11.19

2.39

          Total from investment operations

4.83

12.59

3.56

Distributions from

 

 

 

     Net investment income

(1.42)

(1.25)

(1.19)

     Net realized gain

(.16)

--

--

          Total distributions

(1.58)

(1.25)

(1.19)

Total increase (decrease) in net asset value

3.25

11.34

2.37

Net asset value, ending

$97.44

$94.19

$82.85

 

 

 

 

Total return*

5.16%

15.36%

4.52%

Ratios to average net assets: A

 

 

 

     Net investment income

1.59%

1.56%

1.49%

     Total expenses

.45%

.43%

.49%

     Expenses before offsets

.39%

.39%

.39%

     Net expenses

.39%

.39%

.39%

Portfolio turnover

3%

3%

6%

Net assets, ending (in thousands)

$302,821

$309,019

$290,666

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

* Total return is not annualized for periods less than one year.

 

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 typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

 

<PAGE>

 

Calvert VP S&P MidCap 400 Index Portfolio
(formerly, Summit S&P MidCap 400 Index Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

20

Statement of Operations

21

Statements of Changes in Net Assets

22

Notes to Financial Statements

28

Financial Highlights

31

Explanation of Financial Tables

32

Proxy Voting and Availability of Quarterly Portfolio Holdings

 

Calvert VP S&P Midcap 400 Index Portfolio
Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. International markets fared poorly as well during the period, as the MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI) lost 12.27% due to a combination of poor market performance and a strong U.S. dollar.

In the S&P 500 Index, all 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing

Calvert VP S&P MidCap 400 Index Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

Average Annual Total Return
(period ended 6.30.10)

 

Class I

Class F**

Six month***

-1.66%

-1.78%

One year

24.06%

23.83%

Five year

1.59%

1.38%

Ten year

4.64%

4.38%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

**Prior to October 1, 2007, Class F share performance is based on Class I performance. Absent limitation of expenses during certain of the periods shown, performance would have been lower.

The performance data shown represents past performance, and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. The value of an investment in Class I shares is plotted in the graph. The value of an investment in another class of shares would be different.

*** Total return is not annualized for periods of one year or less.

 

homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Outlook

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant.

In our opinion, a slowdown in China is of more immediate concern than one in Europe. Chinese officials raised interest rates in an attempt to engineer a soft landing and prevent the bursting of the asset bubbles in that country. But these asset bubbles could deflate in a disorderly fashion, pushing the Chinese economy to a hard landing, which would certainly impact global growth prospects.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view this correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time.

Economic Sectors

% of Total
Investments

 

 

Consumer Discretionary

13.1%

Consumer Staples

3.6%

Energy

5.5%

Exchange Traded Funds

0.8%

Financials

19.8%

Government

0.3%

Health Care

11.4%

Industrials

13.9%

Information Technology

14.9%

Materials

6.3%

Telecommunication Services

0.8%

Time Deposit

3.5%

Utilities

6.1%

 

 

Total

100%

 

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Class I

 

 

 

Actual

$1,000.00

$983.40

$2.70

Hypothetical (5% return per year before expenses)

$1,000.00

$1,022.07

$2.76

 

 

 

 

Class F

 

 

 

Actual

$1,000.00

$982.20

$3.88

Hypothetical (5% return per year before expenses)

$1,000.00

$1,020.88

$3.96

* Expenses are equal to the Fund's annualized expense ratio of .55% and .79%, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
June 30, 2010

Equity Securities - 96.2%

Shares

Value

Aerospace & Defense - 0.5%

 

 

Alliant Techsystems, Inc.*

5,089

$315,823

BE Aerospace, Inc.*

15,738

400,218

 

 

716,041

 

 

 

Airlines - 0.4%

 

 

Airtran Holdings, Inc.*

20,826

101,006

Alaska Air Group, Inc.*

5,507

247,540

JetBlue Airways Corp.*

32,029

175,839

 

 

524,385

 

 

 

Auto Components - 0.8%

 

 

BorgWarner, Inc.*

18,126

676,825

Gentex Corp.

21,475

386,120

 

 

1,062,945

 

 

 

Automobiles - 0.1%

 

 

Thor Industries, Inc.

5,845

138,819

TravelCenters of America LLC (b)*

60,000

10

 

 

138,829

 

 

 

Beverages - 0.3%

 

 

Hansen Natural Corp.*

10,934

427,629

 

 

 

Biotechnology - 1.0%

 

 

United Therapeutics Corp.*

7,568

369,394

Vertex Pharmaceuticals, Inc.*

31,134

1,024,309

 

 

1,393,703

 

 

 

Building Products - 0.2%

 

 

Lennox International, Inc.

7,473

310,653

 

 

 

Capital Markets - 2.0%

 

 

Affiliated Managers Group, Inc.*

6,859

416,821

Apollo Investment Corp.

29,847

278,472

Eaton Vance Corp.

18,255

504,021

Greenhill & Co., Inc.

3,294

201,362

Jefferies Group, Inc.

18,769

395,651

Raymond James Financial, Inc.

15,311

378,029

SEI Investments Co.

19,879

404,736

Waddell & Reed Financial, Inc.

13,306

291,135

 

 

2,870,227

 

 

 

Chemicals - 3.2%

 

 

Albemarle Corp.

14,073

558,839

Ashland, Inc.

12,087

561,079

Cabot Corp.

10,065

242,667

Cytec Industries, Inc.

7,539

301,485

Intrepid Potash, Inc.*

6,170

120,747

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Chemicals - Cont'd

 

 

Lubrizol Corp.

10,503

$843,496

Minerals Technologies, Inc.

2,806

133,397

NewMarket Corp.

1,775

154,993

Olin Corp.

12,143

219,667

RPM International, Inc.

19,961

356,104

Scotts Miracle-Gro Co.

7,002

310,959

Sensient Technologies Corp.

7,624

197,690

Valspar Corp.

15,284

460,354

 

 

4,461,477

 

 

 

Commercial Banks - 3.7%

 

 

Associated Banc-Corp.

26,625

326,422

BancorpSouth, Inc.

11,311

202,241

Bank of Hawaii Corp.

7,397

357,645

Cathay General Bancorp

12,089

124,879

City National Corp.

6,715

344,009

Commerce Bancshares, Inc.

11,309

407,011

Cullen/Frost Bankers, Inc.

9,322

479,151

FirstMerit Corp.

16,593

284,238

Fulton Financial Corp.

30,547

294,779

International Bancshares Corp.

7,765

129,598

PacWest Bancorp

4,523

82,816

Prosperity Bancshares, Inc.

7,178

249,435

SVB Financial Group*

6,427

264,985

Synovus Financial Corp.

120,575

306,260

TCF Financial Corp.

19,044

316,321

Trustmark Corp.

8,752

182,217

Valley National Bancorp

24,784

337,558

Webster Financial Corp.

10,271

184,262

Westamerica Bancorporation

4,515

237,128

Wilmington Trust Corp.

14,042

155,726

 

 

5,266,681

 

 

 

Commercial Services & Supplies - 1.6%

 

 

Brink's Co.

7,171

136,464

Clean Harbors, Inc.*

3,520

233,763

Copart, Inc.*

10,382

371,779

Corrections Corp. of America*

17,512

334,129

Deluxe Corp.

7,906

148,238

Herman Miller, Inc.

8,770

165,490

HNI Corp.

6,739

185,929

Mine Safety Appliances Co.

4,526

112,154

Rollins, Inc.

6,724

139,120

Waste Connections, Inc.*

11,953

417,040

 

 

2,244,106

 

 

 

Communications Equipment - 1.7%

 

 

ADC Telecommunications, Inc.*

14,459

107,141

Adtran, Inc.

8,368

228,195

Ciena Corp.*

13,781

174,743

CommScope, Inc.*

14,543

345,687

F5 Networks, Inc.*

12,340

846,154

Palm, Inc.*

24,697

140,526

Plantronics, Inc.

7,525

215,215

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Communications Equipment - Cont'd

 

 

Polycom, Inc.*

13,119

$390,815

 

 

2,448,476

 

 

 

Computers & Peripherals - 0.4%

 

 

Diebold, Inc.

10,154

276,696

NCR Corp.*

24,682

299,146

 

 

575,842

 

 

 

Construction & Engineering - 1.4%

 

 

AECOM Technology Corp.*

17,660

407,240

Granite Construction, Inc.

5,042

118,890

KBR, Inc.

24,727

502,947

Shaw Group, Inc.*

12,984

444,312

URS Corp.*

12,751

501,752

 

 

1,975,141

 

 

 

Construction Materials - 0.4%

 

 

Martin Marietta Materials, Inc.

6,996

593,331

 

 

 

Consumer Finance - 0.2%

 

 

AmeriCredit Corp.*

14,918

271,806

 

 

 

Containers & Packaging - 1.7%

 

 

AptarGroup, Inc.

10,453

395,332

Greif, Inc.

5,293

293,973

Packaging Corp. of America

15,884

349,766

Rock-Tenn Co.

5,996

297,821

Silgan Holdings, Inc.

8,060

228,743

Sonoco Products Co.

15,458

471,160

Temple-Inland, Inc.

16,564

342,378

 

 

2,379,173

 

 

 

Distributors - 0.3%

 

 

LKQ Corp.*

21,993

424,025

 

 

 

Diversified Consumer Services - 1.4%

 

 

Career Education Corp.*

10,211

235,057

Corinthian Colleges, Inc.*

13,047

128,513

ITT Educational Services, Inc.*

4,423

367,198

Matthews International Corp.

4,546

133,107

Regis Corp.

8,547

133,077

Service Corp. International

39,236

290,346

Sotheby's

10,321

236,041

Strayer Education, Inc.

2,142

445,300

 

 

1,968,639

 

 

 

Diversified Financial Services - 0.3%

 

 

MSCI, Inc.*

17,910

490,734

 

 

 

Diversified Telecommunication Services - 0.3%

 

 

Cincinnati Bell, Inc.*

30,242

91,028

tw telecom, Inc.*

23,358

389,612

 

 

480,640

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Electric Utilities - 1.8%

 

 

Cleco Corp.

9,344

$246,775

DPL, Inc.

18,314

437,705

Great Plains Energy, Inc.

20,870

355,207

Hawaiian Electric Industries, Inc.

14,346

326,802

IDACORP, Inc.

7,406

246,398

NV Energy, Inc.

36,174

427,215

PNM Resources, Inc.

13,056

145,966

Westar Energy, Inc.

17,033

368,083

 

 

2,554,151

 

 

 

Electrical Equipment - 1.5%

 

 

Acuity Brands, Inc.

6,575

239,199

AMETEK, Inc.

16,375

657,456

Hubbell, Inc., Class B

9,240

366,736

Regal-Beloit Corp.

5,928

330,664

Thomas & Betts Corp.*

8,129

282,076

Woodward Governor Co.

8,751

223,413

 

 

2,099,544

 

 

 

Electronic Equipment & Instruments - 2.2%

 

 

Arrow Electronics, Inc.*

18,543

414,436

Avnet, Inc.*

23,377

563,619

Ingram Micro, Inc.*

25,466

386,829

Itron, Inc.*

6,205

383,593

National Instruments Corp.

8,713

276,899

Tech Data Corp.*

7,640

272,137

Trimble Navigation Ltd.*

18,677

522,956

Vishay Intertechnology, Inc.*

28,738

222,432

 

 

3,042,901

 

 

 

Energy Equipment & Services - 1.9%

 

 

Atwood Oceanics, Inc.*

8,730

222,790

Exterran Holdings, Inc.*

9,721

250,899

Helix Energy Solutions Group, Inc.*

13,721

147,775

Oceaneering International, Inc.*

8,490

381,201

Patterson-UTI Energy, Inc.

23,690

304,890

Pride International, Inc.*

27,040

604,074

Superior Energy Services, Inc.*

12,099

225,888

Tidewater, Inc.

7,985

309,179

Unit Corp.*

6,261

254,134

 

 

2,700,830

 

 

 

Food & Staples Retailing - 0.3%

 

 

BJ's Wholesale Club, Inc.*

8,251

305,369

Ruddick Corp.

6,107

189,256

 

 

494,625

 

 

 

Food Products - 1.5%

 

 

Corn Products International, Inc.

11,585

351,026

Flowers Foods, Inc.

11,866

289,886

Green Mountain Coffee Roasters, Inc.*

16,207

416,520

Lancaster Colony Corp.

2,905

155,011

Ralcorp Holdings, Inc.*

8,452

463,170

Smithfield Foods, Inc.*

22,726

338,617

Tootsie Roll Industries, Inc.

4,062

96,066

 

 

2,110,296

 

 

 

Equity Securities - Cont'd

Shares

Value

Gas Utilities - 2.1%

 

 

AGL Resources, Inc.

11,987

$429,374

Atmos Energy Corp.

14,342

387,808

Energen Corp.

11,068

490,644

National Fuel Gas Co.

12,614

578,730

Questar Corp.*

25,850

417,478

UGI Corp.

16,811

427,672

WGL Holdings, Inc.

7,798

265,366

 

 

2,997,072

 

 

 

Health Care Equipment & Supplies - 4.1%

 

 

Beckman Coulter, Inc.

10,794

650,770

Edwards Lifesciences Corp.*

17,447

977,381

Gen-Probe, Inc.*

7,639

346,963

Hill-Rom Holdings, Inc.

9,718

295,719

Hologic, Inc.*

39,893

555,710

IDEXX Laboratories, Inc.*

8,877

540,609

Immucor, Inc.*

10,448

199,034

Kinetic Concepts, Inc.*

9,604

350,642

Masimo Corp.

8,145

193,932

ResMed, Inc.*

11,675

709,957

STERIS Corp.

9,125

283,605

Teleflex, Inc.

6,146

333,605

Thoratec Corp.*

8,827

377,178

 

 

5,815,105

 

 

 

Health Care Providers & Services - 3.7%

 

 

Community Health Systems, Inc.*

14,609

493,930

Health Management Associates, Inc.*

38,545

299,495

Health Net, Inc.*

15,303

372,934

Henry Schein, Inc.*

14,069

772,388

Kindred Healthcare, Inc.*

5,848

75,088

LifePoint Hospitals, Inc.*

8,512

267,277

Lincare Holdings, Inc.*

15,302

497,468

Mednax, Inc.*

7,253

403,339

Omnicare, Inc.

18,507

438,616

Owens & Minor, Inc.

9,715

275,712

Psychiatric Solutions, Inc.*

8,803

288,034

Universal Health Services, Inc., Class B

14,953

570,457

VCA Antech, Inc.*

13,236

327,723

WellCare Health Plans, Inc.*

6,324

150,132

 

 

5,232,593

 

 

 

Hotels, Restaurants & Leisure - 2.2%

 

 

Bally Technologies, Inc.*

8,503

275,412

Bob Evans Farms, Inc.

4,587

112,932

Boyd Gaming Corp.*

8,524

72,369

Brinker International, Inc.

15,795

228,396

Burger King Holdings, Inc.

14,207

239,246

Cheesecake Factory, Inc.*

9,301

207,040

Chipotle Mexican Grill, Inc.*

4,844

662,708

International Speedway Corp.

4,598

118,444

Life Time Fitness, Inc.*

6,429

204,378

Panera Bread Co.*

4,929

371,104

Scientific Games Corp.*

10,046

92,423

Wendy's/Arby's Group, Inc.

51,420

205,680

WMS Industries, Inc.*

8,031

315,217

 

 

3,105,349

 

 

 

Equity Securities - Cont'd

Shares

Value

Household Durables - 1.6%

 

 

American Greetings Corp.

6,107

$114,567

KB Home

11,146

122,606

MDC Holdings, Inc.

5,629

151,702

Mohawk Industries, Inc.*

8,658

396,190

NVR, Inc.*

950

622,278

Ryland Group, Inc.

6,773

107,149

Toll Brothers, Inc.*

21,653

354,243

Tupperware Brands Corp.

9,728

387,661

 

 

2,256,396

 

 

 

Household Products - 0.9%

 

 

Church & Dwight Co., Inc.

10,914

684,417

Energizer Holdings, Inc.*

10,784

542,219

 

 

1,226,636

 

 

 

Independent Power Producers & Energy Traders - 0.0%

 

 

Dynegy, Inc.*

15,171

58,408

 

 

 

Industrial Conglomerates - 0.2%

 

 

Carlisle Co.'s, Inc.

9,371

338,574

 

 

 

Insurance - 4.3%

 

 

American Financial Group, Inc.

11,644

318,114

Arthur J. Gallagher & Co.

15,952

388,910

Brown & Brown, Inc.

18,166

347,697

Everest Re Group Ltd.

9,072

641,572

Fidelity National Financial, Inc.

35,364

459,378

First American Financial Corp.

15,935

202,056

Hanover Insurance Group, Inc.

6,905

300,368

HCC Insurance Holdings, Inc.

17,707

438,425

Mercury General Corp.

5,335

221,082

Old Republic International Corp.

37,112

450,169

Protective Life Corp.

13,180

281,920

Reinsurance Group of America, Inc.

11,262

514,786

StanCorp Financial Group, Inc.

7,292

295,618

Transatlantic Holdings, Inc.

9,902

474,900

Unitrin, Inc.

7,478

191,437

WR Berkley Corp.

19,781

523,405

 

 

6,049,837

 

 

 

Internet & Catalog Retail - 0.5%

 

 

NetFlix, Inc.*

6,357

690,688

 

 

 

Internet Software & Services - 0.8%

 

 

AOL, Inc.*

16,432

341,621

Digital River, Inc.*

6,101

145,875

Equinix, Inc.*

6,986

567,403

ValueClick, Inc.*

12,711

135,881

 

 

1,190,780

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

IT Services - 2.7%

 

 

Acxiom Corp.*

12,269

$180,232

Alliance Data Systems Corp.*

8,215

488,957

Broadridge Financial Solutions, Inc.

20,969

399,459

Convergys Corp.*

18,513

181,613

CoreLogic, Inc.

16,025

283,001

DST Systems, Inc.

5,675

205,095

Gartner, Inc.*

9,330

216,922

Global Payments, Inc.

12,565

459,125

Hewitt Associates, Inc.*

12,753

439,468

Lender Processing Services, Inc.

14,599

457,095

Mantech International Corp.*

3,454

147,037

NeuStar, Inc.*

11,544

238,037

SRA International, Inc.*

6,610

130,019

 

 

3,826,060

 

 

 

Life Sciences - Tools & Services - 1.8%

 

 

Affymetrix, Inc.*

10,922

64,440

Bio-Rad Laboratories, Inc.*

2,975

257,308

Charles River Laboratories International, Inc.*

10,192

348,668

Covance, Inc.*

9,958

511,045

Mettler-Toledo International, Inc.*

5,180

578,243

Pharmaceutical Product Development, Inc.

18,249

463,707

Techne Corp.

5,741

329,820

 

 

2,553,231

 

 

 

Machinery - 5.2%

 

 

AGCO Corp.*

14,324

386,318

Bucyrus International, Inc.

12,472

591,796

Crane Co.

7,277

219,838

Donaldson Co., Inc.

11,878

506,597

Gardner Denver, Inc.

7,920

353,153

Graco, Inc.

9,331

263,041

Harsco Corp.

12,397

291,330

IDEX Corp.

12,506

357,296

Joy Global, Inc.

15,886

795,730

Kennametal, Inc.

12,585

320,037

Lincoln Electric Holdings, Inc.

6,557

334,341

Nordson Corp.

5,254

294,644

Oshkosh Corp.*

13,822

430,694

Pentair, Inc.

15,190

489,118

SPX Corp.

7,682

405,686

Terex Corp.*

16,737

313,651

Timken Co.

12,225

317,728

Trinity Industries, Inc.

12,205

216,273

Valmont Industries, Inc.

3,080

223,793

Wabtec Corp.

7,387

294,667

 

 

7,405,731

 

 

 

Marine - 0.4%

 

 

Alexander & Baldwin, Inc.

6,141

182,879

Kirby Corp.*

8,320

318,240

 

 

501,119

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Media - 0.7%

 

 

DreamWorks Animation SKG, Inc.*

11,698

$333,978

Harte-Hanks, Inc.

5,900

61,655

John Wiley & Sons, Inc.

6,670

257,929

Lamar Advertising Co.*

8,241

202,069

Scholastic Corp.

3,936

94,936

 

 

950,567

 

 

 

Metals & Mining - 1.0%

 

 

Carpenter Technology Corp.

6,771

222,292

Commercial Metals Co.

17,582

232,434

Reliance Steel & Aluminum Co.

9,939

359,295

Steel Dynamics, Inc.

33,341

439,768

Worthington Industries, Inc.

9,124

117,334

 

 

1,371,123

 

 

 

Multiline Retail - 0.8%

 

 

99 Cents Only Stores*

6,990

103,452

Dollar Tree, Inc.*

19,566

814,533

Saks, Inc.*

24,778

188,065

 

 

1,106,050

 

 

 

Multi-Utilities - 1.9%

 

 

Alliant Energy Corp.

17,056

541,357

Black Hills Corp.

5,853

166,635

MDU Resources Group, Inc.

28,967

522,275

NSTAR

16,446

575,610

OGE Energy Corp.

14,967

547,194

Vectren Corp.

12,501

295,774

 

 

2,648,845

 

 

 

Office Electronics - 0.2%

 

 

Zebra Technologies Corp.*

8,768

222,444

 

 

 

Oil, Gas & Consumable Fuels - 3.7%

 

 

Arch Coal, Inc.

25,017

495,587

Bill Barrett Corp.*

6,011

184,958

Cimarex Energy Co.

12,916

924,527

Comstock Resources, Inc.*

7,274

201,635

Forest Oil Corp.*

17,314

473,711

Frontier Oil Corp.

16,290

219,102

Mariner Energy, Inc.*

15,892

341,360

Newfield Exploration Co.*

20,540

1,003,584

Overseas Shipholding Group, Inc.

3,946

146,160

Patriot Coal Corp.*

11,231

131,964

Plains Exploration & Production Co.*

21,572

444,599

Quicksilver Resources, Inc.*

18,353

201,883

Southern Union Co.

19,166

418,969

 

 

5,188,039

 

 

 

Paper & Forest Products - 0.1%

 

 

Louisiana-Pacific Corp.*

19,525

130,622

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Personal Products - 0.5%

 

 

Alberto-Culver Co.

13,195

$357,452

NBTY, Inc.*

9,763

332,040

 

 

689,492

 

 

 

Pharmaceuticals - 1.3%

 

 

Endo Pharmaceuticals Holdings, Inc.*

17,902

390,621

Medicis Pharmaceutical Corp.

8,969

196,242

Perrigo Co.

12,387

731,700

Valeant Pharmaceuticals International*

9,620

503,030

 

 

1,821,593

 

 

 

Professional Services - 1.0%

 

 

Corporate Executive Board Co.

5,113

134,318

FTI Consulting, Inc.*

7,232

315,243

Korn/Ferry International*

6,834

94,993

Manpower, Inc.

12,607

544,370

Navigant Consulting, Inc.*

7,492

77,767

Towers Watson & Co.

6,339

246,270

 

 

1,412,961

 

 

 

Real Estate Investment Trusts - 7.6%

 

 

Alexandria Real Estate Equities, Inc.

6,821

432,247

AMB Property Corp.

25,894

613,947

BRE Properties, Inc.

9,575

353,605

Camden Property Trust

10,139

414,178

Corporate Office Properties Trust

9,073

342,596

Cousins Properties, Inc.

15,366

103,567

Duke Realty Corp.

38,039

431,743

Equity One, Inc.

5,412

84,427

Essex Property Trust, Inc.

4,635

452,098

Federal Realty Investment Trust

9,447

663,841

Highwoods Properties, Inc.

11,023

305,998

Hospitality Properties Trust

18,999

400,879

Liberty Property Trust

17,437

503,057

Macerich Co.

19,976

745,504

Mack-Cali Realty Corp.

12,209

362,974

Nationwide Health Properties, Inc.

18,446

659,813

Omega Healthcare Investors, Inc.

14,317

285,338

Potlatch Corp.

6,152

219,811

Rayonier, Inc.

12,346

543,471

Realty Income Corp.

16,087

487,919

Regency Centers Corp.

12,594

433,234

Senior Housing Properties Trust

19,617

394,498

SL Green Realty Corp.

12,004

660,700

UDR, Inc.

24,970

477,676

Weingarten Realty Investors

16,102

306,743

 

 

10,679,864

 

 

 

Real Estate Management & Development - 0.3%

 

 

Jones Lang LaSalle, Inc.

6,472

424,822

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Road & Rail - 1.2%

 

 

Con-way, Inc.

8,287

$248,776

JB Hunt Transport Services, Inc.

13,528

441,960

Kansas City Southern*

15,661

569,277

Landstar System, Inc.

7,582

295,622

Werner Enterprises, Inc.

6,558

143,555

 

 

1,699,190

 

 

 

Semiconductors & Semiconductor Equipment - 2.4%

 

 

Atmel Corp.*

70,935

340,488

Cree, Inc.*

16,550

993,497

Fairchild Semiconductor International, Inc.*

19,340

162,649

Integrated Device Technology, Inc.*

25,609

126,765

International Rectifier Corp.*

10,572

196,745

Intersil Corp.

19,046

230,647

Lam Research Corp.*

19,483

741,523

RF Micro Devices, Inc.*

41,729

163,160

Semtech Corp.*

9,205

150,686

Silicon Laboratories, Inc.*

7,084

287,327

 

 

3,393,487

 

 

 

Software - 4.2%

 

 

ACI Worldwide, Inc.*

5,262

102,451

Advent Software, Inc.*

2,405

112,939

ANSYS, Inc.*

13,936

565,384

Cadence Design Systems, Inc.*

41,617

240,962

FactSet Research Systems, Inc.

6,392

428,200

Fair Isaac Corp.

6,906

150,482

Informatica Corp.*

14,140

337,663

Jack Henry & Associates, Inc.

13,138

313,735

Mentor Graphics Corp.*

16,449

145,574

MICROS Systems, Inc.*

12,364

394,041

Parametric Technology Corp.*

17,689

277,187

Quest Software, Inc.*

9,505

171,470

Rovi Corp.*

15,714

595,718

Solera Holdings, Inc.

10,777

390,127

Sybase, Inc.*

13,374

864,763

Synopsys, Inc.*

22,783

475,481

TIBCO Software, Inc.*

25,581

308,507

 

 

5,874,684

 

 

 

Specialty Retail - 3.8%

 

 

Aaron's, Inc.

12,546

214,160

Advance Auto Parts, Inc.

13,442

674,520

Aeropostale, Inc.*

14,382

411,901

American Eagle Outfitters, Inc.

32,187

378,197

AnnTaylor Stores Corp.*

8,797

143,127

Barnes & Noble, Inc.

6,062

78,200

Chico's FAS, Inc.

27,517

271,868

Coldwater Creek, Inc.*

9,115

30,626

Collective Brands, Inc.*

9,990

157,842

Dick's Sporting Goods, Inc.*

13,903

346,046

Dress Barn, Inc.*

9,240

220,004

Foot Locker, Inc.

24,112

304,293

Guess?, Inc.

9,011

281,504

 

 

 

Equity Securities - Cont'd

Shares

Value

Specialty Retail - Cont'd

 

 

J Crew Group, Inc.*

8,648

$318,333

PetSmart, Inc.

18,197

549,004

Rent-A-Center, Inc.*

10,132

205,274

Tractor Supply Co.

5,596

341,188

Williams-Sonoma, Inc.

16,545

410,647

 

 

5,336,734

 

 

 

Textiles, Apparel & Luxury Goods - 1.1%

 

 

Fossil, Inc.*

7,470

259,209

Hanesbrands, Inc.*

14,719

354,139

Phillips-Van Heusen Corp.

8,728

403,845

Timberland Co.*

6,588

106,396

Under Armour, Inc.*

5,854

193,943

Warnaco Group, Inc.*

6,754

244,090

 

 

1,561,622

 

 

 

Thrifts & Mortgage Finance - 1.5%

 

 

Astoria Financial Corp.

12,609

173,500

First Niagara Financial Group, Inc.

32,184

403,266

New York Community Bancorp, Inc.

67,048

1,023,823

NewAlliance Bancshares, Inc.

15,841

177,578

Washington Federal, Inc.

17,318

280,205

 

 

2,058,372

 

 

 

Tobacco - 0.1%

 

 

Universal Corp.

3,674

145,784

 

 

 

Trading Companies & Distributors - 0.4%

 

 

GATX Corp.

7,127

190,148

MSC Industrial Direct Co.

6,818

345,400

United Rentals, Inc.*

9,300

86,676

 

 

622,224

 

 

 

Water Utilities - 0.3%

 

 

Aqua America, Inc.

21,087

372,818

 

 

 

Wireless Telecommunication Services - 0.5%

 

 

Syniverse Holdings, Inc.*

10,735

219,531

Telephone & Data Systems, Inc.

14,143

429,806

 

 

649,337

 

 

 

 

 

 

     Total Equity Securities (Cost $140,257,816)

 

135,635,083

 

 

 

Exchange Traded Funds - 0.8%

 

 

SPDR S&P MidCap 400 Trust

9,200

1,188,272

 

 

 

     Total Exchange Traded Funds (Cost $1,212,412)

 

1,188,272

 

 

 

 

 

 

 

Principal

 

Time Deposit - 3.6%

Amount

Value

State Street Corp. Time Deposit, 0.01%, 7/1/10

$5,023,702

$5,023,702

 

 

 

     Total Time Deposit (Cost $5,023,702)

 

5,023,702

 

 

 

U.S. Treasury - 0.3%

 

 

United States Treasury Bills, 7/8/10^

400,000

399,990

 

 

 

     Total U.S. Treasury (Cost $399,990)

 

399,990

 

 

 

          TOTAL INVESTMENTS (Cost $146,893,920) - 100.9%

 

142,247,047

          Other assets and liabilities, net - (0.9%)

 

(1,229,378)

          Net Assets - 100%

 

$141,017,669

 

 

 

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to the following shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized:

 

 

     Class I: 2,611,151

 

$154,073,135

     Class F: 12,263

 

603,285

Undistributed net investment income

 

840,288

Accumulated net realized gain (loss) on investments

 

(9,535,664)

Net unrealized appreciation (depreciation) on investments

 

(4,963,375)

 

 

 

          Net Assets

 

$141,017,669

 

 

 

 

 

 

Net Asset Value Per Share:

 

 

Class I (based on net assets of $140,354,028)

 

$53.75

Class F (based on net assets of $663,641)

 

$54.12

Futures

Number Of
Contracts

Expiration
Date

Underlying
Face Amount
At Value

Unrealized
Appreciation
(Depreciation)

Purchased:

 

 

 

 

     E-Mini S&P 400 Index^

62

9/10

$4,402,000

($316,502)

 

(b) This security was valued by the Board of Directors. See Note A.

^ Futures collateralized by 400,000 units of U.S. Treasury Bills.

* Non-income producing security.

Abbreviations:

LLC: Limited Liability Corporation

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Interest income

$1,499

     Dividend income

860,676

          Total investment income

862,175

 

 

Expenses:

 

     Investment advisory fee

181,187

     Transfer agency fees and expenses

1,846

     Administrative fees

60,396

     Distribution Plan expenses:

 

          Class F

602

     Directors' fees and expenses

8,451

     Custodian fees

19,974

     Reports to shareholders

53,548

     Professional fees

25,358

     Accounting fees

10,187

     Contract services

17,494

     Miscellaneous

3,229

          Total expenses

382,272

          Reimbursement from Advisor:

 

               Class I

(48,214)

               Class F

(918)

          Fees paid indirectly

(241)

               Net expenses

332,899

 

 

               Net Investment Income

529,276

 

 

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) on:

 

     Investments

2,113,557

     Futures

199,191

 

2,312,748

 

 

Change in unrealized appreciation (depreciation) on:

 

     Investments

(10,019,100)

     Futures

(456,034)

 

(10,475,134)

 

 

          Net Realized and Unrealized Gain

 

          (Loss)

(8,162,386)

 

 

          Increase (Decrease) in Net Assets

 

          Resulting From Operations

($7,633,110)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$529,276

$1,132,265

     Net realized gain (loss)

2,312,748

684,937

     Change in unrealized appreciation or (depreciation)

(10,475,134)

27,505,346

 

 

 

     Increase (Decrease) in Net Assets

 

 

     Resulting From Operations

(7,633,110)

29,322,548

 

 

 

Distributions to shareholders from:

 

 

     Net investment income:

 

 

          Class I shares

--

(808,995)

          Class F shares

--

(2,174)

               Total distributions

--

(811,169)

 

 

 

Capital share transactions:

 

 

     Shares sold:

 

 

          Class I shares

15,215,929

10,586,679

          Class F shares

286,073

440,988

     Shares issued from merger (See Note F):

 

 

          Class I shares

40,248,159

--

     Reinvestment of distributions:

 

 

          Class I shares

--

808,993

          Class F shares

--

2,174

     Shares redeemed:

 

 

          Class I shares

(11,325,797)

(20,604,871)

          Class F shares

(121,411)

(166,966)

               Total capital share transactions

44,302,953

(8,933,003)

 

 

 

     Total Increase (Decrease) in Net Assets

36,669,843

19,578,376

 

 

 

Net Assets

 

 

Beginning of period

104,347,826

84,769,450

End of period (including undistributed net investment income

 

 

     of $840,288 and $311,012, respectively)

$141,017,669

$104,347,826

 

 

 

 

 

 

Capital Share Activity

 

 

Shares sold:

 

 

     Class I shares

261,205

241,201

     Class F shares

4,917

10,071

Shares issued from merger (See Note F):

 

 

     Class I shares

648,641

--

Reinvestment of distributions:

 

 

     Class I shares

--

14,611

     Class F shares

--

39

Shares redeemed:

 

 

     Class I shares

(198,137)

(452,512)

     Class F shares

(2,149)

(3,176)

          Total capital share activity

714,477

(189,766)

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP S&P MidCap 400 Index Portfolio (the "Portfolio"), formerly known as Summit S&P MidCap 400 Index Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio offers Class I and Class F shares. Class F shares are subject to Distribution Plan Expenses. 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 Portfolio uses independent pricing services approved by the Board of Directors 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. The Portfolio 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, securities valued at $10, or 0.0% of net assets were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity securities**

$135,635,073

--

$10

$135,635,083

Exchange traded funds

1,188,272

--

--

1,188,272

U.S. government obligations

--

$399,990

--

399,990

Other debt obligations

--

5,023,702

--

5,023,702

TOTAL

$136,823,345

$5,423,692

$10*

$142,247,047

 

 

 

 

 

Other financial instruments***

($316,502)

--

--

($316,502)

* Level 3 securities represent 0.0% of net assets.

** For further breakdown of equity securities by industry type, please refer to the Statement of Net Assets.

***Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument

Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives. The Portfolio may use futures contracts to hedge against changes in the value of securities. The Portfolio 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 Portfolio. 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 Portfolio's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms. Futures contracts are designed by boards of trade which are designated "contracts markets" by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio.

Security Transactions and Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio's understanding of the applicable country's tax rules and rates.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .30% of the Portfolio's average daily net assets. Under the terms of the agreement, $36,018 was payable at period end. In addition, $22,922 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .55% and .79% for Class I and Class F, respectively. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $12,006 was payable at period end.

Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Distribution plans, adopted by Class F shares, allow the Portfolio to pay the distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed 0.20% annually of average daily net assets of Class F. Under the terms of the agreement, $112 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $105 for the six months ended June 30, 2010. Under the terms of the agreement, $18 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $16,130,739 and $11,215,260.

Capital Loss Carryforward
Expiration Date

31-Dec-16             $11,276,152

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$14,376,478

Unrealized (depreciation)               

(19,588,512)

Net unrealized appreciation/(depreciation)     

($5,212,034)

Federal income tax cost of investments     

$147,459,081

Note D -- Line Of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

 

AVERAGE
DAILY
BALANCE

WEIGHTED
AVERAGE
INTEREST
RATE

MAXIMUM
AMOUNT
BORROWED

MONTH OF
MAXIMUM
AMOUNT
BORROWED

 

$32,757

1.50%

$624,717

May 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements presented.

Note F -- Reorganization

On December 10, 2009, the Board of Directors approved an Agreement and Plan of Reorganization (the "Plan") which provides for the transfer of all the assets of the Calvert Variable Series, Inc., Ameritas MidCap Growth Portfolio ("Ameritas MidCap") for shares of the acquiring portfolio, Calvert Variable Products, Inc., S&P MidCap 400 Index Portfolio ("S&P MidCap 400") and the assumption of the liabilities of Ameritas MidCap. Shareholders approved the Plan at a meeting on April 16, 2010 and the reorganization took place on April 30, 2010.

The acquisition was accomplished by a tax-free exchange of the following shares:

Merged Portfolio

Shares

Acquiring
Portfolio

Shares

Value

Ameritas MidCap

1,607,954

S&P MidCap 400

648,641

$40,248,159

For financial reporting purposes, assets received and shares issued by S&P MidCap 400 were recorded at fair value; however, the cost basis of the investments received from Ameritas Midcap were carried forward to align ongoing reporting of S&P MidCap 400's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets and net unrealized appreciation (depreciation) immediately before the acquisitions were

as follows:

Merged Portfolio

Net
Assets

Unrealized
Appreciation
(Depreciation)

Acquiring
Portfolio

Net
Assets

Ameritas MidCap

$40,248,159

$5,524,698

S&P MidCap 400

$117,174,063

Assuming the acquisition had been completed on January 1, 2010, S&P MidCap 400's results of operations for the six months ended June 30, 2010 would have been as follows:

Net investment income

$571,342

(a)

Net realized and change in unrealized gain (loss) on investments

($3,370,885)

(b)

Net increase (decrease) in assets from operations

($2,799,543)

 

Because S&P MidCap 400 and Ameritas MidCap sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of Ameritas MidCap that have been included in S&P MidCap 400's Statement of Operations since April 30, 2010.

(a) $529,276, as reported, plus $42,066 from Ameritas MidCap pre-merger.

(b) ($8,162,386), as reported, plus $4,791,501 from Ameritas MidCap pre-merger.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

Class I Shares

2010 (z)

2009

2008 (z)

Net asset value, beginning

$54.66

$40.39

$70.69

Income from investment operations

 

 

 

     Net investment income

.24

.60

.72

     Net realized and unrealized gain (loss)

(1.15)

14.10

(24.89)

          Total from investment operations

(.91)

14.70

(24.17)

Distributions from

 

 

 

     Net investment income

--

(.43)

(1.26)

     Net realized gain

--

--

(4.87)

          Total distributions

--

(.43)

(6.13)

Total increase (decrease) in net asset value

(.91)

14.27

(30.30)

Net asset value, ending

$53.75

$54.66

$40.39

 

 

 

 

Total return*

(1.66%)

36.38%

(36.63%)

Ratios to average net assets: A

 

 

 

     Net investment income

.88% (a)

1.25%

1.27%

     Total expenses

.63% (a)

.57%

.55%

     Expenses before offsets

.55% (a)

.55%

.55%

     Net expenses

.55% (a)

.55%

.55%

Portfolio turnover

10%

16%

22%

Net assets, ending (in thousands)

$140,354

$103,825

$84,665

 

 

 

 

 

 

Years Ended

 

 

December 31,

December 31,

December 31,

Class I Shares

2007

2006

2005

Net asset value, beginning

$69.23

$66.08

$60.76

Income from investment operations

 

 

 

     Net investment income

.67

.67

.52

     Net realized and unrealized gain (loss)

4.44

5.64

6.50

          Total from investment operations

5.11

6.31

7.02

Distributions from

 

 

 

     Net investment income

(.66)

(.59)

(.33)

     Net realized gain

(2.99)

(2.57)

(1.37)

          Total distributions

(3.65)

(3.16)

(1.70)

Total increase (decrease) in net asset value

1.46

3.15

5.32

Net asset value, ending

$70.69

$69.23

$66.08

 

 

 

 

Total return*

7.38%

9.72%

11.94%

Ratios to average net assets: A

 

 

 

     Net investment income

1.11%

1.15%

.91%

     Total expenses

.52%

.52%

.54%

     Expenses before offsets

.52%

.52%

.54%

     Net expenses

.52%

.52%

.54%

Portfolio turnover

23%

14%

19%

Net assets, ending (in thousands)

$172,221

$144,136

$127,372

 

See notes to financial highlights.

 

Financial Highlights

 

Periods Ended

 

June 30,

December 31,

Class F Shares

2010 (z)

2009

Net asset value, beginning

$55.10

$40.65

Income from investment operations

 

 

     Net investment income

.18

.43

     Net realized and unrealized gain (loss)

(1.16)

14.25

          Total from investment operations

(.98)

14.68

Distributions from

 

 

     Net investment income

--

(.23)

     Net realized gain

--

--

          Total distributions

--

(.23)

Total increase (decrease) in net asset value

(.98)

14.45

Net asset value, ending

$54.12

$55.10

 

 

 

Total return*

(1.78%)

36.12%

Ratios to average net assets: A

 

 

     Net investment income

.63% (a)

.98%

     Total expenses

1.10% (a)

1.90%

     Expenses before offsets

.79% (a)

.79%

     Net expenses

.79% (a)

.79%

Portfolio turnover

10%

16%

Net assets, ending (in thousands)

$664

$523

 

 

 

 

 

 

 

Periods Ended

 

December 31,

December 31,

Class F Shares

2008 (z)

2007^

Net asset value, beginning

$70.66

$73.77

Income from investment operations

 

 

     Net investment income

.66

.16

     Net realized and unrealized gain (loss)

(24.90)

(3.27)

          Total from investment operations

(24.24)

(3.11)

Distributions from

 

 

     Net investment income

(.90)

--

     Net realized gain

(4.87)

--

          Total distributions

(5.77)

--

Total increase (decrease) in net asset value

(30.01)

(3.11)

Net asset value, ending

$40.65

$70.66

 

 

 

Total return*

(36.76%)

(4.21%)

Ratios to average net assets: A

 

 

     Net investment income

1.26%

.89% (a)

     Total expenses

.79%

.71% (a)

     Expenses before offsets

.78%

.71% (a)

     Net expenses

.78%

.71% (a)

Portfolio turnover

22%

23%

Net assets, ending (in thousands)

$104

$1

 

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

* Total return is not annualized for periods less than one year.

^ From October 1, 2007 inception.

(z) Per share figures calculated using the Average Share 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 typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

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.

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.

 

<PAGE>

 

Calvert VP
Balanced Index Portfolio

(formerly, Summit Balanced Index Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

24

Statement of Operations

25

Statements of Changes in Net Assets

26

Notes to Financial Statements

31

Financial Highlights

33

Explanation of Financial Tables

34

Proxy Voting

35

Availability of Quarterly Portfolio Holdings

 

Calvert VP Balanced Index Portfolio
Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

Over the six-month reporting period, the U.S. continued its slow recovery from the deepest recession of the post-World War II era. Assuming that the consensus1 expectation for a moderate 3.3% pace of economic growth in the second quarter of 2010 holds true, gross domestic product (GDP) will have grown at a 3.4% pace in the 12 months since the trough of the recession, with a 3.0% economic growth rate in the first half of 2010. While both rates are near the average for the last 50 years, they are well below the pace seen during previous recoveries from deep recessions. In fact, after the end of the reporting period, expectations for GDP growth continued to trend lower.

The Federal Reserve (Fed) left the target federal funds rate near zero percent and repeatedly indicated that it would remain low for an "extended period."2 By the end of June, lending rates signaled that the market did not expect the Fed to begin raising rates until mid-2011. In the meantime, the Fed finished closing its emergency support facilities and tested some policy exit strategies.

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. All 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Calvert VP Balanced Index Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month****

-1.74%

One year

12.48%

Five year

2.22%

Ten year

1.57%

* Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

** In December 2009 the Portfolio changed its broad-based benchmark in order to adopt an index that is not blended. The Portfolio also continues to show the Calvert VP Balanced Index Composite because it is more consistent with the Portfolio's construction process and represents a more accurate reflection of the Portfolio's anticipated risk and return patterns.

*** 60% S&P 500 Index and 40% Barclays Capital Aggregate Bond Index.

The performance data shown represents past performance, and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

****Total return is not annualized for periods of one year or less.

 

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Toward the end of the reporting period, investors globally once again became more risk averse and flocked to low-yielding, liquid US Treasuries--driving yields down. As a result, the benchmark 10-year Treasury note's yield fell 0.90 percentage points over the six-month period to 2.95%.3

Outlook

We expect the fragile recovery to continue as the post-crisis deleveraging in the U.S. and other western economies plays out, with slow economic growth and little consumer price inflation.

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant. But in our opinion, a slowdown in China is of more immediate concern than one in Europe.

Given the low level of interest rates, even on bonds with higher levels of credit risk, we plan to keep the durations of our bond allocations shorter than their respective benchmarks to help minimize the negative effects of an eventual rise in interest rates. We also plan to maintain a conservative credit risk profile in the near term.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view the correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

 

% of Total
Investments

Asset Allocation

(at 6.30.10)

Equity Investments

54%

Fixed Income Investments

42%

Time Deposit

4%

Total

100%

 

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

 

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

1. Forecast source: Wall Street Journal Economic Forecasting Survey of June 2010. Actual GDP data source: Bureau of Economic Analysis

2. Federal Open Market Committee

3. Interest rate data sources: Bloomberg and Federal Reserve

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$982.60

$2.95

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,021.82

$3.01

* Expenses are equal to the Fund's annualized expense ratio of .60%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
JUNE 30, 2010

Equity Securities - 54.4%

Shares

Value

Aerospace & Defense - 1.6%

 

 

Boeing Co.

647

$40,599

General Dynamics Corp.

329

19,266

Goodrich Corp.

106

7,023

Honeywell International, Inc.

653

25,487

ITT Corp.

144

6,468

L-3 Communications Holdings, Inc.

99

7,013

Lockheed Martin Corp.

265

19,743

Northrop Grumman Corp.

257

13,991

Precision Castparts Corp.

112

11,527

Raytheon Co.

325

15,727

Rockwell Collins, Inc.

133

7,066

United Technologies Corp.

795

51,603

 

 

225,513

 

 

 

Air Freight & Logistics - 0.6%

 

 

C.H. Robinson Worldwide, Inc.

142

7,904

Expeditors International of Washington, Inc.

192

6,626

FedEx Corp.

267

18,719

United Parcel Service, Inc., Class B

844

48,015

 

 

81,264

 

 

 

Airlines - 0.0%

 

 

Southwest Airlines Co.

584

6,488

 

 

 

Auto Components - 0.1%

 

 

Goodyear Tire & Rubber Co.*

191

1,899

Johnson Controls, Inc.

573

15,396

 

 

17,295

 

 

 

Automobiles - 0.2%

 

 

Ford Motor Co.*

2,902

29,252

Harley-Davidson, Inc.

212

4,713

 

 

33,965

 

 

 

Beverages - 1.4%

 

 

Brown-Forman Corp., Class B

93

5,323

Coca-Cola Co.

1,965

98,486

Coca-Cola Enterprises, Inc.

287

7,422

Constellation Brands, Inc.*

157

2,452

Dr Pepper Snapple Group, Inc.

200

7,478

Molson Coors Brewing Co., Class B

125

5,295

PepsiCo, Inc.

1,374

83,745

 

 

210,201

 

 

 

Equity Securities - Cont'd

Shares

Value

Biotechnology - 0.8%

 

 

Amgen, Inc.*

816

$42,922

Biogen Idec, Inc.*

228

10,819

Celgene Corp.*

393

19,972

Cephalon, Inc.*

64

3,632

Genzyme Corp.*

225

11,423

Gilead Sciences, Inc.*

758

25,984

 

 

114,752

 

 

 

Building Products - 0.0%

 

 

Masco Corp.

325

3,497

 

 

 

Capital Markets - 1.3%

 

 

Ameriprise Financial, Inc.

216

7,804

Bank of New York Mellon Corp.

1,033

25,505

Charles Schwab Corp.

805

11,415

E*Trade Financial Corp.*

140

1,655

Federated Investors, Inc., Class B

103

2,133

Franklin Resources, Inc.

117

10,084

Goldman Sachs Group, Inc.

439

57,628

Invesco Ltd.

398

6,698

Janus Capital Group, Inc.

163

1,447

Legg Mason, Inc.

153

4,289

Morgan Stanley

1,191

27,643

Northern Trust Corp.

190

8,873

State Street Corp.

427

14,441

T. Rowe Price Group, Inc.

204

9,056

 

 

188,671

 

 

 

Chemicals - 1.0%

 

 

Air Products & Chemicals, Inc.

167

10,823

Airgas, Inc.

65

4,043

CF Industries Holdings, Inc.

63

3,997

Dow Chemical Co.

984

23,340

Eastman Chemical Co.

58

3,095

Ecolab, Inc.

186

8,353

EI Du Pont de Nemours & Co.

772

26,704

FMC Corp.

57

3,274

International Flavors & Fragrances, Inc.

67

2,842

Monsanto Co.

465

21,492

PPG Industries, Inc.

131

7,914

Praxair, Inc.

261

19,833

Sherwin-Williams Co.

79

5,466

Sigma-Aldrich Corp.

96

4,784

 

 

145,960

 

 

 

Commercial Banks - 1.7%

 

 

BB&T Corp.

590

15,523

Comerica, Inc.

137

5,046

Fifth Third Bancorp

672

8,259

First Horizon National Corp.*

205

2,343

Huntington Bancshares, Inc.

638

3,534

KeyCorp

798

6,137

 

 

 

Equity Securities - Cont'd

Shares

Value

Commercial Banks - Cont'd

 

 

M&T Bank Corp.

75

$6,371

Marshall & Ilsley Corp.

470

3,375

PNC Financial Services Group, Inc.

448

25,312

Regions Financial Corp.

1,004

6,606

SunTrust Banks, Inc.

427

9,949

US Bancorp

1,633

36,497

Wells Fargo & Co.

4,439

113,638

Zions Bancorporation

115

2,481

 

 

245,071

 

 

 

Commercial Services & Supplies - 0.3%

 

 

Avery Dennison Corp.

102

3,277

Cintas Corp.

104

2,493

Iron Mountain, Inc.

163

3,661

Pitney Bowes, Inc.

163

3,579

Republic Services, Inc.

255

7,581

RR Donnelley & Sons Co.

202

3,307

Stericycle, Inc.*

77

5,050

Waste Management, Inc.

381

11,922

 

 

40,870

 

 

 

Communications Equipment - 1.2%

 

 

Cisco Systems, Inc.*

4,865

103,673

Harris Corp.

103

4,290

JDS Uniphase Corp.*

189

1,860

Juniper Networks, Inc.*

413

9,425

Motorola, Inc.*

1,980

12,909

QUALCOMM, Inc.

1,397

45,877

Tellabs, Inc.

389

2,486

 

 

180,520

 

 

 

Computers & Peripherals - 2.5%

 

 

Apple, Inc.*

778

195,690

Dell, Inc.*

1,468

17,704

EMC Corp.*

1,751

32,043

Hewlett-Packard Co.

1,989

86,084

Lexmark International, Inc.*

66

2,180

NetApp, Inc.*

287

10,708

QLogic Corp.*

90

1,496

SanDisk Corp.*

180

7,573

Teradata Corp.*

144

4,389

Western Digital Corp.*

203

6,123

 

 

363,990

 

 

 

Construction & Engineering - 0.1%

 

 

Fluor Corp.

152

6,460

Jacobs Engineering Group, Inc.*

98

3,571

Quanta Services, Inc.*

166

3,428

 

 

13,459

 

 

 

Construction Materials - 0.0%

 

 

Vulcan Materials Co.

113

4,953

 

 

 

Equity Securities - Cont'd

Shares

Value

Consumer Finance - 0.5%

 

 

American Express Co.

1,023

$40,613

Capital One Financial Corp.

389

15,677

Discover Financial Services

428

5,983

SLM Corp.*

381

3,959

 

 

66,232

 

 

 

Containers & Packaging - 0.1%

 

 

Ball Corp.

74

3,910

Bemis Co., Inc.

86

2,322

Owens-Illinois, Inc.*

153

4,047

Pactiv Corp.*

139

3,871

Sealed Air Corp.

156

3,076

 

 

17,226

 

 

 

Distributors - 0.0%

 

 

Genuine Parts Co.

125

4,931

 

 

 

Diversified Consumer Services - 0.1%

 

 

Apollo Group, Inc.*

111

4,714

DeVry, Inc.

53

2,782

H&R Block, Inc.

264

4,142

 

 

11,638

 

 

 

Diversified Financial Services - 2.5%

 

 

Bank of America Corp.

8,547

122,820

Citigroup, Inc.*

19,257

72,406

CME Group, Inc.

53

14,922

IntercontinentalExchange, Inc.*

62

7,008

JPMorgan Chase & Co.

3,390

124,108

Leucadia National Corp.*

149

2,907

Moody's Corp.

193

3,845

NYSE Euronext

235

6,493

The NASDAQ OMX Group, Inc.*

147

2,614

 

 

357,123

 

 

 

Diversified Telecommunication Services - 1.5%

 

 

AT&T, Inc.

5,034

121,772

CenturyTel, Inc.

252

8,394

Frontier Communications Corp.

306

2,176

Qwest Communications International, Inc.

1,255

6,589

Verizon Communications, Inc.

2,408

67,472

Windstream Corp.

428

4,520

 

 

210,923

 

 

 

Electric Utilities - 1.1%

 

 

Allegheny Energy, Inc.

167

3,454

American Electric Power Co., Inc.

408

13,179

Duke Energy Corp.

1,119

17,904

Edison International

256

8,120

Entergy Corp.

160

11,459

Exelon Corp.

563

21,377

FirstEnergy Corp.

240

8,455

 

 

 

Equity Securities - Cont'd

Shares

Value

Electric Utilities - Cont'd

 

 

NextEra Energy, Inc.

353

$17,212

Northeast Utilities

172

4,383

Pepco Holdings, Inc.

200

3,136

Pinnacle West Capital Corp.

92

3,345

PPL Corp.

397

9,905

Progress Energy, Inc.

224

8,785

Southern Co.

702

23,363

 

 

154,077

 

 

 

Electrical Equipment - 0.3%

 

 

Emerson Electric Co.

642

28,049

First Solar, Inc.*

39

4,439

Rockwell Automation, Inc.

121

5,940

Roper Industries, Inc.

85

4,757

 

 

43,185

 

 

 

Electronic Equipment & Instruments - 0.3%

 

 

Agilent Technologies, Inc.*

292

8,302

Amphenol Corp.

145

5,696

Corning, Inc.

1,330

21,480

FLIR Systems, Inc.*

149

4,334

Jabil Circuit, Inc.

208

2,766

Molex, Inc.

134

2,444

 

 

45,022

 

 

 

Energy Equipment & Services - 0.9%

 

 

Baker Hughes, Inc.

366

15,215

Cameron International Corp.*

193

6,276

Diamond Offshore Drilling, Inc.

63

3,918

FMC Technologies, Inc.*

111

5,845

Halliburton Co.

771

18,928

Helmerich & Payne, Inc.

100

3,652

Nabors Industries Ltd.*

257

4,528

National Oilwell Varco, Inc.

329

10,880

Rowan Co.'s, Inc.*

90

1,975

Schlumberger Ltd.

1,016

56,226

Smith International, Inc.

196

7,379

 

 

134,822

 

 

 

Food & Staples Retailing - 1.4%

 

 

Costco Wholesale Corp.

376

20,616

CVS Caremark Corp.

1,159

33,982

Kroger Co.

511

10,062

Safeway, Inc.

306

6,016

SUPERVALU, Inc.

225

2,439

Sysco Corp.

504

14,399

Walgreen Co.

834

22,268

Wal-Mart Stores, Inc.

1,770

85,084

Whole Foods Market, Inc.*

158

5,691

 

 

200,557

 

 

 

Equity Securities - Cont'd

Shares

Value

Food Products - 1.0%

 

 

Archer-Daniels-Midland Co.

548

$14,149

Campbell Soup Co.

149

5,339

ConAgra Foods, Inc.

375

8,745

Dean Foods Co.*

185

1,863

General Mills, Inc.

565

20,069

H.J. Heinz Co.

249

10,762

Hershey Co.

150

7,189

Hormel Foods Corp.

59

2,388

J.M. Smucker Co.

94

5,661

Kellogg Co.

201

10,110

Kraft Foods, Inc.

1,485

41,580

McCormick & Co., Inc.

129

4,897

Mead Johnson Nutrition Co.

161

8,069

Sara Lee Corp.

548

7,727

Tyson Foods, Inc.

240

3,934

 

 

152,482

 

 

 

Gas Utilities - 0.1%

 

 

EQT Corp.

129

4,662

Nicor, Inc.

48

1,944

Oneok, Inc.

100

4,325

 

 

10,931

 

 

 

Health Care Equipment & Supplies - 1.0%

 

 

Baxter International, Inc.

508

20,645

Becton Dickinson & Co.

186

12,577

Boston Scientific Corp.*

1,188

6,890

C.R. Bard, Inc.

76

5,892

CareFusion Corp.*

140

3,178

DENTSPLY International, Inc.

116

3,470

Hospira, Inc.*

146

8,388

Intuitive Surgical, Inc.*

31

9,784

Medtronic, Inc.

938

34,021

St. Jude Medical, Inc.*

256

9,239

Stryker Corp.

222

11,113

Varian Medical Systems, Inc.*

113

5,908

Zimmer Holdings, Inc.*

168

9,081

 

 

140,186

 

 

 

Health Care Providers & Services - 1.2%

 

 

Aetna, Inc.

339

8,943

AmerisourceBergen Corp.

244

7,747

Cardinal Health, Inc.

284

9,545

CIGNA Corp.

231

7,175

Coventry Health Care, Inc.*

117

2,069

DaVita, Inc.*

82

5,120

Express Scripts, Inc.*

467

21,958

Humana, Inc.*

144

6,576

Laboratory Corp. of America Holdings*

90

6,781

McKesson Corp.

231

15,514

Medco Health Solutions, Inc.*

389

21,426

 

 

 

Equity Securities - Cont'd

Shares

Value

Health Care Providers & Services - Cont'd

 

 

Patterson Co.'s, Inc.

92

$2,625

Quest Diagnostics, Inc.

132

6,570

Tenet Healthcare Corp.*

425

1,845

UnitedHealth Group, Inc.

968

27,491

WellPoint, Inc.*

349

17,077

 

 

168,462

 

 

 

Health Care Technology - 0.0%

 

 

Cerner Corp.*

60

4,553

 

 

 

Hotels, Restaurants & Leisure - 0.9%

 

 

Carnival Corp.

341

10,312

Darden Restaurants, Inc.

110

4,273

International Game Technology

234

3,674

Marriott International, Inc.

200

5,988

McDonald's Corp.

916

60,337

Starbucks Corp.

635

15,430

Starwood Hotels & Resorts Worldwide, Inc.

158

6,546

Wyndham Worldwide Corp.

141

2,840

Wynn Resorts Ltd.

55

4,195

Yum! Brands, Inc.

398

15,538

 

 

129,133

 

 

 

Household Durables - 0.2%

 

 

D.R. Horton, Inc.

271

2,664

Fortune Brands, Inc.

136

5,329

Harman International Industries, Inc.*

55

1,644

Leggett & Platt, Inc.

117

2,347

Lennar Corp.

162

2,253

Newell Rubbermaid, Inc.

219

3,206

Pulte Homes, Inc.*

310

2,567

Stanley Black & Decker, Inc.

133

6,719

Whirlpool Corp.

63

5,533

 

 

32,262

 

 

 

Household Products - 1.4%

 

 

Clorox Co.

119

7,397

Colgate-Palmolive Co.

418

32,922

Kimberly-Clark Corp.

353

21,402

Procter & Gamble Co.

2,453

147,131

 

 

208,852

 

 

 

Independent Power Producers & Energy Traders - 0.1%

 

 

AES Corp.*

603

5,572

Constellation Energy Group, Inc.

158

5,096

NRG Energy, Inc.*

230

4,878

 

 

15,546

 

 

 

Equity Securities - Cont'd

Shares

Value

Industrial Conglomerates - 1.3%

 

 

3M Co.

607

$47,947

General Electric Co.

9,096

131,164

Textron, Inc.

215

3,649

 

 

182,760

 

 

 

Insurance - 2.1%

 

 

Aflac, Inc.

400

17,068

Allstate Corp.

458

13,158

American International Group, Inc.*

106

3,651

AON Corp.

210

7,795

Assurant, Inc.

116

4,025

Berkshire Hathaway, Inc., Class B*

1,410

112,363

Chubb Corp.

259

12,953

Cincinnati Financial Corp.

160

4,139

Genworth Financial, Inc.*

413

5,398

Hartford Financial Services Group, Inc.

349

7,723

Lincoln National Corp.

262

6,364

Loews Corp.

279

9,294

Marsh & McLennan Co.'s, Inc.

419

9,449

MetLife, Inc.

699

26,394

Principal Financial Group, Inc.

278

6,516

Progressive Corp.

528

9,884

Prudential Financial, Inc.

397

21,303

Torchmark Corp.

82

4,060

Travelers Co.'s, Inc.

404

19,897

Unum Group

300

6,510

XL Group plc

269

4,307

 

 

312,251

 

 

 

Internet & Catalog Retail - 0.3%

 

 

Amazon.com, Inc.*

292

31,904

Expedia, Inc.

207

3,887

priceline.com, Inc.*

40

7,062

 

 

42,853

 

 

 

Internet Software & Services - 0.9%

 

 

Akamai Technologies, Inc.*

156

6,329

eBay, Inc.*

969

19,002

Google, Inc.*

206

91,660

Monster Worldwide, Inc.*

152

1,771

VeriSign, Inc.*

145

3,850

Yahoo!, Inc.*

1,003

13,871

 

 

136,483

 

 

 

IT Services - 1.7%

 

 

Automatic Data Processing, Inc.

429

17,272

Cognizant Technology Solutions Corp.*

255

12,765

Computer Sciences Corp.

129

5,837

Fidelity National Information Services, Inc.

260

6,973

Fiserv, Inc.*

130

5,936

 

 

 

Equity Securities - Cont'd

Shares

Value

IT Services - Cont'd

 

 

International Business Machines Corp.

1,092

$134,840

MasterCard, Inc.

82

16,361

Paychex, Inc.

272

7,064

SAIC, Inc.*

278

4,654

Total System Services, Inc.

178

2,421

Visa, Inc.

386

27,309

Western Union Co.

537

8,007

 

 

249,439

 

 

 

Leisure Equipment & Products - 0.1%

 

 

Eastman Kodak Co.*

338

1,467

Hasbro, Inc.

97

3,987

Mattel, Inc.

325

6,877

 

 

12,331

 

 

 

Life Sciences - Tools & Services - 0.3%

 

 

Life Technologies Corp.*

151

7,146

Millipore Corp.*

47

5,013

PerkinElmer, Inc.

126

2,604

Thermo Fisher Scientific, Inc.*

350

17,168

Waters Corp.*

74

4,788

 

 

36,719

 

 

 

Machinery - 0.9%

 

 

Caterpillar, Inc.

535

32,137

Cummins, Inc.

159

10,356

Danaher Corp.

448

16,630

Deere & Co.

362

20,156

Dover Corp.

158

6,603

Eaton Corp.

130

8,507

Flowserve Corp.

51

4,325

Illinois Tool Works, Inc.

330

13,622

PACCAR, Inc.

287

11,443

Pall Corp.

93

3,196

Parker Hannifin Corp.

136

7,543

Snap-on, Inc.

62

2,536

 

 

137,054

 

 

 

Media - 1.7%

 

 

CBS Corp., Class B

573

7,409

Comcast Corp.

2,404

41,757

DIRECTV*

774

26,254

Discovery Communications, Inc.*

223

7,963

Gannett Co., Inc.

212

2,854

Interpublic Group of Co.'s, Inc.*

411

2,930

McGraw-Hill Co.'s, Inc.

266

7,485

Meredith Corp.

41

1,276

New York Times Co.*

111

960

News Corp.

1,920

22,963

Omnicom Group, Inc.

244

8,369

Scripps Networks Interactive, Inc.

71

2,864

Time Warner Cable, Inc.

302

15,728

 

 

 

Equity Securities - Cont'd

Shares

Value

Media - Cont'd

 

 

Time Warner, Inc.

971

$28,072

Viacom, Inc., Class B

517

16,218

Walt Disney Co.

1,669

52,575

Washington Post Co., Class B

6

2,463

 

 

248,140

 

 

 

Metals & Mining - 0.6%

 

 

AK Steel Holding Corp.

120

1,430

Alcoa, Inc.

802

8,068

Allegheny Technologies, Inc.

83

3,668

Cliffs Natural Resources, Inc.

119

5,612

Freeport-McMoRan Copper & Gold, Inc.

402

23,770

Newmont Mining Corp.

419

25,869

Nucor Corp.

248

9,494

Titanium Metals Corp.*

100

1,759

United States Steel Corp.

126

4,857

 

 

84,527

 

 

 

Multiline Retail - 0.5%

 

 

Big Lots, Inc.*

83

2,663

Family Dollar Stores, Inc.

109

4,108

J.C. Penney Co., Inc.

186

3,995

Kohl's Corp.*

262

12,445

Macy's, Inc.

356

6,372

Nordstrom, Inc.

130

4,185

Sears Holdings Corp.*

39

2,521

Target Corp.

627

30,830

 

 

67,119

 

 

 

Multi-Utilities - 0.7%

 

 

Ameren Corp.

187

4,445

Centerpoint Energy, Inc.

309

4,066

CMS Energy Corp.

194

2,842

Consolidated Edison, Inc.

222

9,568

Dominion Resources, Inc.

508

19,680

DTE Energy Co.

130

5,929

Integrys Energy Group, Inc.

61

2,668

NiSource, Inc.

270

3,915

PG&E Corp.

317

13,029

Public Service Enterprise Group, Inc.

431

13,503

SCANA Corp.

109

3,898

Sempra Energy

195

9,124

TECO Energy, Inc.

168

2,532

Wisconsin Energy Corp.

92

4,668

Xcel Energy, Inc.

386

7,955

 

 

107,822

 

 

 

Office Electronics - 0.1%

 

 

Xerox Corp.

1,143

9,188

 

 

 

Equity Securities - Cont'd

Shares

Value

Oil, Gas & Consumable Fuels - 4.9%

 

 

Anadarko Petroleum Corp.

421

$15,194

Apache Corp.

287

24,163

Cabot Oil & Gas Corp.

102

3,195

Chesapeake Energy Corp.

513

10,747

Chevron Corp.

1,711

116,108

ConocoPhillips

1,268

62,246

Consol Energy, Inc.

194

6,549

Denbury Resources, Inc.*

353

5,168

Devon Energy Corp.

381

23,210

El Paso Corp.

634

7,044

EOG Resources, Inc.

216

21,248

Exxon Mobil Corp.

4,335

247,385

Hess Corp.

249

12,535

Marathon Oil Corp.

604

18,778

Massey Energy Co.

87

2,379

Murphy Oil Corp.

151

7,482

Noble Energy, Inc.

138

8,326

Occidental Petroleum Corp.

692

53,388

Peabody Energy Corp.

212

8,296

Pioneer Natural Resources Co.

98

5,826

QEP Resources, Inc.*

140

4,316

Range Resources Corp.

142

5,701

Southwestern Energy Co.*

272

10,510

Spectra Energy Corp.

509

10,216

Sunoco, Inc.

125

4,346

Tesoro Corp.

160

1,867

Valero Energy Corp.

444

7,983

Williams Co.'s, Inc.

459

8,391

 

 

712,597

 

 

 

Paper & Forest Products - 0.1%

 

 

International Paper Co.

366

8,283

MeadWestvaco Corp.

168

3,730

Weyerhaeuser Co.

167

5,878

 

 

17,891

 

 

 

Personal Products - 0.1%

 

 

Avon Products, Inc.

336

8,904

Estee Lauder Co.'s, Inc.

100

5,573

 

 

14,477

 

 

 

Pharmaceuticals - 3.4%

 

 

Abbott Laboratories, Inc.

1,315

61,516

Allergan, Inc.

262

15,264

Bristol-Myers Squibb Co.

1,465

36,537

Eli Lilly & Co.

864

28,944

Forest Laboratories, Inc.*

273

7,488

Johnson & Johnson

2,350

138,791

King Pharmaceuticals, Inc.*

225

1,708

Merck & Co., Inc.

2,657

92,915

Mylan, Inc.*

241

4,106

Pfizer, Inc.

6,872

97,995

Watson Pharmaceuticals, Inc.*

96

3,895

 

 

489,159

 

 

 

Equity Securities - Cont'd

Shares

Value

Professional Services - 0.1%

 

 

Dun & Bradstreet Corp.

52

$3,490

Equifax, Inc.

100

2,806

Robert Half International, Inc.

149

3,509

 

 

9,805

 

 

 

Real Estate Investment Trusts - 0.7%

 

 

Apartment Investment & Management Co.

114

2,208

AvalonBay Communities, Inc.

73

6,816

Boston Properties, Inc.

110

7,847

Equity Residential

222

9,244

HCP, Inc.

231

7,450

Health Care REIT, Inc.

109

4,591

Host Hotels & Resorts, Inc.

526

7,091

Kimco Realty Corp.

364

4,892

Plum Creek Timber Co., Inc.

128

4,420

ProLogis

400

4,052

Public Storage

115

10,110

Simon Property Group, Inc.

249

20,107

Ventas, Inc.

124

5,822

Vornado Realty Trust

133

9,702

 

 

104,352

 

 

 

Real Estate Management & Development - 0.0%

 

 

CB Richard Ellis Group, Inc.*

250

3,403

 

 

 

Road & Rail - 0.4%

 

 

CSX Corp.

332

16,477

Norfolk Southern Corp.

315

16,711

Ryder System, Inc.

42

1,689

Union Pacific Corp.

431

29,959

 

 

64,836

 

 

 

Semiconductors & Semiconductor Equipment - 1.4%

 

 

Advanced Micro Devices, Inc.*

511

3,740

Altera Corp.

234

5,805

Analog Devices, Inc.

264

7,355

Applied Materials, Inc.

1,144

13,751

Broadcom Corp.

339

11,177

Intel Corp.

4,740

92,193

KLA-Tencor Corp.

136

3,792

Linear Technology Corp.

176

4,895

LSI Corp.*

645

2,967

MEMC Electronic Materials, Inc.*

244

2,411

Microchip Technology, Inc.

166

4,605

Micron Technology, Inc.*

669

5,680

National Semiconductor Corp.

250

3,365

Novellus Systems, Inc.*

101

2,561

NVIDIA Corp.*

495

5,054

Teradyne, Inc.*

158

1,540

Texas Instruments, Inc.

1,041

24,234

Xilinx, Inc.

218

5,507

 

 

200,632

 

 

 

Equity Securities - Cont'd

Shares

Value

Software - 2.1%

 

 

Adobe Systems, Inc.*

448

$11,841

Autodesk, Inc.*

208

5,067

BMC Software, Inc.*

155

5,368

CA, Inc.

311

5,722

Citrix Systems, Inc.*

155

6,546

Compuware Corp.*

233

1,859

Electronic Arts, Inc.*

275

3,960

Intuit, Inc.*

268

9,318

McAfee, Inc.*

142

4,362

Microsoft Corp.

6,495

149,450

Novell, Inc.*

404

2,295

Oracle Corp.

3,335

71,569

Red Hat, Inc.*

149

4,312

Salesforce.com, Inc.*

93

7,981

Symantec Corp.*

634

8,800

 

 

298,450

 

 

 

Specialty Retail - 1.1%

 

 

Abercrombie & Fitch Co.

70

2,148

AutoNation, Inc.*

71

1,385

AutoZone, Inc.*

26

5,024

Bed Bath & Beyond, Inc.*

206

7,638

Best Buy Co., Inc.

270

9,142

CarMax, Inc.*

185

3,682

GameStop Corp.*

119

2,236

Gap, Inc.

374

7,278

Home Depot, Inc.

1,432

40,196

Limited Brands, Inc.

211

4,657

Lowe's Co.'s, Inc.

1,218

24,872

Office Depot, Inc.*

321

1,297

O'Reilly Automotive, Inc.*

109

5,184

RadioShack Corp.

123

2,400

Ross Stores, Inc.

114

6,075

Staples, Inc.

622

11,849

Tiffany & Co.

98

3,715

TJX Co.'s, Inc.

330

13,843

Urban Outfitters, Inc.*

120

4,127

 

 

156,748

 

 

 

Textiles, Apparel & Luxury Goods - 0.3%

 

 

Coach, Inc.

248

9,064

Nike, Inc., Class B

331

22,359

Polo Ralph Lauren Corp.

49

3,575

VF Corp.

75

5,339

 

 

40,337

 

 

 

Thrifts & Mortgage Finance - 0.1%

 

 

Hudson City Bancorp, Inc.

373

4,566

People's United Financial, Inc.

292

3,942

 

 

8,508

 

 

 

Equity Securities - Cont'd

Shares

Value

Tobacco - 0.8%

 

 

Altria Group, Inc.

1,774

$35,551

Lorillard, Inc.

122

8,782

Philip Morris International, Inc.

1,578

72,335

Reynolds American, Inc.

133

6,932

 

 

123,600

 

 

 

Trading Companies & Distributors - 0.1%

 

 

Fastenal Co.

104

5,220

W.W. Grainger, Inc.

54

5,370

 

 

10,590

 

 

 

Wireless Telecommunication Services - 0.2%

 

 

American Tower Corp.*

344

15,308

MetroPCS Communications, Inc.*

300

2,457

Sprint Nextel Corp.*

2,339

9,917

 

 

27,682

 

 

 

     Total Equity Securities (Cost $7,661,032)

 

7,894,365

 

 

 

Exchange Traded Funds - 0.5%

 

 

iShares Barclays Aggregate Bond Fund

700

75,075

 

 

 

     Total Exchange Traded Funds (Cost $74,298)

 

75,075

 

 

 

 

Principal

 

Commercial Mortgage-Backed Securities - 2.1%

Amount

 

Wachovia Bank Commercial Mortgage Trust, 4.964%, 11/15/35 (r)

$285,000

302,816

 

 

 

     Total Commercial Mortgage-Backed Securities (Cost $204,883)

 

302,816

 

 

 

Corporate Bonds -- 7.9%

 

 

Apache Corp., 5.625%, 1/15/17

100,000

112,648

CBS Corp., 5.75%, 4/15/20

200,000

212,960

Goldman Sachs Group, Inc., 5.35%, 1/15/16

100,000

103,459

Hospira, Inc., 6.40%, 5/15/15

100,000

113,990

Qwest Corp., 8.875%, 3/15/12

100,000

107,500

Shell International Finance BV, 4.00%, 3/21/14

100,000

105,672

Time Warner, Inc., 4.875%, 3/15/20

100,000

102,864

US Bank NA, 4.95%, 10/30/14

100,000

109,270

Wells Fargo & Co., 4.375%, 1/31/13

125,000

132,312

XTO Energy, Inc., 4.625%, 6/15/13

50,000

53,907

 

 

 

     Total Corporate Bonds (Cost $1,080,649)

 

1,154,582

 

 

 

Time Deposit - 3.8%

 

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

547,265

547,265

 

 

 

     Total Time Deposit (Cost $547,265)

 

547,265

 

 

 

 

Principal

 

U.S. Government Agencies and Instrumentalities - 4.8%

Amount

Value

Federal Home Loan Bank, 3.625%, 10/18/13

320,000

$343,604

Freddie Mac, 5.50%, 7/18/16

300,000

350,325

 

 

 

     Total U.S. Government Agencies and Instrumentalities (Cost $666,350)

 

693,929

 

 

 

U.S. Government Agency Mortgage-Backed Securities - 12.0%

 

 

Fannie Mae:

 

 

     7.00%, 7/1/29

50,637

56,445

     6.50%, 8/1/32

45,251

50,392

     5.50%, 7/1/33

157,563

169,931

     6.00%, 8/1/33

89,548

98,634

     5.50%, 11/1/33

252,199

271,997

     7.50%, 11/1/36

67,413

74,299

Freddie Mac:

 

 

     5.00%, 5/1/18

272,687

293,032

     4.50%, 9/1/18

68,345

72,923

     6.00%, 8/1/36

289,129

314,536

Ginnie Mae, 5.50%, 7/20/34

312,735

340,188

 

 

 

     Total U.S. Government Agency Mortgage-Backed Securities (Cost $1,632,558)

 

1,742,377

 

 

 

U.S. Treasury - 14.3%

 

 

United States Treasury Bills, 7/8/10^

100,000

99,997

United States Treasury Bonds, 5.25%, 11/15/28

200,000

240,656

United States Treasury Notes:

 

 

     1.50%, 12/31/13

125,000

126,016

     2.375%, 8/31/14

250,000

258,437

     2.25%, 1/31/15

325,000

332,973

     5.125%, 5/15/16

250,000

291,719

     3.00%, 9/30/16

200,000

208,500

     3.625%, 8/15/19

160,000

169,125

     3.375%, 11/15/19

335,000

346,882

 

 

 

     Total U.S. Treasury (Cost $1,937,063)

 

2,074,305

 

 

 

          TOTAL INVESTMENTS (Cost $13,804,098) - 99.8%

 

14,484,714

          Other assets and liabilities, net - 0.2%

 

30,000

          Net Assets - 100%

 

$14,514,714

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to 325,200 shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized

 

$14,011,386

Undistributed net investment income

 

277,950

Accumulated net realized gain (loss) on investments

 

(421,226)

Net unrealized appreciation (depreciation) on investments

 

646,604

 

 

 

          Net Assets

 

$14,514,714

 

 

 

          Net Asset Value per Share

 

$44.63

 

Futures

Number of
Contracts

Expiration
Date

Underlying
Face Amount
At Value

Unrealized
Appreciation
(Depreciation)

Purchased:

 

 

 

 

     E-Mini S&P 500 Index^

12

9/10

$615,960

($34,012)

          Total Purchased

 

 

 

($34,012)

 

* Non-income producing security.

(r) The coupon rate shown on floating or adjustable rate securities represent the rate at period end.

^ Futures collateralized by 100,000 units of U.S. Treasury Bills.

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Interest income

$118,223

     Dividend income (net of foreign taxes withheld of $7 )

93,964

          Total investment income

212,187

 

 

Expenses:

 

     Investment advisory fee

23,116

     Administrative fees

7,705

     Transfer agency fees and expenses

820

     Directors' fees and expenses

1,039

     Custodian fees

18,442

     Accounting fees

1,246

     Contract services

3,729

     Reports to shareholders

2,633

     Professional fees

10,576

     Miscellaneous

162

          Total expenses

69,468

          Reimbursement from Advisor

(23,042)

          Fees paid indirectly

(194)

               Net expenses

46,232

 

 

               Net Investment Income

165,955

 

 

 

 

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) on:

 

     Investments

178,884

     Futures

(22,093)

 

156,791

 

 

 

 

Change in unrealized appreciation (depreciation) on:

 

     Investments

(523,301)

     Futures

(38,695)

 

(561,996)

 

 

          Net Realized and Unrealized Gain

 

          (Loss)

(405,205)

 

 

          Increase (Decrease) in Net Assets

 

          Resulting From Operations

($239,250)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$165,955

$381,184

     Net realized gain (loss)

156,791

122,406

     Change in unrealized appreciation (depreciation)

(561,996)

2,095,376

 

 

 

     Increase (Decrease) in Net Assets

 

 

     Resulting From Operations

(239,250)

2,598,966

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(348,198)

          Total distributions

--

(348,198)

 

 

 

Capital share transactions:

 

 

     Shares sold

602,094

1,518,492

     Reinvestment of distributions

--

348,196

     Shares redeemed

(1,767,926)

(4,041,694)

          Total capital share transactions

(1,165,832)

(2,175,006)

 

 

 

Total Increase (Decrease) in Net Assets

(1,405,082)

75,762

 

 

 

Net Assets

 

 

Beginning of period

15,919,796

15,844,034

End of period (including undistributed net investment income

 

 

     of $277,950 and $111,995, respectively)

$14,514,714

$15,919,796

 

 

 

 

 

 

Capital Share Activity

 

 

Shares sold

12,952

36,816

Reinvestment of distributions

--

7,612

Shares redeemed

(38,244)

(98,053)

     Total capital share activity

(25,292)

(53,625)

 

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP Balanced Index Portfolio (the "Portfolio"), formerly known as Summit Balanced Index Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.

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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing the average bid prices or at bid prices based on 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 close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Portfolio 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued in good faith under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Commercial Mortgage-Backed Securities

--

$302,816

--

$302,816

Corporate Bonds

--

1,154,582

--

1,154,582

Equity Securities*

$7,894,365

--

--

7,894,365

Exchanged Traded Funds

75,075

--

--

75,075

Other Debt Obligations

--

547,265

--

547,265

U.S. Government Obligations

--

4,510,611

--

4,510,611

TOTAL

$7,969,440

$6,515,274

--

$14,484,714

 

 

 

 

 

Other Financial Instruments**

($34,012)

--

--

($34,012)

*     For further breakdown of Equity Securities by industry type, please refer to the Statement of Net Assets.

** Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

Security Transactions and 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 Portfolio 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. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio's understanding of the applicable country's tax rules and rates.

Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives. The Portfolio may use futures contracts to hedge against changes in the value of securities. The Portfolio 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 Portfolio. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between 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 Portfolio's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms. Futures contracts are designed by boards of trade which are designated "contracts markets" by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

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 ("UNIFI"). The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .30% of the Portfolio's average daily net assets. Under the terms of the agreement, $3,678 was payable at period end. In addition, $1,597 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .60%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $1,226 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $28 for the six months ended June 30, 2010. Under the terms of the agreement, $5 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term and U.S. Government securities, were $3,247,360 and $3,943,411, respectively. U.S. Government security purchases and sales were $1,028,419 and $1,064,147, respectively.

Capital Loss Carryforwards
Expiration Date

31-Dec-13

$337,505

31-Dec-16

752

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$1,751,000

Unrealized (depreciation)               

(1,361,115)

Net unrealized appreciation/(depreciation)     

($389,885)

Federal income tax cost of investments     

$14,094,829

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Fund had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month of
Maximum
Amount
Borrowed

 

$382

1.52%

$17,294

April 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009

2008

Net asset value, beginning

$45.42

$39.21

$51.62

Income from investment operations

 

 

 

     Net investment income

.54

1.14

1.48

     Net realized and unrealized gain (loss)

(1.33)

6.09

(12.45)

          Total from investment operations

(.79)

7.23

(10.97)

Distributions from

 

 

 

     Net investment income

--

(1.02)

(1.44)

          Total distributions

--

(1.02)

(1.44)

Total increase (decrease) in net asset value

(.79)

6.21

(12.41)

Net asset value, ending

$44.63

$45.42

$39.21

 

 

 

 

Total return*

(1.74%)

18.41%

(21.55%)

Ratios to average net assets: A

 

 

 

     Net investment income

2.15% (a)

2.49%

3.08%

     Total expenses

.90% (a)

.92%

.86%

     Expenses before offsets

.60% (a)

.60%

.60%

     Net expenses

.60% (a)

.60%

.60%

Portfolio turnover

29%

53%

26%

Net assets, ending (in thousands)

$14,515

$15,920

$15,844

 

 

 

 

 

 

 

 

 

  

Years Ended

 

 

December 31,

December 31,

December 31,

 

2007

2006

2005

Net asset value, beginning

$49.58

$45.74

$45.55

Income from investment operations

 

 

 

     Net investment income

1.33

1.16

1.07

     Net realized and unrealized gain (loss)

2.12

3.80

.28

          Total from investment operations

3.45

4.96

1.35

Distributions from

 

 

 

     Net investment income

(1.41)

(1.12)

(1.16)

          Total distributions

(1.41)

(1.12)

(1.16)

Total increase (decrease) in net asset value

2.04

3.84

.19

Net asset value, ending

$51.62

$49.58

$45.74

 

 

 

 

Total return*

7.02%

11.02%

3.04%

Ratios to average net assets: A

 

 

 

     Net investment income

2.47%

2.36%

2.25%

     Total expenses

.69%

.69%

.70%

     Expenses before offsets

.60%

.60%

.60%

     Net expenses

.60%

.60%

.60%

Portfolio turnover

15%

21%

4%

Net assets, ending (in thousands)

$25,993

$28,784

$29,316

 

See notes to financial highlights.

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

*      Total return is not annualized for periods less than one year.

 

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 typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

<PAGE>

 

Calvert VP
Nasdaq-100 Index Portfolio

(formerly, Summit Nasdaq-100 Index Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

13

Statement of Operations

14

Statements of Changes in Net Assets

15

Notes to Financial Statements

20

Financial Highlights

22

Explanation of Financial Tables

23

Proxy Voting

24

Availability of Quarterly Portfolio Holdings

 

Calvert VP Nasdaq-100 Index Portfolio

Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. International markets fared poorly as well during the period, as the MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI) lost 12.27% due to a combination of poor market performance and a strong U.S. dollar.

In the S&P 500 Index, all 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

Calvert VP Nasdaq-100 Index Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month**

-6.31%

One year

17.94%

Five year

3.06%

Ten year

-7.57%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

The performance data shown represents past performance, and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

** Total return is not annualized for periods of one year or less.

 

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Outlook

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant.

In our opinion, a slowdown in China is of more immediate concern than one in Europe. Chinese officials raised interest rates in an attempt to engineer a soft landing and prevent the bursting of the asset bubbles in that country. But these asset bubbles could deflate in a disorderly fashion, pushing the Chinese economy to a hard landing, which would certainly impact global growth prospects.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view this correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time.

Economic Sectors

% of Total
Investments

 

 

Consumer Discretionary

13.5%

Consumer Staples

0.7%

Exchange Traded Funds

0.6%

Government

0.7%

Health Care

14.2%

Industrials

4.1%

Information Technology

58.6%

Materials

0.3%

Telecommunication Services

1.6%

Time Deposit

5.7%

Total

100%

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$936.90

$3.12

Hypothetical (5% return per year before expenses)

$1,000.00

$1,021.57

$3.26

* Expenses are equal to the Fund's annualized expense ratio of .65%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
June 30, 2010

Equity Securities - 93.0%

Shares

Value

Air Freight & Logistics - 0.9%

 

 

C.H. Robinson Worldwide, Inc.

3,654

$203,382

Expeditors International of Washington, Inc.

4,659

160,782

 

 

364,164

 

 

 

Biotechnology - 6.9%

 

 

Amgen, Inc.*

9,952

523,475

Biogen Idec, Inc.*

6,468

306,907

Celgene Corp.*

10,188

517,754

Cephalon, Inc.*

1,632

92,616

Genzyme Corp.*

7,457

378,592

Gilead Sciences, Inc.*

19,530

669,488

Vertex Pharmaceuticals, Inc.*

4,714

155,091

 

 

2,643,923

 

 

 

Chemicals - 0.3%

 

 

Sigma-Aldrich Corp.

2,598

129,458

 

 

 

Commercial Services & Supplies - 0.6%

 

 

Cintas Corp.

4,086

97,941

Stericycle, Inc.*

1,981

129,914

 

 

227,855

 

 

 

Communications Equipment - 7.9%

 

 

Cisco Systems, Inc.*

45,502

969,648

QUALCOMM, Inc.

44,088

1,447,850

Research In Motion Ltd.*

12,431

612,351

 

 

3,029,849

 

 

 

Computers & Peripherals - 20.9%

 

 

Apple, Inc.*

28,286

7,114,778

Dell, Inc.*

16,057

193,647

Logitech International SA*

3,819

51,213

NetApp, Inc.*

8,033

299,711

SanDisk Corp.*

5,211

219,227

Seagate Technology LLC*

10,827

141,184

 

 

8,019,760

 

 

 

Construction & Engineering - 0.2%

 

 

Foster Wheeler AG*

2,969

62,527

 

 

 

Diversified Consumer Services - 0.4%

 

 

Apollo Group, Inc.*

3,417

145,120

 

 

 

Electrical Equipment - 0.5%

 

 

First Solar, Inc.*

1,665

189,527

 

 

 

Electronic Equipment & Instruments - 0.6%

 

 

Flextronics International Ltd.*

19,705

110,348

FLIR Systems, Inc.*

3,576

104,026

 

 

214,374

 

 

 

Equity Securities - Cont'd

Shares

Value

Food & Staples Retailing - 0.7%

 

 

Costco Wholesale Corp.

5,172

$283,581

 

 

 

Health Care Equipment & Supplies - 1.2%

 

 

DENTSPLY International, Inc.

3,131

93,648

Hologic, Inc.*

6,072

84,583

Intuitive Surgical, Inc.*

872

275,221

 

 

453,452

 

 

 

Health Care Providers & Services - 1.8%

 

 

Express Scripts, Inc.*

10,903

512,659

Henry Schein, Inc.*

2,030

111,447

Patterson Co.'s, Inc.

2,624

74,863

 

 

698,969

 

 

 

Health Care Technology - 0.4%

 

 

Cerner Corp.*

1,825

138,499

 

 

 

Hotels, Restaurants & Leisure - 2.1%

 

 

Starbucks Corp.

23,101

561,354

Wynn Resorts Ltd.

2,996

228,505

 

 

789,859

 

 

 

Household Durables - 0.3%

 

 

Garmin Ltd.

4,118

120,163

 

 

 

Internet & Catalog Retail - 3.0%

 

 

Amazon.com, Inc.*

6,595

720,570

Expedia, Inc.

6,220

116,812

Liberty Media Corp. - Interactive*

12,205

128,152

priceline.com, Inc.*

1,119

197,548

 

 

1,163,082

 

 

 

Internet Software & Services - 6.9%

 

 

Baidu.com (ADR)*

6,055

412,224

eBay, Inc.*

21,728

426,086

Google, Inc.*

3,330

1,481,684

VeriSign, Inc.*

3,837

101,872

Yahoo!, Inc.*

14,844

205,293

 

 

2,627,159

 

 

 

IT Services - 3.1%

 

 

Automatic Data Processing, Inc.

7,925

319,061

Cognizant Technology Solutions Corp.*

6,504

325,590

Fiserv, Inc.*

4,255

194,283

Infosys Technologies Ltd. (ADR)

2,440

146,180

Paychex, Inc.

7,643

198,489

 

 

1,183,603

 

 

 

Leisure Equipment & Products - 0.5%

 

 

Mattel, Inc.

9,293

196,640

 

 

 

Equity Securities - Cont'd

Shares

Value

Life Sciences - Tools & Services - 1.1%

 

 

Illumina, Inc.*

2,664

$115,964

Life Technologies Corp.*

4,119

194,623

QIAGEN NV*

5,242

100,751

 

 

411,338

 

 

 

Machinery - 1.2%

 

 

Joy Global, Inc.

2,253

112,853

PACCAR, Inc.

9,117

363,495

 

 

476,348

 

 

 

Media - 4.3%

 

 

Comcast Corp.

32,254

560,252

DIRECTV*

14,399

488,414

DISH Network Corp.

4,818

87,447

News Corp.

31,753

379,766

Virgin Media, Inc.

7,537

125,792

 

 

1,641,671

 

 

 

Multiline Retail - 0.4%

 

 

Sears Holdings Corp.*

2,677

173,068

 

 

 

Pharmaceuticals - 2.9%

 

 

Mylan, Inc.*

6,992

119,144

Teva Pharmaceutical Industries Ltd. (ADR)

16,468

856,171

Warner Chilcott plc*

5,600

127,960

 

 

1,103,275

 

 

 

Road & Rail - 0.2%

 

 

JB Hunt Transport Services, Inc.

2,834

92,587

 

 

 

Semiconductors & Semiconductor Equipment - 7.2%

 

 

Altera Corp.

9,457

234,628

Applied Materials, Inc.

15,473

185,986

Broadcom Corp.

8,962

295,477

Intel Corp.

43,451

845,122

KLA-Tencor Corp.

4,592

128,025

Lam Research Corp.*

2,911

110,793

Linear Technology Corp.

6,680

185,771

Marvell Technology Group Ltd.*

13,716

216,164

Maxim Integrated Products, Inc.

6,636

111,020

Microchip Technology, Inc.

3,415

94,732

NVIDIA Corp.*

12,525

127,880

Xilinx, Inc.

8,177

206,551

 

 

2,742,149

 

 

 

Software - 12.1%

 

 

Activision Blizzard, Inc.

24,759

259,722

Adobe Systems, Inc.*

11,503

304,024

Autodesk, Inc.*

5,327

129,766

BMC Software, Inc.*

4,704

162,900

CA, Inc.

11,018

202,731

Check Point Software Technologies Ltd.*

4,571

134,753

Citrix Systems, Inc.*

4,919

207,729

Electronic Arts, Inc.*

7,408

106,675

Intuit, Inc.*

8,822

306,741

 

 

 

Equity Securities - Cont'd

Shares

Value

Software - Cont'd

 

 

Microsoft Corp.

67,234

$1,547,054

Oracle Corp.

46,737

1,002,976

Symantec Corp.*

18,609

258,293

 

 

4,623,364

 

 

 

Specialty Retail - 2.4%

 

 

Bed Bath & Beyond, Inc.*

7,892

292,635

O'Reilly Automotive, Inc.*

3,069

145,962

Ross Stores, Inc.

2,759

147,027

Staples, Inc.

10,927

208,159

Urban Outfitters, Inc.*

3,735

128,447

 

 

922,230

 

 

 

Trading Companies & Distributors - 0.4%

 

 

Fastenal Co.

3,141

157,647

 

 

 

Wireless Telecommunication Services - 1.6%

 

 

Millicom International Cellular SA

2,344

190,028

NII Holdings, Inc.*

3,624

117,852

Vodafone Group plc (ADR)

14,538

300,500

 

 

608,380

 

 

 

     Total Equity Securities (Cost $29,279,328)

 

35,633,621

 

 

 

Exchange Traded Funds - 0.6%

 

 

Powershares QQQ

5,000

213,550

 

 

 

     Total Exchange Traded Funds (Cost $230,344)

 

213,550

 

 

 

 

Principal

 

Time Deposit - 5.6%

Amount

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

$2,164,729

2,164,729

 

 

 

     Total Time Deposit (Cost $2,164,729)

 

2,164,729

 

 

 

U.S. Treasury - 0.7%

 

 

United States Treasury Bills, 7/8/10^

250,000

249,993

 

 

 

     Total U.S. Treasury (Cost $249,993)

 

249,993

 

 

 

          TOTAL INVESTMENTS (Cost $31,924,394) - 99.9%

 

38,261,893

          Other assets and liabilities, net - 0.1%

 

39,772

          Net Assets - 100%

 

$38,301,665

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to 1,602,523 shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized

 

$41,648,660

Undistributed net investment income

 

19,107

Accumulated net realized gain (loss) on investments

 

(9,589,128)

Net unrealized appreciation (depreciation) on investments

 

6,223,026

 

 

 

          Net Assets

 

$38,301,665

 

 

 

          Net Asset Value per Share

 

$23.90

Futures

Number of
Contracts

Expiration
Date

Underlying
Face Amount
At Value

Unrealized
Appreciation
(Depreciation)

Purchased:

 

 

 

 

     E-Mini NASDAQ 100 Index^

73

9/10

$2,537,480

($114,473)

          

 

^ Futures collateralized by 250,000 units of U.S. Treasury Bills.

* Non-income producing security.

Abbreviations:

ADR: American Depositary Receipt
LLC: Limited Liability Corporation

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income (net of foreign taxes withheld of $2,031)

$105,046

     Interest income

229

          Total investment income

105,275

 

 

Expenses:

 

     Investment advisory fee

48,482

     Transfer agency fees and expenses

746

     Accounting fees

2,178

     Directors' fees and expenses

1,863

     Administrative fees

13,852

     Custodian fees

8,706

     Reports to shareholders

5,362

     Professional fees

11,038

     Miscellaneous

4,289

          Total expenses

96,516

          Reimbursement from Advisor

(6,213)

          Fees paid indirectly

(264)

               Net expenses

90,039

 

 

                    Net Investment Income

15,236

 

 

 

 

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) on:

 

     Investments

270,449

     Futures

(120,740)

 

149,709

 

 

Change in unrealized appreciation (depreciation) on:

 

     Investments

(2,806,832)

     Futures

(127,013)

 

(2,933,845)

 

 

 

 

               Net Realized and Unrealized Gain

 

               (Loss)

(2,784,136)

 

 

               Increase (Decrease) in Net Assets

 

               Resulting From Operations

($2,768,900)

 

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$15,236

$19,540

     Net realized gain (loss)

149,709

134,026

     Change in unrealized appreciation (depreciation)

(2,933,845)

8,810,422

 

 

 

     Increase (Decrease) in Net Assets

 

 

     Resulting From Operations

(2,768,900)

8,963,988

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(18,834)

          Total distributions

--

(18,834)

 

 

 

Capital share transactions:

 

 

     Shares sold

17,923,951

4,370,242

     Reinvestment of distributions

--

18,834

     Shares redeemed

(2,490,873)

(4,886,008)

          Total capital share transactions

15,433,078

(496,932)

 

 

 

Total Increase (Decrease) in Net Assets

12,664,178

8,448,222

 

 

 

Net Assets

 

 

Beginning of period

25,637,487

17,189,265

End of period (including undistributed net investment income of $19,107 and $3,871, respectively)

$38,301,665

25,637,487

 

 

 

Capital Share Activity

 

 

Shares sold

696,425

219,980

Reinvestment of distributions

--

731

Shares redeemed

(98,764)

(249,786)

          Total capital share activity

597,661

(29,075)

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP NASDAQ 100 Index Portfolio (the "Portfolio"), formerly known as Summit NASDAQ-100 Index Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.

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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Portfolio 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity Securities*

$35,633,621

--

--

$35,633,621

Exchange Traded Funds

213,550

--

--

213,550

U.S. Government Obligations

--

$249,993

--

249,993

Other Debt Obligations

--

2,164,729

--

2,164,729

TOTAL

$35,847,171

$2,414,722

--

$38,261,893

 

 

 

 

 

Other Financial Instruments**

($114,473)

--

--

($114,473)

*For further breakdown of Equity Securities by industry type, please refer to the Statement of Net Assets.

**Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

Security Transactions and 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 Portfolio 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. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio's understanding of the applicable country's tax rules and rates.

Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives. The Portfolio may use futures contracts to hedge against changes in the value of securities. The Portfolio 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 Portfolio. 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 Portfolio's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms. Futures contracts are designed by boards of trade which are designated "contracts markets" by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio.

Foreign Currency Transactions: The Portfolio's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities is included with the net realized and unrealized gain or loss on investments.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

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 ("UNIFI"). The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .35% of the Portfolio's average daily net assets. Under the terms of the agreement, $10,342 was payable at period end. In addition, $5,564 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .65%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $2,955 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $36 for the six months ended June 30, 2010. Under the terms of the agreement, $6 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $18,254,465 and $5,210,303, respectively.

Capital Loss Carryforward
Expiration Date

31-Dec-10

$3,618,754

31-Dec-11

231,064

31-Dec-12

139,726

31-Dec-13

1,358,042

31-Dec-14

708,047

31-Dec-15

697,707

31-Dec-16

2,318,532

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010 the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$7,945,785

Unrealized (depreciation)               

(2,267,710)

Net unrealized appreciation/(depreciation)     

$5,678,075

Federal income tax cost of investments     

$32,583,818

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month of
Maximum
Amount
Borrowed

 

$2,225

1.44%

$257,316

February 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009

2008

Net asset value, beginning

$25.51

$16.63

$28.64

Income from investment operations

 

 

 

     Net investment income

.01

.02

.03

     Net realized and unrealized gain (loss)

(1.62)

8.88

(12.01)

          Total from investment operations

(1.61)

8.90

(11.98)

Distributions from

 

 

 

     Net investment income

--

(.02)

(.03)

     Return of capital

--

--

--

          Total distributions

--

(.02)

(.03)

Total increase (decrease) in net asset value

(1.61)

8.88

(12.01)

Net asset value, ending

$23.90

$25.51

$16.63

 

 

 

 

Total return*

(6.31%)

53.51%

(41.81%)

Ratios to average net assets: A

 

 

 

     Net investment income

.11% (a)

.09%

.06%

     Total expenses

.70% (a)

.74%

.80%

     Expenses before offsets

.65% (a)

.65%

.65%

     Net expenses

.65% (a)

.65%

.65%

Portfolio turnover

19%

10%

12%

Net assets, ending (in thousands)

$38,302

$25,637

$17,189

 

 

 

 

 

 

 

 

 

  

Years Ended

 
 

December 31,

December 31,

December 31,

 

2007

2006

2005

Net asset value, beginning

$24.47

$22.97

$22.81

Income from investment operations

 

 

 

     Net investment income (loss)

(.01)

.02

.02

     Net realized and unrealized gain (loss)

4.49

1.51

.26

          Total from investment operations

4.48

1.53

.28

Distributions from

 

 

 

     Net investment income

***

(.03)

(.12)

     Return of capital

(.31)

--

--

          Total distributions

(.31)

(.03)

(.12)

Total increase (decrease) in net asset value

4.17

1.50

.16

Net asset value, ending

$28.64

$24.47

$22.97

 

 

 

 

Total return*

18.50%

6.67%

1.30%

Ratios to average net assets: A

 

 

 

     Net investment income (loss)

(.01%)

.05%

.09%

     Total expenses

.71%

.76%

.76%

     Expenses before offsets

.65%

.65%

.65%

     Net expenses

.65%

.65%

.65%

Portfolio turnover

13%

8%

14%

Net assets, ending (in thousands)

$32,822

$26,108

$26,330

 

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

* Total return is not annualized for periods less than one year.

*** Amount is less than $0.005.

(a) Annualized.

 

See notes to financial statements.

 

Explanation of Financial Tables

Schedule of Investments

The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.

Statement of Assets and Liabilities

The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

 

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.

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.

 

 

<PAGE>

 

Calvert VP Russell 2000 Small Cap
Index Portfolio

(formerly, Summit Russell 2000 Small Cap Index Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

53

Statement of Operations

54

Statements of Changes in Net Assets

55

Notes to Financial Statements

61

Financial Highlights

64

Explanation of Financial Tables

65

Proxy Voting

66

Availability of Quarterly Portfolio Holdings

 

Calvert VP Russell 2000 Small Cap Index Portfolio
Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. International markets fared poorly as well during the period, as the MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI) lost 12.27% due to a combination of poor market performance and a strong U.S. dollar.

In the S&P 500 Index, all 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on

Calvert VP Russell 2000 Small Cap Index Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

 

Class I

Class F**

Six month***

-2.21%

-2.32%

One year

20.52%

20.29%

Five year

-0.22%

-0.41%

Ten year

2.40%

2.19%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

**Prior to October 4, 2007, Class F share performance is based on Class I performance, adjusted to reflect Class F expenses.

The performance data shown represents past performance, and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. The value of an investment in Class I shares is plotted in the graph. The value of an investment in another class of shares would be different.

*** Total return is not annualized for periods of one year or less.

 

consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Outlook

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant.

In our opinion, a slowdown in China is of more immediate concern than one in Europe. Chinese officials raised interest rates in an attempt to engineer a soft landing and prevent the bursting of the asset bubbles in that country. But these asset bubbles could deflate in a disorderly fashion, pushing the Chinese economy to a hard landing, which would certainly impact global growth prospects.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view this correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time.

Economic Sectors

% of Total
Investments

Consumer Discretionary

13.4%

Consumer Staples

3.2%

Energy

5.1%

Financials

20.5%

Government

0.7%

Health Care

13.1%

Industrials

14.7%

Information Technology

17.3%

Materials

4.7%

Telecommunications Services

0.9%

Time Deposit

3.3%

Utilities

3.1%

Total

100%

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Class I

 

 

 

Actual

$1,000.00

$977.70

$3.43

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,021.32

$3.51

 

 

 

 

Class F

 

 

 

Actual

$1,000.00

$976.80

$4.46

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,020.28

$4.56

* Expenses are equal to the Fund's annualized expense ratio of .70% and .91%, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
JUNE 30, 2010

Equity Securities - 95.8%

Shares

Value

Aerospace & Defense - 1.8%

 

 

AAR Corp.*

3,527

$59,042

Aerovironment, Inc.*

1,535

33,356

American Science & Engineering, Inc.

840

64,016

Applied Energetics, Inc.*

7,194

7,410

Applied Signal Technology, Inc.

1,235

24,268

Argon ST, Inc.*

1,266

43,411

Astronics Corp.*

730

11,943

Ceradyne, Inc.*

2,360

50,433

Cubic Corp.

1,461

53,151

Curtiss-Wright Corp.

4,256

123,594

DigitalGlobe, Inc.*

2,559

67,302

Ducommun, Inc.

721

12,329

DynCorp International, Inc.*

1,436

25,159

Esterline Technologies Corp.*

2,768

131,342

GenCorp, Inc.*

5,428

23,775

GeoEye, Inc.*

2,047

63,744

Global Defense Technology & Systems, Inc.*

320

4,086

HEICO Corp.

2,666

95,763

Herley Industries, Inc.*

1,076

15,344

Hexcel Corp.*

9,004

139,652

Kratos Defense & Security Solutions, Inc.*

1,476

15,498

Ladish Co., Inc.*

1,457

33,103

LMI Aerospace, Inc.*

692

10,913

Moog, Inc.*

4,210

135,688

Orbital Sciences Corp.*

5,174

81,594

Stanley, Inc.*

1,296

48,444

Taser International, Inc.*

5,806

22,643

Teledyne Technologies, Inc.*

3,361

129,667

Triumph Group, Inc.

1,542

102,743

 

 

1,629,413

 

 

 

Air Freight & Logistics - 0.4%

 

 

Air Transport Services Group, Inc.*

4,389

20,892

Atlas Air Worldwide Holdings, Inc.*

2,396

113,810

Dynamex, Inc.*

725

8,845

Forward Air Corp.

2,657

72,403

HUB Group, Inc.*

3,441

103,264

Pacer International, Inc.*

2,628

18,370

Park-Ohio Holdings Corp.*

726

10,447

 

 

348,031

 

 

 

Airlines - 0.7%

 

 

Airtran Holdings, Inc.*

12,459

60,426

Alaska Air Group, Inc.*

3,268

146,897

Allegiant Travel Co.

1,419

60,577

Hawaiian Holdings, Inc.*

4,803

24,831

JetBlue Airways Corp.*

22,769

125,002

 

 

 

Equity Securities - Cont'd

Shares

Value

Airlines - Cont'd

 

 

Pinnacle Airlines Corp.*

1,723

$9,373

Republic Airways Holdings, Inc.*

3,180

19,430

Skywest, Inc.

5,072

61,980

US Airways Group, Inc.*

14,965

128,849

 

 

637,365

 

 

 

Auto Components - 0.7%

 

 

American Axle & Manufacturing Holdings, Inc.*

5,568

40,814

Amerigon, Inc.*

1,764

13,018

Cooper Tire & Rubber Co.

5,682

110,799

Dana Holding Corp.*

12,988

129,880

Dorman Products, Inc.*

875

17,789

Drew Industries, Inc.*

1,767

35,693

Exide Technologies*

7,014

36,473

Fuel Systems Solutions, Inc.*

1,324

34,358

Hawk Corp.*

433

11,020

Modine Manufacturing Co.*

4,293

32,970

Shiloh Industries, Inc.*

483

4,086

Spartan Motors, Inc.

2,476

10,399

Standard Motor Products, Inc.

1,820

14,687

Stoneridge, Inc.*

1,166

8,850

Superior Industries International, Inc.

2,145

28,829

Tenneco, Inc.*

5,543

116,736

 

 

646,401

 

 

 

Automobiles - 0.0%

 

 

Winnebago Industries*

2,699

26,828

 

 

 

Beverages - 0.1%

 

 

Boston Beer Co., Inc.*

802

54,095

Coca Cola Bottling Co. Consolidated

327

15,670

Heckmann Corp.*

8,234

38,206

MGP Ingredients, Inc.*

1,018

6,749

National Beverage Corp.

857

10,524

 

 

125,244

 

 

 

Biotechnology - 3.1%

 

 

Acorda Therapeutics, Inc.*

3,593

111,778

Affymax, Inc.*

1,339

8,007

Allos Therapeutics, Inc.*

7,294

44,712

Alkermes, Inc.*

8,697

108,278

Alnylam Pharmaceuticals, Inc.*

3,380

50,768

AMAG Pharmaceuticals, Inc.*

1,932

66,364

Anthera Pharmaceuticals, Inc.*

532

2,852

Arena Pharmaceuticals, Inc.*

9,393

28,837

Ariad Pharmaceuticals, Inc.*

10,270

28,961

Arqule, Inc.*

2,994

12,874

Array Biopharma, Inc.*

3,610

11,010

AspenBio Pharma, Inc.*

3,313

3,247

AVEO Pharmaceuticals, Inc.*

860

6,080

AVI BioPharma, Inc.*

10,243

16,491

BioCryst Pharmaceuticals, Inc.*

2,679

15,833

Biosante Pharmaceuticals, Inc.*

5,908

10,398

 

 

 

Equity Securities - Cont'd

Shares

Value

Biotechnology - Cont'd

 

 

Biospecifics Technologies Corp.*

285

$5,666

Biotime, Inc.*

1,975

12,166

Celera Corp.*

7,608

49,832

Celldex Therapeutics, Inc.*

2,949

13,447

Cepheid, Inc.*

5,297

84,858

Chelsea Therapeutics International, Inc.*

1,869

5,476

Clinical Data, Inc.*

1,024

12,739

Codexis, Inc.*

566

4,958

Combinatorx, Inc.*

6,101

8,846

Cubist Pharmaceuticals, Inc.*

5,297

109,118

Curis, Inc.*

5,028

6,989

Cytokinetics, Inc.*

2,652

6,285

Cytori Therapeutics, Inc.*

3,806

13,245

CytRx Corp.*

10,126

7,797

Dyax Corp.*

9,064

20,575

Dynavax Technologies Corp.*

6,643

12,356

Emergent Biosolutions, Inc.*

1,757

28,709

Enzon Pharmaceuticals, Inc.*

4,571

48,681

Exact Sciences Corp.*

3,297

14,507

Exelixis, Inc.*

10,075

34,960

Genomic Health, Inc.*

1,298

16,783

Geron Corp.*

9,110

45,732

Halozyme Therapeutics, Inc.*

6,659

46,879

Idenix Pharmaceuticals, Inc.*

3,312

16,560

Immunogen, Inc.*

6,288

58,290

Immunomedics, Inc.*

5,060

15,635

Incyte Corp. Ltd.*

7,994

88,494

Infinity Pharmaceuticals, Inc.*

1,415

8,363

Inhibitex, Inc.*

4,564

11,638

Inovio Pharmaceuticals, Inc.*

7,441

7,590

InterMune, Inc.*

4,218

39,438

Ironwood Pharmaceuticals, Inc.*

1,791

21,349

Isis Pharmaceuticals, Inc.*

8,610

82,398

Keryx Biopharmaceuticals, Inc.*

4,735

17,330

Lexicon Pharmaceuticals, Inc.*

18,346

23,483

Ligand Pharmaceuticals, Inc., Class B*

8,949

13,066

MannKind Corp.*

5,716

36,525

Martek Biosciences Corp.*

3,091

73,288

Maxygen, Inc.*

2,883

15,943

Medivation, Inc.*

3,156

27,899

Metabolix, Inc.*

2,481

35,503

Micromet, Inc.*

7,500

46,800

Momenta Pharmaceuticals, Inc.*

3,730

45,730

Nabi Biopharmaceuticals*

3,760

20,454

Nanosphere, Inc.*

1,028

4,482

Neuralstem, Inc.*

3,920

9,800

Neurocrine Biosciences, Inc.*

4,548

25,469

NeurogesX, Inc.*

816

5,410

Novavax, Inc.*

7,851

17,037

NPS Pharmaceuticals, Inc.*

5,466

35,201

Nymox Pharmaceutical Corp.*

1,718

5,360

Omeros Corp.*

1,739

12,903

 

 

 

Equity Securities - Cont'd

Shares

Value

Biotechnology - Cont'd

 

 

Onyx Pharmaceuticals, Inc.*

5,812

$125,481

Opko Health, Inc.*

8,218

18,573

Orexigen Therapeutics, Inc.*

2,044

8,585

Osiris Therapeutics, Inc.*

1,190

6,914

PDL BioPharma, Inc.

11,105

62,410

Peregrine Pharmaceuticals, Inc.*

4,774

10,264

Pharmacyclics, Inc.*

3,524

23,470

Pharmasset, Inc.*

2,720

74,365

Progenics Pharmaceuticals, Inc.*

2,122

11,629

Rigel Pharmaceuticals, Inc.*

4,822

34,718

Sangamo Biosciences, Inc.*

3,406

12,636

Savient Pharmaceuticals, Inc.*

6,106

76,936

Sciclone Pharmaceuticals, Inc.*

2,822

7,507

Seattle Genetics, Inc.*

7,659

91,831

SIGA Technologies, Inc.*

2,904

22,361

Spectrum Pharmaceuticals, Inc.*

4,593

18,005

StemCells, Inc.*

8,151

7,662

Synta Pharmaceuticals Corp.*

1,334

3,602

Targacept, Inc.*

2,212

42,758

Theravance, Inc.*

5,798

72,881

Transcept Pharmaceuticals, Inc.*

497

4,140

Vanda Pharmaceuticals, Inc.*

2,587

17,100

Vical, Inc.*

5,213

16,160

ZIOPHARM Oncology, Inc.*

4,532

14,412

Zymogenetics, Inc.*

4,924

20,779

 

 

2,763,711

 

 

 

Building Products - 0.6%

 

 

A.O. Smith Corp.

2,248

108,331

AAON, Inc.

1,147

26,736

American Woodmark Corp.

707

12,090

Ameron International Corp.

856

51,642

Apogee Enterprises, Inc.

2,605

28,212

Builders FirstSource, Inc.*

2,767

6,641

Gibraltar Industries, Inc.*

2,808

28,361

Griffon Corp.*

4,155

45,954

Insteel Industries, Inc.

1,631

18,952

NCI Building Systems, Inc.*

1,238

10,362

PGT, Inc.*

1,782

4,580

Quanex Building Products Corp.

3,468

59,962

Simpson Manufacturing Co., Inc.

3,496

85,827

Trex Co., Inc.*

1,434

28,809

Universal Forest Products, Inc.

1,744

52,861

 

 

569,320

 

 

 

Capital Markets - 2.1%

 

 

American Capital Ltd.*

31,514

151,897

Apollo Investment Corp.

17,987

167,819

Arlington Asset Investment Corp.

625

11,769

Artio Global Investors, Inc.

2,576

40,546

BGC Partners, Inc.

5,291

27,037

BlackRock Kelso Capital Corp.

5,265

51,966

 

 

 

Equity Securities - Cont'd

Shares

Value

Capital Markets - Cont'd

 

 

Calamos Asset Management, Inc.

1,353

$12,556

Capital Southwest Corp.

264

23,208

Cohen & Steers, Inc.

1,620

33,599

Cowen Group, Inc.*

3,360

13,776

Diamond Hill Investment Group, Inc.

164

9,297

Duff & Phelps Corp.

2,530

31,954

E*Trade Financial Corp.*

1

5

Epoch Holding Corp.

1,224

15,018

Evercore Partners, Inc.

1,452

33,904

FBR Capital Markets Corp.*

4,878

16,244

Fifth Street Finance Corp.

4,202

46,348

Financial Engines, Inc.*

1,197

16,279

GAMCO Investors, Inc.

547

20,348

GFI Group, Inc.

6,159

34,367

Gladstone Capital Corp.

1,681

18,172

Gladstone Investment Corp.

1,760

10,261

Gleacher & Co., Inc.*

7,221

18,414

Golub Capital BDC, Inc.

687

9,907

Harris & Harris Group, Inc.*

1,858

7,599

Hercules Technology Growth Capital, Inc.

3,363

30,973

HFF, Inc.*

1,769

12,507

International Assets Holding Corp.*

1,181

18,896

Investment Technology Group, Inc.*

4,043

64,931

JMP Group, Inc.

1,155

7,149

Kayne Anderson Energy Development Co.

798

12,106

KBW, Inc.*

3,213

68,887

Knight Capital Group, Inc.*

8,769

120,925

LaBranche & Co., Inc.*

3,286

14,064

Ladenburg Thalmann Financial Services, Inc.*

8,462

10,577

Main Street Capital Corp.

1,149

17,155

MCG Capital Corp.

7,103

34,307

MF Global Holdings Ltd.*

8,025

45,823

MVC Capital, Inc.

2,255

29,135

NGP Capital Resources Co.

1,493

10,705

Oppenheimer Holdings, Inc.

932

22,321

optionsXpress Holdings, Inc.*

3,886

61,166

PennantPark Investment Corp.

2,928

27,962

Penson Worldwide, Inc.*

1,340

7,558

Piper Jaffray Co.'s*

1,515

48,813

Prospect Capital Corp.

6,243

60,245

Pzena Investment Management, Inc.

491

3,128

Rodman & Renshaw Capital Group, Inc.*

1,479

4,230

Safeguard Scientifics, Inc.*

1,902

20,085

Sanders Morris Harris Group, Inc.

1,551

8,608

Solar Capital Ltd.

375

7,223

Stifel Financial Corp.*

2,880

124,963

SWS Group, Inc.

2,652

25,194

Thomas Weisel Partners Group, Inc.*

1,424

8,387

TICC Capital Corp.

2,100

17,640

TradeStation Group, Inc.*

3,790

25,582

 

 

 

Equity Securities - Cont'd

Shares

Value

Capital Markets - Cont'd

 

 

Triangle Capital Corp.

810

$11,518

Virtus Investment Partners, Inc.*

434

8,124

Westwood Holdings Group, Inc.

428

15,044

 

 

1,828,221

 

 

 

Chemicals - 2.1%

 

 

American Vanguard Corp.

1,505

11,935

Arch Chemicals, Inc.

2,097

64,462

Balchem Corp.

2,541

63,525

Calgon Carbon Corp.*

4,999

66,187

Ferro Corp.*

7,931

58,451

Georgia Gulf Corp.*

3,129

41,741

H.B. Fuller Co.

4,451

84,524

Hawkins, Inc.

688

16,567

Innophos Holdings, Inc.

1,987

51,821

KMG Chemicals, Inc.

568

8,156

Koppers Holdings, Inc.

1,906

42,847

Kraton Performance Polymers, Inc.*

1,042

19,579

Landec Corp.*

1,849

10,891

LSB Industries, Inc.*

1,588

21,136

Minerals Technologies, Inc.

1,722

81,864

NewMarket Corp.

924

80,684

NL Industries, Inc.

532

3,245

Olin Corp.

7,318

132,383

OM Group, Inc.*

2,793

66,641

Omnova Solutions, Inc.*

4,142

32,349

PolyOne Corp.*

8,467

71,292

Quaker Chemical Corp.

1,035

28,038

Rockwood Holdings, Inc.*

4,835

109,706

Schulman A, Inc.

2,922

55,401

Senomyx, Inc.*

3,582

13,576

Sensient Technologies Corp.

4,594

119,122

Solutia, Inc.*

11,260

147,506

Spartech Corp.*

2,867

29,387

Stepan Co.

723

49,475

STR Holdings, Inc.*

2,632

49,481

TPC Group, Inc.*

733

12,168

Westlake Chemical Corp.

1,823

33,853

WR Grace & Co.*

6,745

141,915

Zep, Inc.

2,013

35,107

Zoltek Co.'s, Inc.*

2,577

21,827

 

 

1,876,842

 

 

 

Commercial Banks - 6.0%

 

 

1st Source Corp.

1,417

23,976

1st United Bancorp, Inc.*

2,033

14,963

Alliance Financial Corp.

324

9,007

American National Bankshares, Inc.

482

10,310

Ameris Bancorp*

1,944

18,781

Ames National Corp.

756

14,772

Arrow Financial Corp.

876

20,236

Bancfirst Corp.

651

23,755

 

 

 

Equity Securities - Cont'd

Shares

Value

Commercial Banks - Cont'd

 

 

Banco Latinoamericano de Exportaciones SA

2,557

$31,937

Bancorp Rhode Island, Inc.

288

7,546

Bancorp, Inc.*

2,092

16,380

Bank of Marin Bancorp

408

13,027

Bank of the Ozarks, Inc.

1,212

42,990

Boston Private Financial Holdings, Inc.

6,425

41,313

Bridge Bancorp, Inc.

491

11,921

Bryn Mawr Bank Corp.

548

9,195

Camden National Corp.

710

19,504

Capital City Bank Group, Inc.

939

11,625

Cardinal Financial Corp.

2,665

24,625

Cathay General Bancorp

7,229

74,676

Center Financial Corp.*

3,295

16,969

Centerstate Banks of Florida, Inc.

2,052

20,705

Century Bancorp, Inc.

277

6,105

Chemical Financial Corp.

2,266

49,353

Citizens & Northern Corp.

1,125

12,037

Citizens Republic Bancorp, Inc.*

36,595

31,106

City Holding Co.

1,464

40,816

CNB Financial Corp.

682

7,488

CoBiz Financial, Inc.

2,995

19,737

Columbia Banking System, Inc.

3,645

66,558

Community Bank System, Inc.

2,981

65,671

Community Trust Bancorp, Inc.

1,102

27,660

CVB Financial Corp.

7,877

74,831

Danvers Bancorp, Inc.

1,679

24,262

Eagle Bancorp, Inc.*

1,163

13,700

Encore Bancshares, Inc.*

745

7,368

Enterprise Financial Services Corp.

1,378

13,284

Financial Institutions, Inc.

874

15,522

First Bancorp (North Carolina)

1,145

16,591

First Bancorp (Puerto Rico)*

6,345

3,363

First Bancorp, Inc. (Maine)

691

9,073

First Busey Corp.

4,852

21,980

First Commonwealth Financial Corp.

8,000

42,000

First Community Bancshares, Inc.

1,464

21,506

First Financial Bancorp

5,359

80,117

First Financial Bankshares, Inc.

1,917

92,189

First Financial Corp.

866

22,351

First Interstate Bancsystem, Inc.

1,151

18,105

First Merchants Corp.

2,368

20,081

First Midwest Bancorp, Inc.

6,822

82,956

First of Long Island Corp.

427

10,978

First South Bancorp, Inc.

641

6,801

FirstMerit Corp.

9,999

171,283

FNB Corp.

10,518

84,460

German American Bancorp, Inc.

875

13,387

Glacier Bancorp, Inc.

6,417

94,137

Great Southern Bancorp, Inc.

940

19,091

Green Bankshares, Inc.*

1,097

14,009

Hancock Holding Co.

2,597

86,636

Hanmi Financial Corp.*

4,749

5,984

 

 

 

Equity Securities - Cont'd

Shares

Value

Commercial Banks - Cont'd

 

 

Heartland Financial USA, Inc.

1,017

$17,574

Heritage Financial Corp.*

706

10,569

Home Bancorp, Inc.*

705

9,102

Home Bancshares, Inc.

2,037

46,464

Hudson Valley Holding Corp.

1,105

25,548

IBERIABANK Corp.

2,482

127,773

Independent Bank Corp.

1,965

48,496

International Bancshares Corp.

4,825

80,529

Investors Bancorp, Inc.*

4,456

58,463

Lakeland Bancorp, Inc.

1,608

13,700

Lakeland Financial Corp.

1,495

29,870

MainSource Financial Group, Inc.

1,480

10,612

MB Financial, Inc.

4,913

90,350

Merchants Bancshares, Inc.

377

8,377

Metro Bancorp, Inc.*

1,253

15,462

Midsouth Bancorp, Inc.

362

4,623

MidWestOne Financial Group, Inc.

640

9,907

Nara Bancorp, Inc.*

3,522

29,690

National Bankshares, Inc.

547

13,254

National Penn Bancshares, Inc.:

 

 

     Common Stock

11,594

69,680

     Fractional Shares (b)*

25,000

5

NBT Bancorp, Inc.

3,159

64,507

Northfield Bancorp, Inc.

1,332

17,289

Old National Bancorp

7,956

82,424

OmniAmerican Bancorp, Inc.*

800

9,032

Oriental Financial Group, Inc.

3,066

38,816

Orrstown Financial Services, Inc.

623

13,787

Pacific Continental Corp.

1,250

11,837

PacWest Bancorp

2,850

52,183

Park National Corp.

1,159

75,381

Peapack Gladstone Financial Corp.

695

8,132

Penns Woods Bancorp, Inc.

303

9,217

Peoples Bancorp, Inc.

821

11,904

Pinnacle Financial Partners, Inc.*

3,095

39,771

Porter Bancorp, Inc.

221

2,789

PrivateBancorp, Inc.

4,859

53,838

Prosperity Bancshares, Inc.

4,326

150,328

Renasant Corp.

1,956

28,069

Republic Bancorp, Inc.

737

16,509

S&T Bancorp, Inc.

2,297

45,389

Sandy Spring Bancorp, Inc.

2,226

31,186

Santander BanCorp*

334

4,222

SCBT Financial Corp.

1,184

41,700

Sierra Bancorp

592

6,808

Signature Bank*

3,795

144,248

Simmons First National Corp.

1,595

41,885

Southside Bancshares, Inc.

1,466

28,799

Southwest Bancorp, Inc.

1,564

20,786

State Bancorp, Inc.

1,141

10,840

StellarOne Corp.

2,119

27,060

Sterling BanCorp.

2,058

18,522

 

 

 

Equity Securities - Cont'd

Shares

Value

Commercial Banks - Cont'd

 

 

Sterling Bancshares, Inc.

7,893

$37,176

Suffolk Bancorp

896

27,722

Sun Bancorp, Inc.*

1

3

Susquehanna Bancshares, Inc.

11,963

99,652

SVB Financial Group*

3,873

159,684

SY Bancorp, Inc.

1,099

25,255

Taylor Capital Group, Inc.*

889

11,504

Texas Capital Bancshares, Inc.*

3,390

55,596

Tompkins Financial Corp.

627

23,669

Tower Bancorp, Inc.

521

11,405

TowneBank

2,180

31,654

Trico Bancshares

1,295

21,924

Trustmark Corp.

5,926

123,379

UMB Financial Corp.

2,880

102,413

Umpqua Holdings Corp.

10,625

121,975

Union First Market Bankshares Corp.

1,985

24,336

United Bankshares, Inc.

3,536

84,652

United Community Banks, Inc.*

8,743

34,535

Univest Corp. of Pennsylvania

1,295

22,429

Virginia Commerce Bancorp, Inc.*

1,862

11,638

Washington Banking Co.

1,053

13,468

Washington Trust Bancorp, Inc.

1,077

18,352

Webster Financial Corp.

6,098

109,398

WesBanco, Inc.

2,140

36,059

West Bancorporation, Inc.*

1,387

9,445

West Coast Bancorp

8,697

22,177

Westamerica Bancorporation

2,721

142,907

Western Alliance Bancorp*

5,456

39,120

Whitney Holding Corp.

8,951

82,797

Wilshire Bancorp, Inc.

1,534

13,422

Wintrust Financial Corp.

2,770

92,352

 

 

5,328,193

 

 

 

Commercial Services & Supplies - 2.5%

 

 

ABM Industries, Inc.

4,817

100,916

ACCO Brands Corp.*

5,085

25,374

American Reprographics Co.*

3,413

29,795

APAC Customer Services, Inc.*

2,952

16,826

ATC Technology Corp.*

1,864

30,048

Bowne & Co., Inc.

3,721

41,750

Brink's Co.

4,444

84,569

Casella Waste Systems, Inc.*

2,315

8,843

Cenveo, Inc.*

5,105

27,975

Clean Harbors, Inc.*

2,141

142,184

Compx International, Inc.

107

1,054

Consolidated Graphics, Inc.*

865

37,403

Cornell Co.'s, Inc.*

1,059

28,455

Courier Corp.

832

10,159

Deluxe Corp.

4,701

88,144

EnergySolutions, Inc.

8,212

41,799

EnerNOC, Inc.*

1,828

57,472

Ennis, Inc.

2,403

36,069

 

 

 

Equity Securities - Cont'd

Shares

Value

Commercial Services & Supplies - Cont'd

 

 

Fuel Tech, Inc.*

1,212

$7,660

G&K Services, Inc.

1,723

35,580

GEO Group, Inc.:

 

 

     Common Stock*

4,710

97,733

     Escrow (b)*

100,000

12

Healthcare Services Group

4,062

76,975

Herman Miller, Inc.

5,220

98,501

HNI Corp.

4,196

115,768

Innerworkings, Inc.*

1,691

11,550

Interface, Inc.

4,683

50,295

Kimball International, Inc., Class B

2,210

12,221

Knoll, Inc.

4,334

57,599

M&F Worldwide Corp.*

985

26,694

Mcgrath Rentcorp

2,219

50,549

Metalico, Inc.*

2,546

10,133

Mine Safety Appliances Co.

2,429

60,191

Mobile Mini, Inc.*

3,375

54,945

Multi-Color Corp.

757

7,752

North American Galvanizing & Coating, Inc.*

1,004

7,701

Rollins, Inc.

4,070

84,208

Schawk, Inc.

1,200

17,940

Standard Parking Corp.*

1,439

22,779

Standard Register Co.

1,196

3,755

Steelcase, Inc.

7,107

55,079

SYKES Enterprises, Inc.*

3,830

54,501

Team, Inc.*

1,759

22,955

Tetra Tech, Inc.*

5,727

112,306

United Stationers, Inc.*

2,246

122,340

US Ecology, Inc.

1,699

24,754

Viad Corp.

1,906

33,641

Waste Services, Inc.*

2,509

29,255

 

 

2,174,207

 

 

 

Communications Equipment - 2.6%

 

 

Acme Packet, Inc.*

4,062

109,187

ADC Telecommunications, Inc.*

8,829

65,423

Adtran, Inc.

5,767

157,266

Anaren, Inc.*

1,364

20,378

Arris Group, Inc.*

11,767

119,906

Aruba Networks, Inc.*

6,796

96,775

Aviat Networks, Inc.*

5,538

20,103

Bel Fuse, Inc., Class B

968

15,982

BigBand Networks, Inc.*

4,631

13,986

Black Box Corp.

1,628

45,405

Blue Coat Systems, Inc.*

3,832

78,288

Calix, Inc.*

689

7,069

Comtech Telecommunications Corp.*

2,569

76,890

DG FastChannel, Inc.*

2,279

74,250

Digi International, Inc.*

2,313

19,129

EMS Technologies, Inc.*

1,420

21,328

Emulex Corp.*

7,609

69,851

Extreme Networks*

6,916

18,673

 

 

 

Equity Securities - Cont'd

Shares

Value

Communications Equipment - Cont'd

 

 

Finisar Corp.*

6,989

$104,136

Globecomm Systems, Inc.*

1,607

13,258

Harmonic, Inc.*

8,993

48,922

Hughes Communications, Inc.*

684

16,642

Infinera Corp.*

8,159

52,462

InterDigital, Inc.*

3,994

98,612

Ixia*

3,032

26,045

KVH Industries, Inc.*

1,103

13,699

Loral Space & Communications, Inc.*

1,001

42,763

Meru Networks, Inc.*

500

5,930

Netgear, Inc.*

3,156

56,303

Network Engines, Inc.*

3,343

9,060

Network Equipment Technologies, Inc.*

2,304

8,041

Occam Networks, Inc.*

1,165

6,477

Oclaro, Inc.*

4,583

50,825

Oplink Communications, Inc.*

1,947

27,900

Opnext, Inc.*

1,520

2,508

Palm, Inc.*

15,284

86,966

PC-Tel, Inc.*

1,456

7,338

Plantronics, Inc.

4,372

125,039

Powerwave Technologies, Inc.*

10,470

16,124

Riverbed Technology, Inc.*

5,851

161,605

Seachange International, Inc.*

2,460

20,246

ShoreTel, Inc.*

4,177

19,381

Sonus Networks, Inc.*

19,317

52,349

Sycamore Networks, Inc.

1,791

29,766

Symmetricom, Inc.*

4,071

20,721

Tekelec*

6,155

81,492

Utstarcom, Inc.*

8,802

16,196

Viasat, Inc.*

3,054

99,438

 

 

2,350,133

 

 

 

Computers & Peripherals - 0.8%

 

 

3PAR, Inc.*

3,617

33,674

ADPT Corp.*

7,530

21,762

Avid Technology, Inc.*

2,696

34,320

Compellent Technologies, Inc.*

2,162

26,203

Cray, Inc.*

3,293

18,375

Electronics for Imaging, Inc.*

4,201

40,960

Hutchinson Technology, Inc.*

2,168

9,387

Hypercom Corp.*

4,276

19,841

Imation Corp.*

2,763

25,392

Immersion Corp.*

2,323

11,754

Intermec, Inc.*

4,534

46,473

Intevac, Inc.*

2,067

22,055

Isilon Systems, Inc.*

2,476

31,792

Netezza Corp.*

4,729

64,693

Novatel Wireless, Inc.*

2,900

16,646

Presstek, Inc.*

2,546

8,987

Quantum Corp.*

19,885

37,384

Rimage Corp.*

646

10,226

Silicon Graphics International Corp.*

2,362

16,723

 

 

 

Equity Securities - Cont'd

Shares

Value

Computers & Peripherals - Cont'd

 

 

STEC, Inc.*

3,780

$47,477

Stratasys, Inc.*

1,903

46,738

Super Micro Computer, Inc.*

2,266

30,591

Synaptics, Inc.*

3,137

86,267

Xyratex Ltd.*

2,797

39,578

 

 

747,298

 

 

 

Construction & Engineering - 0.8%

 

 

Argan, Inc.*

585

6,102

Comfort Systems USA, Inc.

3,528

34,080

Dycom Industries, Inc.*

3,587

30,669

EMCOR Group, Inc.*

6,153

142,565

Furmanite Corp.*

2,902

11,521

Granite Construction, Inc.

3,174

74,843

Great Lakes Dredge & Dock Corp.

5,434

32,604

Insituform Technologies, Inc.*

3,551

72,725

Layne Christensen Co.*

1,815

44,050

MasTec, Inc.*

4,918

46,229

Michael Baker Corp.*

734

25,617

MYR Group, Inc.*

1,845

30,793

Northwest Pipe Co.*

689

13,091

Orion Marine Group, Inc.*

2,494

35,415

Pike Electric Corp.*

1,145

10,786

Primoris Services Corp.

1,880

11,844

Sterling Construction Co., Inc.*

1,494

19,332

Tutor Perini Corp.*

2,476

40,804

 

 

683,070

 

 

 

Construction Materials - 0.1%

 

 

Headwaters, Inc.*

4,636

13,166

Texas Industries, Inc.

1,930

57,012

United States Lime & Minerals, Inc.*

143

5,509

 

 

75,687

 

 

 

Consumer Finance - 0.6%

 

 

Advance America Cash Advance Centers, Inc.

5,101

21,067

Cardtronics, Inc.*

2,501

32,413

Cash America International, Inc.

2,721

93,249

CompuCredit Holdings Corp.

1,284

5,084

Credit Acceptance Corp.*

590

28,774

Dollar Financial Corp.*

2,258

44,686

Ezcorp, Inc.*

4,200

77,910

First Cash Financial Services, Inc.*

2,795

60,931

First Marblehead Corp.*

4,239

9,962

Nelnet, Inc.

2,449

47,217

Student Loan Corp.

371

8,934

World Acceptance Corp.*

1,523

58,346

 

 

488,573

 

 

 

Equity Securities - Cont'd

Shares

Value

Containers & Packaging - 0.5%

 

 

AEP Industries, Inc.*

367

$8,764

Boise, Inc.*

6,504

35,707

Graham Packaging Co., Inc.*

1,590

19,032

Graphic Packaging Holding Co.*

10,415

32,807

Myers Industries, Inc.

3,276

26,503

Rock-Tenn Co.

3,614

179,508

Silgan Holdings, Inc.

5,008

142,127

 

 

444,448

 

 

 

Distributors - 0.0%

 

 

Audiovox Corp.*

1,390

10,217

Core-Mark Holding Co., Inc.*

993

27,208

 

 

37,425

 

 

 

Diversified Consumer Services - 1.2%

 

 

American Public Education, Inc.*

1,674

73,154

Bridgepoint Education, Inc.*

1,808

28,584

Cambium Learning Group, Inc.*

1,538

5,537

Capella Education Co.*

1,556

126,581

Coinstar, Inc.*

2,943

126,461

Corinthian Colleges, Inc.*

8,177

80,543

CPI Corp.

396

8,878

Grand Canyon Education, Inc.*

2,875

67,361

K12, Inc.*

2,331

51,702

Learning Tree International, Inc.*

519

5,631

Lincoln Educational Services Corp.*

1,525

31,400

Mac-Gray Corp.

905

10,082

Matthews International Corp.

2,795

81,838

National American University Holdings, Inc.

724

6,306

Pre-Paid Legal Services, Inc.*

697

31,707

Princeton Review, Inc.*

1,065

2,471

Regis Corp.

5,285

82,287

Sotheby's

6,220

142,251

Steiner Leisure Ltd.*

1,376

52,893

Stewart Enterprises, Inc.

7,552

40,856

Universal Technical Institute, Inc.*

1,954

46,193

 

 

1,102,716

 

 

 

Diversified Financial Services - 0.5%

 

 

Asset Acceptance Capital Corp.*

1,189

4,922

Asta Funding, Inc.

981

9,683

California First National Bancorp

145

1,789

Compass Diversified Holdings

3,070

41,169

Encore Capital Group, Inc.*

1,293

26,649

Life Partners Holdings, Inc.

591

12,092

MarketAxess Holdings, Inc.

2,439

33,634

Marlin Business Services Corp.*

795

9,612

Medallion Financial Corp.

1,184

7,814

NewStar Financial, Inc.*

1,906

12,122

PHH Corp.*

5,012

95,429

Pico Holdings, Inc.*

2,057

61,648

 

 

 

Equity Securities - Cont'd

Shares

Value

Diversified Financial Services - Cont'd

 

 

Portfolio Recovery Associates, Inc.*

1,548

$103,375

Primus Guaranty Ltd.*

1,277

4,712

THL Credit, Inc.*

836

9,614

 

 

434,264

 

 

 

Diversified Telecommunication Services - 0.7%

 

 

AboveNet, Inc.*

2,089

98,559

Alaska Communications Systems Group, Inc.

4,135

35,106

Atlantic Tele-Network, Inc.

865

35,724

Cbeyond, Inc.*

2,488

31,100

Cincinnati Bell, Inc.*

18,664

56,179

Cogent Communications Group, Inc.*

4,162

31,548

Consolidated Communications Holdings, Inc.

2,311

39,310

General Communication, Inc.*

4,412

33,487

Global Crossing Ltd.*

2,798

29,575

Globalstar, Inc.*

6,474

9,970

IDT Corp., Class B*

1,313

16,741

Iridium Communications, Inc.*

3,161

31,736

Neutral Tandem, Inc.*

3,066

34,493

PAETEC Holding Corp.*

11,681

39,832

Premiere Global Services, Inc.*

5,570

35,314

Vonage Holdings Corp.*

9,764

22,457

 

 

581,131

 

 

 

Electric Utilities - 1.2%

 

 

Allete, Inc.

2,885

98,782

Central Vermont Public Service Corp.

1,112

21,951

Cleco Corp.

5,631

148,715

El Paso Electric Co.*

4,115

79,625

Empire District Electric Co.

3,501

65,714

IDACORP, Inc.

4,463

148,484

MGE Energy, Inc.

2,100

75,684

PNM Resources, Inc.

7,986

89,284

Portland General Electric Co.

6,985

128,035

UIL Holdings Corp.

2,681

67,105

Unisource Energy Corp.

3,270

98,689

Unitil Corp.

1,008

21,077

 

 

1,043,145

 

 

 

Electrical Equipment - 1.8%

 

 

A123 Systems, Inc.*

6,738

63,539

Acuity Brands, Inc.

4,036

146,830

Advanced Battery Technologies, Inc.*

4,271

14,009

American Superconductor Corp.*

4,162

111,084

AZZ, Inc.

1,153

42,396

Baldor Electric Co.

4,344

156,732

Belden, Inc.

4,267

93,874

Brady Corp.

4,532

112,937

Broadwind Energy, Inc.*

8,589

24,049

Capstone Turbine Corp.*

22,313

21,867

Coleman Cable, Inc.*

735

4,145

Encore Wire Corp.

1,717

31,232

Ener1, Inc.*

5,656

19,117

 

 

 

Equity Securities - Cont'd

Shares

Value

Electrical Equipment - Cont'd

 

 

Energy Conversion Devices, Inc.*

3,308

$13,563

EnerSys*

4,479

95,716

Franklin Electric Co., Inc.

2,133

61,473

FuelCell Energy, Inc.*

5,465

6,449

Generac Holdings, Inc.*

1,792

25,106

GrafTech International Ltd.*

11,173

163,349

GT Solar International, Inc.*

5,791

32,430

Hoku Corp.*

1,588

5,304

II-VI, Inc.*

2,310

68,445

LaBarge, Inc.*

972

11,091

LSI Industries, Inc.

1,507

7,354

Polypore International, Inc.*

2,019

45,912

Powell Industries, Inc.*

820

22,419

PowerSecure International, Inc.*

1,349

12,262

Preformed Line Products Co.

155

4,332

SatCon Technology Corp.*

5,405

15,458

UQM Technologies, Inc.*

3,345

11,340

Vicor Corp.*

1,546

19,310

Woodward Governor Co.

5,655

144,372

 

 

1,607,496

 

 

 

Electronic Equipment & Instruments - 2.3%

 

 

Agilysys, Inc.

1,051

7,031

Anixter International, Inc.*

2,671

113,785

Bell Microproducts, Inc.*

3,010

21,010

Benchmark Electronics, Inc.*

5,813

92,136

Brightpoint, Inc.*

6,537

45,759

Checkpoint Systems, Inc.*

3,536

61,385

Cogent, Inc.*

4,872

43,897

Cognex Corp.

3,669

64,501

Coherent, Inc.*

2,345

80,433

Comverge, Inc.*

2,333

20,904

CPI International, Inc.*

510

7,951

CTS Corp.

3,153

29,134

Daktronics, Inc.

3,140

23,550

DDi Corp.

1,132

8,524

DTS, Inc.*

1,614

53,052

Echelon Corp.*

3,061

22,437

Electro Rent Corp.

1,223

15,642

Electro Scientific Industries, Inc.*

2,567

34,295

Evergreen Solar, Inc.*

12,957

8,837

FARO Technologies, Inc.*

1,289

24,117

Gerber Scientific, Inc.*

2,334

12,487

ICx Technologies, Inc.*

1,092

7,972

Insight Enterprises, Inc.*

4,289

56,443

IPG Photonics Corp.*

2,410

36,704

Keithley Instruments, Inc.

1,042

9,201

L-1 Identity Solutions, Inc.*

7,126

58,362

Littelfuse, Inc.*

2,010

63,536

Maxwell Technologies, Inc.*

2,451

27,941

Measurement Specialties, Inc.*

1,150

15,755

Mercury Computer Systems, Inc.*

2,197

25,771

Methode Electronics, Inc.

3,455

33,652

 

 

 

Equity Securities - Cont'd

Shares

Value

Electronic Equipment & Instruments - Cont'd

 

 

Microvision, Inc.*

8,234

$24,373

MTS Systems Corp.

1,517

43,993

Multi-Fineline Electronix, Inc.*

971

24,236

Newport Corp.*

3,403

30,831

OSI Systems, Inc.*

1,503

41,738

Park Electrochemical Corp.

1,908

46,574

PC Connection, Inc.*

756

4,581

Plexus Corp.*

3,745

100,141

Power-One, Inc.*

5,945

40,129

Radisys Corp.*

1,788

17,022

Richardson Electronics Ltd.

1,342

12,078

Rofin-Sinar Technologies, Inc.*

2,907

60,524

Rogers Corp.*

1,464

40,655

Sanmina-SCI Corp.*

7,377

100,401

Scansource, Inc.*

2,437

60,754

Smart Modular Technologies WWH, Inc.*

4,876

28,525

Spectrum Control, Inc.*

993

13,882

SYNNEX Corp.*

2,082

53,341

Technitrol, Inc.

2,828

8,936

Tessco Technologies, Inc.

465

7,766

TTM Technologies, Inc.*

7,426

70,547

Universal Display Corp.*

2,794

50,236

Viasystems Group, Inc.*

399

5,893

X-Rite, Inc.*

2,048

7,557

Zygo Corp.*

1,269

10,292

 

 

2,031,209

 

 

 

Energy Equipment & Services - 1.7%

 

 

Allis-Chalmers Energy, Inc.*

4,233

8,720

Basic Energy Services, Inc.*

1,787

13,760

Boots & Coots, Inc.*

6,175

18,216

Bristow Group, Inc.*

3,316

97,490

Cal Dive International, Inc.*

8,741

51,135

CARBO Ceramics, Inc.

1,726

124,600

Complete Production Services, Inc.*

7,214

103,160

Dawson Geophysical Co.*

533

11,337

Dril-Quip, Inc.*

3,151

138,707

Global Geophysical Services, Inc.*

696

4,851

Global Industries Ltd.*

9,404

42,224

Gulf Island Fabrication, Inc.

1,328

20,611

Gulfmark Offshore, Inc.*

2,160

56,592

Helix Energy Solutions Group, Inc.*

9,702

104,490

Hercules Offshore, Inc.*

10,648

25,875

Hornbeck Offshore Services, Inc.*

2,157

31,492

ION Geophysical Corp.*

11,755

40,907

Key Energy Services, Inc.*

11,425

104,881

Lufkin Industries, Inc.

2,728

106,365

Matrix Service Co.*

2,442

22,735

Natural Gas Services Group, Inc.*

835

12,634

Newpark Resources*

8,257

49,955

OYO Geospace Corp.*

325

15,756

Parker Drilling Co.*

10,764

42,518

 

 

 

Equity Securities - Cont'd

Shares

Value

Energy Equipment & Services - Cont'd

 

 

PHI, Inc.*

1,229

$17,317

Pioneer Drilling Co.*

5,021

28,469

RPC, Inc.

2,678

36,555

Seahawk Drilling, Inc.*

995

9,671

Superior Well Services, Inc.*

2,108

35,246

T-3 Energy Services, Inc.*

1,213

33,843

Tesco Corp.*

2,801

34,396

Tetra Technologies, Inc.*

6,887

62,534

Union Drilling, Inc.*

688

3,791

Vantage Drilling Co.*

11,538

15,576

Willbros Group, Inc.*

3,682

27,247

 

 

1,553,656

 

 

 

Food & Staples Retailing - 0.9%

 

 

Andersons, Inc.

1,707

55,631

Arden Group, Inc.

92

8,084

Casey's General Stores, Inc.

4,724

164,868

Great Atlantic & Pacific Tea Co.*

2,321

9,052

Ingles Markets, Inc.

1,002

15,080

Nash Finch Co.

1,166

39,831

Pantry, Inc.*

2,107

29,730

Pricesmart, Inc.

1,466

34,055

Rite Aid Corp.*

51,725

50,690

Ruddick Corp.

4,069

126,098

Spartan Stores, Inc.

2,089

28,661

Susser Holdings Corp.*

620

7,310

United Natural Foods, Inc.*

4,008

119,759

Village Super Market, Inc.

430

11,288

Weis Markets, Inc.

1,021

33,601

Winn-Dixie Stores, Inc.*

5,111

49,270

 

 

783,008

 

 

 

Food Products - 1.4%

 

 

Alico, Inc.

267

6,136

American Italian Pasta Co.*

2,019

106,745

B&G Foods, Inc.

4,419

47,637

Bridgford Foods Corp.

165

2,310

Calavo Growers, Inc.

1,019

18,301

Cal-Maine Foods, Inc.

1,306

41,701

Chiquita Brands International, Inc.*

4,164

50,593

Darling International, Inc.*

7,620

57,226

Diamond Foods, Inc.

2,006

82,447

Dole Food Co., Inc.*

3,332

34,753

Farmer Bros Co.

538

8,118

Fresh Del Monte Produce, Inc.*

3,730

75,495

Griffin Land & Nurseries, Inc.

267

6,782

Hain Celestial Group, Inc.*

3,743

75,496

Harbinger Group, Inc.*

714

4,484

Imperial Sugar Co.

949

9,585

J&J Snack Foods Corp.

1,317

55,446

John B. Sanfilippo & Son, Inc.*

733

10,606

Lancaster Colony Corp.

1,770

94,447

 

 

 

Equity Securities - Cont'd

Shares

Value

Food Products - Cont'd

 

 

Lance, Inc.

2,399

$39,559

Lifeway Foods, Inc.*

385

3,750

Limoneira Co.

753

16,385

Pilgrim's Pride Corp.*

4,513

29,650

Sanderson Farms, Inc.

2,089

105,996

Seneca Foods Corp.*

650

20,969

Smart Balance, Inc.*

4,820

19,714

Synutra International, Inc.*

1,669

26,988

Tootsie Roll Industries, Inc.

2,230

52,739

TreeHouse Foods, Inc.*

3,226

147,299

 

 

1,251,357

 

 

 

Gas Utilities - 1.2%

 

 

Chesapeake Utilities Corp.

878

27,569

Laclede Group, Inc.

2,015

66,757

New Jersey Resources Corp.

3,759

132,317

Nicor, Inc.

4,201

170,141

Northwest Natural Gas Co.

2,441

106,354

Piedmont Natural Gas Co., Inc.

6,567

166,145

South Jersey Industries, Inc.

2,772

119,085

Southwest Gas Corp.

4,210

124,195

WGL Holdings, Inc.

4,699

159,907

 

 

1,072,470

 

 

 

Health Care Equipment & Supplies - 3.8%

 

 

Abaxis, Inc.*

2,049

43,910

Abiomed, Inc.*

2,900

28,072

Accuray, Inc.*

4,743

31,446

AGA Medical Holdings, Inc.*

952

12,081

Align Technology, Inc.*

5,369

79,837

Alimera Sciences, Inc.*

608

4,524

Alphatec Holdings, Inc.*

4,714

21,873

American Medical Systems Holdings, Inc.*

6,994

154,707

Analogic Corp.

1,196

54,430

Angiodynamics, Inc.*

2,294

33,836

Antares Pharma, Inc.*

6,536

11,503

Arthrocare Corp.*

2,501

76,656

Atrion Corp.

120

16,206

ATS Medical, Inc.*

3,743

14,860

Cantel Medical Corp.

1,194

19,940

Cerus Corp.*

3,610

11,408

Conceptus, Inc.*

2,879

44,855

Conmed Corp.*

2,708

50,450

CryoLife, Inc.*

2,218

11,955

Cutera, Inc.*

1,050

9,671

Cyberonics, Inc.*

2,578

61,047

Cynosure, Inc.*

762

8,207

Delcath Systems, Inc.*

3,459

21,930

DexCom, Inc.*

5,330

61,615

DynaVox, Inc.*

869

13,913

Endologix, Inc.*

4,516

20,457

 

 

 

Equity Securities - Cont'd

Shares

Value

Health Care Equipment & Supplies - Cont'd

 

 

ev3, Inc.*

7,708

$172,736

Exactech, Inc.*

562

9,599

Greatbatch, Inc.*

2,155

48,078

Haemonetics Corp.*

2,286

122,347

Hansen Medical, Inc.*

3,943

8,399

HealthTronics, Inc.*

4,234

20,450

HeartWare International, Inc.*

868

60,821

ICU Medical, Inc.*

1,085

34,904

Immucor, Inc.*

6,282

119,672

Insulet Corp.*

3,521

52,991

Integra LifeSciences Holdings Corp.*

1,951

72,187

Invacare Corp.

2,647

54,899

IRIS International, Inc.*

1,248

12,655

Kensey Nash Corp.*

576

13,657

MAKO Surgical Corp.*

2,369

29,494

Masimo Corp.

4,637

110,407

Medical Action Industries, Inc.*

1,125

13,489

MELA Sciences, Inc.*

2,137

15,899

Meridian Bioscience, Inc.

3,695

62,815

Merit Medical Systems, Inc.*

2,615

42,023

Micrus Endovascular Corp.*

1,499

31,164

Natus Medical, Inc.*

2,643

43,054

Neogen Corp.*

2,093

54,523

NuVasive, Inc.*

3,632

128,791

NxStage Medical, Inc.*

2,304

34,191

OraSure Technologies, Inc.*

3,551

16,441

Orthofix International NV*

1,634

52,370

Orthovita, Inc.*

4,562

9,261

Palomar Medical Technologies, Inc.*

1,454

16,270

Quidel Corp.*

1,982

25,152

Rochester Medical Corp.*

791

7,475

RTI Biologics, Inc.*

4,061

11,899

SenoRx, Inc.*

1,547

16,986

Sirona Dental Systems, Inc.*

3,106

108,213

Solta Medical, Inc.*

5,509

10,467

Somanetics Corp.*

1,109

27,670

SonoSite, Inc.*

1,353

36,680

Spectranetics Corp.*

2,522

13,064

Staar Surgical Co.*

3,235

18,504

Stereotaxis, Inc.*

2,011

6,656

STERIS Corp.

5,499

170,909

SurModics, Inc.*

1,615

26,502

Symmetry Medical, Inc.*

3,336

35,161

Syneron Medical Ltd.*

3,302

33,945

Synovis Life Technologies, Inc.*

796

12,163

TomoTherapy, Inc.*

3,263

10,376

Unilife Corp.*

4,489

26,126

Vascular Solutions, Inc.*

1,278

15,975

Volcano Corp.*

4,664

101,768

West Pharmaceutical Services, Inc.

3,086

112,608

Wright Medical Group, Inc.*

3,602

59,829

 

 

 

Equity Securities - Cont'd

Shares

Value

Health Care Equipment & Supplies - Cont'd

 

 

Young Innovations, Inc.

430

$12,104

Zoll Medical Corp.*

1,989

53,902

 

 

3,337,110

 

 

 

Health Care Providers & Services - 3.5%

 

 

Accretive Health, Inc.*

1,078

14,262

Air Methods Corp.*

1,036

30,821

Alliance Imaging, Inc.*

1,964

7,935

Allied Healthcare International, Inc.*

3,553

8,243

Almost Family, Inc.*

759

26,512

Amedisys, Inc.*

2,650

116,522

America Service Group, Inc.

652

11,214

American Dental Partners, Inc.*

1,459

17,668

AMERIGROUP Corp.*

4,724

153,436

AMN Healthcare Services, Inc.*

3,041

22,747

AmSurg Corp.*

2,869

51,126

Assisted Living Concepts, Inc.*

912

26,986

Bio-Reference Laboratories, Inc.*

2,223

49,284

BioScrip, Inc.*

3,630

19,021

Capital Senior Living Corp.*

1,797

8,931

CardioNet, Inc.*

1,876

10,280

Catalyst Health Solutions, Inc.*

3,523

121,545

Centene Corp.*

4,433

95,310

Chemed Corp.

2,119

115,782

Chindex International, Inc.*

1,272

15,938

Clarient, Inc.*

5,103

15,717

Continucare Corp.*

2,312

7,745

Corvel Corp.*

646

21,828

Cross Country Healthcare, Inc.*

2,877

25,864

Emeritus Corp.*

1,852

30,206

Ensign Group, Inc.

1,328

21,939

Five Star Quality Care, Inc.*

2,929

8,846

Genoptix, Inc.*

1,625

27,950

Gentiva Health Services, Inc.*

2,640

71,306

Hanger Orthopedic Group, Inc.*

2,418

43,427

Health Grades, Inc.*

1,877

11,262

Healthsouth Corp.*

8,684

162,478

HealthSpring, Inc.*

5,377

83,397

Healthways, Inc.*

3,165

37,727

HMS Holdings Corp.*

2,519

136,580

inVentiv Health, Inc.*

3,102

79,411

IPC The Hospitalist Co., Inc.*

1,506

37,801

Kindred Healthcare, Inc.*

3,664

47,046

Landauer, Inc.

871

53,026

LCA-Vision, Inc.*

1,300

7,202

LHC Group, Inc.*

1,450

40,238

Magellan Health Services, Inc.*

3,093

112,338

Medcath Corp.*

1,904

14,965

Metropolitan Health Networks, Inc.*

3,191

11,902

Molina Healthcare, Inc.*

1,218

35,078

MWI Veterinary Supply, Inc.*

1,139

57,246

 

 

 

Equity Securities - Cont'd

Shares

Value

Health Care Providers & Services - Cont'd

 

 

National Healthcare Corp.

833

$28,705

National Research Corp.

137

3,303

Odyssey HealthCare, Inc.*

3,022

80,748

Owens & Minor, Inc.

5,855

166,165

PDI, Inc.*

823

6,814

PharMerica Corp.*

2,844

41,693

Prospect Medical Holdings, Inc.*

889

5,378

Providence Service Corp.*

1,199

16,786

PSS World Medical, Inc.*

5,316

112,433

Psychiatric Solutions, Inc.*

5,305

173,580

RehabCare Group, Inc.*

2,248

48,961

Res-Care, Inc.*

2,341

22,614

Rural/Metro Corp.*

1,772

14,424

Select Medical Holdings Corp.*

4,662

31,608

Skilled Healthcare Group, Inc.*

1,394

9,465

Sun Healthcare Group, Inc.*

4,045

32,684

Sunrise Senior Living, Inc.*

5,182

14,406

Team Health Holdings, Inc.*

1,422

18,372

Triple-S Management Corp., Class B*

1,883

34,930

U.S. Physical Therapy, Inc.*

799

13,487

Universal American Corp.*

2,968

42,739

Virtual Radiologic Corp.*

557

9,558

WellCare Health Plans, Inc.*

3,903

92,657

 

 

3,147,598

 

 

 

Health Care Technology - 0.6%

 

 

athenahealth, Inc.*

3,079

80,454

Computer Programs & Systems, Inc.

909

37,196

Eclipsys Corp.*

5,171

92,251

MedAssets, Inc.*

3,994

92,182

Medidata Solutions, Inc.*

1,745

27,030

MedQuist, Inc.

724

5,727

Merge Healthcare, Inc.*

4,792

14,041

Omnicell, Inc.*

3,018

35,280

Phase Forward, Inc.*

3,700

61,716

Quality Systems, Inc.

1,751

101,540

Transcend Services, Inc.*

495

6,682

Vital Images, Inc.*

1,341

17,098

 

 

571,197

 

 

 

Hotels, Restaurants & Leisure - 2.3%

 

 

AFC Enterprises, Inc.*

2,372

21,585

Ambassadors Group, Inc.

1,770

19,983

Ameristar Casinos, Inc.

2,454

36,957

Biglari Holdings, Inc.*

133

38,158

BJ's Restaurants, Inc.*

2,085

49,206

Bluegreen Corp.*

1,023

3,079

Bob Evans Farms, Inc.

2,844

70,019

Boyd Gaming Corp.*

5,004

42,484

Buffalo Wild Wings, Inc.*

1,668

61,016

California Pizza Kitchen, Inc.*

1,791

27,134

 

 

 

Equity Securities - Cont'd

Shares

Value

Hotels, Restaurants & Leisure - Cont'd

 

 

Caribou Coffee Co., Inc.*

540

$5,114

Carrols Restaurant Group, Inc.*

890

4,067

CEC Entertainment, Inc.*

2,108

74,328

Cheesecake Factory, Inc.*

5,605

124,767

Churchill Downs, Inc.

1,055

34,604

CKE Restaurants, Inc.

5,125

64,216

Cracker Barrel Old Country Store, Inc.

2,211

102,944

Denny's Corp.*

9,207

23,938

DineEquity, Inc.*

1,663

46,431

Domino's Pizza, Inc.*

3,432

38,782

Einstein Noah Restaurant Group, Inc.*

351

3,787

Empire Resorts, Inc.*

2,353

3,835

Gaylord Entertainment Co.*

3,216

71,042

Interval Leisure Group, Inc.*

3,694

45,990

Isle of Capri Casinos, Inc.*

1,259

11,658

Jack in the Box, Inc.*

5,104

99,273

Jamba, Inc.*

5,515

11,747

Krispy Kreme Doughnuts, Inc.*

4,485

15,115

Landry's Restaurants, Inc.*

505

12,352

Life Time Fitness, Inc.*

3,874

123,155

Marcus Corp.

1,890

17,879

McCormick & Schmick's Seafood Restaurants, Inc.*

1,172

8,743

Monarch Casino & Resort, Inc.*

614

6,220

Morgans Hotel Group Co.*

1,503

9,259

Multimedia Games, Inc.*

2,104

9,468

O'Charleys, Inc.*

1,444

7,653

Orient-Express Hotels Ltd.*

8,315

61,531

Papa John's International, Inc.*

1,938

44,807

Peet's Coffee & Tea, Inc.*

1,088

42,726

PF Chang's China Bistro, Inc.

2,196

87,071

Pinnacle Entertainment, Inc.*

5,479

51,831

Red Lion Hotels Corp.*

1,051

6,275

Red Robin Gourmet Burgers, Inc.*

1,194

20,489

Ruby Tuesday, Inc.*

5,976

50,796

Ruth's Hospitality Group, Inc.*

2,158

9,020

Scientific Games Corp.*

6,034

55,513

Shuffle Master, Inc.*

4,972

39,826

Sonic Corp.*

5,676

43,989

Speedway Motorsports, Inc.

901

12,218

Texas Roadhouse, Inc.*

5,328

67,239

Vail Resorts, Inc.*

3,363

117,402

 

 

2,056,721

 

 

 

Household Durables - 0.7%

 

 

American Greetings Corp.

3,600

67,536

Beazer Homes USA, Inc.*

5,840

21,199

Blyth, Inc.

407

13,866

Brookfield Homes Corp.*

809

5,453

Cavco Industries, Inc.*

516

18,153

CSS Industries, Inc.

519

8,565

Ethan Allen Interiors, Inc.

2,288

32,009

 

 

 

Equity Securities - Cont'd

Shares

Value

Household Durables - Cont'd

 

 

Furniture Brands International, Inc.*

3,311

$17,283

Helen of Troy Ltd.*

2,758

60,841

Hooker Furniture Corp.

751

8,006

Hovnanian Enterprises, Inc.*

4,833

17,785

iRobot Corp.*

1,951

36,659

Kid Brands, Inc.*

1,165

8,190

La-Z-Boy, Inc.*

4,783

35,538

Libbey, Inc.*

1,500

19,470

Lifetime Brands, Inc.*

858

12,544

M/I Homes, Inc.*

1,414

13,631

Meritage Homes Corp.*

2,896

47,147

National Presto Industries, Inc.

445

41,323

Ryland Group, Inc.

3,953

62,536

Sealy Corp.*

3,443

9,193

Skyline Corp.

544

9,797

Standard Pacific Corp.*

9,920

33,034

Universal Electronics, Inc.*

1,267

21,070

 

 

620,828

 

 

 

Household Products - 0.2%

 

 

Cellu Tissue Holdings, Inc.*

560

4,351

Central Garden and Pet Co.*

5,254

47,128

Oil-Dri Corp. of America

406

9,318

Spectrum Brands Holdings, Inc.*

1,688

42,808

WD-40 Co.

1,539

51,403

 

 

155,008

 

 

 

Independent Power Producers & Energy Traders - 0.1%

 

 

American DG Energy, Inc.*

1,746

5,430

Dynegy, Inc.*

9,514

36,629

 

 

42,059

 

 

 

Industrial Conglomerates - 0.3%

 

 

Otter Tail Corp.

3,253

62,881

Raven Industries, Inc.

1,506

50,767

Seaboard Corp.

30

45,300

Standex International Corp.

1,158

29,355

Tredegar Corp.

2,270

37,046

United Capital Corp.*

143

3,491

 

 

228,840

 

 

 

Insurance - 2.8%

 

 

Alterra Capital Holdings Ltd.

8,938

167,856

AMBAC Financial Group, Inc.*

21,026

14,087

American Equity Investment Life Holding Co.

5,427

56,007

American Physicians Capital, Inc.

665

20,515

American Physicians Service Group, Inc.

503

12,298

American Safety Insurance Holdings Ltd.*

960

15,091

Amerisafe, Inc.*

1,748

30,677

Amtrust Financial Services, Inc.

2,071

24,935

Argo Group International Holdings Ltd.

2,811

85,988

 

 

 

Equity Securities - Cont'd

Shares

Value

Insurance - Cont'd

 

 

Baldwin & Lyons, Inc., Class B

563

$11,829

Citizens, Inc.*

3,380

22,511

CNA Surety Corp.*

1,640

26,355

CNO Financial Group, Inc.*

20,606

102,000

Crawford & Co., Class B*

1,432

4,525

Delphi Financial Group, Inc.

4,251

103,767

Donegal Group, Inc.

916

11,258

eHealth, Inc.*

2,183

24,821

EMC Insurance Group, Inc.

340

7,456

Employers Holdings, Inc.

4,059

59,789

Enstar Group Ltd.*

646

42,920

FBL Financial Group, Inc.

1,245

26,145

First American Financial Corp.

9,641

122,248

First Mercury Financial Corp.

986

10,432

Flagstone Reinsurance Holdings SA

4,832

52,282

Fpic Insurance Group, Inc.*

907

23,264

Gerova Financial Group Ltd.*

619

3,349

Greenlight Capital Re Ltd.*

2,601

65,519

Hallmark Financial Services*

726

7,224

Harleysville Group, Inc.

958

29,727

Hilltop Holdings, Inc.*

3,680

36,837

Horace Mann Educators Corp.

3,639

55,677

Infinity Property & Casualty Corp.

1,227

56,663

Kansas City Life Insurance Co.

365

10,793

Maiden Holdings Ltd.

4,605

30,255

Meadowbrook Insurance Group, Inc.

5,030

43,409

Montpelier Re Holdings Ltd.

6,528

97,463

National Financial Partners Corp.*

3,960

38,689

National Interstate Corp.

490

9,712

National Western Life Insurance Co.

204

31,163

Navigators Group, Inc.*

1,129

46,436

NYMAGIC, Inc.

377

7,272

Phoenix Co.'s, Inc.*

10,764

22,712

Platinum Underwriters Holdings Ltd.

4,180

151,692

PMA Capital Corp.*

2,532

16,585

Presidential Life Corp.

1,918

17,454

Primerica, Inc.*

2,233

47,875

ProAssurance Corp.*

2,966

168,350

RLI Corp.

1,707

89,635

Safety Insurance Group, Inc.

1,171

43,350

SeaBright Insurance Holdings, Inc.

2,042

19,358

Selective Insurance Group

4,841

71,937

State Auto Financial Corp.

1,338

20,752

Stewart Information Services Corp.

1,361

12,276

Tower Group, Inc.

3,754

80,824

United America Indemnity Ltd.*

2,728

20,078

United Fire & Casualty Co.

2,116

41,939

Universal Insurance Holdings, Inc.

1,043

4,360

 

 

2,478,421

 

 

 

Equity Securities - Cont'd

Shares

Value

Internet & Catalog Retail - 0.4%

 

 

1-800-FLOWERS.COM, Inc.*

2,081

$4,287

Blue Nile, Inc.*

1,171

55,131

Drugstore.Com*

8,610

26,519

Gaiam, Inc.

1,432

8,692

HSN, Inc.*

3,674

88,176

NutriSystem, Inc.

2,835

65,035

Orbitz Worldwide, Inc.*

2,514

9,578

Overstock.com, Inc.*

1,364

24,648

PetMed Express, Inc.

2,133

37,967

Shutterfly, Inc.*

2,492

59,708

US Auto Parts Network, Inc.*

778

4,668

Vitacost.com, Inc.*

1,333

11,984

 

 

396,393

 

 

 

Internet Software & Services - 1.8%

 

 

Ancestry.com, Inc.*

1,754

30,906

Archipelago Learning, Inc.*

1,088

12,436

Art Technology Group, Inc.*

14,569

49,826

comScore, Inc.*

2,103

34,636

Constant Contact, Inc.*

2,646

56,439

DealerTrack Holdings, Inc.*

3,740

61,523

Dice Holdings, Inc.*

1,136

7,861

Digital River, Inc.*

3,540

84,641

DivX, Inc.*

3,052

23,378

Earthlink, Inc.

9,665

76,933

GSI Commerce, Inc.*

5,764

166,003

Infospace, Inc.*

3,325

25,004

Internap Network Services Corp.*

4,018

16,755

Internet Brands, Inc.*

2,675

27,633

Internet Capital Group, Inc.*

3,382

25,703

j2 Global Communications, Inc.*

4,128

90,156

Keynote Systems, Inc.

1,035

9,336

KIT Digital, Inc.*

1,837

16,202

Knot, Inc.*

2,250

17,505

Limelight Networks, Inc.*

3,816

16,752

Liquidity Services, Inc.*

1,166

15,111

LivePerson, Inc.*

4,131

28,339

Local.com Corp.*

1,484

10,151

LogMeIn, Inc.*

1,397

36,643

LoopNet, Inc.*

1,590

19,605

Marchex, Inc., Class B

1,359

5,232

ModusLink Global Solutions, Inc.*

3,515

21,196

Move, Inc.*

14,470

29,665

NIC, Inc.

5,181

33,210

OpenTable, Inc.*

1,467

60,837

Openwave Systems, Inc.*

6,580

13,357

Perficient, Inc.*

1,973

17,579

QuinStreet, Inc.*

675

7,769

Rackspace Hosting, Inc.*

8,997

165,005

RealNetworks, Inc.*

7,768

25,634

Saba Software, Inc.*

1,942

10,001

SAVVIS, Inc.*

3,346

49,355

 

 

 

Equity Securities - Cont'd

Shares

Value

Internet Software & Services - Cont'd

 

 

Stamps.com, Inc.*

749

$7,677

Support.com, Inc.*

3,687

15,338

TechTarget, Inc.*

1,109

5,966

Terremark Worldwide, Inc.*

5,405

42,213

Travelzoo, Inc.*

438

5,422

United Online, Inc.

8,085

46,570

ValueClick, Inc.*

7,396

79,063

Vocus, Inc.*

1,554

23,745

Zix Corp.*

5,001

11,302

 

 

1,635,613

 

 

 

IT Services - 1.9%

 

 

Acxiom Corp.*

6,218

91,342

CACI International, Inc.*

2,806

119,199

Cass Information Systems, Inc.

780

26,715

Ciber, Inc.*

5,300

14,681

Computer Task Group, Inc.*

1,181

7,629

CSG Systems International, Inc.*

3,211

58,858

Cybersource Corp.*

6,588

168,192

Echo Global Logistics, Inc.*

987

12,051

Euronet Worldwide, Inc.*

4,549

58,182

ExlService Holdings, Inc.*

1,409

24,192

Forrester Research, Inc.*

1,353

40,942

Global Cash Access Holdings, Inc.*

4,679

33,736

Hackett Group, Inc.*

3,281

9,220

Heartland Payment Systems, Inc.

3,510

52,088

iGate Corp.

2,196

28,153

infoGROUP, Inc.*

3,604

28,760

Integral Systems, Inc.*

1,350

8,572

Lionbridge Technologies*

5,529

25,267

Mantech International Corp.*

2,006

85,395

MAXIMUS, Inc.

1,616

93,518

MoneyGram International, Inc.*

7,721

18,916

NCI, Inc.*

519

11,719

Online Resources Corp.*

1,746

7,246

RightNow Technologies, Inc.*

2,009

31,521

Sapient Corp.

9,563

96,969

SPS Commerce, Inc.*

437

5,078

SRA International, Inc.*

3,831

75,356

Stream Global Services, Inc.*

418

2,341

Syntel, Inc.

1,222

41,487

TeleTech Holdings, Inc.*

2,503

32,264

Tier Technologies, Inc., Class B*

1,385

8,421

TNS, Inc.*

2,418

42,170

Unisys Corp.*

3,903

72,166

VeriFone Holdings, Inc.*

7,928

150,077

Virtusa Corp.*

1,023

9,545

Wright Express Corp.*

3,599

106,890

 

 

1,698,858

 

 

 

Equity Securities - Cont'd

Shares

Value

Leisure Equipment & Products - 0.7%

 

 

Arctic Cat, Inc.*

1,125

$10,249

Brunswick Corp.

7,905

98,259

Callaway Golf Co.

5,975

36,089

Eastman Kodak Co.*

24,059

104,416

Jakks Pacific, Inc.*

2,589

37,230

Johnson Outdoors, Inc.*

405

4,556

Leapfrog Enterprises, Inc.*

2,658

10,685

Marine Products Corp.*

813

4,602

Polaris Industries, Inc.

2,889

157,797

Pool Corp.

4,456

97,676

RC2 Corp.*

1,996

32,156

Smith & Wesson Holding Corp.*

5,544

22,675

Sport Supply Group, Inc.

727

9,785

Steinway Musical Instruments*

547

9,731

Sturm Ruger & Co., Inc.

1,504

21,552

Summer Infant, Inc.*

1,000

6,550

 

 

664,008

 

 

 

Life Sciences - Tools & Services - 0.6%

 

 

Accelrys, Inc.*

2,135

13,771

Affymetrix, Inc.*

6,573

38,781

Albany Molecular Research, Inc.*

1,613

8,339

Bruker Corp.*

6,739

81,946

Caliper Life Sciences, Inc.*

4,161

17,767

Cambrex Corp.*

2,197

6,920

Dionex Corp.*

1,635

121,742

Enzo Biochem, Inc.*

2,561

10,423

eResearchTechnology, Inc.*

4,528

35,681

Furiex Pharmaceuticals, Inc.*

816

8,291

Kendle International, Inc.*

1,382

15,921

Luminex Corp.*

3,478

56,413

Parexel International Corp.*

5,416

117,419

Pure Bioscience*

3,234

7,729

Sequenom, Inc.*

5,769

34,095

 

 

575,238

 

 

 

Machinery - 2.8%

 

 

3D Systems Corp.*

1,362

17,093

Actuant Corp.

6,068

114,260

Alamo Group, Inc.

494

10,720

Albany International Corp.

2,536

41,058

Altra Holdings, Inc.*

2,487

32,381

American Railcar Industries, Inc.*

744

8,987

Ampco-Pittsburgh Corp.

791

16,477

ArvinMeritor, Inc.*

8,729

114,350

Astec Industries, Inc.*

1,841

51,051

Badger Meter, Inc.

1,390

53,779

Barnes Group, Inc.

4,549

74,558

Blount International, Inc.*

4,439

45,589

Briggs & Stratton Corp.

4,599

78,275

Cascade Corp.

842

29,984

 

 

 

Equity Securities - Cont'd

Shares

Value

Machinery - Cont'd

 

 

Chart Industries, Inc.*

2,661

$41,458

CIRCOR International, Inc.

1,584

40,519

CLARCOR, Inc.

4,680

166,234

Colfax Corp.*

2,231

23,225

Columbus McKinnon Corp.*

1,774

24,783

Commercial Vehicle Group, Inc.*

2,272

23,197

Douglas Dynamics, Inc.*

1,066

12,259

Dynamic Materials Corp.

1,203

19,296

Energy Recovery, Inc.*

2,650

10,600

EnPro Industries, Inc.*

1,908

53,710

ESCO Technologies, Inc.

2,404

61,903

Federal Signal Corp.

5,776

34,887

Flow International Corp.*

2,995

7,068

Force Protection, Inc.*

6,521

26,736

FreightCar America, Inc.

1,107

25,040

Gorman-Rupp Co.

1,053

26,378

Graham Corp.

792

11,872

Greenbrier Co.'s, Inc.*

1,745

19,544

John Bean Technologies Corp.

2,612

39,833

Kadant, Inc.*

1,153

20,085

Kaydon Corp.

2,986

98,120

LB Foster Co.*

945

24,494

Lindsay Corp.

1,159

36,729

Lydall, Inc.*

1,583

12,094

Met-Pro Corp.

1,199

12,901

Middleby Corp.*

1,495

79,519

Miller Industries, Inc.

795

10,709

Mueller Industries, Inc.

3,427

84,304

Mueller Water Products, Inc.

14,192

52,652

NACCO Industries, Inc.

536

47,575

Nordson Corp.

3,166

177,549

Omega Flex, Inc.

248

3,616

PMFG, Inc.*

1,367

20,710

RBC Bearings, Inc.*

2,015

58,415

Robbins & Myers, Inc.

2,494

54,220

Sauer-Danfoss, Inc.*

885

10,815

Sun Hydraulics Corp.

1,159

27,190

Tecumseh Products Co.*

1,715

19,071

Tennant Co.

1,752

59,253

Thermadyne Holdings Corp.*

802

8,670

Titan International, Inc.

3,275

32,652

Trimas Corp.*

1,166

13,187

Twin Disc, Inc.

694

7,884

Wabash National Corp.*

5,474

38,920

Watts Water Technologies, Inc.

2,697

77,296

Xerium Technologies, Inc.*

695

9,813

 

 

2,455,547

 

 

 

Equity Securities - Cont'd

Shares

Value

Marine - 0.2%

 

 

American Commercial Lines, Inc.*

711

$16,005

Baltic Trading Ltd.*

1,516

17,237

Eagle Bulk Shipping, Inc.*

4,769

20,125

Excel Maritime Carriers Ltd.*

3,693

18,908

Genco Shipping & Trading Ltd.*

2,396

35,916

Horizon Lines, Inc.

2,384

10,085

International Shipholding Corp.

379

8,387

Ultrapetrol (Bahamas) Ltd.*

1,489

6,477

 

 

133,140

 

 

 

Media - 1.5%

 

 

AH Belo Corp.*

1,669

11,082

Arbitron, Inc.

2,427

62,204

Ascent Media Corp.*

1,326

33,495

Ballantyne Strong, Inc.*

1,316

9,528

Beasley Broadcasting Group, Inc.*

407

1,982

Belo Corp.*

8,463

48,154

Carmike Cinemas, Inc.*

867

5,254

Cinemark Holdings, Inc.

5,281

69,445

CKX, Inc.*

5,155

25,723

Crown Media Holdings, Inc.*

1,039

1,829

Cumulus Media, Inc.*

2,023

5,401

Dex One Corp.*

4,641

88,179

Entercom Communications Corp.*

2,183

19,254

Entravision Communications Corp.*

4,508

9,512

EW Scripps Co.*

2,937

21,822

Fisher Communications, Inc.*

401

6,753

Global Sources Ltd.*

2,150

16,856

Gray Television, Inc.*

4,496

10,835

Harte-Hanks, Inc.

3,595

37,568

Journal Communications, Inc.*

3,369

13,375

Knology, Inc.*

2,831

30,943

Lee Enterprises, Inc.*

4,164

10,701

LIN TV Corp.*

2,131

11,529

Lions Gate Entertainment Corp.*

6,304

44,002

Live Nation, Inc.*

13,055

136,425

LodgeNet Interactive Corp.*

1,598

5,929

Martha Stewart Living Omnimedia*

2,043

10,052

McClatchy Co.*

5,532

20,136

Media General, Inc.*

2,045

19,959

Mediacom Communications Corp.*

3,136

21,074

National CineMedia, Inc.

3,902

65,007

Nexstar Broadcasting Group, Inc.*

992

4,345

Outdoor Channel Holdings, Inc.*

1,282

5,987

Playboy Enterprises, Inc., Class B*

1,700

7,140

Primedia, Inc.

1,152

3,375

Radio One, Inc., Class D*

2,907

3,721

RCN Corp.*

3,276

48,518

ReachLocal, Inc.*

446

5,785

Rentrak Corp.*

746

18,150

Scholastic Corp.

2,831

68,284

 

 

 

Equity Securities - Cont'd

Shares

Value

Media - Cont'd

 

 

Sinclair Broadcast Group, Inc.*

4,195

$24,457

SuperMedia, Inc.*

1,188

21,728

Valassis Communications, Inc.*

4,624

146,673

Value Line, Inc.

108

1,959

Warner Music Group Corp.*

4,149

20,164

Westwood One, Inc.*

488

4,817

World Wrestling Entertainment, Inc.

2,237

34,808

 

 

1,293,919

 

 

 

Metals & Mining - 1.5%

 

 

Allied Nevada Gold Corp.*

5,881

115,738

AM Castle & Co.*

1,549

21,516

AMCOL International Corp.

2,212

51,982

Brush Engineered Materials, Inc.*

1,882

37,602

Capital Gold Corp.*

4,500

18,000

Century Aluminum Co.*

5,915

52,229

Coeur d'Alene Mines Corp.*

8,170

128,923

General Moly, Inc.*

4,998

15,394

Globe Specialty Metals, Inc.*

5,689

58,767

Golden Star Resources Ltd.*

23,925

104,791

Haynes International, Inc.

1,127

34,745

Hecla Mining Co.*

22,455

117,215

Horsehead Holding Corp.*

4,021

30,399

Jaguar Mining, Inc.*

7,801

68,883

Kaiser Aluminum Corp.

1,409

48,850

Metals USA Holdings Corp.*

1,062

15,877

Noranda Aluminium Holding Corp.*

1,067

6,861

Olympic Steel, Inc.

846

19,433

RTI International Metals, Inc.*

2,781

67,050

Stillwater Mining Co.*

4,126

47,944

Thompson Creek Metals Co., Inc.*

12,971

112,588

Universal Stainless & Alloy*

534

8,539

US Energy Corp. Wyoming*

2,481

11,785

US Gold Corp.*

8,272

41,443

Worthington Industries, Inc.

5,541

71,257

 

 

1,307,811

 

 

 

Multiline Retail - 0.4%

 

 

99 Cents Only Stores*

4,268

63,166

Bon-Ton Stores, Inc.*

1,090

10,627

Dillard's, Inc.

4,262

91,633

Fred's, Inc.

3,647

40,336

Retail Ventures, Inc.*

1,722

13,466

Saks, Inc.*

12,559

95,323

Tuesday Morning Corp.*

2,412

9,624

 

 

324,175

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Multi-Utilities - 0.4%

 

 

Avista Corp.

5,043

$98,490

Black Hills Corp.

3,556

101,239

CH Energy Group, Inc.

1,467

57,565

NorthWestern Corp.

3,317

86,906

 

 

344,200

 

 

 

Oil, Gas & Consumable Fuels - 3.4%

 

 

Abraxas Petroleum Corp.*

6,240

17,472

Alon USA Energy, Inc.

562

3,574

American Oil & Gas, Inc.*

4,662

29,277

Apco Oil and Gas International, Inc.

721

16,951

Approach Resources, Inc.*

716

4,926

Arena Resources, Inc.*

3,661

116,786

ATP Oil & Gas Corp.*

4,127

43,705

Berry Petroleum Co.

4,744

122,016

Bill Barrett Corp.*

4,262

131,142

BPZ Resources, Inc.*

9,034

37,491

Brigham Exploration Co.*

10,800

166,104

Callon Petroleum Co.*

2,669

16,815

CAMAC Energy, Inc.*

4,422

16,494

Carrizo Oil & Gas, Inc.*

2,887

44,835

Cheniere Energy, Inc.*

3,868

10,908

Clayton Williams Energy, Inc.*

453

19,080

Clean Energy Fuels Corp.*

3,716

55,517

Cloud Peak Energy, Inc.*

2,923

38,759

Contango Oil & Gas Co.*

1,096

49,046

Crosstex Energy, Inc.*

3,047

19,531

CVR Energy, Inc.*

2,812

21,146

Delek US Holdings, Inc.

1,057

7,716

Delta Petroleum Corp.*

12,444

10,702

DHT Maritime, Inc.

3,818

14,699

Endeavour International Corp.*

9,060

9,604

Energy Partners Ltd.*

2,684

32,772

Energy XXI Bermuda Ltd.*

4,698

74,134

Evolution Petroleum Corp.*

1,370

6,864

FX Energy, Inc.*

3,212

11,627

Gastar Exploration Ltd.*

4,045

14,602

General Maritime Corp.

4,751

28,696

Georesources, Inc.*

1,205

16,786

GMX Resources, Inc.*

2,402

15,589

Golar LNG Ltd.

3,373

33,291

Goodrich Petroleum Corp.*

2,269

27,228

Green Plains Renewable Energy, Inc.*

1,487

15,197

GreenHunter Energy, Inc., Warrants (strike price $27.50/share, expire 9/14/11) (b)*

34

-

Gulfport Energy Corp.*

2,510

29,769

Hallador Energy Co.*

353

3,159

Harvest Natural Resources, Inc.*

3,086

22,744

Houston American Energy Corp.

1,673

16,496

International Coal Group, Inc.*

12,176

46,878

Isramco, Inc.*

85

4,010

James River Coal Co.*

2,579

41,058

 

 

 

Equity Securities - Cont'd

Shares

Value

Oil, Gas & Consumable Fuels - Cont'd

 

 

Knightsbridge Tankers Ltd.

1,587

$27,915

Kodiak Oil & Gas Corp.*

11,067

35,304

L&L Energy, Inc.*

1,532

13,175

Magnum Hunter Resources Corp.*

4,482

19,542

McMoRan Exploration Co.*

7,464

82,925

Miller Petroleum, Inc.*

1,674

9,642

Nordic American Tanker Shipping

4,220

118,540

Northern Oil And Gas, Inc.*

4,096

52,593

Overseas Shipholding Group, Inc.

2,373

87,896

Panhandle Oil and Gas, Inc.

584

15,435

Patriot Coal Corp.*

7,251

85,199

Penn Virginia Corp.

4,195

84,361

Petroleum Development Corp.*

1,787

45,783

Petroquest Energy, Inc.*

5,122

34,625

RAM Energy Resources, Inc.*

5,147

10,654

Rentech, Inc.*

20,009

19,809

Resolute Energy Corp.*

3,524

43,134

Rex Energy Corp.*

2,993

30,229

Rex Stores Corp.*

499

7,984

Rosetta Resources, Inc.*

4,785

94,791

Scorpio Tankers, Inc.*

1,202

13,763

Ship Finance International Ltd.

4,084

73,022

Stone Energy Corp.*

4,002

44,662

Swift Energy Co.*

3,418

91,978

Syntroleum Corp.*

4,983

8,172

Teekay Tankers Ltd.

2,508

27,914

TransAtlantic Petroleum Ltd.*

13,662

43,309

Uranium Energy Corp.*

5,621

13,266

USEC, Inc.*

10,581

50,366

Vaalco Energy, Inc.*

4,020

22,512

Venoco, Inc.*

1,829

30,124

W&T Offshore, Inc.

3,244

30,688

Warren Resources, Inc.*

6,571

19,056

Western Refining, Inc.*

4,759

23,938

World Fuel Services Corp.

5,512

142,981

Zion Oil & Gas, Inc., Rights*

469

9

 

 

3,020,492

 

 

 

Paper & Forest Products - 0.5%

 

 

Buckeye Technologies, Inc.*

3,641

36,228

Clearwater Paper Corp.*

1,048

57,388

Deltic Timber Corp.

996

41,633

Glatfelter

4,248

46,091

KapStone Paper and Packaging Corp.*

3,545

39,491

Louisiana-Pacific Corp.*

11,475

76,768

Neenah Paper, Inc.

1,163

21,283

Schweitzer-Mauduit International, Inc.

1,617

81,578

Verso Paper Corp.*

1,363

3,148

Wausau Paper Corp.*

4,548

30,790

 

 

434,398

 

 

 

Equity Securities - Cont'd

Shares

Value

Personal Products - 0.3%

 

 

Elizabeth Arden, Inc.*

2,253

$32,714

Female Health Co.

1,254

6,508

Inter Parfums, Inc.

1,120

15,938

Medifast, Inc.*

1,253

32,465

Nature's Sunshine Products, Inc.*

705

5,901

Nu Skin Enterprises, Inc.

4,411

109,966

Nutraceutical International Corp.*

861

13,139

Prestige Brands Holdings, Inc.*

3,881

27,477

Revlon, Inc.*

1,344

14,999

Schiff Nutrition International, Inc.

744

5,297

USANA Health Sciences, Inc.*

483

17,644

 

 

282,048

 

 

 

Pharmaceuticals - 1.5%

 

 

Acura Pharmaceuticals, Inc.*

651

1,634

Akorn, Inc.*

4,543

13,493

Alexza Pharmaceuticals, Inc.*

3,599

9,789

Aoxing Pharmaceutical Co., Inc.*

2,242

7,309

Ardea Biosciences, Inc.*

1,391

28,599

Auxilium Pharmaceuticals, Inc.*

3,869

90,921

AVANIR Pharmaceuticals, Inc.*

6,690

17,193

Biodel, Inc.*

856

3,236

BioMimetic Therapeutics, Inc.*

1,057

11,754

BMP Sunstone Corp.*

2,491

12,829

Cadence Pharmaceuticals, Inc.*

1,701

11,924

Caraco Pharmaceutical Laboratories Ltd.*

813

3,837

Corcept Therapeutics, Inc.*

2,345

7,316

Cornerstone Therapeutics, Inc.*

514

3,027

Cumberland Pharmaceuticals, Inc.*

600

3,852

Cypress Bioscience, Inc.*

2,626

6,040

Depomed, Inc.*

3,827

10,716

Durect Corp.*

6,499

15,793

Eurand NV*

1,697

16,444

Hi-Tech Pharmacal Co., Inc.*

922

21,123

Impax Laboratories, Inc.*

5,810

110,739

Inspire Pharmaceuticals, Inc.*

5,518

27,535

Jazz Pharmaceuticals, Inc.*

1,384

10,837

Lannett Co., Inc.*

798

3,647

MAP Pharmaceuticals, Inc.*

1,280

16,794

Medicines Co.*

4,940

37,593

Medicis Pharmaceutical Corp.

5,594

122,397

Nektar Therapeutics*

8,458

102,342

Neostem, Inc.*

2,357

4,313

Obagi Medical Products, Inc.*

1,589

18,782

Optimer Pharmaceuticals, Inc.*

3,094

28,681

Pain Therapeutics, Inc.*

2,773

15,418

Par Pharmaceutical Co.'s, Inc.*

3,214

83,435

Pozen, Inc.*

2,076

14,553

Questcor Pharmaceuticals, Inc.*

5,106

52,132

Salix Pharmaceuticals Ltd.*

5,288

206,391

Santarus, Inc.*

4,094

10,153

 

 

 

Equity Securities - Cont'd

Shares

Value

Pharmaceuticals - Cont'd

 

 

Somaxon Pharmaceuticals, Inc.*

2,628

$9,461

Sucampo Pharmaceuticals, Inc.*

729

2,573

SuperGen, Inc.*

4,667

9,427

Viropharma, Inc.*

7,058

79,120

VIVUS, Inc.*

7,427

71,299

XenoPort, Inc.*

2,090

20,503

 

 

1,354,954

 

 

 

Professional Services - 1.1%

 

 

Acacia Research - Acacia Technologies*

3,134

44,597

Administaff, Inc.

2,020

48,803

Advisory Board Co.*

1,435

61,648

Barrett Business Services, Inc.

606

7,514

CBIZ, Inc.*

4,090

26,012

CDI Corp.

1,164

18,077

Corporate Executive Board Co.

3,137

82,409

CoStar Group, Inc.*

1,818

70,538

CRA International, Inc.*

1,024

19,282

Diamond Management & Technology Consultants, Inc.

1,884

19,424

Dolan Media Co.*

2,812

31,269

Exponent, Inc.*

1,286

42,078

Franklin Covey Co.*

1,007

6,546

GP Strategies Corp.*

1,245

9,039

Heidrick & Struggles International, Inc.

1,621

36,991

Hill International, Inc.*

1,866

7,576

Hudson Highland Group, Inc.*

2,983

13,125

Huron Consulting Group, Inc.*

2,043

39,655

ICF International, Inc.*

1,587

37,977

Kelly Services, Inc.*

2,454

36,491

Kforce, Inc.*

2,852

36,363

Korn/Ferry International*

4,269

59,339

LECG Corp.*

2,390

6,214

Manpower, Inc.

1

19

Mistras Group, Inc.*

1,338

14,343

Navigant Consulting, Inc.*

4,695

48,734

On Assignment, Inc.*

2,712

13,641

Resources Connection, Inc.*

4,108

55,869

School Specialty, Inc.*

1,750

31,624

SFN Group, Inc.*

4,817

26,301

TrueBlue, Inc.*

4,090

45,767

Volt Information Sciences, Inc.*

1,008

8,467

VSE Corp.

320

10,182

 

 

1,015,914

 

 

 

Real Estate Investment Trusts - 7.0%

 

 

Acadia Realty Trust

3,639

61,208

Agree Realty Corp.

808

18,843

Alexander's, Inc.

191

57,858

American Campus Communities, Inc.

4,856

132,520

American Capital Agency Corp.

3,040

80,317

Anworth Mortgage Asset Corp.

10,505

74,796

 

 

 

Equity Securities - Cont'd

Shares

Value

Real Estate Investment Trusts - Cont'd

 

 

Apollo Commercial Real Estate Finance, Inc.

990

$16,295

Ashford Hospitality Trust, Inc.*

3,528

25,860

Associated Estates Realty Corp.

2,928

37,918

BioMed Realty Trust, Inc.

10,535

169,508

CapLease, Inc.

5,306

24,461

Capstead Mortgage Corp.

6,387

70,640

CBL & Associates Properties, Inc.

12,811

159,369

Cedar Shopping Centers, Inc.

5,065

30,491

Chatham Lodging Trust*

797

14,242

Chesapeake Lodging Trust*

500

7,910

Cogdell Spencer, Inc.

3,989

26,966

Colonial Properties Trust

6,503

94,489

Colony Financial, Inc.

1,358

22,950

Cousins Properties, Inc.

8,236

55,511

CreXus Investment Corp.

943

11,722

Cypress Sharpridge Investments, Inc.

1,200

15,192

DCT Industrial Trust, Inc.

18,829

85,107

DiamondRock Hospitality Co.*

14,318

117,694

DuPont Fabros Technology, Inc.

3,800

93,328

Dynex Capital, Inc.

888

8,196

EastGroup Properties, Inc.

2,472

87,954

Education Realty Trust, Inc.

5,282

31,850

Entertainment Properties Trust

4,313

164,196

Equity Lifestyle Properties, Inc.

2,427

117,054

Equity One, Inc.

3,390

52,884

Excel Trust, Inc.*

1,391

16,692

Extra Space Storage, Inc.

8,092

112,479

FelCor Lodging Trust, Inc.*

6,071

30,294

First Industrial Realty Trust, Inc.*

5,870

28,293

First Potomac Realty Trust

3,438

49,404

Franklin Street Properties Corp.

6,124

72,324

Getty Realty Corp.

1,942

43,520

Gladstone Commercial Corp.

676

11,046

Glimcher Realty Trust

6,395

38,242

Government Properties Income Trust

1,975

50,402

Hatteras Financial Corp.

3,316

92,251

Healthcare Realty Trust, Inc.

5,780

126,987

Hersha Hospitality Trust

9,318

42,117

Highwoods Properties, Inc.

6,643

184,410

Home Properties, Inc.

3,667

165,272

Inland Real Estate Corp.

6,900

54,648

Invesco Mortgage Capital, Inc.

2,407

48,164

Investors Real Estate Trust

6,963

61,483

iStar Financial, Inc.*

8,665

38,646

Kilroy Realty Corp.

5,040

149,839

Kite Realty Group Trust

5,032

21,034

LaSalle Hotel Properties

6,477

133,232

Lexington Realty Trust

8,973

53,928

LTC Properties, Inc.

2,208

53,588

Medical Properties Trust, Inc.

10,344

97,647

MFA Mortgage Investments, Inc.

25,996

192,370

Mid-America Apartment Communities, Inc.

2,794

143,807

 

 

 

Equity Securities - Cont'd

Shares

Value

Real Estate Investment Trusts - Cont'd

 

 

Mission West Properties, Inc.

1,213

$8,273

Monmouth Real Estate Investment Corp.

2,467

18,231

MPG Office Trust, Inc.*

4,455

13,053

National Health Investors, Inc.

2,267

87,416

National Retail Properties, Inc.

7,730

165,731

Newcastle Investment Corp.*

5,753

15,418

NorthStar Realty Finance Corp.

6,999

18,687

Omega Healthcare Investors, Inc.

8,628

171,956

One Liberty Properties, Inc.

782

11,660

Parkway Properties, Inc.

2,001

29,155

Pebblebrook Hotel Trust*

1,752

33,025

Pennsylvania Real Estate Investment Trust

5,132

62,713

Pennymac Mortgage Investment Trust*

1,553

24,693

Post Properties, Inc.

4,467

101,535

Potlatch Corp.

3,707

132,451

PS Business Parks, Inc.

1,649

91,981

RAIT Financial Trust*

5,738

10,730

Ramco-Gershenson Properties Trust

3,520

35,552

Redwood Trust, Inc.

7,158

104,793

Resource Capital Corp.

4,076

23,152

Retail Opportunity Investments Corp.

3,879

37,432

Saul Centers, Inc.

507

20,599

Sovran Self Storage, Inc.

2,526

86,970

Starwood Property Trust, Inc.

4,229

71,682

Strategic Hotels & Resorts, Inc.*

12,534

55,024

Sun Communities, Inc.

1,762

45,742

Sunstone Hotel Investors, Inc.*

8,966

89,032

Tanger Factory Outlet Centers

3,755

155,382

Terreno Realty Corp.*

600

10,626

Two Harbors Investment Corp.

2,419

19,957

UMH Properties, Inc.

691

6,958

Universal Health Realty Income Trust

1,049

33,704

Urstadt Biddle Properties, Inc.

1,900

30,647

U-Store-It Trust

8,671

64,686

Walter Investment Management Corp.

2,385

38,995

Washington Real Estate Investment Trust

5,637

155,525

Winthrop Realty Trust

1,661

21,277

 

 

6,183,891

 

 

 

Real Estate Management & Development - 0.2%

 

 

Avatar Holdings, Inc.*

824

15,804

Consolidated-Tomoka Land Co.

432

12,312

Forestar Group, Inc.*

3,379

60,687

Kennedy-Wilson Holdings, Inc.*

1,927

19,463

Tejon Ranch Co.*

1,215

28,042

Thomas Properties Group, Inc.

3,268

10,817

 

 

147,125

 

 

 

Road & Rail - 1.0%

 

 

Amerco, Inc.*

793

43,655

Arkansas Best Corp.

2,348

48,721

Avis Budget Group, Inc.*

9,418

92,485

 

 

 

Equity Securities - Cont'd

Shares

Value

Road & Rail - Cont'd

 

 

Celadon Group, Inc.*

1,741

$24,618

Dollar Thrifty Automotive Group, Inc.*

2,658

113,257

Genesee & Wyoming, Inc.*

3,597

134,204

Heartland Express, Inc.

4,630

67,227

Knight Transportation, Inc.

5,516

111,644

Marten Transport Ltd.*

1,428

29,674

Old Dominion Freight Line, Inc.*

2,555

89,783

PAM Transportation Services, Inc.*

426

6,403

Patriot Transportation Holding, Inc.*

89

7,201

Quality Distribution, Inc.*

828

4,281

RailAmerica, Inc.*

2,144

21,268

Roadrunner Transportation Systems, Inc.*

984

13,982

Saia, Inc.*

1,220

18,300

Universal Truckload Services, Inc.*

475

6,617

USA Truck, Inc.*

614

9,898

Werner Enterprises, Inc.

3,923

85,874

 

 

929,092

 

 

 

Semiconductors & Semiconductor Equipment - 3.5%

 

 

Actel Corp.*

2,016

25,845

Advanced Analogic Technologies, Inc.*

2,962

9,449

Advanced Energy Industries, Inc.*

3,377

41,503

Alpha & Omega Semiconductor Ltd.*

471

6,504

Amkor Technology, Inc.*

10,008

55,144

Anadigics, Inc.*

6,052

26,387

Applied Micro Circuits Corp.*

6,007

62,953

ATMI, Inc.*

2,922

42,778

Axcelis Technologies, Inc.*

9,665

14,981

AXT, Inc.*

2,876

12,971

Brooks Automation, Inc.*

6,031

46,620

Cabot Microelectronics Corp.*

2,168

74,991

Cavium Networks, Inc.*

4,116

107,798

Ceva, Inc.*

1,601

20,173

Cirrus Logic, Inc.*

5,954

94,133

Cohu, Inc.

2,186

26,516

Conexant Systems, Inc.*

7,533

16,874

Cymer, Inc.*

2,725

81,859

Diodes, Inc.*

3,146

49,927

DSP Group, Inc.*

1,569

10,026

Entegris, Inc.*

12,048

47,831

Entropic Communications, Inc.*

5,202

32,981

Exar Corp.*

3,348

23,202

FEI Co.*

3,448

67,960

Formfactor, Inc.*

4,640

50,112

FSI International, Inc.*

2,985

12,507

GSI Technology, Inc.*

1,456

8,328

Hittite Microwave Corp.*

2,535

113,416

Ikanos Communications, Inc.*

2,788

4,489

Integrated Device Technology, Inc.*

15,071

74,601

Integrated Silicon Solution, Inc.*

2,404

18,126

IXYS Corp.*

1,911

16,893

Kopin Corp.*

6,180

20,950

 

 

 

Equity Securities - Cont'd

Shares

Value

Semiconductors & Semiconductor Equipment - Cont'd

 

 

Kulicke & Soffa Industries, Inc.*

6,507

$45,679

Lattice Semiconductor Corp.*

10,758

46,690

LTX-Credence Corp.*

13,626

38,562

Mattson Technology, Inc.*

4,642

17,593

MaxLinear, Inc.*

693

9,688

Micrel, Inc.

4,718

48,029

Microsemi Corp.*

7,702

112,680

Microtune, Inc.*

4,122

8,780

Mindspeed Technologies, Inc.*

2,963

22,193

MIPS Technologies, Inc.*

4,264

21,789

MKS Instruments, Inc.*

4,551

85,195

Monolithic Power Systems, Inc.*

3,001

53,598

MoSys, Inc.*

2,517

11,125

Nanometrics, Inc.*

1,653

16,679

Netlogic Microsystems, Inc.*

5,810

158,032

NVE Corp.*

370

16,106

Omnivision Technologies, Inc.*

4,832

103,598

PDF Solutions, Inc.*

2,096

10,061

Pericom Semiconductor Corp.*

2,352

22,579

Photronics, Inc.*

4,076

18,423

PLX Technology, Inc.*

2,851

11,946

Power Integrations, Inc.

2,190

70,507

RF Micro Devices, Inc.*

24,906

97,382

Rubicon Technology, Inc.*

1,322

39,382

Rudolph Technologies, Inc.*

2,894

21,850

Semtech Corp.*

5,583

91,394

Sigma Designs, Inc.*

2,886

28,889

Silicon Image, Inc.*

7,111

24,960

Spansion, Inc.*

1,203

19,621

Standard Microsystems Corp.*

2,080

48,422

Supertex, Inc.*

843

20,788

Tessera Technologies, Inc.*

4,433

71,150

Trident Microsystems, Inc.*

4,861

6,903

TriQuint Semiconductor, Inc.*

14,401

87,990

Ultra Clean Holdings*

2,008

17,108

Ultratech, Inc.*

2,221

36,136

Veeco Instruments, Inc.*

3,762

128,961

Virage Logic Corp.*

2,123

25,242

Volterra Semiconductor Corp.*

2,299

53,015

Zoran Corp.*

4,755

45,363

 

 

3,132,916

 

 

 

Software - 4.1%

 

 

ACI Worldwide, Inc.*

3,241

63,102

Actuate Corp.*

3,425

15,241

Advent Software, Inc.*

1,417

66,542

American Software, Inc.

1,795

8,293

ArcSight, Inc.*

2,279

51,027

Ariba, Inc.*

8,083

128,762

Aspen Technology, Inc.*

5,773

62,868

Blackbaud, Inc.

4,014

87,385

Blackboard, Inc.*

3,168

118,261

 

 

 

Equity Securities - Cont'd

Shares

Value

Software - Cont'd

 

 

Bottomline Technologies, Inc.*

2,533

$33,005

CDC Corp.*

9,120

18,970

Commvault Systems, Inc.*

3,862

86,895

Concur Technologies, Inc.*

3,735

159,410

Convio, Inc.*

548

4,022

Deltek, Inc.*

1,456

12,143

DemandTec, Inc.*

1,564

10,557

Digimarc Corp.*

626

11,737

Double-Take Software, Inc.*

1,964

20,602

Ebix, Inc.*

2,494

39,106

Epicor Software Corp.*

4,539

36,267

EPIQ Systems, Inc.*

3,038

39,281

ePlus, Inc.*

291

5,093

Fair Isaac Corp.

4,237

92,324

FalconStor Software, Inc.*

2,372

6,262

Fortinet, Inc.*

3,674

60,401

Guidance Software, Inc.*

1,234

6,441

Interactive Intelligence, Inc.*

1,211

19,897

Jack Henry & Associates, Inc.

7,918

189,082

JDA Software Group, Inc.*

3,867

84,997

Kenexa Corp.*

2,096

25,152

Lawson Software, Inc.*

12,581

91,841

Magma Design Automation, Inc.*

4,809

13,658

Manhattan Associates, Inc.*

2,107

58,048

Mentor Graphics Corp.*

9,695

85,801

MicroStrategy, Inc.*

830

62,325

Monotype Imaging Holdings, Inc.*

1,667

15,020

Netscout Systems, Inc.*

2,837

40,342

NetSuite, Inc.*

1,698

21,463

Opnet Technologies, Inc.

1,050

15,424

Parametric Technology Corp.*

10,771

168,782

Pegasystems, Inc.

1,501

48,197

Progress Software Corp.*

3,913

117,507

PROS Holdings, Inc.*

1,467

9,536

QAD, Inc.*

1,023

4,225

Quest Software, Inc.*

5,579

100,645

Radiant Systems, Inc.*

2,685

38,825

Renaissance Learning, Inc.

1,221

17,936

Rosetta Stone, Inc.*

971

22,294

S1 Corp.*

4,805

28,878

Smith Micro Software, Inc.*

2,824

26,856

SolarWinds, Inc.*

3,242

52,002

Sonic Solutions, Inc.*

2,366

19,756

SonicWALL, Inc.*

5,113

60,078

Sourcefire, Inc.*

2,549

48,431

SRS Labs, Inc.*

917

8,391

SS&C Technologies Holdings, Inc.*

1,158

18,563

SuccessFactors, Inc.*

5,838

121,372

Symyx Technologies*

2,680

13,427

Synchronoss Technologies, Inc.*

1,887

35,796

Take-Two Interactive Software, Inc.*

6,535

58,815

Taleo Corp.*

3,634

88,270

 

 

 

Equity Securities - Cont'd

Shares

Value

Software - Cont'd

 

 

TeleCommunication Systems, Inc.*

3,362

$13,919

TeleNav, Inc.*

747

6,267

THQ, Inc.*

6,270

27,086

TIBCO Software, Inc.*

15,416

185,917

TiVo, Inc.*

10,715

79,077

Tyler Technologies, Inc.*

2,872

44,573

Ultimate Software Group, Inc.*

2,376

78,075

Unica Corp.*

1,113

10,663

VASCO Data Security International, Inc.*

2,141

13,210

VirnetX Holding Corp.

3,013

17,837

Wave Systems Corp.*

7,430

24,073

Websense, Inc.*

4,097

77,433

 

 

3,653,759

 

 

 

Specialty Retail - 3.2%

 

 

America's Car-Mart, Inc.*

926

20,955

AnnTaylor Stores Corp.*

5,227

85,043

Asbury Automotive Group, Inc.*

2,476

26,097

Barnes & Noble, Inc.

3,578

46,156

Bebe Stores, Inc.

3,035

19,424

Big 5 Sporting Goods Corp.

2,021

26,556

Books-A-Million, Inc.

554

3,335

Borders Group, Inc.*

3,373

4,486

Brown Shoe Co., Inc.

3,812

57,866

Build-A-Bear Workshop, Inc.*

1,323

8,970

Cabela's, Inc.*

3,731

52,756

Casual Male Retail Group, Inc.*

3,868

13,229

Cato Corp.

2,555

56,261

Charming Shoppes, Inc.*

10,751

40,316

Christopher & Banks Corp.

2,760

17,084

Citi Trends, Inc.*

1,377

45,358

Coldwater Creek, Inc.*

4,387

14,740

Collective Brands, Inc.*

5,746

90,787

Conn's, Inc.*

780

4,586

Destination Maternity Corp.*

373

9,437

Dress Barn, Inc.*

5,588

133,050

DSW, Inc.*

1,312

29,468

Express, Inc.*

1,482

24,260

Finish Line, Inc.

4,716

65,694

Genesco, Inc.*

2,196

57,777

Group 1 Automotive, Inc.*

2,217

52,166

Gymboree Corp.*

2,749

117,410

Haverty Furniture Co.'s, Inc.

1,689

20,758

hhgregg, Inc.*

1,221

28,474

Hibbett Sports, Inc.*

2,652

63,542

HOT Topic, Inc.

4,130

20,980

Jo-Ann Stores, Inc.*

2,443

91,637

JOS A Bank Clothiers, Inc.*

1,678

90,595

Kirkland's, Inc.*

1,552

26,190

Lithia Motors, Inc.

2,010

12,422

Lumber Liquidators Holdings, Inc.*

2,063

48,130

MarineMax, Inc.*

2,047

14,206

 

 

 

Equity Securities - Cont'd

Shares

Value

Specialty Retail - Cont'd

 

 

Men's Wearhouse, Inc.

4,770

$87,577

Midas, Inc.*

1,091

8,368

Monro Muffler, Inc.

1,842

72,814

New York & Co., Inc.*

1,850

4,237

OfficeMax, Inc.*

7,870

102,782

Pacific Sunwear of California*

6,164

19,725

Penske Automotive Group, Inc.*

4,104

46,621

PEP Boys-Manny Moe & Jack

4,867

43,122

Pier 1 Imports, Inc.*

9,701

62,183

Rent-A-Center, Inc.*

6,106

123,708

Rue21, Inc.*

1,362

41,323

Sally Beauty Holdings, Inc.*

8,625

70,725

Select Comfort Corp.*

5,068

44,345

Shoe Carnival, Inc.*

707

14,501

Sonic Automotive, Inc.*

3,700

31,672

Stage Stores, Inc.

3,591

38,352

Stein Mart, Inc.*

1,842

11,476

Systemax, Inc.

1,000

15,070

Talbots, Inc.*

6,515

67,170

The Buckle, Inc.

2,338

75,798

The Childrens Place Retail Stores, Inc.*

2,574

113,307

Ulta Salon Cosmetics & Fragrance, Inc.*

2,913

68,922

Vitamin Shoppe, Inc.*

1,480

37,962

West Marine, Inc.*

1,129

12,284

Wet Seal, Inc.*

9,434

34,434

Winmark Corp.

223

7,464

Zumiez, Inc.*

1,906

30,706

 

 

2,826,849

 

 

 

Textiles, Apparel & Luxury Goods - 2.0%

 

 

American Apparel, Inc.*

2,699

4,939

Carter's, Inc.*

5,512

144,690

Cherokee, Inc.

601

10,277

Columbia Sportswear Co.

1,059

49,424

CROCS, Inc.*

7,677

81,223

Culp, Inc.*

821

8,998

Deckers Outdoor Corp.*

1,173

167,587

Delta Apparel, Inc.*

555

8,103

G-III Apparel Group Ltd.*

1,430

32,733

Iconix Brand Group, Inc.*

6,568

94,382

Joe's Jeans, Inc.*

3,939

7,799

Jones Apparel Group, Inc.

8,085

128,147

Kenneth Cole Productions, Inc.*

718

7,905

K-Swiss, Inc.*

2,431

27,300

Lacrosse Footwear, Inc.

436

7,342

Liz Claiborne, Inc.*

8,769

37,005

Maidenform Brands, Inc.*

2,126

43,285

Movado Group, Inc.*

1,243

13,275

Oxford Industries, Inc.

1,282

26,832

Perry Ellis International, Inc.*

933

18,847

Quiksilver, Inc.*

12,024

44,489

RG Barry Corp.

783

8,636

 

 

 

Equity Securities - Cont'd

Shares

Value

Textiles, Apparel & Luxury Goods - Cont'd

 

 

Skechers U.S.A., Inc.*

3,211

$117,266

Steven Madden Ltd.*

2,153

67,863

Timberland Co.*

3,754

60,627

True Religion Apparel, Inc.*

2,326

51,335

Under Armour, Inc.*

3,264

108,136

Unifi, Inc.*

3,597

13,741

Unifirst Corp.

1,308

57,578

Volcom, Inc.*

1,791

33,259

Warnaco Group, Inc.*

4,088

147,740

Weyco Group, Inc.

483

11,003

Wolverine World Wide, Inc.

4,602

116,062

 

 

1,757,828

 

 

 

Thrifts & Mortgage Finance - 1.5%

 

 

Abington Bancorp, Inc.

1,510

13,167

Astoria Financial Corp.

8,012

110,245

Bank Mutual Corp.

4,220

23,970

BankFinancial Corp.

1,569

13,038

Beneficial Mutual Bancorp, Inc.*

3,220

31,814

Berkshire Hills Bancorp, Inc.

1,302

25,363

BofI Holding, Inc.*

653

9,220

Brookline Bancorp, Inc.

5,478

48,645

Clifton Savings Bancorp, Inc.

836

7,231

Dime Community Bancshares

2,477

30,541

Doral Financial Corp.*

429

1,047

ESB Financial Corp.

726

9,474

ESSA Bancorp, Inc.

1,049

12,913

Federal Agricultural Mortgage Corp., Class C

895

12,557

First Financial Holdings, Inc.

1,221

13,980

Flagstar Bancorp, Inc.*

4,352

13,665

Flushing Financial Corp.

2,891

35,357

Fox Chase Bancorp, Inc.*

526

5,034

Heritage Financial Group

158

1,710

Home Federal Bancorp, Inc.

1,548

19,551

Kearny Financial Corp.

1,413

12,943

K-Fed Bancorp

316

2,869

Meridian Interstate Bancorp, Inc.*

838

9,134

MGIC Investment Corp.*

18,158

125,109

NASB Financial, Inc.

278

4,212

NewAlliance Bancshares, Inc.

9,565

107,224

Northwest Bancshares, Inc.

10,272

117,820

OceanFirst Financial Corp.

1,007

12,154

Ocwen Financial Corp.*

6,887

70,179

Oritani Financial Corp.

5,172

51,720

PMI Group, Inc.*

13,262

38,327

Provident Financial Services, Inc.

5,450

63,711

Provident New York Bancorp

3,606

31,913

Radian Group, Inc.

11,994

86,837

Rockville Financial, Inc.

708

8,432

Roma Financial Corp.

676

7,341

Territorial Bancorp, Inc.

900

17,055

 

 

 

Equity Securities - Cont'd

Shares

Value

Thrifts & Mortgage Finance - Cont'd

 

 

Trustco Bank Corp. NY

7,133

$39,945

United Financial Bancorp, Inc.

1,552

21,185

ViewPoint Financial Group

701

9,709

Waterstone Financial, Inc.*

553

1,886

Westfield Financial, Inc.

2,745

22,866

WSFS Financial Corp.

490

17,606

 

 

1,318,699

 

 

 

Tobacco - 0.2%

 

 

Alliance One International, Inc.*

8,266

29,427

Star Scientific, Inc.*

8,949

14,676

Universal Corp.

2,230

88,486

Vector Group Ltd.

4,008

67,415

 

 

200,004

 

 

 

Trading Companies & Distributors - 0.8%

 

 

Aceto Corp.

1,948

11,162

Aircastle Ltd.

4,709

36,966

Applied Industrial Technologies, Inc.

3,896

98,647

Beacon Roofing Supply, Inc.*

4,107

74,008

BlueLinx Holdings, Inc.*

916

2,409

CAI International, Inc.*

587

6,985

DXP Enterprises, Inc.*

572

8,952

H&E Equipment Services, Inc.*

2,568

19,234

Houston Wire & Cable Co.

1,646

17,859

Interline Brands, Inc.*

3,060

52,907

Kaman Corp.

2,406

53,221

Lawson Products

334

5,671

RSC Holdings, Inc.*

4,568

28,185

Rush Enterprises, Inc.*

2,958

39,519

TAL International Group, Inc.

1,553

34,896

Textainer Group Holdings Ltd.

882

21,291

Titan Machinery, Inc.*

1,023

13,432

United Rentals, Inc.*

5,496

51,223

Watsco, Inc.

2,582

149,549

 

 

726,116

 

 

 

Water Utilities - 0.3%

 

 

American States Water Co.

1,723

57,100

Artesian Resources Corp.

490

9,045

Cadiz, Inc.*

953

11,503

California Water Service Group

1,796

64,117

Connecticut Water Service, Inc.

671

14,104

Consolidated Water Co., Inc.

1,003

11,414

Middlesex Water Co.

1,260

19,971

SJW Corp.

1,202

28,175

Southwest Water Co.

2,553

26,756

 

 

 

Equity Securities - Cont'd

Shares

Value

Water Utilities - Cont'd

 

 

York Water Co.

901

$12,794

 

 

254,979

 

 

 

Wireless Telecommunication Services - 0.3%

 

 

FiberTower Corp.*

4,250

20,060

ICO Global Communications Holdings Ltd.*

8,726

14,049

NTELOS Holdings Corp.

2,728

46,921

Shenandoah Telecommunications Co.

2,203

39,081

Syniverse Holdings, Inc.*

6,469

132,291

USA Mobility, Inc.

2,054

26,538

 

 

278,940

 

 

 

     Total Equity Securities (Cost $97,040,511)

 

85,225,550

 

 

 

 

Principal

 

U.S. Treasury- 0.7%

Amount

 

United States Treasury Bills, 7/8/10 ^

$600,000

599,983

 

 

 

     Total U.S. Treasury (Cost $599,984)

 

599,983

 

 

 

Time Deposit - 3.2%

 

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

2,888,427

2,888,427

 

 

 

     Total Time Deposit (Cost $2,888,427)

 

2,888,427

 

 

 

          TOTAL INVESTMENTS (Cost $100,528,922) - 99.7%

 

88,713,960

          Other assets and liabilities, net - 0.3%

 

223,130

          Net Assets - 100%

 

$88,937,090

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to the following shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized:

 

 

     Class I: 1,739,023 shares outstanding

 

$98,403,032

     Class F: 73,037 shares outstanding

 

3,530,764

Undistributed net investment income

 

356,560

Accumulated net realized gain (loss) on investments

 

(1,338,208)

Net unrealized appreciation (depreciation) on investments

 

(12,015,058)

 

 

 

     Net Assets

 

$88,937,090

 

 

 

Net Asset Value Per Share:

 

 

Class I (based on net assets of $85,342,593 )

 

$49.08

Class F (based on net assets of $3,594,497)

 

$49.21

 

See notes to financial statements.

Futures

Number of
Contracts

Expiration
Date

Underlying
Face Amount
At Value

Unrealized
Appreciation
(Depreciation)

Purchased:

 

 

 

 

     E-Mini Russell 2000 Index^

61

9/10

$3,707,580

($200,096)

 

(b) This security was valued by the Board of Directors. See note A.

^ Futures collateralized by 600,000 units of U.S. Treasury Bills.

* Non-income producing security.

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Interest income

$902

     Dividend income (net of foreign taxes withheld of $20)

467,446

          Total investment income

468,348

 

 

Expenses:

 

     Investment advisory fee

131,260

     Transfer agency fees and expenses

1,756

     Accounting fees

6,142

     Distribution plan expenses:

 

          Class F

3,690

     Directors' fees and expenses

5,199

     Administrative fees

37,503

     Custodian fees

61,667

     Reports to shareholders

39,895

     Professional fees

19,944

     Contract services

16,582

     Miscellaneous

1,689

          Total expenses

325,327

          Reimbursement from Advisor:

 

               Class F

(3,447)

               Class I

(55,197)

          Fees paid indirectly

(289)

               Net expenses

266,394

 

 

               Net Investment Income

201,954

 

 

 

 

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) on:

 

     Investments

2,334,287

     Futures

(258,852)

 

2,075,435

 

 

Change in unrealized appreciation (depreciation) on:

 

     Investments

(6,582,101)

     Futures

(257,728)

 

(6,839,829)

 

 

 

 

               Net Realized and Unrealized Gain

 

                (Loss)

(4,764,394)

 

 

               Increase (Decrease) in Net Assets

 

               Resulting From Operations

($4,562,440)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$201,954

$498,121

     Net realized gain (loss)

2,075,435

(3,241,852)

     Change in unrealized appreciation or (depreciation)

(6,839,829)

17,639,928

 

 

 

          Increase (Decrease) in Net Assets

 

 

          Resulting From Operations

(4,562,440)

14,896,197

 

 

 

Distributions to shareholders from:

 

 

     Net investment income:

 

 

          Class I shares

--

(331,011)

          Class F shares

--

(8,613)

     Net realized gain:

 

 

          Class I shares

--

(685,510)

          Class F shares

--

(35,436)

               Total distributions

--

($1,060,570)

Capital share transactions:

 

 

     Shares sold:

 

 

          Class I shares

23,045,737     

8,103,966

          Class F shares

1,005,879

2,505,356

     Shares issued from merger (See Note F):

 

 

          Class I shares

11,427,947

--

     Reinvestment of distributions:

 

 

          Class I shares

--

1,016,521

          Class F shares

--

44,049

     Shares redeemed:

 

 

          Class I shares

(7,989,034)

(17,396,665)

          Class F shares

(610,484)

(880,732)

               Total capital share transactions

26,880,045

(6,607,505)

 

 

 

Total Increase (Decrease) in Net Assets

22,317,605

7,228,122

 

 

 

Net Assets

 

 

Beginning of period

66,619,485

59,391,363

End of period (including undistributed net investment income of $356,560 and $154,606, respectively)

$88,937,090

$66,619,485

 

 

 

Capital Share Activity

 

 

Shares sold:

 

 

     Class I shares

431,338

197,679

     Class F shares

18,896

60,682

Shares issued from merger (See Note F):

 

 

     Class I shares

198,367

--

Reinvestment of distributions:

 

 

     Class I shares

--

19,999

     Class F shares

--

863

Shares redeemed:

 

 

     Class I shares

(152,398)

(401,191)

     Class F shares

(11,344)

(20,161)

          Total capital share activity

484,859

(142,129)

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP Russell 2000 Small Cap Index Portfolio (the "Portfolio"), formerly known as Summit Russell 2000 Small Cap Index Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio offers Class I and Class F shares. Class F shares are subject to Distribution Plan Expenses. 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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the Portfolio, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. Short-term notes are stated at amortized cost, which approximates fair value. The Portfolio 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, securities valued at $17 or 0.0% of net assets were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity Securities**

$85,225,533

--

$17

$85,225,550

U.S. Government Obligations

--

$599,983

--

599,983

Other Debt Obligations

--

2,888,427

--

2,888,427

TOTAL

$85,225,533

$3,488,410

$17*

$88,713,960

 

 

 

 

 

Other financial instruments***

($200,096)

--

--

($200,096)

*Level 3 securities represent 0.0% of net assets.

** For further breakdown of Equity Securities by industry type, please refer to the Statement of Net Assets.

*** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, which are valued at the unrealized appreciation/depreciation on the instrument.

Security Transactions and 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 Portfolio is informed of the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio's understanding of the applicable country's tax rules and rates.

Futures Contracts: The Portfolio may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge. The Portfolio may not enter into futures contracts for the purpose of speculation or leverage. These futures contracts may include, but are not limited to, market index futures contracts. The Portfolio is subject to market risk in the normal course of pursuing its investment objectives. The Portfolio may use futures contracts to hedge against changes in the value of securities. The Portfolio 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 Portfolio. 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 Portfolio's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms. Futures contracts are designed by boards of trade which are designated "contracts markets" by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Portfolio.

Foreign Currency Transactions: The Portfolio's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are converted into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities is included with the net realized and unrealized gain or loss on investments.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010.

Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

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 ("UNIFI"). The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .35% of the Portfolio's average daily net assets. Under the terms of the agreement, $25,511 was payable at period end. In addition, $15,827 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense caps are .70% and .91% for Class I and Class F, respectively. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $7,289 was payable at period end.

Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Distribution plans, adopted by Class F shares, allow the Portfolio to pay the distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed .20% annually of average daily net assets of Class F. Under the terms of the agreement, $613 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $100 for the six months ended June 30, 2010. Under the terms of the agreement, $16 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $41,814,685 and $28,724,216 respectively.

Capital Loss Carryforward
Expiration Date

31-Dec-17                   $3,409,538

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$6,786,145

Unrealized (depreciation)               

(18,737,520)

Net unrealized appreciation/(depreciation)     

($11,951,375)

Federal income tax cost of investments     

$100,665,335

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loan outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month of
Maximum
Amount
Borrowed

 

$12,705

1.55%

$1,541,425

June 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

Note E -- Reorganization

On December 10, 2009, the Board of Directors approved an Agreement and Plan of Reorganization (the "Plan") which provides for the transfer of all the assets of the Calvert Variable Series, Inc., Ameritas Small Company Equity Portfolio ("Small Company Equity") for shares of the acquiring portfolio, Calvert Variable Products, Inc., Russell 2000 Index Portfolio ("Russell 2000 Index") and the assumption of the liabilities of Small Company Equity. Shareholders approved the Plan at a meeting on April 16, 2010 and the reorganization took place on April 30, 2010.

The acquisition was accomplished by a tax-free exchange of the following shares:

Merged Portfolio

Shares

Acquiring Portfolio

Shares

Value

Small Company Equity

645,127

Russell 2000 Index

198,367

$11,427,947

For financial reporting purposes, assets received and shares issued by Russell 2000 Index were recorded at fair value; however, the cost basis of the investments received from Small Company Equity were carried forward to align ongoing reporting of Russell 2000 Index's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets and net unrealized appreciation (depreciation) immediately before the acquisitions were

as follows:

Merged Portfolio

Net
Assets

Unrealized
Appreciation
(Depreciation)

Acquiring
Portfolio

Net
Assets

Small Company Equity

$11,427,947

$2,350,797

Russell 2000 Index

$76,346,665

Assuming the acquisition had been completed on January 1, 2010, Russell 2000 Index's results of operations for the six months ended June 30, 2010 would have been as follows:

Net investment income

$185,798

(a)

Net realized and change in unrealized gain (loss) on investments     

($3,326,685)

(b)

Net increase (decrease) in assets from operations

($3,140,887)

 

Because Russell 2000 Index and Small Company Equity sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of Small Company Equity that have been included in Russell 2000 Index's Statement of Operations since April 30, 2010.

(a) $201,954, as reported, plus ($16,156) from Small Company Equity pre-merger.

(b) ($4,764,394), as reported, plus $1,437,709 from Small Company Equity pre-merger.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

Class I Shares

2010 (z)

2009

2008 (z)

Net asset value, beginning

$50.19

$40.42

$67.00

Income from investment operations

 

 

 

     Net investment income

.14

.40

.62

     Net realized and unrealized gain (loss)

(1.25)

10.19

(22.38)

          Total from investment operations

(1.11)

10.59

(21.76)

Distributions from

 

 

 

     Net investment income

--

(.27)

(1.13)

     Net realized gain

--

(.55)

(3.69)

          Total distributions

--

(.82)

(4.82)

Total increase (decrease) in net asset value

(1.11)

9.77

(26.58)

Net asset value, ending

$49.08

$50.19

$40.42

 

 

 

 

Total return*

(2.21%)

26.17%

(33.95%)

Ratios to average net assets: A

 

 

 

     Net investment income

.55% (a)

.83%

1.13%

     Total expenses

.86% (a)

.86%

.70%

     Expenses before offsets

.70% (a)

.70%

.70%

     Net expenses

.70% (a)

.70%

.70%

Portfolio turnover

40%

24%

30%

Net assets, ending (in thousands)

$85,343

$63,320

$58,414

 

 

 

 

 

 

 

 

 

  

Years Ended

 

 

December 31,

December 31,

December 31,

Class I Shares

2007 (z)

2006

2005

Net asset value, beginning

$74.19

$65.46

$63.92

Income from investment operations

 

 

 

     Net investment income

.74

.46

.41

     Net realized and unrealized gain (loss)

(1.98)

10.88

2.07

          Total from investment operations

(1.24)

11.34

2.48

Distributions from

 

 

 

     Net investment income

(.47)

(.44)

(.31)

     Net realized gain

(5.48)

(2.17)

(.63)

          Total distributions

(5.95)

(2.61)

(.94)

Total increase (decrease) in net asset value

(7.19)

8.73

1.54

Net asset value, ending

$67.00

$74.19

$65.46

 

 

 

 

Total return*

(2.20%)

17.60%

4.01%

Ratios to average net assets: A

 

 

 

     Net investment income

1.04%

.84%

.70%

     Total expenses

.64%

.65%

.69%

     Expenses before offsets

.64%

.65%

.69%

     Net expenses

.64%

.65%

.69%

Portfolio turnover

19%

24%

25%

Net assets, ending (in thousands)

$91,676

$95,694

$75,815

 

See notes to financial highlights.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

Class F Shares

2010 (z)

2009

2008 (z)

Net asset value, beginning

$50.38

$40.55

$66.78

Income from investment operations

 

 

 

     Net investment income

.09

.19

.58

     Net realized and unrealized gain (loss)

(1.26)

10.32

(22.36)

          Total from investment operations

(1.17)

10.51

(21.78)

Distributions from

 

 

 

     Net investment income

--

(.13)

(.76)

     Net realized gain

--

(.55)

(3.69)

          Total distributions

--

(.68)

(4.45)

Total increase (decrease) in net asset value

(1.17)

9.38

(26.23)

Net asset value, ending

$49.21

$50.38

$40.55

 

 

 

 

Total return*

(2.32%)

25.91%

(34.05%)

Ratios to average net assets: A

 

 

 

     Net investment income

.33% (a)

.63%

1.09%

     Total expenses

1.10% (a)

1.25%

.91%

     Expenses before offsets

.91% (a)

.91%

.91%

     Net expenses

.91% (a)

.91%

.91%

Portfolio turnover

40%

24%

30%

Net assets, ending (in thousands)

$3,594

$3,299

$977

 

 

 

 

 

 

 

 

 

 

Periods Ended

 

 

December 31,

December 31,

December 31,

Class F Shares

2007 (z)

2006

2005#

Net asset value, beginning

$74.02

$65.43

$64.41

Income from investment operations

 

 

 

     Net investment income

.59

.31

.12

     Net realized and unrealized gain (loss)

(1.97)

10.87

.90

          Total from investment operations

(1.38)

11.18

1.02

Distributions from

 

 

 

     Net investment income

(.38)

(.42)

--

     Net realized gain

(5.48)

(2.17)

--

          Total distributions

(5.86)

(2.59)

--

Total increase (decrease) in net asset value

(7.24)

8.59

1.02

Net asset value, ending

$66.78

$74.02

$65.43

 

 

 

 

Total return*

(2.40%)

17.35%

1.58%

Ratios to average net assets: A

 

 

 

     Net investment income

.84%

.64%

.74% (a)

     Total expenses

.84%

.85%

.84% (a)

     Expenses before offsets

.84%

.85%

.84% (a)

     Net expenses

.84%

.85%

.84% (a)

Portfolio turnover

19%

24%

25%

Net assets, ending (in thousands)

$699

$272

$5

 

See notes to financial highlights.

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

# From October 4, 2005, inception.

(z) Per share figures are calculated using the Average Shares Method.

*     Total return is not annualized for periods less than one year.

 

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 typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

 

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.

 

 

<PAGE>

 

Calvert VP EAFE
International Index
Portfolio

(formerly, Summit EAFE
International Index Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

30

Statement of Operations

31

Statements of Changes in Net Assets

33

Notes to Financial Statements

39

Financial Highlights

42

Explanation of Financial Tables

43

Proxy Voting

44

Availability of Quarterly Portfolio Holdings

 

Calvert VP EAFE International Index Portfolio

Managed by World Asset Management, Inc., Subadvisor

Investment Climate

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. International markets fared poorly as well during the period, as the MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI) lost 12.27% due to a combination of poor market performance and a strong U.S. dollar.

In the S&P 500 Index, all 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on con-

Calvert VP EAFE International Index
Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

 

Class I

Class F**

Six month***

-14.09%

-14.18%

One year

3.90%

3.69%

Five year

-0.08%

-0.31%

Since inception (11.12.02)

5.68%

5.44%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

**Prior to December 17, 2007, Class F share performance is based on Class I performance. Absent limitation of expenses during certain of the periods shown, performance would have been lower.

The performance data shown represents past performance, and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. The value of an investment in Class I Shares is plotted in the graph. The value of an investment in another class of shares would be different.

*** Total return is not annualized for periods of one year or less.

 

 

-sumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Outlook

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant.

In our opinion, a slowdown in China is of more immediate concern than one in Europe. Chinese officials raised interest rates in an attempt to engineer a soft landing and prevent the bursting of the asset bubbles in that country. But these asset bubbles could deflate in a disorderly fashion, pushing the Chinese economy to a hard landing, which would certainly impact global growth prospects.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view this correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time.

Economic Sectors

% of Total
Investments

 

 

Consumer Discretionary

8.5%

Consumer Staples

8.7%

Energy

5.9%

Exchange Traded Funds

13.5%

Financials

19.9%

Health Care

7.0%

Industrials

9.9%

Information Technology

4.3%

Materials

8.2%

Telecommunication Services

4.6%

Time Deposit

5.0%

Utilities

4.5%

 

 

Total

100%

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10
 

 

 

 

Class I

 

 

 

Actual

$1,000.00

$859.90

$4.38

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,020.08

$4.76

 

 

 

 

Class F

 

 

 

Actual

$1,000.00

$858.90

$5.30

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,019.09

$5.76

* Expenses are equal to the Fund's annualized expense ratio of .95% and 1.15%, respectively, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
June 30, 2010

Equity Securities - 84.6%

Shares

Value

Australia - 6.9%

 

 

AGL Energy Ltd.

6,023

$74,722

Alumina Ltd.

32,743

41,797

Amcor Ltd.

16,385

87,936

AMP Ltd.

27,489

120,408

Aristocrat Leisure Ltd.

5,367

16,519

Arrow Energy NL*

7,861

32,214

Asciano Group*

39,263

53,378

ASX Ltd.

2,312

56,825

Australia & New Zealand Banking Group Ltd.

33,989

614,669

AXA Asia Pacific Holdings Ltd.

13,868

63,978

Bendigo and Adelaide Bank Ltd.

4,699

32,357

BGP Holdings plc*

77,172

--

BHP Billiton Ltd.

45,033

1,410,835

Billabong International Ltd.

2,714

19,910

BlueScope Steel Ltd.*

24,465

42,933

Boral Ltd.

7,988

32,347

Brambles Ltd.

18,953

87,044

Caltex Australia Ltd.

1,811

14,246

CFS Retail Property Trust

23,582

37,643

Coca-Cola Amatil Ltd.

7,530

75,969

Cochlear Ltd.

758

47,565

Commonwealth Bank of Australia

20,587

840,548

Computershare Ltd.

5,964

53,153

Crown Ltd.

6,066

39,606

CSL Ltd.

7,470

205,232

CSR Ltd.

20,327

28,718

Dexus Property Group

63,953

41,479

Energy Resources of Australia Ltd.

895

9,989

Fairfax Media Ltd.

28,403

31,403

Fortescue Metals Group Ltd.*

16,660

57,219

Foster's Group Ltd.

25,902

123,440

Goodman Fielder Ltd.

18,522

21,038

Goodman Group

83,269

44,226

Harvey Norman Holdings Ltd.

7,127

19,847

Incitec Pivot Ltd.

21,803

49,799

Insurance Australia Group Ltd.

27,896

79,940

Leighton Holdings Ltd.

1,805

43,819

Lend Lease Group

7,209

44,331

MacArthur Coal Ltd.

1,706

17,282

Macquarie Airports

9,989

22,590

Macquarie Atlas Roads Group*

3,795

3,041

Macquarie Group Ltd.

4,493

139,286

Macquarie Infrastructure Group

30,348

26,585

Metcash Ltd.

10,273

36,408

Mirvac Group

40,084

44,206

National Australia Bank Ltd.

28,440

553,399

Newcrest Mining Ltd.

6,486

192,162

OneSteel Ltd.

17,824

44,459

Orica Ltd.

4,845

102,752

Origin Energy Ltd.

11,786

148,332

 

 

 

Equity Securities - Cont'd

Shares

Value

Australia - Cont'd

 

 

OZ Minerals Ltd.*

41,883

$33,727

Paladin Energy Ltd.*

9,141

27,511

Qantas Airways Ltd.*

14,893

27,541

QBE Insurance Group Ltd.

13,756

210,885

Rio Tinto Ltd.

5,847

326,215

Santos Ltd.

11,167

118,083

Sims Metal Management Ltd.

2,184

31,325

Sonic Healthcare Ltd.

4,951

43,445

SP AusNet

18,149

11,705

Stockland

31,976

100,083

Suncorp-Metway Ltd.

17,053

115,302

TABCORP Holdings Ltd.

8,154

43,510

Tatts Group Ltd.

17,116

32,277

Telstra Corp. Ltd.

58,437

160,178

Toll Holdings Ltd.

8,915

41,010

Transurban Group

17,083

61,044

Wesfarmers Ltd.

2,038

49,409

Wesfarmers Ltd. PPS

13,487

325,285

Westfield Group

29,418

301,627

Westpac Banking Corp.

39,938

710,472

Woodside Petroleum Ltd.

7,300

256,492

Woolworths Ltd.

16,638

379,954

WorleyParsons Ltd.

2,566

47,763

 

 

9,482,427

 

 

 

Austria - 0.3%

 

 

Erste Bank der Oesterreichischen Sparkassen AG

2,535

81,056

IMMOFINANZ AG*

13,309

34,438

OMV AG

2,012

60,946

Raiffeisen International Bank Holding AG*

726

27,809

Telekom Austria AG

4,458

49,805

Verbund - Oesterreichische Elektrizitaetswirtschafts AG

1,013

31,186

Vienna Insurance Group

515

21,582

Voestalpine AG

1,474

40,548

 

 

347,370

 

 

 

Belgium - 0.8%

 

 

Ageas

29,977

67,291

Anheuser-Busch InBev NV

9,687

467,664

Belgacom SA

2,041

64,576

Colruyt SA

202

47,748

Delhaize Group

1,353

98,464

Dexia SA:

 

 

     Common*

7,432

26,022

     Rights*

18

-

Groupe Bruxelles Lambert SA

1,082

75,535

KBC Groep NV*

2,160

83,269

Mobistar SA

362

19,242

Nationale A Portefeuille

369

15,743

Solvay SA

795

68,227

UCB SA

1,353

42,603

Umicore SA

1,529

44,467

 

 

1,120,851

 

 

 

Equity Securities - Cont'd

Shares

Value

Bermuda - 0.0%

 

 

Seadrill Ltd.

3,748

$67,605

 

 

 

Canada - 0.0%

 

 

Thomson Reuters Corp.

1,487

53,420

 

 

 

China - 0.0%

 

 

Foxconn International Holdings Ltd.*

28,683

18,587

 

 

  

 

 

 

Cyprus - 0.0%

 

 

Bank of Cyprus Public Co. Ltd.

7,625

30,711

 

 

 

Denmark - 0.9%

 

 

A P Moller - Maersk A/S:

 

 

     Series A

7

53,567

     Series B

17

133,970

Carlsberg A/S, Series B

1,435

109,655

Coloplast A/S, Series B

305

30,430

Danske Bank A/S*

6,094

117,632

DSV A/S

2,806

40,466

Novo Nordisk A/S, Series B

5,845

473,891

Novozymes A/S, Series B

618

65,927

TrygVesta A/S

343

18,125

Vestas Wind Systems A/S*

2,733

114,184

William Demant Holding A/S*

316

23,193

 

 

1,181,040

 

 

 

Finland - 0.9%

 

 

Elisa Oyj*

1,785

31,057

Fortum Oyj

5,960

131,870

Kesko Oyj, Series B

894

29,096

Kone OYJ, Series B

2,069

82,685

Metso Oyj

1,714

55,011

Neste Oil Oyj

1,720

25,116

Nokia Oyj

50,251

412,394

Nokian Renkaat Oyj

1,444

35,544

Orion Oyj, Class B

1,209

22,736

Outokumpu Oyj

1,711

25,856

Pohjola Bank plc

1,853

18,960

Rautaruukki Oyj

1,129

16,545

Sampo Oyj

5,637

118,542

Sanoma Oyj

1,079

18,710

Stora Enso Oyj, Series R

7,806

56,125

UPM-Kymmene Oyj

6,977

92,919

Wartsila Oyj

1,058

48,440

 

 

1,221,606

 

 

 

France - 7.9%

 

 

Accor SA*

1,966

90,744

Aeroports de Paris

398

25,493

Air France-KLM*

1,812

21,423

 

 

 

Equity Securities - Cont'd

Shares

Value

France - Cont'd

 

 

Air Liquide SA

3,782

$381,798

Alcatel-Lucent*

31,104

79,734

Alstom SA

2,758

125,001

Atos Origin SA*

608

24,407

AXA SA

23,045

351,270

BioMerieux

158

16,294

BNP Paribas

12,723

682,781

Bouygues

3,089

118,918

Bureau Veritas SA

655

35,441

Cap Gemini SA

1,962

86,155

Carrefour SA

8,039

319,018

Casino Guichard-Perrachon SA

740

56,165

Christian Dior SA

853

81,461

Cie de Saint-Gobain

5,162

191,563

Cie Generale de Geophysique-Veritas*

1,926

34,000

Cie Generale d'Optique Essilor International SA

2,747

164,387

CNP Assurances SA

498

34,094

Compagnie Generale des Etablissements Michelin, Series B

1,978

138,580

Credit Agricole SA

12,449

128,079

Dassault Systemes SA

790

48,049

EDF Energies Nouvelles SA

3,473

132,651

Eiffage SA

543

23,558

Eramet

70

17,226

Eurazeo SA

388

22,421

Eutelsat Communications

1,329

44,625

Fonciere Des Regions:

 

 

     Common

326

27,092

     Warrants (strike price 65.00 EUR/share, expires 12/31/10)*

195

113

France Telecom SA

24,877

431,451

GDF Suez

16,686

474,483

Gecina SA

251

22,536

Groupe Danone

7,813

419,345

Groupe Eurotunnel SA

6,401

43,480

Hermes International

708

94,412

Icade SA

311

26,369

Iliad SA

218

16,995

Imerys SA

505

25,670

Ipsen SA

394

12,073

JC Decaux SA*

891

20,744

Klepierre SA

1,220

33,664

Lafarge SA

2,690

146,193

Lagardere SCA

1,583

49,298

Legrand SA

1,765

52,262

L'Oreal SA

3,214

315,651

LVMH Moet Hennessy Louis Vuitton SA

3,290

360,189

M6-Metropole Television SA

865

17,612

Natixis*

11,706

50,613

Neopost SA

418

30,403

PagesJaunes Groupe

1,696

17,560

Pernod-Ricard SA

2,655

206,423

PPR SA

1,019

126,386

PSA Peugeot Citroen SA*

2,041

51,852

 

 

 

Equity Securities - Cont'd

Shares

Value

France - Cont'd

 

 

Publicis Groupe

1,723

$68,839

Renault SA*

2,579

95,395

Safran SA

2,238

62,378

Sanofi-Aventis SA

14,153

857,794

Schneider Electric SA

3,173

322,783

SCOR SE

2,223

42,705

Societe BIC SA

357

25,451

Societe Generale Groupe

8,437

344,946

Societe Television Francaise 1

1,574

20,675

Sodexo

1,265

70,418

Suez Environnement SA

3,614

59,840

Technip SA

1,320

75,539

Thales SA

1,201

38,802

Total SA

28,360

1,268,546

Unibail-Rodamco

1,224

199,662

Vallourec SA

730

125,273

Veolia Environnement

4,636

108,835

Vinci SA

5,841

241,740

Vivendi

16,489

335,277

 

 

10,913,103

 

 

 

Germany - 6.7%

 

 

Adidas AG

2,807

136,175

Allianz SE

6,090

607,781

BASF SE

12,324

675,764

Bayer AG

11,096

622,241

Bayerische Motoren Werke AG:

 

 

     Common

4,442

215,941

     Preferred

700

24,686

Beiersdorf AG

1,352

74,698

Celesio AG

1,027

22,470

Commerzbank AG*

9,511

66,716

Continental AG*

670

34,921

Daimler AG*

12,103

615,969

Deutsche Bank AG

8,330

473,351

Deutsche Boerse AG

2,616

159,746

Deutsche Lufthansa AG*

3,072

42,543

Deutsche Post AG

11,356

165,566

Deutsche Postbank AG*

1,174

34,067

Deutsche Telekom AG

38,039

450,686

E.ON AG

24,165

653,814

Fraport AG Frankfurt Airport Services Worldwide

493

21,060

Fresenius Medical Care AG & Co. KGaA

2,613

142,079

Fresenius SE:

 

 

     Common

378

25,263

     Preferred

1,081

71,842

GEA Group AG

2,219

44,304

Hannover Rueckversicherung AG

809

35,026

HeidelbergCement AG

1,886

90,287

 

 

 

Equity Securities - Cont'd

Shares

Value

Germany - Cont'd

 

 

Henkel AG & Co. KGaA:

 

 

     Common

1,743

$71,545

     Preferred

2,390

116,858

Hochtief AG

610

36,434

Infineon Technologies AG*

14,582

84,698

K+S AG

1,926

89,047

Linde AG

2,264

238,931

MAN AG

1,418

117,496

Merck KGAA

867

63,483

Metro AG

1,739

88,858

Muenchener Rueckversicherungs AG

2,648

333,190

Porsche Automobil Holding SE, Preferred

1,174

50,336

Puma AG Rudolf Dassler Sport

70

18,569

RWE AG:

 

 

     Common

5,618

368,041

     Preferred

523

31,699

Salzgitter AG

564

33,784

SAP AG

11,515

514,064

Siemens AG

11,040

992,944

Suedzucker AG

889

16,023

ThyssenKrupp AG

4,487

110,782

TUI AG*

1,856

16,400

United Internet AG

1,610

17,793

Volkswagen AG:

 

 

     Common

395

33,622

     Preferred

2,283

200,886

Wacker Chemie AG

209

30,401

 

 

9,182,880

 

 

 

Greece - 0.2%

 

 

Alpha Bank AE*

6,810

33,454

Coca Cola Hellenic Bottling Co. SA

2,452

52,581

EFG Eurobank Ergasias SA*

4,336

19,341

Hellenic Telecommunications Organization SA*

3,288

24,846

National Bank of Greece SA*

8,145

89,199

OPAP SA

2,996

37,454

Piraeus Bank SA*

4,512

19,119

Public Power Corp. SA*

1,556

22,430

 

 

298,424

 

 

 

Hong Kong - 2.2%

 

 

ASM Pacific Technology Ltd.

2,646

20,575

Bank of East Asia Ltd.

20,296

73,091

BOC Hong Kong Holdings Ltd.

49,654

112,994

Cathay Pacific Airways Ltd.

15,835

31,206

Cheung Kong Holdings Ltd.

18,647

215,227

Cheung Kong Infrastructure Holdings Ltd.

6,049

22,435

CLP Holdings Ltd.

25,829

187,010

Esprit Holdings Ltd.

15,444

83,483

Genting Singapore plc*

81,239

67,423

Hang Lung Group Ltd.

10,769

57,333

Hang Lung Properties Ltd.

27,826

107,256

Hang Seng Bank Ltd.

10,261

137,223

 

 

 

Equity Securities - Cont'd

Shares

Value

Hong Kong - Cont'd

 

 

Henderson Land Development Co. Ltd.:

 

 

     Common

14,402

$83,905

     Warrants (strike price 58.00 HKD/share, expires 6/1/11)*

1,801

305

Hong Kong & China Gas Co. Ltd.

57,824

143,366

Hong Kong Exchanges and Clearing Ltd.

13,721

214,306

HongKong Electric Holdings

18,614

110,789

Hopewell Highway Infrastructure Ltd.

434

303

Hopewell Holdings

7,661

21,548

Hutchison Whampoa Ltd.

28,603

176,230

Hysan Development Co. Ltd.

8,458

23,836

Kerry Properties Ltd.

9,587

41,089

Li & Fung Ltd.

30,434

136,627

Lifestyle International Holdings Ltd.

7,860

15,245

Link REIT

29,547

73,104

Mongolia Energy Co. Ltd.*

40,945

14,342

MTR Corp.

19,215

65,718

New World Development Ltd.

34,021

54,959

Noble Group Ltd.

39,867

48,241

NWS Holdings Ltd.

11,331

20,279

Orient Overseas International Ltd.*

2,938

20,801

PCCW Ltd.

49,980

14,508

Shangri-La Asia Ltd.

17,433

32,482

Sino Land Co.

22,942

40,980

Sun Hung Kai Properties Ltd.

18,924

257,539

Swire Pacific Ltd.

10,328

117,025

Television Broadcasts Ltd.

3,820

17,728

Wharf Holdings Ltd.

18,476

90,259

Wheelock & Co. Ltd.

12,268

34,551

Wing Hang Bank Ltd.

2,375

23,254

Yue Yuen Industrial Holdings Ltd.

9,956

30,867

 

 

3,039,442

 

 

 

Ireland - 0.3%

 

 

CRH plc

9,368

197,074

Elan Corp. plc*

6,668

30,354

Experian plc

13,768

119,257

Kerry Group plc

1,880

52,341

Ryanair Holdings plc*

4,959

21,821

 

 

420,847

 

 

 

Italy - 2.4%

 

 

A2A SpA

14,713

20,048

Assicurazioni Generali SpA

15,667

274,781

Atlantia SpA

3,221

57,393

Autogrill SpA*

1,536

18,484

Banca Carige SpA

7,589

14,913

Banca Monte dei Paschi di Siena SpA*

29,766

33,872

Banca Popolare di Milano Scarl

5,290

21,938

Banco Popolare SC

8,594

47,468

Beni Stabili SpA*

1,956

1,490

Enel SpA

88,324

375,549

ENI SpA

34,934

644,539

 

 

 

Equity Securities - Cont'd

Shares

Value

Italy - Cont'd

 

 

Exor SpA

860

$14,563

Fiat SpA

10,259

106,119

Finmeccanica SpA

5,430

56,633

Intesa Sanpaolo SpA

103,348

273,535

Intesa Sanpaolo SpA-RSP

12,512

25,031

Luxottica Group SpA

1,558

37,728

Mediaset SpA

9,510

54,422

Mediobanca SpA:

 

 

     Common*

6,354

47,600

     Warrants (strike price 9.00 EUR/share, expires 3/18/11)*

3,783

154

Mediolanum SpA

2,944

11,579

Parmalat SpA

23,177

54,114

Pirelli & C. SpA

35,110

19,500

Prysmian SpA

2,431

35,100

Saipem SpA

3,552

108,496

Snam Rete Gas SpA

19,165

76,576

Telecom Italia SpA

80,860

74,058

Telecom Italia SpA-RSP

125,684

139,229

Terna Rete Elettrica Nazionale SpA

17,451

63,167

UniCredit SpA

206,892

461,567

Unione di Banche Italiane SCPA:

 

 

     Common

8,147

70,455

     Warrants (strike price 12.30 EUR/share, expires 6/30/11)*

5,007

101

 

 

3,240,202

 

 

 

Japan - 19.7%

 

 

77 Bank Ltd.

4,628

24,786

ABC-Mart, Inc.

336

13,170

Acom Co. Ltd.

535

6,888

Advantest Corp.

2,142

44,807

Aeon Co. Ltd.

8,055

85,406

Aeon Credit Service Co. Ltd.

1,053

9,330

Aeon Mall Co. Ltd.

1,093

21,666

Air Water, Inc.

1,954

21,347

Aisin Seiki Co. Ltd.

2,570

69,363

Ajinomoto Co., Inc.

8,923

80,720

Alfresa Holdings Corp.

521

25,107

All Nippon Airways Co. Ltd.*

11,180

35,339

Amada Co. Ltd.

4,788

31,411

Aozora Bank Ltd.

6,642

8,622

Asahi Breweries Ltd.

5,191

87,658

Asahi Glass Co. Ltd.

13,535

126,159

Asahi Kasei Corp.

16,938

88,559

Asics Corp.

2,012

18,418

Astellas Pharma, Inc.

6,067

202,690

Bank of Kyoto Ltd.

4,325

35,481

Bank of Yokohama Ltd.

16,436

74,970

Benesse Corp.

927

42,175

Bridgestone Corp.

8,728

138,226

Brother Industries Ltd.

3,165

32,919

Canon Marketing Japan, Inc.

810

11,402

Canon, Inc.

15,212

566,573

 

 

 

Equity Securities - Cont'd

Shares

Value

Japan - Cont'd

 

 

Casio Computer Co. Ltd.

3,182

$19,043

Central Japan Railway Co.

20

164,540

Chiba Bank Ltd.

10,213

61,466

Chiyoda Corp.

2,095

15,183

Chubu Electric Power Co., Inc.

8,885

220,068

Chugai Pharmaceutical Co. Ltd.

3,004

52,994

Chugoku Bank Ltd.

2,347

27,636

Chugoku Electric Power Co., Inc.

3,983

82,098

Chuo Mitsui Trust Holdings, Inc.

13,351

46,968

Citizen Holdings Co. Ltd.

3,290

19,991

Coca-Cola West Co. Ltd.

745

12,306

Cosmo Oil Co. Ltd.

7,962

19,121

Credit Saison Co. Ltd.

1,990

20,563

Dai Nippon Printing Co. Ltd.

7,519

86,800

Daicel Chemical Industries Ltd.

3,672

24,741

Daido Steel Co. Ltd.

3,789

16,243

Daihatsu Motor Co. Ltd.

2,579

23,917

Dai-ichi Life Insurance Co. Ltd.

107

147,001

Daiichi Sankyo Co. Ltd.

9,038

161,468

Daikin Industries Ltd.

3,146

95,919

Dainippon Sumitomo Pharma Co. Ltd.

2,135

16,393

Daito Trust Construction Co. Ltd.

1,051

59,354

Daiwa House Industry Co. Ltd.

6,439

57,947

Daiwa Securities Group, Inc.

22,299

93,710

Dena Co. Ltd.

1,075

28,321

Denki Kagaku Kogyo KK

6,447

30,041

Denso Corp.

6,524

180,192

Dentsu, Inc.

2,239

59,032

Dowa Holdings Co. Ltd.

3,327

16,007

East Japan Railway Co.

4,562

303,795

Eisai Co. Ltd.

3,382

111,769

Electric Power Development Co. Ltd.

1,564

49,633

Elpida Memory, Inc.*

2,374

36,640

FamilyMart Co. Ltd.

851

28,019

Fanuc Ltd.

2,571

288,147

Fast Retailing Co. Ltd.

711

107,204

Fuji Electric Holdings Co. Ltd.

7,512

21,461

Fuji Heavy Industries Ltd.*

7,878

42,014

Fuji Media Holdings, Inc.

6

8,614

FUJIFILM Holdings Corp.

6,214

178,570

Fujitsu Ltd.

24,998

156,888

Fukuoka Financial Group, Inc.

10,382

43,016

Furukawa Electric Co. Ltd.

8,534

37,448

GS Yuasa Corp.

4,994

32,572

Gunma Bank Ltd.

5,312

28,071

Hachijuni Bank Ltd.

5,757

32,381

Hakuhodo DY Holdings, Inc.

312

15,648

Hankyu Hanshin Holdings, Inc.

15,354

67,492

Hino Motors Ltd.

3,469

17,044

Hirose Electric Co. Ltd.

429

39,129

Hiroshima Bank Ltd.

6,712

26,737

Hisamitsu Pharmaceutical Co., Inc.

893

35,397

 

 

 

Equity Securities - Cont'd

Shares

Value

Japan - Cont'd

 

 

Hitachi Chemical Co. Ltd.

1,397

$25,909

Hitachi Construction Machinery Co. Ltd.

1,298

23,954

Hitachi High-Technologies Corp.

924

16,990

Hitachi Ltd.*

60,625

219,632

Hitachi Metals Ltd.

2,213

22,438

Hokkaido Electric Power Co., Inc.

2,455

52,795

Hokuhoku Financial Group, Inc.

16,806

30,786

Hokuriku Electric Power Co.

2,365

51,787

Honda Motor Co. Ltd.

22,158

642,848

HOYA Corp.

5,837

123,816

Ibiden Co. Ltd.

1,720

46,323

Idemitsu Kosan Co. Ltd.

295

22,134

IHI Corp.

17,716

28,263

INPEX Corp.

11

61,076

Isetan Mitsukoshi Holdings Ltd.

5,029

48,981

Isuzu Motors Ltd.

15,938

47,542

Ito En Ltd.

734

11,220

ITOCHU Corp.

20,203

157,360

Itochu Techno-Solutions Corp.

389

14,082

Iyo Bank Ltd.

3,258

30,230

J Front Retailing Co. Ltd.

6,475

31,221

JAFCO Co. Ltd.

421

9,234

Japan Airlines Corp.*

8,184

93

Japan Petroleum Exploration Co.

383

15,611

Japan Prime Realty Investment Corp.

9

18,894

Japan Real Estate Investment Corp.

6

48,884

Japan Retail Fund Investment Corp.

21

25,506

Japan Steel Works Ltd.

4,236

37,262

Japan Tobacco, Inc.

60

186,341

JFE Holdings, Inc.

6,183

190,686

JGC Corp.

2,780

42,101

Joyo Bank Ltd.

8,826

35,013

JS Group Corp.

3,360

64,085

JSR Corp.

2,403

40,250

JTEKT Corp.

2,587

23,831

Jupiter Telecommunications Co. Ltd.

32

30,466

JX Holdings, Inc.*

30,136

147,154

Kajima Corp.

11,349

25,583

Kamigumi Co. Ltd.

3,313

25,436

Kaneka Corp.

3,991

23,119

Kansai Electric Power Co., Inc.

10,158

247,759

Kansai Paint Co. Ltd.

2,926

25,015

Kao Corp.

7,247

170,187

Kawasaki Heavy Industries Ltd.

19,043

46,168

Kawasaki Kisen Kaisha Ltd.*

9,043

36,552

KDDI Corp.

39

185,065

Keihin Electric Express Railway Co. Ltd.

6,290

55,456

Keio Corp.

7,762

49,937

Keisei Electric Railway Co. Ltd.

3,701

20,594

Keyence Corp.

556

127,771

Kikkoman Corp.

2,117

22,165

Kinden Corp.

1,785

15,163

 

 

 

Equity Securities - Cont'd

Shares

Value

Japan - Cont'd

 

 

Kintetsu Corp.

21,812

$66,435

Kirin Holdings Co. Ltd.

11,228

141,252

Kobe Steel Ltd.

33,439

63,788

Koito Manufacturing Co. Ltd.

1,294

18,983

Komatsu Ltd.

12,731

229,816

Konami Corp.

1,251

19,697

Konica Minolta Holdings, Inc.

6,420

61,719

Kubota Corp.

15,529

118,465

Kuraray Co. Ltd.

4,623

53,927

Kurita Water Industries Ltd.

1,514

41,311

Kyocera Corp.

2,181

175,945

Kyowa Hakko Kirin Co. Ltd.

3,480

33,021

Kyushu Electric Power Co., Inc.

5,090

114,026

Lawson, Inc.

801

34,972

Mabuchi Motor Co. Ltd.

353

16,145

Makita Corp.

1,502

40,028

Marubeni Corp.

22,154

113,366

Marui Group Co. Ltd.

2,993

20,145

Maruichi Steel Tube Ltd.

630

12,051

Matsui Securities Co. Ltd.

1,625

9,894

Mazda Motor Corp.

20,306

47,358

McDonald's Holdings Company (Japan), Ltd.

892

19,961

Mediceo Paltac Holdings Co. Ltd.

1,968

23,386

MEIJI Holdings Co. Ltd.

921

37,594

Minebea Co. Ltd.

4,552

25,070

Mitsubishi Chemical Holdings Corp.

16,169

73,555

Mitsubishi Corp.

18,210

379,071

Mitsubishi Electric Corp.

25,930

201,761

Mitsubishi Estate Co. Ltd.

15,858

219,950

Mitsubishi Gas Chemical Co., Inc.

5,189

25,120

Mitsubishi Heavy Industries Ltd.

40,741

139,788

Mitsubishi Logistics Corp.

1,534

17,102

Mitsubishi Materials Corp.*

14,997

39,991

Mitsubishi Motors Corp.*

52,017

65,753

Mitsubishi Tanabe Pharma Corp.

3,013

45,839

Mitsubishi UFJ Financial Group, Inc.

170,863

773,762

Mitsubishi UFJ Lease & Finance Co. Ltd.

781

26,265

Mitsui & Co. Ltd.

23,316

273,835

Mitsui Chemicals, Inc.

11,656

32,329

Mitsui Engineering & Shipbuilding Co. Ltd.

9,477

19,059

Mitsui Fudosan Co. Ltd.

11,235

156,910

Mitsui Mining & Smelting Co. Ltd.

7,688

20,341

Mitsui OSK Lines Ltd.

15,377

101,376

Mitsui Sumitomo Insurance Group Holdings, Inc.

7,246

154,524

Mitsumi Electric Co. Ltd.

1,056

17,951

Mizuho Financial Group, Inc.

185,254

303,752

Mizuho Trust & Banking Co. Ltd.*

20,229

17,360

Murata Manufacturing Co. Ltd.

2,720

129,416

Namco Bandai Holdings, Inc.

2,515

22,043

NEC Corp.

16,177

41,716

NGK Insulators Ltd.

3,397

52,757

NGK Spark Plug Co. Ltd.

2,156

26,694

 

 

 

Equity Securities - Cont'd

Shares

Value

Japan - Cont'd

 

 

NHK Spring Co. Ltd.

1,964

$17,989

Nidec Corp.

1,459

122,073

Nikon Corp.

4,303

74,094

Nintendo Co. Ltd.

1,330

387,030

Nippon Building Fund, Inc.

6

47,378

Nippon Electric Glass Co. Ltd.

4,674

53,137

Nippon Express Co. Ltd.

11,403

51,257

Nippon Meat Packers, Inc.

2,452

30,287

Nippon Paper Group, Inc.

1,325

36,641

Nippon Sheet Glass Co. Ltd.

8,535

20,760

Nippon Steel Corp.

68,503

226,817

Nippon Telegraph & Telephone Corp.

6,970

284,289

Nippon Yusen Kabushiki Kaisha

20,536

74,501

Nishi-Nippon City Bank Ltd.

9,087

26,129

Nissan Chemical Industries Ltd.

1,867

20,859

Nissan Motor Co. Ltd.*

33,363

231,044

Nissha Printing Co. Ltd.

362

9,671

Nisshin Seifun Group, Inc.

2,531

28,606

Nisshin Steel Co. Ltd.

9,341

14,904

Nisshinbo Holdings, Inc.

1,729

16,589

Nissin Foods Holdings Co. Ltd.

866

31,848

Nitori Co. Ltd.

499

42,906

Nitto Denko Corp.

2,214

72,162

NKSJ Holdings, Inc.*

18,953

112,277

NOK Corp.

1,393

22,089

Nomura Holdings, Inc.

47,409

259,273

Nomura Real Estate Holdings, Inc.

1,276

15,996

Nomura Real Estate Office Fund, Inc.

3

14,906

Nomura Research Institute Ltd.

1,358

28,680

NSK Ltd.

5,917

41,115

NTN Corp.

6,430

26,276

NTT Data Corp.

16

58,963

NTT DoCoMo, Inc.

206

311,202

NTT Urban Development Corp.

15

11,841

Obayashi Corp.

8,713

34,350

Obic Co. Ltd.

93

17,837

Odakyu Electric Railway Co. Ltd.

8,405

71,875

OJI Paper Co. Ltd.

11,425

55,825

Olympus Corp.

2,912

68,856

Omron Corp.

2,727

58,916

Ono Pharmaceutical Co. Ltd.

1,135

46,054

Oracle Corp. Japan

511

25,082

Oriental Land Co. Ltd.

671

55,997

ORIX Corp.

1,405

101,945

Osaka Gas Co. Ltd.

26,065

94,031

Otsuka Corp.

212

13,482

Panasonic Corp.

26,332

328,469

Panasonic Electric Works Co. Ltd.

5,039

49,255

Rakuten, Inc.

96

69,260

Resona Holdings, Inc.

8,151

99,049

Ricoh Co. Ltd.

8,995

114,204

 

 

 

Equity Securities - Cont'd

Shares

Value

Japan - Cont'd

 

 

Rinnai Corp.

472

$24,173

Rohm Co. Ltd.

1,315

78,459

Sankyo Co. Ltd.

720

32,486

Santen Pharmaceutical Co. Ltd.

992

35,661

SANYO Electric Co. Ltd.*

24,789

31,891

Sapporo Hokuyo Holdings, Inc.

4,287

18,899

Sapporo Holdings Ltd.

3,436

14,762

SBI Holdings, Inc.

225

27,864

Secom Co. Ltd.

2,817

124,953

Sega Sammy Holdings, Inc.

2,660

38,040

Seiko Epson Corp.

1,742

22,305

Sekisui Chemical Co. Ltd.

5,791

36,095

Sekisui House Ltd.

7,720

66,116

Senshu Ikeda Holdings, Inc.

8,631

12,477

Seven & I Holdings Co. Ltd.

10,338

236,957

Seven Bank Ltd.

8

14,471

Sharp Corp.

13,413

141,067

Shikoku Electric Power Co., Inc.

2,396

68,444

Shimadzu Corp.

3,376

25,290

Shimamura Co. Ltd.

297

26,726

Shimano, Inc.

891

38,128

Shimizu Corp.

7,935

27,106

Shin-Etsu Chemical Co. Ltd.

5,508

255,984

Shinko Electric Industries Co. Ltd.

906

11,737

Shinko Securities Co. Ltd.

7,639

16,914

Shinsei Bank Ltd.*

12,440

10,489

Shionogi & Co. Ltd.

4,004

82,752

Shiseido Co. Ltd.

4,676

102,748

Shizuoka Bank Ltd.

8,099

70,524

Showa Denko KK

19,084

34,477

Showa Shell Sekiyu KK

2,528

17,436

SMC Corp.

723

96,427

Softbank Corp.

10,894

287,653

Sojitz Corp.

16,793

26,273

Sony Corp.

13,479

358,422

Sony Financial Holdings, Inc.

11

36,745

Square Enix Holdings Co. Ltd.

851

15,630

Stanley Electric Co. Ltd.

1,956

32,342

Sumco Corp.*

1,556

25,884

Sumitomo Chemical Co. Ltd.

21,102

81,391

Sumitomo Corp.

15,102

150,263

Sumitomo Electric Industries Ltd.

10,120

118,334

Sumitomo Heavy Industries Ltd.

7,315

43,039

Sumitomo Metal Industries Ltd.

45,141

101,714

Sumitomo Metal Mining Co. Ltd.

7,024

88,042

Sumitomo Mitsui Financial Group, Inc.

18,025

508,341

Sumitomo Realty & Development Co. Ltd.

4,791

81,628

Sumitomo Rubber Industries, Inc.

2,294

20,181

Sumitomo Trust & Banking Co. Ltd.

19,105

97,089

Suruga Bank Ltd.

2,771

25,078

Suzuken Co. Ltd.

882

29,506

 

 

 

Equity Securities - Cont'd

Shares

Value

Japan - Cont'd

 

 

Suzuki Motor Corp.

4,368

$85,668

Sysmex Corp.

447

25,358

T&D Holdings, Inc.

3,657

77,977

Taiheiyo Cement Corp.*

11,476

14,469

Taisei Corp.

13,772

27,387

Taisho Pharmaceutical Co. Ltd.

1,814

35,758

Taiyo Nippon Sanso Corp.

3,515

27,856

Takashimaya Co. Ltd.

3,551

28,223

Takeda Pharmaceutical Co. Ltd.

10,066

430,357

TDK Corp.

1,651

90,471

Teijin Ltd.

12,553

37,238

Terumo Corp.

2,263

108,187

THK Co. Ltd.

1,616

33,375

Tobu Railway Co. Ltd.

10,945

58,808

Toho Co. Ltd.

1,394

22,958

Toho Gas Co. Ltd.

5,633

30,016

Tohoku Electric Power Co., Inc.

5,735

123,015

Tokio Marine Holdings, Inc.

9,715

254,222

Tokuyama Corp.

4,222

18,512

Tokyo Electric Power Co., Inc.

16,337

444,283

Tokyo Electron Ltd.

2,302

124,190

Tokyo Gas Co. Ltd.

34,465

157,410

Tokyo Steel Manufacturing Co. Ltd.

1,352

15,635

Tokyo Tatemono Co. Ltd.

5,229

16,015

Tokyu Corp.

15,258

62,093

Tokyu Land Corp.

6,083

21,276

TonenGeneral Sekiyu KK

3,791

32,726

Toppan Printing Co. Ltd.

7,507

59,492

Toray Industries, Inc.

16,924

81,124

Toshiba Corp.*

54,018

268,100

Tosoh Corp.

6,856

17,681

TOTO Ltd.

3,740

24,885

Toyo Seikan Kaisha Ltd.

2,034

29,486

Toyo Suisan Kaisha Ltd.

1,264

30,050

Toyoda Gosei Co. Ltd.

872

21,588

Toyota Boshoku Corp.

881

12,846

Toyota Industries Corp.

2,404

60,948

Toyota Motor Corp.

37,013

1,271,559

Toyota Tsusho Corp.

2,850

40,771

Trend Micro, Inc.

1,317

35,470

Tsumura & Co.

807

24,708

Ube Industries Ltd.

12,864

30,453

Unicharm Corp.

555

62,437

UNY Co. Ltd.

2,531

19,200

Ushio, Inc.

1,405

21,670

USS Co. Ltd.

307

21,891

West Japan Railway Co.

22

80,337

Yahoo! Japan Corp.

194

77,024

Yakult Honsha Co. Ltd.

1,298

35,200

Yamada Denki Co. Ltd.

1,102

71,866

Yamaguchi Financial Group, Inc.

2,837

27,029

Yamaha Corp.

2,117

21,480

 

 

 

Equity Securities - Cont'd

Shares

Value

Japan - Cont'd

 

 

Yamaha Motor Co. Ltd.*

3,436

$45,306

Yamato Holdings Co. Ltd.

5,338

70,568

Yamato Kogyo Co. Ltd.

579

14,393

Yamazaki Baking Co. Ltd.

1,625

21,919

Yaskawa Electric Corp.

3,047

22,547

Yokogawa Electric Corp.

2,883

17,745

 

 

27,227,832

 

 

 

Jersey - 0.1%

 

 

Randgold Resources Ltd.

1,208

114,900

 

 

 

Luxembourg - 0.4%

 

 

ArcelorMittal

11,519

307,915

Millicom International Cellular SA

1,020

82,786

SES SA (FDR)

4,021

83,944

Tenaris SA

6,336

110,519

 

 

585,164

 

 

 

Macau - 0.0%

 

 

Sands China Ltd.*

26,997

39,629

 

 

 

Mexico - 0.0%

 

 

Fresnillo plc

2,405

34,759

 

 

 

Netherlands - 3.9%

 

 

Aegon NV*

20,965

112,880

Akzo Nobel NV

3,108

161,586

ASML Holding NV

5,787

159,725

Corio NV

782

38,179

Delta Lloyd NV

999

16,792

European Aeronautic Defence and Space Co. NV*

5,475

112,285

Fugro NV (CVA)

898

41,268

Heineken Holding NV

1,479

54,231

Heineken NV

3,287

140,040

ING Groep NV (CVA)*

51,400

383,553

James Hardie Industries NV*

5,830

30,588

Koninklijke Ahold NV

15,993

199,066

Koninklijke Boskalis Westminster NV

926

36,239

Koninklijke DSM NV

2,069

82,617

Koninklijke KPN NV

21,856

280,491

Koninklijke Philips Electronics NV

13,048

390,898

Koninklijke Vopak NV

943

34,782

QIAGEN NV*

3,101

60,376

Randstad Holding NV*

1,478

58,470

Reed Elsevier NV

9,225

102,283

Royal Dutch Shell plc:

 

 

     Series A

47,576

1,201,940

     Series B

36,173

876,147

SBM Offshore NV

2,206

31,641

TNT NV

4,978

126,103

Unilever NV (CVA)

21,858

598,986

Wolters Kluwer NV

3,928

75,333

 

 

5,406,499

 

 

 

Equity Securities - Cont'd

Shares

Value

New Zealand - 0.1%

 

 

Auckland International Airport Ltd.

12,234

$15,730

Contact Energy Ltd.*

4,076

15,963

Fletcher Building Ltd.

8,133

43,805

Sky City Entertainment Group Ltd.

7,717

15,130

Telecom Corp. of New Zealand Ltd.

25,419

33,053

 

 

123,681

 

 

 

Norway - 0.6%

 

 

Aker Solutions ASA

2,205

25,345

DnB NOR ASA

13,113

126,616

Norsk Hydro ASA:

 

 

     Common

9,152

41,325

     Rights*

2,785

1,443

Orkla ASA

10,354

66,508

Renewable Energy Corp. ASA*

6,690

15,771

StatoilHydro ASA

14,975

289,826

Telenor ASA

11,123

140,174

Yara International ASA

2,543

71,403

 

 

778,411

 

 

 

Portugal - 0.2%

 

 

Banco Comercial Portugues SA

37,796

28,476

Banco Espirito Santo SA

7,044

27,899

Brisa Auto-Estradas de Portugal SA

2,415

14,688

Cimpor Cimentos de Portugal SGPS SA

2,705

15,108

Energias de Portugal SA

23,458

69,616

Galp Energia SGPS SA, B Shares

3,104

46,583

Jeronimo Martins SGPS SA

2,955

27,079

Portugal Telecom SGPS SA

7,819

77,898

 

 

307,347

 

 

 

Singapore - 1.4%

 

 

Ascendas REIT

20,091

25,988

CapitaLand Ltd.

34,207

87,404

CapitaMall Trust

29,877

38,966

CapitaMalls Asia Ltd.

18,240

27,209

City Developments Ltd.

7,320

57,813

ComfortDelgro Corp. Ltd.

25,194

26,150

Cosco Corp. Singapore Ltd.

13,521

14,220

DBS Group Holdings Ltd.

22,973

223,222

Fraser and Neave Ltd.

13,114

48,028

Golden Agri-Resources Ltd.

89,584

33,600

Jardine Cycle & Carriage Ltd.

1,431

30,437

Keppel Corp. Ltd.

17,132

103,447

Keppel Land Ltd.

9,596

26,457

K-Green Trust*

3,426

2,577

Neptune Orient Lines Ltd.*

12,126

17,144

Olam International Ltd.

16,253

29,824

Oversea-Chinese Banking Corp. Ltd.

32,658

205,865

SembCorp Industries Ltd.

13,175

38,154

SembCorp Marine Ltd.

11,117

30,457

 

 

 

Equity Securities - Cont'd

Shares

Value

Singapore - Cont'd

 

 

Singapore Airlines Ltd.

7,167

$74,414

Singapore Exchange Ltd.

11,480

60,197

Singapore Press Holdings Ltd.

20,311

54,833

Singapore Technologies Engineering Ltd.

22,282

52,217

Singapore Telecommunications Ltd.

106,884

231,363

StarHub Ltd.

8,050

12,947

United Overseas Bank Ltd.

16,361

227,769

UOL Group Ltd.

6,308

17,047

Wilmar International Ltd.

17,153

70,339

Yangzijiang Shipbuilding Holdings Ltd.

19,608

18,757

 

 

1,886,845

 

 

 

South Africa - 0.0%

 

 

VenFin DD Holdings Ltd.*

2,900

5,323

 

 

 

Spain - 3.0%

 

 

Abertis Infraestructuras SA

3,966

57,435

Acciona SA

341

26,029

Acerinox SA

1,338

20,848

ACS Actividades de Construccion y Servicios SA

1,900

69,839

Banco Bilbao Vizcaya Argentaria SA

47,776

495,379

Banco de Sabadell SA

12,881

58,442

Banco de Valencia SA

2,915

13,018

Banco Popular Espanol SA

11,627

59,591

Banco Santander SA

110,445

1,166,438

Bankinter SA

3,811

23,274

Cintra Concesiones de Infraestructuras de Transporte SA

5,905

38,342

Criteria Caixacorp SA

11,281

46,406

EDP Renovaveis SA*

2,926

17,258

Enagas SA

2,402

36,282

Fomento de Construcciones y Contratas SA

512

10,991

Gamesa Corp. Tecnologica SA*

2,611

22,522

Gas Natural SDG SA

3,092

44,822

Gestevision Telecinco SA

1,323

11,799

Grifols SA

1,858

19,069

Iberdrola Renovables SA

11,335

35,591

Iberdrola SA

52,858

297,916

Iberia Lineas Aereas de Espana SA*

6,394

18,205

Inditex SA

2,927

166,847

Indra Sistemas SA

1,211

19,511

Mapfre SA

10,120

27,606

Red Electrica de Espana SA

1,452

52,167

Repsol YPF SA

9,829

199,590

Telefonica SA

55,117

1,022,978

Zardoya Otis SA

1,786

23,128

 

 

4,101,323

 

 

 

Equity Securities - Cont'd

Shares

Value

Sweden - 2.5%

 

 

Alfa Laval AB

4,530

$58,846

Assa Abloy AB, Series B

4,187

83,987

Atlas Copco AB:

 

 

     Series A

9,010

132,655

     Series B

5,236

69,745

Boliden AB

3,670

40,878

Electrolux AB, Series B

3,218

73,876

Getinge AB, Series B

2,685

52,254

Hennes & Mauritz AB, B Shares

13,719

379,389

Holmen AB, Series B

708

16,893

Husqvarna AB, Series B

5,465

33,077

Investor AB, Series B

6,111

99,470

Kinnevik Investment AB, Series B

2,912

46,924

Loomis AB, Series B

521

4,997

Modern Times Group AB, Series B

675

37,028

Nordea Bank AB

43,340

359,496

OMX AB (b)*

588

-

Ratos AB, Series B

1,363

34,394

Sandvik AB

13,530

165,633

Scania AB, Series B

4,293

65,817

Securitas AB, Series B

4,201

38,136

Skandinaviska Enskilda Banken AB

18,926

100,958

Skanska AB, Series B

5,354

77,727

SKF AB, Series B

5,228

94,183

SSAB AB, Class B

1,115

13,367

SSAB Svenskt Stal AB

2,423

32,661

Svenska Cellulosa AB, Series B

7,674

90,782

Svenska Handelsbanken AB

6,566

161,734

Swedbank AB*

9,459

87,587

Swedish Match AB

3,199

70,088

Tele2 AB, Series B

4,178

62,821

Telefonaktiebolaget LM Ericsson, Series B

40,410

452,481

TeliaSonera AB

30,127

194,770

Volvo AB, Series B*

14,600

161,469

 

 

3,394,123

 

 

 

Switzerland - 7.1%

 

 

ABB Ltd.*

29,615

514,764

Actelion Ltd.*

1,368

51,029

Adecco SA

1,650

77,873

Aryzta AG

1,089

41,800

Baloise Holding AG

670

46,630

Compagnie Financiere Richemont SA

7,004

243,741

Credit Suisse Group AG

15,101

567,710

GAM Holding Ltd.*

2,772

30,227

Geberit AG

521

80,816

Givaudan SA

102

86,239

Holcim Ltd.

3,291

220,351

Julius Baer Group Ltd.

2,772

78,943

Kuehne + Nagel International AG

724

74,180

 

 

 

Equity Securities - Cont'd

Shares

Value

Switzerland - Cont'd

 

 

Lindt & Spruengli AG:

 

 

     Participation Certificates

11

$23,893

     Registered Shares

1

24,510

Logitech International SA*

2,442

33,176

Lonza Group AG

609

40,552

Nestle SA

46,528

2,245,600

Nobel Biocare Holding AG

1,660

28,379

Novartis AG

28,314

1,374,077

Pargesa Holding SA

362

23,724

Roche Holding AG

9,427

1,294,910

Schindler Holding AG:

 

 

     Participation Certificates

652

54,838

     Registered Shares

288

23,977

SGS SA

73

98,313

Sika AG

27

47,732

Sonova Holding AG

615

75,438

STMicroelectronics NV

8,550

68,076

Straumann Holding AG

104

22,508

Swatch Group AG:

 

 

     Bearer Shares

413

115,615

     Registered Shares

582

29,770

Swiss Life Holding AG*

408

39,061

Swiss Reinsurance

4,725

194,422

Swisscom AG

312

105,730

Syngenta AG

1,269

293,118

UBS AG*

48,832

647,476

Xstrata plc

27,605

361,808

Zurich Financial Services AG

1,978

434,313

 

 

9,815,319

 

 

 

United Kingdom - 16.0%

 

 

3i Group plc

13,020

51,335

Admiral Group plc

2,681

56,078

Aggreko plc

3,490

72,888

AMEC plc

4,453

54,306

Anglo American plc*

17,665

614,346

Antofagasta plc

5,291

61,441

ARM Holdings plc

17,600

72,847

Associated British Foods plc

4,780

68,732

AstraZeneca plc

19,488

916,053

Autonomy Corp. plc*

2,905

78,432

Aviva plc

37,123

172,612

BAE Systems plc

47,344

220,034

Balfour Beatty plc

9,195

32,686

Barclays plc

153,476

608,703

BG Group plc

45,293

670,745

BHP Billiton plc

29,614

766,624

BP plc

251,852

1,210,060

British Airways plc*

7,739

22,468

British American Tobacco plc

26,791

848,672

British Land Co. plc

11,649

74,495

British Sky Broadcasting Group plc

15,288

159,520

 

 

 

Equity Securities - Cont'd

Shares

Value

United Kingdom - Cont'd

 

 

BT Group plc

104,026

$198,732

Bunzl plc

4,407

43,966

Burberry Group plc

5,830

65,768

Cable & Wireless Communications plc

21,296

18,176

Cable & Wireless Worldwide

34,820

44,624

Cairn Energy plc*

18,752

114,775

Capita Group plc

8,359

91,748

Capital & Counties Properties plc*

7,880

12,779

Carnival plc

2,247

72,050

Carphone Warehouse Group plc*

1

2

Centrica plc

68,874

303,416

Cobham plc

15,407

48,582

Compass Group plc

25,074

190,313

Diageo plc

33,605

526,770

Eurasian Natural Resources Corp.

3,455

43,964

F&C Asset Management plc

2,040

1,578

FirstGroup plc

6,455

34,937

G4S plc

18,926

75,023

GlaxoSmithKline plc

69,661

1,181,030

Hammerson plc

9,430

47,660

Home Retail Group plc

11,773

37,248

HSBC Holdings plc

233,786

2,133,692

ICAP plc

7,471

44,801

Imperial Tobacco Group plc

13,662

381,080

Inmarsat plc

5,858

62,092

Intercontinental Hotels Group plc

3,475

54,145

International Power plc

20,429

90,545

Invensys plc

10,829

38,696

Investec plc

5,689

38,278

ITV plc*

49,576

36,920

J Sainsbury plc

16,165

76,949

Johnson Matthey plc

2,880

63,792

Kazakhmys plc

2,872

42,155

Kingfisher plc

31,689

98,382

Land Securities Group plc

10,181

83,544

Legal & General Group plc

78,665

91,565

Liberty International plc

6,257

28,876

Lloyds TSB Group plc*

538,734

427,617

London Stock Exchange Group plc

2,000

16,568

Lonmin plc*

2,072

43,264

Man Group plc

22,968

76,012

Marks & Spencer Group plc

21,227

104,660

National Grid plc

46,456

342,354

Next plc

2,531

74,928

Old Mutual plc

72,817

111,429

Pearson plc

10,886

142,512

Petrofac Ltd.

3,478

61,181

Prudential plc

33,978

254,771

Reckitt Benckiser Group plc

8,216

380,196

Reed Elsevier plc

16,280

120,232

Resolution Ltd.

32,371

30,463

 

 

 

Equity Securities - Cont'd

Shares

Value

United Kingdom - Cont'd

 

 

Rexam plc

11,765

$52,816

Rio Tinto plc

19,437

850,900

Rolls-Royce Group plc*

24,879

207,264

Royal Bank of Scotland Group plc*

226,900

136,713

RSA Insurance Group plc

45,931

81,560

SABMiller plc

12,728

353,533

Sage Group plc

17,632

60,359

Schroders plc

1,499

26,988

Scottish & Southern Energy plc

12,386

205,414

Segro plc

9,853

37,129

Serco Group plc

6,588

57,411

Severn Trent plc

3,174

57,935

Shire plc

7,537

153,260

Smith & Nephew plc

11,910

112,179

Smiths Group plc

5,235

82,888

Standard Chartered plc

27,176

659,987

Standard Life plc

30,008

77,045

TalkTalk Telecom Group plc*

3,841

7,102

Tesco plc

107,145

603,519

Thomas Cook Group plc

11,516

30,382

Tomkins plc

11,841

39,796

TUI Travel plc

7,500

23,275

Tullow Oil plc

11,871

176,898

Unilever plc

17,221

459,145

United Utilities Group plc

9,145

71,291

Vedanta Resources plc

1,636

51,501

Vodafone Group plc

706,046

1,463,669

Whitbread plc

2,360

49,361

William Morrison Supermarkets plc

28,458

112,237

Wolseley plc*

3,808

74,478

WPP plc

16,828

158,310

 

 

22,072,262

 

 

 

United States - 0.1%

 

 

Synthes, Inc.

796

91,556

 

 

 

     Total Equity Securities (Cost $137,024,394)

 

116,603,488

 

 

 

Exchange Traded Funds - 14.0%

 

 

iShares MSCI EAFE Index Fund

394,932

18,368,288

iShares MSCI Israel Capped Investable Market Index Fund

20,918

953,233

 

 

 

     Total Exchange Traded Funds (Cost $20,237,898)

 

19,321,521

 

 

 

 

 

 

 

Principal

 

Time Deposit - 5.2%

Amount

Value

State Street Corp. Time Deposit, 0.01%, 7/1/10

$7,234,537

$7,234,537

 

 

 

     Total Time Deposit (Cost $7,234,537)

 

7,234,537

 

 

 

          TOTAL INVESTMENTS (Cost $164,496,829) - 103.8%

 

143,159,546

          Other assets and liabilities, net - (3.8%)

 

(5,288,631)

          Net Assets - 100%

 

$137,870,915

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to the following shares of common stock outstanding with 20,000,000 shares of $.10 par value shares authorized:

 

 

     Class I: 2,160,360 shares outstanding

 

$166,135,545

     Class F 100,413 shares outstanding

 

6,728,653

Undistributed net investment income

 

1,958,401

Accumulated net realized gain (loss) on investments and foreign currency transactions

 

(15,613,773)

Net unrealized appreciation (depreciation) on investments, foreign currencies, and assets

 

 

     and liabilities denominated in foreign currencies

 

(21,337,911)

 

 

 

     Net Assets

 

$137,870,915

 

 

 

Net Asset Value Per Share

 

 

Class I (based on net assets of $131,564,147)

 

$60.90

Class F (based on net assets of $6,306,768)

 

$62.81

(b) This security was valued by the Board of Directors. See Note A.

* Non-income producing security.

Abbreviations:

CVA: Certification Van Aandelen
FDR: Fiduciary Depositary Receipts
REIT: Real Estate Investment Trust

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income (net of foreign taxes withheld of $207,585)

$2,126,435

     Interest income

926

          Total investment income

2,127,361

 

 

Expenses:

 

     Investment advisory fee

277,454

     Transfer agency fees and expenses

1,968

     Administrative fees

49,545

     Distribution Plan expenses:

 

          Class F

5,927

     Directors' fees and expenses

7,049

     Custodian fees

92,937

     Reports to shareholders

37,244

     Professional fees

22,951

     Accounting fees

7,767

     Contract services

33,422

     Miscellaneous

1,397

          Total expenses

537,661

          Reimbursement from Advisor:

 

               Class I

(56,361)

               Class F

(4,228)

          Fees paid indirectly

(464)

               Net expenses

476,608

 

 

          Net Investment Income

1,650,753

 

 

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) on:

 

     Investments

(1,324,820)

     Foreign currency transactions

(19,156)

 

(1,343,976)

 

 

Change in unrealized appreciation (depreciation) on:

 

     Investments and foreign currencies

(18,674,554)

     Assets and liabilities denominated in foreign currencies

(9,941)

 

(18,684,495)

 

 

               Net Realized and Unrealized Gain

 

                (Loss)

(20,028,471)

 

 

               Increase (Decrease) in Net Assets

 

               Resulting From Operations

($18,377,718)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$1,650,753

$1,548,418

     Net realized gain (loss)

(1,343,976)

854,749

     Change in unrealized appreciation (depreciation)

(18,684,495)

16,980,244

 

 

 

          Increase (Decrease) in Net Assets

 

 

          Resulting From Operations

(18,377,718)

19,383,411

 

 

 

Distributions to shareholders from:

 

 

     Net investment income:

 

 

          Class I shares

--

(1,583,672)

          Class F shares

--

(41,939)

               Total distributions

--

(1,625,611)

 

 

 

Capital share transactions:

 

 

     Shares sold:

 

 

          Class I shares

65,760,827

17,519,588

          Class F shares

2,794,494

3,196,044

     Reinvestment of distributions:

 

 

          Class I shares

--

1,583,666

          Class F shares

--

41,939

     Shares issued from merger (see Note F):

 

 

          Class I shares

10,969,047

--

     Shares redeemed:

 

 

          Class I shares

(9,659,599)

(20,101,692)

          Class F shares

(458,597)

(451,745)

               Total capital share transactions

69,406,172

1,787,800

 

 

 

Total Increase (Decrease) in Net Assets

51,028,454

19,545,600

 

 

 

Net Assets

 

 

Beginning of period

86,842,461

67,296,861

End of period (including undistributed net investment income of $1,958,401 and $307,648, respectively)

$137,870,915

$86,842,461

 

See notes to financial statements.

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Capital Share Activity

2010

20089

Shares sold:

 

 

     Class I shares

1,151,179

303,824

     Class F shares

39,755

51,752

Reinvestment of distributions:

 

 

     Class I shares

--

22,318

     Class F shares

--

572

Shares issued from merger (see Note F):

 

 

     Class I shares

157,015

--

Shares redeemed:

 

 

     Class I shares

(303,117)

(337,457)

     Class F shares

(6,883)

(7,644)

          Total capital share activity

1,037,949

33,365

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: Calvert VP EAFE International Index Portfolio (the "Portfolio"), formerly known as Summit EAFE International Index Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio offers Class I and Class F shares. Class F shares are subject to Distribution Plan Expenses. 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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Foreign securities are valued based on quotations from the principal market in which such securities are normally traded. If events occur after the close of the principal market in which foreign securities are traded, and before the close of business of the fund, that are expected to materially affect the value of those securities, then they are valued at their fair value taking these events into account. 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 Directors.

The Portfolio has retained a third party fair value pricing service to quantitatively analyze the price movement of its holdings on foreign exchanges and to automatically fair value if the variation from the prior day's closing price exceeds specified parameters. On June 30, 2010, price movements exceeded specified parameters and the third party fair value pricing service quantitatively fair valued the affected securities.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, securities valued at $0 or 0.0% of net assets were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity Securities*

$108,025

$116,495,463**

--

$116,603,488

Exchange Traded Funds

19,321,521

--

--

19,321,521

Other Debt Obligations

--

7,234,537

--

7,234,537

TOTALS

$19,429,546

$123,730,000

--

$143,159,546

*For further breakdown of Equity Securities by country, please refer to the Statement of Net Assets.

**Includes certain securities trading primarily outside the U.S. whose value was adjusted as a result of significant market movements following the close of local trading.

Foreign Currency Transactions: The Portfolio's accounting records are maintained in U.S. dollars. For valuation of assets and liabilities on each date of net asset value determination, foreign denominations are translated into U.S. dollars using the current exchange rate. Security transactions, income and expenses are translated at the prevailing rate of exchange on the date of the event. The effect of changes in foreign exchange rates on securities and foreign currencies is included with the net realized and unrealized gain or loss on investments and foreign currencies.

Security Transactions and 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 Portfolio is informed of the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Investment income and realized and unrealized gains and losses are allocated to separate classes of shares based upon the relative net assets of each class. Expenses arising in connection with a class are charged directly to that class. Expenses common to the classes are allocated to each class in proportion to their relative net assets. Withholding taxes on foreign dividends have been provided for in accordance with the Portfolio's understanding of the applicable country's tax rules and rates.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010.

Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .56% of the Portfolio's average daily net assets. Under the terms of the agreement, $60,413 was payable at period end. In addition, $28,911 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .95% and 1.15% for Class I and Class F, respectively. 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 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 Portfolio for an annual fee, payable monthly, of .10% based on the Portfolio's average daily net assets. Under the terms of the agreement, $10,788 was payable at period end.

Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Portfolio. Distribution plans, adopted by Class F shares, allow the Portfolio to pay the distributor for expenses and services associated with the distribution of shares. The expenses paid may not exceed .20% annually of the average daily net assets of Class F. Under the terms of the agreement, $1,064 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $93 for the six months ended June 30, 2010. Under the terms of the agreement, $16 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities, were $87,609,646 and $28,299,241, respectively.

Capital Loss Carryforward
Expiration Date

31-Dec-16                   $13,907,367

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010 the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$3,413,371

Unrealized (depreciation)               

(25,181,608)

Net unrealized appreciation/(depreciation)     

($21,768,237)

Federal income tax cost of investments     

$164,927,783

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month Of
Maximum
Amount
Borrowed

 

$59,152

1.53%

$3,411,084

May 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

Note F -- Reorganization

On December 10, 2009, the Board of Directors approved an Agreement and Plan of Reorganization (the "Plan") which provides for the transfer of all the assets of the Calvert Variable Series, Inc., Calvert Social International Equity Portfolio ("International Equity") for shares of the acquiring portfolio, Calvert Variable Products, Inc., EAFE International Index Portfolio ("EAFE") and the assumption of the liabilities of International Equity. Shareholders approved the Plan at a meeting on April 16, 2010 and the reorganization took place on April 30, 2010.

The acquisition was accomplished by a tax-free exchange of the following shares:

Merged Portfolio

Shares

Acquiring
Portfolio

Shares

Value

International Equity

      1,006,852

EAFE

157,015

$10,969,047

For financial reporting purposes, assets received and shares issued by EAFE were recorded at fair value; however, the cost basis of the investments received from International Equity were carried forward to align ongoing reporting of EAFE's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets and net unrealized appreciation (depreciation) immediately before the acquisitions were

as follows:

Merged Portfolio

Net
Assets

Unrealized
Appreciation
(Depreciation)

Acquiring
Portfolio

Net
Assets

International Equity

      $10,969,047

$(16,862)

EAFE

$86,948,835

Assuming the acquisition had been completed on January 1, 2010, EAFE's results of operations for the six months ended June 30, 2010 would have been as follows:

Net investment income

$1,673,183

(a)

Net realized and change in unrealized gain (loss) on investments

$20,166,281

(b)

Net increase (decrease) in assets from operations

($18,493,098)

 

Because EAFE and International Equity sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is also not practicable to separate the amounts of revenue and earnings of International Equity that have been included in EAFE's Statement of Operations since April 30, 2010.

(a) $1,650,753, as reported, plus $22,430 from International Equity pre-merger.

(b) ($20,028,471), as reported, plus ($137,810) from International Equity pre-merger.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

Class I Shares

2010 (z)

2009

2008

Net asset value, beginning

$70.89

$56.55

$104.77

Income from investment operations

 

 

 

     Net investment income

1.06

1.33

2.17

     Net realized and unrealized gain (loss)

(11.05)

14.41

(45.83)

          Total from investment operations

(9.99)

15.74

(43.66)

Distributions from

 

 

 

     Net investment income

--

(1.40)

(2.77)

     Net realized gain

--

--

(1.79)

          Total distributions

--

(1.40)

(4.56)

Total increase (decrease) in net asset value

(9.99)

14.34

(48.22)

Net asset value, ending

$60.90

$70.89

$56.55

 

 

 

 

Total return*

(14.09%)

27.83%

(42.68%)

Ratios to average net assets: A

 

 

 

     Net investment income

3.35% (a)

2.10%

2.51%

     Total expenses

1.07% (a)

1.05%

1.22%

     Expenses before offsets

.95% (a)

.95%

.95%

     Net expenses

.95% (a)

.95%

.95%

Portfolio turnover

29%

29%

47%

Net assets, ending (in thousands)

$131,564

$81,899

$65,973

 

 

 

 

 

 

 

 

 

  

Years Ended

 

 

December 31,

December 31,

December 31,

Class I Shares

2007

2006

2005

Net asset value, beginning

$98.66

$81.98

$74.34

Income from investment operations

 

 

 

     Net investment income

1.00

1.46

1.59

     Net realized and unrealized gain (loss)

8.00

18.83

7.59

          Total from investment operations

9.80

20.29

9.18

Distributions from

 

 

 

     Net investment income

(1.48)

(1.63)

(.72)

     Net realized gain

(2.21)

(1.98)

(.82)

          Total distributions

(3.69)

(3.61)

(1.54)

Total increase (decrease) in net asset value

6.11

16.68

7.64

Net asset value, ending

$104.77

$98.66

$81.98

 

 

 

 

Total return*

10.10%

25.56%

12.57%

Ratios to average net assets: A

 

 

 

     Net investment income

1.48%

1.66%

1.75%

     Total expenses

1.26%

1.29%

1.50%

     Expenses before offsets

.95%

.95%

.95%

     Net expenses

.95%

.95%

.95%

Portfolio turnover

48%

44%

77%

Net assets, ending (in thousands)

$118,631

$58,754

$44,084

 

See notes to financial highlights.

 

Financial Highlights

 

Periods Ended

 

June 30,

December 31,

Class F Shares

2010 (z)

2009

Net asset value, beginning

$73.19

$57.91

Income from investment operations

 

 

     Net investment income

1.07

.68

     Net realized and unrealized gain (loss)

(11.45)

15.23

          Total from investment operations

(10.38)

15.91

Distributions from

 

 

     Net investment income

--

(.63)

     Net realized gain

--

--

          Total distributions

--

(.63)

Total increase (decrease) in net asset value

(10.38)

15.28

Net asset value, ending

$62.81

$73.19

 

 

 

Total return*

(14.18%)

27.47%

Ratios to average net assets: A

 

 

     Net investment income

3.07% (a)

1.67%

     Total expenses

1.29% (a)

1.42%

     Expenses before offsets

1.15% (a)

1.15%

     Net expenses

1.15% (a)

1.15%

Portfolio turnover

29%

29%

Net assets, ending (in thousands)

$6,307

$4,943

 

 

 

 

 

 

 

Periods Ended

 

December 31,

December 31,

Class F Shares

2008

2007^

Net asset value, beginning

$104.76

$102.10

Income from investment operations

 

 

     Net investment income

1.25

.01

     Net realized and unrealized gain (loss)

(45.05)

2.65

          Total from investment operations

(43.80)

2.66

Distributions from

 

 

     Net investment income

(1.26)

--

     Net realized gain

(1.79)

--

          Total distributions

(3.05)

--

Total increase (decrease) in net asset value

(46.85)

2.66

Net asset value, ending

$57.91

$104.76

 

 

 

Total return*

(42.81%)

2.61%

Ratios to average net assets: A

 

 

     Net investment income

1.33%

.25% (a)

     Total expenses

1.42%

1.46% (a)

     Expenses before offsets

1.15%

1.15% (a)

     Net expenses

1.15%

1.15% (a)

Portfolio turnover

47%

48%

Net assets, ending (in thousands)

$1,324

$1

 

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

(z) Per share figures calculated using the Average Shares Method.

* Total return is not annualized for periods less than one year.

^ From December 17, 2007 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 typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

<PAGE>

 

Calvert VP Barclays Capital Aggregate Bond Index Portfolio
(formerly Summit Barclays Capital Aggregate Bond Index Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

13

Statement of Operations

14

Statements of Changes in Net Assets

15

Notes to Financial Statements

19

Financial Highlights

21

Explanation of Financial Tables

22

Proxy Voting

23

Availability of Quarterly Portfolio Holdings

 

Calvert VP Barclays Capital Aggregate Bond Index Portfolio

Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

Over the six-month reporting period, the U.S. continued its slow recovery from the deepest recession of the post-World War II era. Assuming that the consensus1 expectation for a moderate 3.3% pace of economic growth in the second quarter of 2010 holds true, gross domestic product (GDP) will have grown at a 3.4% pace in the 12 months since the trough of the recession, with a 3.0% economic growth rate in the first half of 2010. While both rates are near the average for the last 50 years, they are well below the pace seen during previous recoveries from deep recessions. In fact, after the end of the reporting period, expectations for GDP growth continued to trend lower.

Consumer prices rose at an increasingly slow rate over the past six months--a phenomenon known as "disinflation." In fact, the yearly core inflation rate toward the end of the reporting period was only 0.9%2, the lowest since 1966. The labor market improved but remained quite weak, with the June unemployment rate at 9.5%.

As the sovereign debt crisis in the European Economic and Monetary Union (euro zone) deepened and spread, it drove market moves during the period. Debt-laden euro-zone governments and banks found it increasingly difficult to fund their debts in public markets. This rekindled investors' fears of another global markets meltdown, which always seemed to be lurking just below the surface.

The fear reached a crescendo in early May, when the European Union, International Monetary Fund, and European Central Bank announced massive support initiatives. The fear ebbed and euro-zone lending markets calmed, but concerns about the outlook for global and U.S. growth sank investor confidence and the second quarter closed on a down note.

The Federal Reserve (Fed) left the target federal funds rate near zero percent and repeatedly indicated that it would

Calvert VP Barclays Capital Aggregate
Bond Index Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month**

5.35%

One year

8.61%

Five year

5.40%

Since inception (3.31.03)

4.73%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

The performance data shown represents past performance, and does not guarantee future results.The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

** Total return is not annualized for periods of one year or less.

 

remain low for an "extended period."3 By the end of June, lending rates signaled that the market did not expect the Fed to begin raising rates until mid-2011. In the meantime, the Fed finished closing its emergency support facilities and tested some policy exit strategies. However, it did reopen dollar currency swap lines with the major central banks in response to the euro-zone debt crisis.

Toward the end of the reporting period, investors once again became more risk averse and flocked to low-yielding, liquid Treasuries--driving yields down even further. As a result, the benchmark 10-year Treasury note's yield fell 0.90 percentage points over the six-month period to 2.95%. However, with the Fed's interest-rate moves on hold, most money-market rates were nearly unchanged and three-month Treasury bills yielded only 0.17% at the end of June.4

Demand for municipal bonds remained strong as lower tax-exempt supply and attractive ratios to Treasuries outweighed concerns over state and local government budgetary strains. The success of the taxable Build America Bonds has reduced the supply of tax-exempt municipals, so the level of interest rates for long-term, tax-exempt municipals are now twice as high as those of Treasuries.

Outlook

We expect the fragile recovery to continue as the post-crisis deleveraging in the U.S. and other western economies plays out, with slow economic growth and little consumer price inflation.

Globally, the Fed and other central banks are running extremely easy monetary policies with rock-bottom interest rates. This has generally led investors to hunt far and wide to try to achieve higher returns, and take on greater risk than they did during the financial crisis of 2008 and early 2009. We saw a similar pattern in the middle of the last decade.

Given the low level of interest rates, even on bonds with higher levels of credit risk, we plan to keep the durations of our funds shorter than their respective benchmarks to help minimize the negative effects of an eventual rise in interest rates. We also plan to maintain a conservative credit risk profile in the near term.

Sincerely,

Catherine Roy
Senior Vice President and Chief Investment Officer, Fixed Income
Calvert Asset Management Company
July 2010

1. Forecast source: Wall Street Journal Economic Forecasting Survey of June 2010. Actual GDP data source: Bureau of Economic Analysis

2. Year-over-year core CPI rate as of May 2010 according to the Bureau of Labor Statistics

3. Federal Open Market Committee

4. Interest rate data sources: Bloomberg and Federal Reserve

Economic Sectors

% of Total
Investments

 

 

Asset-Backed Securities

0.1%

Basic Materials

0.2%

Communications

2.7%

Consumer, Cyclical

1.5%

Consumer, Non-cyclical

2.7%

Energy

2.0%

Exchange Traded Funds

1.5%

Financials

3.8%

Government

41.0%

Industrials

2.7%

Mortgage Securities

36.3%

Technology

0.8%

Time Deposit

4.4%

Utilities

0.3%

Total

100%

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$1,053.50

$2.82

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,022.05

$2.78

* Expenses are equal to the Fund's annualized expense ratio of .55%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
JUNE 30, 2010

 

Principal

 

Asset-Backed Securities - 0.1%

Amount

Value

Residential Asset Securities Corp., STEP, 4.61% to 3/25/13, 5.11% thereafter to 5/25/33 (r)

$92,277

$60,825

 

 

 

     Total Asset-Backed Securities (Cost $91,268)

 

60,825

 

 

 

Commercial Mortgage-Backed Securities - 2.0%

 

 

Banc of America Commercial Mortgage, Inc.:

 

 

     6.186%, 6/11/35

495,164

514,173

     5.867%, 4/10/49 (r)

550,000

549,265

Bear Stearns Commercial Mortgage Securities:

 

 

     4.24%, 8/13/39 (r)

237,065

243,577

     4.254%, 7/11/42

251,560

254,136

 

 

 

     Total Commercial Mortgage-Backed Securities (Cost $1,478,125)

 

1,561,151

 

 

 

Corporate Bonds - 17.1%

 

 

Alcoa, Inc., 5.72%, 2/23/19

149,000

141,873

Apache Corp., 5.625%, 1/15/17

100,000

112,648

AstraZeneca plc, 6.45%, 9/15/37

350,000

424,131

Bank of America Corp., 7.375%, 5/15/14

100,000

112,099

BlackRock, Inc., 3.50%, 12/10/14

100,000

103,903

BP Capital Markets plc, 3.625%, 5/8/14

200,000

171,500

CA, Inc., 5.375%, 12/1/19

100,000

104,953

Camden Property Trust, 5.875%, 11/30/12

100,000

106,741

Citigroup, Inc.:

 

 

     6.50%, 8/19/13

125,000

133,147

     6.125%, 5/15/18

200,000

208,736

Coca-Cola Co., 5.35%, 11/15/17

100,000

114,302

Colonial Pipeline Co., 6.58%, 8/28/32 (e)

100,000

116,359

Connecticut Light & Power Co., 5.65%, 5/1/18

200,000

225,493

Covidien International Finance SA, 4.20%, 6/15/20

200,000

203,648

Deere & Co., 6.55%, 10/1/28

250,000

299,001

Deutsche Bank AG, 4.875%, 5/20/13

150,000

160,160

DIRECTV Holdings LLC, 5.20%, 3/15/20

300,000

311,402

Discovery Communications LLC, 5.05%, 6/1/20

200,000

206,988

Emerson Electric Co., 4.75%, 10/15/15

200,000

223,262

Enbridge Energy Partners LP, 5.20%, 3/15/20

200,000

206,812

Goldman Sachs Group, Inc.:

 

 

     5.35%, 1/15/16

200,000

206,918

     5.375%, 3/15/20

200,000

197,294

GTE Corp., 6.94%, 4/15/28

80,000

88,007

Harley-Davidson Funding Corp., 5.75%, 12/15/14 (e)

100,000

103,467

Honeywell International, Inc., 4.25%, 3/1/13

100,000

107,556

Hospira, Inc., 6.40%, 5/15/15

250,000

284,976

JPMorgan Chase & Co., 4.75%, 5/1/13

250,000

266,702

L-3 Communications Corp.:

 

 

     5.20%, 10/15/19

200,000

208,610

     4.75%, 7/15/20

800,000

805,837

 

 

 

 

Principal

 

Corporate Bonds - Cont'd

Amount

Value

Lincoln National Corp., 4.30%, 6/15/15

$300,000

$304,201

Lockheed Martin Corp., 5.72%, 6/1/40 (e)

154,000

167,694

McDonald's Corp., 4.30%, 3/1/13

100,000

107,430

MDC Holdings, Inc., 5.625%, 2/1/20

200,000

188,257

Metropolitan Life Global Funding I, 5.125%, 4/10/13 (e)

100,000

107,817

NBC Universal, Inc., 5.15%, 4/30/20 (e)

200,000

208,499

Northern Trust Corp., 5.50%, 8/15/13

100,000

110,972

Oracle Corp., 5.75%, 4/15/18

250,000

289,161

Pearson Funding Two plc, 4.00%, 5/17/16 (e)

250,000

252,969

Pitney Bowes, Inc., 5.75%, 9/15/17

180,000

202,143

Procter & Gamble Co., 4.85%, 12/15/15

1,000,000

1,131,815

Progressive Corp., 6.375%, 1/15/12

165,000

176,384

Qwest Corp., 8.875%, 3/15/12

800,000

860,000

Shell International Finance BV, 4.00%, 3/21/14

300,000

317,017

Suncor Energy, Inc., 6.50%, 6/15/38

250,000

279,139

TCI Communications, Inc., 8.75%, 8/1/15

100,000

123,895

Time Warner Cable, Inc., 5.00%, 2/1/20

100,000

101,852

Time Warner, Inc., 4.875%, 3/15/20

100,000

102,864

United Parcel Service, Inc., 6.20%, 1/15/38

250,000

300,545

US Bank NA, 4.95%, 10/30/14

100,000

109,270

Valero Energy Corp., 6.125%, 2/1/20

200,000

205,361

Verizon Communications, Inc., 4.35%, 2/15/13

100,000

107,048

Walgreen Co., 4.875%, 8/1/13

100,000

109,800

Wal-Mart Stores, Inc.:

 

 

     2.25%, 7/8/15

500,000

498,475

     6.50%, 8/15/37

250,000

302,581

Wells Fargo & Co., 4.375%, 1/31/13

125,000

132,311

Williams Partners LP, 3.80%, 2/15/15 (e)

100,000

101,237

XTO Energy, Inc., 4.625%, 6/15/13

200,000

215,629

 

 

 

     Total Corporate Bonds (Cost $12,472,884)

 

13,070,891

 

 

 

Sovereign Government Bonds - 0.1%

 

 

Province of New Brunswick Canada, 6.75%, 8/15/13

100,000

114,445

 

 

 

     Total Sovereign Government Bonds (Cost $106,343)

 

114,445

 

 

 

U.S. Government Agencies and Instrumentalities - 12.2%

 

 

Fannie Mae:

 

 

     5.05%, 2/7/11

1,300,000

1,336,299

     6.125%, 3/15/12

1,000,000

1,093,151

     4.625%, 10/15/14

100,000

111,712

Federal Farm Credit Bank, 4.25%, 2/1/12

750,000

792,838

Federal Home Loan Bank, 4.875%, 5/17/17

1,000,000

1,134,046

Freddie Mac:

 

 

     5.00%, 2/16/17

650,000

740,790

     4.875%, 6/13/18

1,000,000

1,131,424

     3.75%, 3/27/19

2,900,000

3,028,279

 

 

 

     Total U.S. Government Agencies And Instrumentalities (Cost $9,062,694)

 

9,368,539

 

 

 

 

Principal

 

U.S. Government Agency Mortgage-Backed Securities - 35.4%

Amount

Value

Fannie Mae:

 

 

     5.00%, 12/1/16

$561,573

$603,998

     5.00%, 11/1/17

85,416

91,869

     5.50%, 8/1/18

297,487

323,075

     4.61%, 12/1/19

496,800

526,089

     5.00%, 6/1/20

238,718

256,379

     6.50%, 4/1/23

60,606

66,969

     6.50%, 8/1/32

246,368

274,358

     5.50%, 7/1/33

411,494

443,796

     5.50%, 7/1/33

571,063

615,891

     6.00%, 8/1/33

73,266

80,701

     5.50%, 11/1/33

441,349

475,995

     5.50%, 3/1/34

696,971

750,595

     6.00%, 6/1/34

428,515

473,067

     5.00%, 10/1/34

610,928

649,232

     5.50%, 3/1/35

1,692,178

1,822,814

     5.50%, 6/1/35

836,428

899,996

     5.50%, 9/1/35

603,658

650,828

     5.50%, 2/1/36

357,495

384,665

     5.50%, 11/1/36

519,977

560,119

     7.50%, 11/1/36

198,304

218,559

     6.00%, 5/1/38

860,278

934,603

     4.50%, 5/1/40

1,982,570

2,057,391

Freddie Mac:

 

 

     4.50%, 9/1/18

273,380

291,691

     5.00%, 11/1/20

407,984

437,785

     5.00%, 2/1/33

743,158

789,985

     5.00%, 4/1/35

477,455

506,346

     6.00%, 8/1/36

433,693

471,804

     5.00%, 1/1/40

2,934,651

3,109,997

     4.50%, 4/1/40

2,418,860

2,508,962

     6.00%, 4/1/40

963,979

1,047,865

     4.50%, 5/1/40

1,997,578

2,071,988

     4.50%, 5/1/40

998,794

1,035,999

Ginnie Mae:

 

 

     5.50%, 7/20/34

507,183

551,706

     6.00%, 11/20/37

997,951

1,089,783

 

 

 

     Total U.S. Government Agency Mortgage-Backed Securities (Cost $26,233,470)

 

27,074,900

 

 

 

U.S. Treasury - 29.9%

 

 

United States Treasury Bonds:

 

 

     6.25%, 8/15/23

600,000

777,469

     5.50%, 8/15/28

500,000

618,047

     4.50%, 2/15/36

500,000

552,266

United States Treasury Notes:

 

 

     1.375%, 5/15/12

100,000

101,469

     2.75%, 2/28/13

300,000

315,000

     3.125%, 9/30/13

200,000

212,875

     2.75%, 10/31/13

300,000

315,656

     4.25%, 11/15/13

200,000

220,500

     2.00%, 11/30/13

200,000

205,250

 

 

 

 

Principal

 

U.S. Treasury - Cont'd

Amount

Value

United States Treasury Notes (Cont'd):

 

 

     1.875%, 2/28/14

$50,000

$50,945

     1.875%, 4/30/14

300,000

305,344

     2.375%, 8/31/14

500,000

516,875

     2.375%, 2/28/15

1,450,000

1,494,180

     2.50%, 4/30/15

1,200,000

1,242,375

     2.125%, 5/31/15

1,650,000

1,678,101

     4.50%, 11/15/15

1,225,000

1,390,566

     2.625%, 2/29/16

1,800,000

1,851,469

     2.375%, 3/31/16

1,300,000

1,318,891

     4.875%, 8/15/16

1,330,000

1,539,059

     3.125%, 10/31/16

1,200,000

1,258,500

     4.625%, 2/15/17

1,400,000

1,599,063

     3.00%, 2/28/17

1,500,000

1,556,719

     3.875%, 5/15/18

1,100,000

1,201,922

     3.75%, 11/15/18

1,050,000

1,131,047

     3.375%, 11/15/19

1,000,000

1,035,469

     3.625%, 2/15/20

350,000

369,687

 

 

 

     Total U.S. Treasury (Cost $22,145,706)

 

22,858,744

 

 

 

Time Deposit - 4.5%

 

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

3,452,950

3,452,950

 

 

 

     Total Time Deposit (Cost $3,452,950)

 

3,452,950

 

 

 

Exchange Traded Funds - 1.6%

Shares

 

iShares Barclays Aggregate Bond Fund

11,500

1,233,375

 

 

 

     Total Exchange Traded Funds (Cost $1,221,630)

 

1,233,375

 

 

 

          TOTAL INVESTMENTS (Cost $76,265,070) - 102.9%

 

78,795,820

          Other assets and liabilities, net - (2.9%)

 

(2,234,505)

          Net Assets - 100%

 

$76,561,315

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to 1,429,985 shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized

 

$72,761,796

Undistributed net investment income

 

981,522

Accumulated net realized gain (loss) on investments

 

287,247

Net unrealized appreciation (depreciation) on investments

 

2,530,750

 

 

 

          Net Assets

 

$76,561,315

 

 

 

          Net Asset Value per Share

 

$53.54

 

(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.

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

Abbreviations:

STEP: Stepped coupon bond for which the coupon rate of interest will adjust on specified future date(s)
See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income

$4,184

     Interest income

871,809

          Total investment income

875,993

 

 

Expenses:

 

     Investment advisory fee

64,273

     Transfer agency fees and expenses

914

     Directors' fees and expenses

2,833

     Administrative fees

21,424

     Accounting fees

3,257

     Custodian fees

8,469

     Reports to shareholders

5,495

     Professional fees

11,668

     Miscellaneous

699

          Total expenses

119,032

          Fees paid indirectly

(245)

               Net expenses

118,787

 

 

                    Net Investment Income

757,206

 

 

 

 

Realized and Unrealized Gain (Loss) on Investments

 

Net realized gain (loss)

278,365

Change in unrealized appreciation (depreciation)

1,453,720

 

 

                    Net Realized and Unrealized Gain

 

                     (Loss) on Investments

1,732,085

 

 

                    Increase (Decrease) in Net Assets

 

                    Resulting From Operations

$2,489,291

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$757,206

$1,781,314

     Net realized gain (loss) on investments

278,365

416,495

     Change in unrealized appreciation (depreciation)

1,453,720

(60,512)

 

 

 

     Increase (Decrease) in Net Assets

 

 

     Resulting From Operations

2,489,291

2,137,297

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(1,758,972)

     Net realized gain

--

(142,302)

          Total distributions

--

(1,901,274)

 

 

 

Capital share transactions:

 

 

     Shares sold

42,026,764

11,942,522

     Reinvestment of distributions

--

1,901,274

     Shares redeemed

(5,583,673)

(27,738,019)

          Total capital share transactions

36,443,091

(13,894,223)

 

 

 

     Total Increase (Decrease) in Net Assets

38,932,382

(13,658,200)
 

 

 

 

 

 

Net Assets

 

 

Beginning of period

37,628,933

51,287,133

End of period (including undistributed net investment income of $981,522 and $224,316, respectively)

$76,561,315

$37,628,933

 

 

 

 

 

 

Capital Share Activity

 

 

Shares sold

797,423

230,028

Reinvestment of distributions

--

37,324

Shares redeemed

(107,824)

(529,259)

          Total capital share activity

689,599

(261,907)

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP Barclays Capital Aggregate Bond Index Portfolio (the "Portfolio"), formerly known as Summit Barclays Capital Aggregate Bond Index Portfolio, a series of Calvert Variable Products, Inc. (or the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.

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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing the average of bid prices or at bid prices based on a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Short-term notes are stated at amortized cost, which approximates fair value. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Asset-Backed Securities

--

$60,825

--

$60,825

Commercial Mortgage-Backed Securities

--

1,561,151

--

1,561,151

Corporate Debt

--

13,070,891

--

13,070,891

Exchanged Traded Funds

$1,233,375

--

--

1,233,375

Other Debt Obligations

--

3,567,395

--

3,567,395

U.S. Government Obligations

--

59,302,183

--

59,302,183

TOTAL

$1,233,375

     $77,562,445

--

$78,795,820

Security Transactions and 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 Portfolio 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.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

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 Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .30% of the Portfolio's average daily net assets. Under the terms of the agreement, $15,883 was payable at period end. In addition, $6,240 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .60%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $5,294 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $34 for six months ended June 30, 2010. Under the terms of the agreement, $6 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than U.S. Government and short-term securities, were $29,493,113 and $4,075,374, respectively. U.S. Government security purchases and sales were $34,350,021 and $20,654,004, respectively.

As of June 30, 2010 the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$2,637,578

Unrealized (depreciation)               

(107,968)

Net unrealized appreciation/(depreciation)     

$2,529,610

Federal income tax cost of investments     

$76,266,210

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

 

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month Of
Maximum
Amount
Borrowed

 

$2,976

1.47%

$165,525

March 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

Periods Ended

 

June 30,

December 31,

December 31,

 

2010 (z)

2009 (z)

2008

Net asset value, beginning

$50.82

$51.17

$50.27

Income from investment operations

 

 

 

     Net investment income

.87

2.00

2.13

     Net realized and unrealized gain (loss)

1.85

.35

1.07

          Total from investment operations

2.72

2.35

3.20

Distributions from

 

 

 

     Net investment income

--

(2.50)

(2.30)

     Net realized gain

--

(.20)

--

          Total distributions

--

2.70

(2.30)

Total increase (decrease) in net asset value

2.72

(.35)

.90

Net asset value, ending

$53.54

$50.82

$51.17

 

 

 

 

Total return*

5.35%

4.59%

6.56%

Ratios to average net assets: A

 

 

 

     Net investment income

3.53% (a)

3.83%

4.29%

     Total expenses

.56% (a)

.54%

.61%

     Expenses before offsets

.56% (a)

.54%

.60%

     Net expenses

.55% (a)

.54%

.60%

Portfolio turnover

55%

71%

30%

Net assets, ending (in thousands)

$76,561

$37,629

$51,287

 

 

 

 

 

 

 

 

 

  

Years Ended

 

 

December 31,

December 31,

December 31,

 

2007

2006

2005

Net asset value, beginning

$48.85

$49.06

$50.13

Income from investment operations

 

 

 

     Net investment income

2.13

1.97

1.83

     Net realized and unrealized gain (loss)

1.40

(.24)

(1.06)

          Total from investment operations

3.53

1.73

.77

Distributions from

 

 

 

     Net investment income

(2.11)

(1.94)

(1.84)

          Total distributions

(2.11)

(1.94)

(1.84)

Total increase (decrease) in net asset value

1.42

(.21)

(1.07)

Net asset value, ending

$50.27

$48.85

$49.06

 

 

 

 

Total return*

7.43%

3.64%

1.57%

Ratios to average net assets: A

 

 

 

     Net investment income

4.24%

3.96%

3.54%

     Total expenses

.59%

.59%

63%

     Expenses before offsets

.59%

.59%

.60%

     Net expenses

.59%

.59%

60%

Portfolio turnover

24%

28%

16%

Net assets, ending (in thousands)

$44,496

$39,160

$37,657

 

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

(z) Per share figures calculated using the Average Shares Method.

* Total return is not annualized for periods less than one year.

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 typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

<PAGE>

 

Calvert VP Inflation Protected Plus
Portfolio

(formerly, Summit Inflation

Protected Plus Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

6

Shareholder Expense Example

7

Statement of Net Assets

10

Statement of Operations

11

Statements of Changes in Net Assets

12

Notes to Financial Statements

17

Financial Highlights

19

Explanation of Financial Tables

20

Proxy Voting

21

Availability of Quarterly Portfolio Holdings

 

Calvert VP Inflation Protected Plus Portfolio
Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

Over the six-month reporting period, the U.S. continued its slow recovery from the deepest recession of the post-World War II era. Assuming that the consensus1 expectation for a moderate 3.3% pace of economic growth in the second quarter of 2010 holds true, gross domestic product (GDP) will have grown at a 3.4% pace in the 12 months since the trough of the recession, with a 3.0% economic growth rate in the first half of 2010. While both rates are near the average for the last 50 years, they are well below the pace seen during previous recoveries from deep recessions. In fact, after the end of the reporting period, expectations for GDP growth continued to trend lower.

Consumer prices rose at an increasingly slow rate over the past six months--a phenomenon known as "disinflation." In fact, the yearly core inflation rate toward the end of the reporting period was only 0.9%2, the lowest since 1966. The labor market improved but remained quite weak, with the June unemployment rate at 9.5%.

As the sovereign debt crisis in the European Economic and Monetary Union (euro zone) deepened and spread, it drove market moves during the period. Debt-laden euro-zone governments and banks found it increasingly difficult to fund their debts in public markets. This rekindled investors' fears of another global markets meltdown, which always seemed to be lurking just below the surface.

The fear reached a crescendo in early May, when the European Union, International Monetary Fund, and European Central Bank announced massive support initiatives. The fear ebbed and euro-zone lending markets calmed, but concerns about the outlook for global and U.S. growth sank investor confidence and the second quarter closed on a down note.

The Federal Reserve (Fed) left the target federal funds rate near zero percent and repeatedly indicated that it would remain low for an "extended period."3 By the end of June, lending rates signaled that the market did not expect

Calvert VP Inflation Protected Plus
Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month**

4.67%

One year

8.04%

Since inception (12.28.06)

5.86%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

The performance data shown represents past performance, and does not guarantee future results.The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

** Total return is not annualized for periods of one year or less.

 

the Fed to begin raising rates until mid-2011. In the meantime, the Fed finished closing its emergency support facilities and tested some policy exit strategies. However, it did reopen dollar currency swap lines with the major central banks in response to the euro-zone debt crisis.

Toward the end of the reporting period, investors once again became more risk averse and flocked to low-yielding, liquid Treasuries--driving yields down even further. As a result, the benchmark 10-year Treasury note's yield fell 0.90 percentage points over the six-month period to 2.95%. However, with the Fed's interest-rate moves on hold, most money-market rates were nearly unchanged and three-month Treasury bills yielded only 0.17% at the end of June.4

Demand for municipal bonds remained strong as lower tax-exempt supply and attractive ratios to Treasuries outweighed concerns over state and local government budgetary strains. The success of the taxable Build America Bonds has reduced the supply of tax-exempt municipals, so the level of interest rates for long-term, tax-exempt municipals are now twice as high as those of Treasuries.

Outlook

We expect the fragile recovery to continue as the post-crisis deleveraging in the U.S. and other western economies plays out, with slow economic growth and little consumer price inflation.

Globally, the Fed and other central banks are running extremely easy monetary policies with rock-bottom interest rates. This has generally led investors to hunt far and wide to try to achieve higher returns, and take on greater risk than they did during the financial crisis of 2008 and early 2009. We saw a similar pattern in the middle of the last decade.

Given the low level of interest rates, even on bonds with higher levels of credit risk, we plan to keep the durations of our funds shorter than their respective benchmarks to help minimize the negative effects of an eventual rise in interest rates. We also plan to maintain a conservative credit risk profile in the near term.

Sincerely,

Catherine Roy
Senior Vice President and Chief Investment Officer, Fixed Income
Calvert Asset Management Company
July 2010

1. Forecast source: Wall Street Journal Economic Forecasting Survey of June 2010. Actual GDP data source: Bureau of Economic Analysis

2. Year-over-year core CPI rate as of May 2010 according to the Bureau of Labor Statistics

3. Federal Open Market Committee

4. Interest rate data sources: Bloomberg and Federal Reserve

Investment Allocation

% of Total
Investments
(at 6.30.10)

 

 

Long Term

52%

Intermediate Term

13%

Short Term

35%

 

 

Total

100%

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$1,046.70

$3.81

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,021.08

$3.76

* Expenses are equal to the Fund's annualized expense ratio of .75%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

 

STATEMENT OF NET ASSETS
JUNE 30, 2010

 

 

Principal

 

 

U.S. Treasury(i) - 53.7%

 

Amount

Value

 

United States Treasury Bonds:

 

 

 

 

     2.375%, 1/15/25

 

$1,272,150

$1,411,093

 

     2.00%, 1/15/26

 

1,867,178

1,973,957

 

     2.375%, 1/15/27

 

1,405,287

1,556,355

 

     1.75%, 1/15/28

 

1,977,083

2,005,504

 

     3.625%, 4/15/28

 

1,516,298

1,962,184

 

     2.50%, 1/15/29

 

1,553,486

1,755,924

 

     3.875%, 4/15/29

 

1,657,588

2,223,757

 

     3.375%, 4/15/32

 

1,682,566

2,191,279

 

     2.125%, 2/15/40

 

1,008,590

1,104,564

 

United States Treasury Notes:

 

 

 

 

     1.875%, 7/15/13

 

118,700

125,562

 

     1.375%, 1/15/20

 

705,663

722,643

 

 

 

 

 

 

          Total U.S. Treasury (Cost $15,938,619)

 

 

17,032,822

 

 

 

 

 

 

Corporate Bonds - 42.2%

 

 

 

 

Bank of America Corp.:

 

 

 

 

     0.638%, 4/30/12 (r)

 

1,000,000

1,007,213

 

     7.375%, 5/15/14

 

100,000

112,099

 

Baxter International, Inc., 4.00%, 3/1/14

 

100,000

107,635

 

BlackRock, Inc., 3.50%, 12/10/14

 

100,000

103,903

 

Bottling Group LLC, 6.95%, 3/15/14

 

100,000

117,759

 

BP Capital Markets plc, 3.625%, 5/8/14

 

100,000

85,750

 

CA, Inc., 5.375%, 12/1/19

 

100,000

104,953

 

Citibank NA, 0.436%, 11/15/12 (r)

 

500,000

501,375

 

Corrections Corporation of America, 6.75%, 1/31/14

 

250,000

253,750

 

Eastman Chemical Co., 5.50%, 11/15/19

 

200,000

215,188

 

Eli Lilly & Co., 4.20%, 3/6/14

 

100,000

108,142

 

Enbridge Energy Partners LP, 5.20%, 3/15/20

 

100,000

103,406

 

Ford Motor Credit Co. LLC, 3.048%, 1/13/12 (r)

 

500,000

485,625

 

General Electric Capital Corp., 0.324%, 5/8/12 (r)

 

500,000

500,575

 

General Mills, Inc., 5.65%, 2/15/19

 

100,000

113,580

 

GMAC LLC, 0.539%, 12/19/12 (r)

 

1,000,000

1,001,496

 

Goldman Sachs Group, Inc.:

 

 

 

 

     0.624%, 11/9/11 (r)

 

500,000

502,378

 

     5.375%, 3/15/20

 

200,000

197,294

 

Harley-Davidson Funding Corp., 5.75%, 12/15/14 (e)

 

700,000

724,269

 

Hewlett-Packard Co., 4.75%, 6/2/14

 

100,000

110,631

 

Hospira, Inc., 6.40%, 5/15/15

 

100,000

113,990

 

JPMorgan Chase & Co., 0.918%, 6/22/12 (r)

 

1,000,000

1,009,323

 

L-3 Communications Corp., 5.20%, 10/15/19

 

200,000

208,610

 

Lincoln National Corp., 4.30%, 6/15/15

 

100,000

101,400

 

MDC Holdings, Inc., 5.625%, 2/1/20

 

700,000

658,900

 

Morgan Stanley, 0.889%, 6/20/12 (r)

 

500,000

504,552

 

Novartis Capital Corp., 4.125%, 2/10/14

 

100,000

107,833

 

 

 

 

 

 

 

 

Principal

 

 

Corporate Bonds - Cont'd

 

Amount

Value

 

Potash Corp. of Saskatchewan, Inc., 5.25%, 5/15/14

 

$100,000

$110,394

 

Pride International, Inc., 7.375%, 7/15/14

 

500,000

495,000

 

Procter & Gamble Co., 3.50%, 2/15/15

 

100,000

106,291

 

Qwest Corp.:

 

 

 

 

     8.875%, 3/15/12

 

100,000

107,500

 

     3.787%, 6/15/13 (r)

 

500,000

496,250

 

Shell International Finance BV, 4.00%, 3/21/14

 

100,000

105,672

 

Southern California Gas Co., 5.50%, 3/15/14

 

250,000

281,017

 

State Street Bank and Trust Co., 0.737%, 9/15/11 (r)

 

900,000

903,406

 

SunTrust Bank, 1.187%, 12/16/10 (r)

 

500,000

501,798

 

Time Warner Cable, Inc., 5.00%, 2/1/20

 

200,000

203,703

 

Unilever Capital Corp., 4.80%, 2/15/19

 

100,000

109,151

 

Valero Energy Corp., 6.125%, 2/1/20

 

600,000

616,083

 

Williams Partners LP, 3.80%, 2/15/15 (e)

 

200,000

202,474

 

 

 

 

 

 

     Total Corporate Bonds (Cost $13,238,323)

 

 

13,400,368

 

 

 

 

 

 

U.S. Government Agencies and Instrumentalities - 3.2%

 

 

 

 

Freddie Mac, 0.607%, 3/9/11 (r)

 

1,000,000

1,000,423

 

 

 

 

 

 

     Total U.S. Government Agencies and Instrumentalities (Cost $1,000,748)

 

 

1,000,423

 

 

 

 

 

 

Time Deposit - 0.0%

 

 

 

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

 

4,252

4,252

 

 

 

 

 

 

     Total Time Deposit (Cost $4,252)

 

 

4,252

 

 

 

 

 

 

          TOTAL INVESTMENTS (Cost $30,181,942) - 99.1%

 

 

31,437,865

 

          Other assets and liabilities, net - 0.9%

 

 

299,956

 

          Net Assets - 100%

 

 

$31,737,821

 

 

 

 

 

 

Net Assets Consist of:

 

 

 

 

Paid-in capital applicable to 569,013 shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized

 

 

$29,768,906

 

Undistributed net investment income

 

 

423,404

 

Accumulated net realized gain (loss) on investments

 

 

289,588

 

Net unrealized appreciation (depreciation) on investments

 

 

1,255,923

 

 

 

 

 

 

          Net Assets

 

 

$31,737,821

 

 

 

 

 

 

          Net Asset Value Per Share

 

 

$55.78

 

 

(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.

(i) Inflation protected security.

(r) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

Abbreviations:

LLC: Limited Liability Corporation
LP: Limited Partnership

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Interest income

$390,922

     Inflation principal income

151,279

          Total investment income

542,201

 

 

Expenses:

 

     Investment advisory fee

92,664

     Transfer agency fees and expenses

821

     Accounting fees

3,095

     Directors' fees and expenses

2,704

     Administrative fees

18,533

     Custodian fees

5,649

     Reports to shareholders

11,699

     Professional fees

11,315

     Miscellaneous

580

          Total expenses

147,060

          Reimbursement from Advisor

(7,941)

          Fees paid indirectly

(124)

               Net expenses

138,995

 

 

                    Net Investment Income

403,206

 

 

Realized and Unrealized Gain (Loss) on Investments

 

Net realized gain (loss)

570,287

Change in unrealized appreciation (depreciation)

751,806

 

 

                    Net Realized and Unrealized Gain

 

                     (Loss) on Investments

1,322,093

 

 

                    Increase (Decrease) in Net Assets

 

                    Resulting From Operations

$1,725,299

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) In Net Assets 

2010

2009

Operations:

 

 

     Net investment income

$403,206

$144,749

     Net realized gain (loss)

570,287

(27,478)

     Change in unrealized appreciation (depreciation)

751,806

1,678,310

 

 

 

          Iincrease (Decrease) in Net Assets

 

 

          Resulting From Operations

1,725,299

1,795,581

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(124,551)

          Total distributions

--

(124,551)

 

 

 

Capital share transactions:

 

 

     Shares sold

5,777,751

21,325,384

     Reinvestment of distributions

--

124,551

     Shares redeemed

(11,290,590)

(5,087,708)

          Total capital share transactions

(5,512,839)

16,362,227

 

 

 

          Total Increase (Decrease) in Net Assets

(3,787,540)

18,033,257

 

 

 

Net Assets

 

 

Beginning of period

35,525,361

17,492,104

End of period (including undistributed net investment income of $423,404 and $20,198, respectively)

$31,737,821

$35,525,361

 

 

 

Capital Share Activity

 

 

Shares sold

107,367

411,207

Reinvestment of distributions

--

2,334

Shares redeemed

(205,026)

(98,917)

     Total capital share activity

(97,659)

314,624

 

See notes to financial statements.

 

Notes to Financial Statements

Note A -- Significant Accounting Policies

General: Calvert VP Inflation Protected Plus Portfolio (the "Portfolio"), formerly known as Summit Inflation Protected Plus Portfolio, a series of Calvert Variable Products, Inc., (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts.

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 Portfolio uses independent pricing services approved by the Board of Directors to value its investments wherever possible. Securities for which market quotations are available are valued at last sale price or official closing price on the primary market or exchange in which they trade. Municipal securities are valued utilizing the average of bid prices or at bid prices based on a matrix system (which considers such factors as security prices, yields, maturities and ratings) furnished by dealers through an independent pricing service. Short-term notes are stated at amortized cost, which approximates fair value. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

U.S. Government Obligations

--

$18,033,245

--

$18,033,245

Corporate Debt Obligations

--

13,400,368

--

13,400,368

Other Debt Obligations

--

4,252

--

4,252

TOTAL

--

$31,437,865

--

$31,437,865

Repurchase Agreements: The Portfolio 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 Portfolio 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.

Treasury Inflation-Protected Securities: The Portfolio invests in Treasury Inflation-Protected Securities ("TIPS"), in which the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to inflation principal income in the accompanying Statement of Operations. Such adjustments may have a significant impact on the Portfolio's distributions.

Security Transactions and 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. Interest income, which includes amortization of premium and accretion of discount on debt securities is accrued as earned. 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.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .50% of the Portfolio's average daily net assets. Under the terms of the agreement, $14,267 was payable at period end. In addition, $6,124 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .75%. 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 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 Portfolio for an annual fee, payable monthly, of .10% based on the Portfolio's average daily net assets. Under the terms of the agreement, $2,853 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $28 for the six months ended June 30, 2010. Under the terms of the agreement, $5 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term and U.S. Government securities, were $9,826,532 and $12,981,167, respectively. U.S. Government security purchases and sales were $9,729,731 and $11,922,642, respectively.

Capital Loss Carryforwards
Expiration Date

31-Dec-15

$765

31-Dec-16

109,614

31-Dec-17

83,290

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$1,297,751

Unrealized (depreciation)               

(65,577)

Net unrealized appreciation/(depreciation)     

$1,232,174

Federal income tax cost of investments     

$30,205,691

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Fund had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month of
Maximum
Amount
Borrowed

 

$34,355

1.51%

$882,742

February 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009

2008 (z)

Net asset value, beginning

$53.29

$49.69

$53.00

Income from investment operations

 

 

 

     Net investment income

.71

.22

1.35

     Net realized and unrealized gain (loss)

1.78

3.57

(2.47)

          Total from investment operations

2.49

3.79

(1.12)

Distributions from

 

 

 

     Net investment income

--

(.19)

(1.37)

     Return of capital

--

--

(.82)

          Total distributions

--

(.19)

(2.19)

Total increase (decrease) in net asset value

2.49

3.60

(3.31)

Net asset value, ending

$55.78

$53.29

$49.69

 

 

 

 

Total return*

4.67%

7.62%

(2.33%)

Ratios to average net assets: A

 

 

 

     Net investment income

2.18% (a)

.57%

2.59%

     Total expenses

.79% (a)

.81%

1.25%

     Expenses before offsets

.75% (a)

.75%

.75%

     Net expenses

.75% (a)

.75%

.75%

Portfolio turnover

54%

123%

56%

Net assets, ending (in thousands)

$31,738

$35,525

$17,492

 

 

 

 

 

 

 

 

 

Periods Ended

 

 

December 31,

December 31,

 

 

2007

2006^

 

Net asset value, beginning

$50.09

$50.00

 

Income from investment operations

 

 

 

     Net investment income

2.64

--

 

     Net realized and unrealized gain (loss)

2.59

.09

 

          Total from investment operations

5.23

.09

 

Distributions from

 

 

 

     Net investment income

(2.32)

--

 

     Return of capital

--

--

 

          Total distributions

(2.32)

--

 

Total increase (decrease) in net asset value

2.91

.09

 

Net asset value, ending

$53.00

$50.09

 

 

 

 

 

Total return*

10.80%

.18%

 

Ratios to average net assets: A

 

 

 

     Net investment income (loss)

5.19%

(2.28%) (a)

 

     Total expenses

5.27%

33.70% (a)

 

     Expenses before offsets

.75%

.75% (a)

 

     Net expenses

.75%

.75% (a)

 

Portfolio turnover

8%

0%

 

Net assets, ending (in thousands)

$1,157

$1,002

 

 

See notes to financial highlights.

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

(a) Annualized.

(z) Per share figures are calculated using Average Shares Method.

* Total return is not annualized for periods less than one year.

^ From December 28, 2006 inception.

 

See notes to financial statements.

 

Explanation of Financial Tables

Schedule of Investments

The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.

Statement of Assets and Liabilities

The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

<PAGE>

 

Calvert VP Lifestyle Moderate Portfolio
(formerly, Summit Lifestyle ETF Market Strategy Target Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

9

Statement of Operations

10

Statements of Changes in Net Assets

11

Notes to Financial Statements

15

Financial Highlights

17

Explanation of Financial Tables

18

Proxy Voting

19

Availability of Quarterly Portfolio Holdings

 

Calvert VP Lifestyle Moderate Portfolio
Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

Over the six-month reporting period, the U.S. continued its slow recovery from the deepest recession of the post-World War II era. Assuming that the consensus1 expectation for a moderate 3.3% pace of economic growth in the second quarter of 2010 holds true, gross domestic product (GDP) will have grown at a 3.4% pace in the 12 months since the trough of the recession, with a 3.0% economic growth rate in the first half of 2010. While both rates are near the average for the last 50 years, they are well below the pace seen during previous recoveries from deep recessions. In fact, after the end of the reporting period, expectations for GDP growth continued to trend lower.

The Federal Reserve (Fed) left the target federal funds rate near zero percent and repeatedly indicated that it would remain low for an "extended period."2 By the end of June, lending rates signaled that the market did not expect the Fed to begin raising rates until mid-2011. In the meantime, the Fed finished closing its emergency support facilities and tested some policy exit strategies.

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. All 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Calvert VP Lifestyle Moderate Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month****

-3.89%

One year

10.32%

Since inception (12.28.06)

-3.23%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

**In December 2009 the Portfolio changed its broad-based benchmark to the S&P 500 Index in order to adopt an index that is not blended. The Portfolio also continues to show the Calvert VP Lifestyle Moderate Composite because it is more consistent with the Portfolio's construction process and represents a more accurate reflection of the Portfolio's anticipated risk and return patterns.

*** 60% S&P 500 Index and 40% Barclays Capital Aggregate Bond Index.

The performance data shown represents past performance, and does not guarantee future results.The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.
**** Total return is not annualized for periods of one year or less.

 

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Toward the end of the reporting period, investors globally once again became more risk averse and flocked to low-yielding, liquid U.S. Treasuries--driving yields down. As a result, the benchmark 10-year Treasury note's yield fell 0.90 percentage points over the six-month period to 2.95%.3

Outlook

We expect the fragile recovery to continue as the post-crisis deleveraging in the U.S. and other western economies plays out, with slow economic growth and little consumer price inflation.

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant. But in our opinion, a slowdown in China is of more immediate concern than one in Europe.

Given the low level of interest rates, even on bonds with higher levels of credit risk, we plan to keep the durations of our bond allocations shorter than their respective benchmarks to help minimize the negative effects of an eventual rise in interest rates. We also plan to maintain a conservative credit risk profile in the near term.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view the correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

Asset Allocation

% of Total
Investments
(at 6.30.10)

Domestic Equity

 

Exchange Traded Funds

62%

International and Global Equity

 

Exchanged Traded Funds

8%

Fixed Income Exchanged Traded Funds

28%

Time Deposit

2%

Total

100%

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

1. Forecast source: Wall Street Journal Economic Forecasting Survey of June 2010. Actual GDP data source: Bureau of Economic Analysis

2. Federal Open Market Committee

3. Interest rate data sources: Bloomberg and Federal Reserve

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$961.10

$3.65

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,021.08

$3.76

* Expenses are equal to the Fund's annualized expense ratio of .75%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratios.

 

Statement of Net Assets
June 30, 2010

Exchange Traded Funds - 97.9%

Shares

Value

iShares Barclays Aggregate Bond Fund

26,800

$2,874,300

iShares Barclays Intermediate Credit Bond Fund

5,800

610,740

iShares Barclays MBS Bond Fund

9,400

1,028,642

iShares Barclays TIPS Bond Fund

3,800

406,258

iShares iBoxx $ High Yield Corporate Bond Fund

9,700

823,530

iShares MSCI EAFE Index Fund

13,000

604,630

iShares Russell 2000 Index Fund

9,900

604,692

iShares S&P 500 Growth Index Fund

65,100

3,446,394

iShares S&P 500 Index Fund

27,400

2,834,804

iShares S&P 500 Value Index Fund

69,400

3,446,404

SPDR S&P MidCap 400 Trust

14,100

1,821,156

Vanguard Emerging Markets Fund

26,600

1,010,534

Vanguard REIT

8,700

404,463

 

 

 

     Total Exchange Traded Funds (Cost $19,982,178)

 

19,916,547

 

 

 

 

Principal

 

Time Deposit - 1.7%

Amount

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

$337,642

337,642

 

 

 

     Total Time Deposit (Cost $337,642)

 

337,642

 

 

 

 

 

 

 

 

 

          TOTAL INVESTMENTS (Cost $20,319,820) - 99.6%

 

20,254,189

          Other assets and liabilities, net - 0.4%

 

86,346

          Net Assets - 100%

 

$20,340,535

 

 

 

 

 

 

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to 476,113 share of common stock

 

 

     outstanding; $0.10 par value, 20,000,000 shares authorized

 

$23,099,799

Undistributed net investment income

 

263,438

Accumulated net realized gain (loss) on investments

 

(2,957,071)

Net unrealized appreciation (depreciation) on investments

 

(65,631)

 

 

 

     Net Assets

 

$20,340,535

 

 

 

     Net Asset Value per Share

 

$42.72

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income

$257,257

          Total investment income

257,257

 

 

Expenses:

 

     Investment advisory fee

62,962

     Transfer agency fees and expenses

820

     Accounting fees

1,852

     Directors' fees and expenses

1,632

     Administrative fees

11,448

     Custodian fees

3,029

     Reports to shareholders

1,191

     Professional fees

10,402

     Miscellaneous

432

          Total expenses

93,768

          Reimbursement from Advisor

(7,668)

          Fees paid indirectly

(242)

               Net expenses

85,858

 

 

                    Net Investment Income

171,399

 

 

Realized and Unrealized Gain (Loss) on Investments

 

Net realized gain (loss)

398,815

Change in unrealized appreciation (depreciation)

(1,391,671)

 

 

                    Net Realized and Unrealized Gain

 

                     (Loss) on Investments

(992,856)

 

 

                    Increase (Decrease) in Net Assets

 

                    Resulting From Operations

($821,457)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$171,399

$348,850

     Net realized gain (loss)

398,815

(2,144,203)

     Change in unrealized appreciation or (depreciation)

(1,391,671)

3,964,367

 

 

 

     Increase (Decrease) in Net Assets

 

 

     Resulting From Operations

(821,457)

2,169,014

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(323,160)

          Total distributions

--

(323,160)

 

 

 

Capital share transactions:

 

 

     Shares sold

1,098,637

13,148,996

     Reinvestment of distributions

--

323,158

     Shares redeemed

(3,552,921)

(2,373,267)

          Total capital share transactions

(2,454,284)

11,098,887

 

 

 

Total Increase (Decrease) in Net Assets

(3,275,741)

12,944,741

 

 

 

Net Assets

 

 

Beginning of period

23,616,276

10,671,535

End of period (including undistributed net investment income of $263,438 and $92,039, respectively)

$20,340,535

$23,616,276

 

 

 

Capital Share Activity

 

 

Shares sold

24,272

304,546

Reinvestment of distributions

--

7,223

Shares redeemed

(79,401)

(57,634)

          Total capital share activity

(55,129)

254,135

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP Lifestyle Moderate Portfolio (the "Portfolio"), formerly known as Summit Lifestyle ETF Market Strategy Target Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in various exchange traded funds (the "Underlying Funds"), representing different market exposure.

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 Portfolio uses independent pricing services approved by the Board of Directors 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. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Exchange Traded Funds

$19,916,547

--

--

$19,916,547

Other Debt Obligations

--

$337,642

--

337,642

TOTAL

$19,916,547

$337,642

--

$20,254,189

Security Transactions and 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 ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 require s reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .55% of the Portfolio's average daily net assets. Under the terms of the agreement, $9,578 was payable at period end. In addition, $1,342 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .75%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $1,741 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $28 for the six months ended June 30, 2010. Under the terms of the agreement, $5 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $4,975,437 and $7,036,205, respectively.

Capital Loss Carryforwards
Expiration Date

31-Dec-16

$826,659

31-Dec-17

1,480,970

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$140,154

Unrealized (depreciation)               

(1,001,463)

Net unrealized appreciation/(depreciation)     

($861,309)

Federal income tax cost of investments     

$21,115,498

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no loans outstanding pursuant to this line of credit at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

 

Average
Daily
Balance

Average
Interest
Rate

Weighted
Maximum
Amount
Borrowed

Month Of
Maximum
Amount
Borrowed

 

$6,623

1.57%

$557,719

May 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009 (z)

2008

Net asset value, beginning

$44.45

$38.51

$52.62

Income from investment operations

 

 

 

     Net investment income

.38

.97

.74

     Net realized and unrealized gain (loss)

(2.11)

5.59

(13.70)

          Total from investment operations

(1.73)

6.56

(12.96)

Distributions from

 

 

 

     Net investment income

--

(.62)

(1.14)

     Net realized gain

--

--

(.01)

          Total distributions

--

(.62)

(1.15)

Total increase (decrease) in net asset value

(1.73)

5.94

(14.11)

Net asset value, ending

$42.72

$44.45

$38.51

 

 

 

 

Total return*

(3.89%)

17.02%

(24.72%)

Ratios to average net assets: A,B

 

 

 

     Net investment income

1.50% (a)

2.41%

2.58%

     Total expenses

.82% (a)

.85%

1.13%

     Expenses before offsets

.75% (a)

.75%

.75%

     Net expenses

.75% (a)

.75%

.75%

Portfolio turnover

22%

80%

79%

Net assets, ending (in thousands)

$20,341

$23,616

$10,672

 

 

 

 

 

 

 

 

 

Periods Ended

 

 

December 31,

December 31,

 

 

2007 (z)

2006^

 

Net asset value, beginning

$49.84

$50.00

 

Income from investment operations

 

 

 

     Net investment income

2.33

--

 

     Net realized and unrealized gain (loss)

.45

(.16)

 

          Total from investment operations

2.78

(.16)

 

Distributions from 

 

 

 

     Net investment income

--

--

 

     Net realized gain

--

--

 

          Total distributions

--

--

 

Total increase (decrease) in net asset value

2.78

(.16)

 

Net asset value, ending

$52.62

$49.84

 

 

 

 

 

Total return*

5.58%

(.32%)

 

Ratios to average net assets: A,B

 

 

 

     Net investment income (loss)

4.46%

(.59%) (a)

 

     Total expenses

4.09%

220.56% (a)

 

     Expenses before offsets

.75%

.75% (a)

 

     Net expenses

.75%

.75% (a)

 

Portfolio turnover

17%

0%

 

Net assets, ending (in thousands)

$4,686

$150

 

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

B Amounts do not include the activity of the Underlying Funds.

(a) Annualized.

(z) Per share figures calculated using the Average Shares Method.

* Total return is not annualized for periods less than one year.

^ From December 28, 2006 inception.

 

See notes to financial statements.

 

Explanation of Financial Tables

Schedule of Investments

The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.

Statement of Assets and Liabilities

The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

 

<PAGE>

 

Calvert VP Lifestyle Conservative Portfolio
(formerly, Summit Lifestyle ETF Market Strategy Conservative Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

9

Statement of Operations

10

Statements of Changes in Net Assets

11

Notes to Financial Statements

15

Financial Highlights

17

Explanation of Financial Tables

18

Proxy Voting

19

Availability of Quarterly Portfolio Holdings

 

Calvert VP Lifestyle Conservative Portfolio
Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

Over the six-month reporting period, the U.S. continued its slow recovery from the deepest recession of the post-World War II era. Assuming that the consensus1 expectation for a moderate 3.3% pace of economic growth in the second quarter of 2010 holds true, gross domestic product (GDP) will have grown at a 3.4% pace in the 12 months since the trough of the recession, with a 3.0% economic growth rate in the first half of 2010. While both rates are near the average for the last 50 years, they are well below the pace seen during previous recoveries from deep recessions. In fact, after the end of the reporting period, expectations for GDP growth continued to trend lower.

The Federal Reserve (Fed) left the target federal funds rate near zero percent and repeatedly indicated that it would remain low for an "extended period."2 By the end of June, lending rates signaled that the market did not expect the Fed to begin raising rates until mid-2011. In the meantime, the Fed finished closing its emergency support facilities and tested some policy exit strategies.

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. All 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a

Calvert VP Lifestyle
Conservative Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month****

-1.73%

One year

9.22%

Since inception (12.28.06)

0.42%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

**In December 2009 the Portfolio changed its broad-based benchmark to the Barclays Capital Aggregate Bond Index in order to adopt an index that is not blended. The Portfolio also continues to show the Calvert VP Lifestyle Conservative Composite because it is more consistent with the Portfolio's construction process and represents a more accurate reflection of the Portfolio's anticipated risk and return patterns.

*** 40% S&P 500 Index and 60% Barclays Capital Aggregate Bond Index.

The performance data shown represents past performance, and does not guarantee future results.The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

**** Total return is not annualized for periods of one year or less.

 

re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Toward the end of the reporting period, investors globally once again became more risk averse and flocked to low-yielding, liquid US Treasuries--driving yields down. As a result, the benchmark 10-year Treasury note's yield fell 0.90 percentage points over the six-month period to 2.95%.3

Outlook

We expect the fragile recovery to continue as the post-crisis deleveraging in the U.S. and other western economies plays out, with slow economic growth and little consumer price inflation.

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant. But in our opinion, a slowdown in China is of more immediate concern than one in Europe.

Given the low level of interest rates, even on bonds with higher levels of credit risk, we plan to keep the durations of our bond allocations shorter than their respective benchmarks to help minimize the negative effects of an eventual rise in interest rates. We also plan to maintain a conservative credit risk profile in the near term.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view the correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S.

Asset Allocation

% of Total
Investments
(at 6.30.10)

Domestic Equity Exchange Traded Funds

44%

Fixed Income Exchange Traded Funds

48%

International and Global Equity Exchange Traded Funds

6%

Time Deposit

2%

Total

100%

 

equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

1. Forecast source: Wall Street Journal Economic Forecasting Survey of June 2010. Actual GDP data source: Bureau of Economic Analysis

2. Federal Open Market Committee

3. Interest rate data sources: Bloomberg and Federal Reserve

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$982.70

$3.69

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,021.08

$3.76

* Expenses are equal to the Fund's annualized expense ratio of .75%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratios.

 

STATEMENT OF NET ASSETS
June 30, 2010

Exchange Traded Funds - 97.0%

Shares

Value

iShares Barclays Aggregate Bond Fund

18,500

$1,984,125

iShares Barclays Intermediate Credit Bond Fund

4,000

421,200

iShares Barclays MBS Bond Fund

6,400

700,352

iShares Barclays TIPS Bond Fund

2,600

277,966

iShares iBoxx $ High Yield Corporate Bond Fund

6,600

560,340

iShares MSCI EAFE Index Fund

3,800

176,738

iShares Russell 2000 Index Fund

2,800

171,024

iShares S&P 500 Growth Index Fund

19,000

1,005,860

iShares S&P 500 Index Fund

8,000

827,680

iShares S&P 500 Value Index Fund

20,300

1,008,098

SPDR S&P MidCap 400 Trust

4,100

529,556

Vanguard Emerging Markets Fund

7,700

292,523

Vanguard REIT

2,500

116,225

 

 

 

     Total Exchange Traded Funds (Cost $8,204,948)

 

8,071,687

 

 

 

 

Principal

 

Time Deposit - 1.8%

Amount

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

$150,993

150,993

 

 

 

     Total Time Deposit (Cost $150,993)

 

150,993

 

 

 

          TOTAL INVESTMENTS (Cost $8,355,941) - 98.8%

 

8,222,680

          Other assets and liabilities, net - 1.2%

 

102,141

          Net Assets- 100%

 

$8,324,821

 

 

 

Net Assets Consist Of:

 

 

Paid-in capital applicable to 174,961 shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized

 

$8,425,352

Undistributed net investment income

 

96,392

Accumulated net realized gain (loss) on investments

 

(63,662)

Net unrealized appreciation (depreciation) on investments

 

(133,261)

 

 

 

          Net Assets

 

$8,324,821

 

 

 

          Net Asset Value per Share

 

$47.58

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income

$113,664

          Total investment income

113,664

 

 

Expenses:

 

     Investment advisory fee

23,633

     Transfer agency fees and expenses

821

     Directors' fees and expenses

626

     Administrative fees

4,297

     Accounting fees

700

     Custodian fees

2,543

     Reports to shareholders

389

     Professional fees

9,676

     Miscellaneous

721

          Total expenses

43,406

          Reimbursement from Advisor

(11,008)

          Fees paid indirectly

(171)

               Net expenses

32,227

 

 

          Net Investment Income

81,437

 

 

Realized and Unrealized Gain (Loss) on Investments

 

Net realized gain (loss)

100,728

Change in unrealized appreciation (depreciation)

(332,773)

 

 

          Net Realized and Unrealized Gain

 

           (Loss) on Investments

(232,045)

 

 

          Increase (Decrease) in Net Assets

 

          Resulting From Operations

($150,608)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$81,437

$118,483

     Net realized gain (loss) on investments

100,728

(57,916)

     Change in unrealized appreciation (depreciation)

(332,773)

331,267

 

 

 

     Increase (Decrease) in Net Assets

 

 

     Resulting From Operations

(150,608)

391,834

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(102,530)

          Total distributions

--

(102,530)

 

 

 

Capital share transactions:

 

 

     Shares sold

1,089,005

8,529,761

     Reinvestment of distributions

--

102,529

     Shares redeemed

(1,134,830)

(2,595,680)

          Total capital share transactions

(45,825)

6,036,610

 

 

 

     Total Increase (Decrease) in Net Assets

(196,433)

6,325,914

 

 

 

Net Assets

 

 

Beginning of period

8,521,254

2,195,340

End of period (including undistributed net investment income of $96,392 and $14,955, respectively)

$8,324,821

$8,521,254

 

 

 

Capital Share Activity

 

 

Shares sold

22,145

180,606

Reinvestment of distributions

--

2,108

Shares redeemed

(23,159)

(57,087)

          Total capital share activity

(1,014)

125,627

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP Lifestyle Conservative Portfolio (the "Portfolio"), formerly known as Summit Lifestyle ETF Market Strategy Conservative Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in various exchange traded funds (the "Underlying Funds"), representing different market exposure.

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 Portfolio uses independent pricing services approved by the Board of Directors 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. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs 

Investments in Securities

Level 1

Level 2

Level 3

Total

Exchange traded funds

$8,071,687

--

--

$8,071,687

Other debt obligations

--

$150,993

--

150,993

TOTAL

$8,071,687

$150,993

--

$8,222,680

Security Transactions and 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. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. ("the Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of 0.55% of the Portfolio's average daily net assets. Under the terms of the agreement, $3,924 was payable at period end. In addition, $227 was payable for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is 0.75%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement, $713 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $28 for the six months ended June 30, 2010. Under the terms of the agreement, $5 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $2,499,041 and $2,391,692, respectively.

Capital Loss Carryforward
Expiration Date

31-Dec-16

$56,593

31-Dec-17

39,392

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$95,629

Unrealized (depreciation)               

(251,384)

Net unrealized appreciation/(depreciation)     

($155,755)

Federal income tax cost of investments     

$8,378,435

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2010.

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009

2008

Net asset value, beginning

$48.42

$43.60

$52.86

Income from investment operations

 

 

 

     Net investment income

.47

.67

1.09

     Net realized and unrealized gain (loss)

(1.31)

4.74

(7.85)

          Total from investment operations

(.84)

5.41

(6.76)

Distributions from

 

 

 

     Net investment income

--

(.59)

(2.45)

     Net realized gain

--

--

(.05)

          Total distributions

--

(.59)

(2.50)

Total increase (decrease) in net asset value

(.84)

4.82

(9.26)

Net asset value, ending

$47.58

$48.42

$43.60

 

 

 

 

Total return*

(1.73%)

12.40%

(13.12%)

Ratios to average net assets: A,B

 

 

 

     Net investment income (loss)

1.90% (a)

2.92%

3.50%

     Total expenses

1.01% (a)

1.22%

4.48%

     Expenses before offsets

.75% (a)

.75%

.75%

     Net expenses

.75% (a)

.75%

.75%

Portfolio turnover

29%

88%

66%

Net assets, ending (in thousands)

$8,325

$8,521

$2,195

 

 

 

 

 

 

 

 

 

Periods Ended

 

 

December 31,

December 31,

 

 

2007(z)

2006^

 

Net asset value, beginning

$49.89

$50.00

 

Income from investment operations

 

 

 

     Net investment income

1.80

--

 

     Net realized and unrealized gain (loss)

1.17

(.11)

 

          Total from investment operations

2.97

(.11)

 

Distributions from

 

 

 

     Net investment income

--

--

 

     Net realized gain

--

--

 

          Total distributions

--

--

 

Total increase (decrease) in net asset value

2.97

(.11)

 

Net asset value, ending

$52.86

$49.89

 

 

 

 

 

Total return*

5.95%

(.22%)

 

Ratios to average net assets: A,B

 

 

 

     Net investment income (loss)

  

3.47%

(.52%) (a)

     Total expenses

  

7.28%

220.34% (a)

     Expenses before offsets

.75%

.75% (a)

 

     Net expenses

.75%

.75% (a)

 

Portfolio turnover

15%

0%

 

Net assets, ending (in thousands)

$911

$150

 

See notes to financial highlights.

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

B Amounts do not include the activity of the Underlying Funds.

(a) Annualized.

(z) Per share figures calculated using the average shares method.

* Total return is not annualized for periods less than one year.

^ From December 28, 2006 inception.

 

See notes to financial statements.

 

Explanation of Financial Tables

Schedule of Investments

The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.

Statement of Assets and Liabilities

The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

 

<PAGE>

 

Calvert VP Lifestyle Aggressive Portfolio

(formerly, Summit Lifestyle ETF
Market Strategy Aggressive Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

9

Statement of Operations

10

Statements of Changes in Net Assets

11

Notes to Financial Statements

15

Financial Highlights

17

Explanation of Financial Tables

18

Proxy Voting

19

Availability of Quarterly Portfolio Holdings

 

Calvert VP Lifestyle Aggressive Portfolio

Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

Over the six-month reporting period, the U.S. continued its slow recovery from the deepest recession of the post-World War II era. Assuming that the consensus1 expectation for a moderate 3.3% pace of economic growth in the second quarter of 2010 holds true, gross domestic product (GDP) will have grown at a 3.4% pace in the 12 months since the trough of the recession, with a 3.0% economic growth rate in the first half of 2010. While both rates are near the average for the last 50 years, they are well below the pace seen during previous recoveries from deep recessions. In fact, after the end of the reporting period, expectations for GDP growth continued to trend lower.

The Federal Reserve (Fed) left the target federal funds rate near zero percent and repeatedly indicated that it would remain low for an "extended period."2 By the end of June, lending rates signaled that the market did not expect the Fed to begin raising rates until mid-2011. In the meantime, the Fed finished closing its emergency support facilities and tested some policy exit strategies.

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. All 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Calvert VP Lifestyle Aggressive Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month****

-5.89%

One year

11.64%

Since inception (12.28.06)

-4.40%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

**In December 2009 the Portfolio changed its broad-based benchmark to the S&P 500 Index in order to adopt an index that is not blended. The Portfolio also continues to show the Calvert VP Lifestyle Aggressive Composite because it is more consistent with the Portfolio's construction process and represents a more accurate reflection of the Portfolio's anticipated risk and return patterns.

***80% S&P 500 Index and 20% Barclays Capital Aggregate Bond Index.

The performance data shown represents past performance, and does not guarantee future results.The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.
**** Total return is not annualized for periods of one year or less.

 

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Toward the end of the reporting period, investors globally once again became more risk averse and flocked to low-yielding, liquid U.S. Treasuries--driving yields down. As a result, the benchmark 10-year Treasury note's yield fell 0.90 percentage points over the six-month period to 2.95%.3

Outlook

We expect the fragile recovery to continue as the post-crisis deleveraging in the U.S. and other western economies plays out, with slow economic growth and little consumer price inflation.

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant. But in our opinion, a slowdown in China is of more immediate concern than one in Europe.

Given the low level of interest rates, even on bonds with higher levels of credit risk, we plan to keep the durations of our bond allocations shorter than their respective benchmarks to help minimize the negative effects of an eventual rise in interest rates. We also plan to maintain a conservative credit risk profile in the near term.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view the correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

Asset Allocation

% of Total
Investments

Domestic Equity Exchange Traded Funds

78%

International and Global Equity Exchange Traded Funds

13%

Fixed Income Exchange Traded Funds

9%

Total

100%

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

1. Forecast source: Wall Street Journal Economic Forecasting Survey of June 2010. Actual GDP data source: Bureau of Economic Analysis

2. Federal Open Market Committee

3. Interest rate data sources: Bloomberg and Federal Reserve

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$940.60

$3.61

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,021.08

$3.76

* Expenses are equal to the Fund's annualized expense ratio of .75%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratios.

 

STATEMENT OF NET ASSETS
June 30, 2010

Exchange Traded Funds - 99.4%

Shares

Value

iShares Barclays Aggregate Bond Fund

3,800

$407,550

iShares Barclays Intermediate Credit Bond Fund

800

84,240

iShares Barclays MBS Bond Fund

1,400

153,202

iShares Barclays TIPS Bond Fund

600

64,146

iShares iBoxx $ High Yield Corporate Bond Fund

1,500

127,350

iShares MSCI EAFE Index Fund

11,500

534,865

iShares Russell 2000 Index Fund

5,800

354,264

iShares S&P 500 Growth Index Fund

35,900

1,900,546

iShares S&P 500 Index Fund

15,900

1,645,014

iShares S&P 500 Value Index Fund

38,200

1,897,012

SPDR S&P MidCap 400 Trust

8,100

1,046,196

Vanguard Emerging Markets Fund

15,400

585,046

Vanguard REIT

5,000

232,450

 

 

 

     Total Exchange Traded Funds (Cost $9,478,622)

 

9,031,881

 

 

 

          TOTAL INVESTMENTS (Cost $9,478,622) - 99.4%

 

9,031,881

          Other assets and liabilities, net - 0.6%

 

55,424

          Net Assets - 100%

 

$9,087,305

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to 223,150 shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized

 

$9,601,528

Undistributed net investment income

 

67,976

Accumulated net realized gain (loss) on investments

 

(135,458)

Net unrealized appreciation (depreciation) on investments

 

(446,741)

 

 

 

          Net Assets

 

$9,087,305

 

 

 

          Net Asset Value per Share

 

$40.72

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income

$99,248

          Total investment income

99,248

 

 

Expenses:

 

     Investment advisory fee

28,396

     Transfer agency fees and expenses

821

     Accounting fees

842

     Directors' fees and expenses

762

     Administrative fees

5,163

     Custodian fees

2,620

     Reports to shareholders

205

     Professional fees

9,768

     Miscellaneous

493

          Total expenses

49,070

          Reimbursement from Advisor

(10,292)

          Fees paid indirectly

(56)

               Net expenses

38,722

 

 

               Net Investment Income

60,526

 

 

Realized and Unrealized Gain (Loss) on Investments

 

Net realized gain (loss)

127,398

Change in unrealized appreciation (depreciation)

(776,340)

 

 

               Net Realized and Unrealized Gain

 

               (Loss) on Investments

(648,942)

 

 

               Increase (Decrease) in Net Assets

 

               Resulting From Operations

($588,416)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income

$60,526

$95,099

     Net realized gain (loss)

127,398

(156,438)

     Change in unrealized appreciation (depreciation)

(776,340)

600,809

 

 

 

          Increase (Decrease) in Net Assets

 

 

          Resulting From Operations

(588,416)

539,470

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(87,313)

          Total distributions

--

(87,313)

 

 

 

Capital share transactions:

 

 

     Shares sold

576,417

10,628,986

     Reinvestment of distributions

--

87,312

     Shares redeemed

(1,384,514)

(1,896,196)

          Total capital share transactions

(808,097)

8,820,102

 

 

 

     Total Increase (Decrease) in Net Assets

(1,396,513)

9,272,259

 

 

 

Net Assets

 

 

Beginning of period

10,483,818

1,211,559

End of period (including undistributed net investment income of $67,976 and $7,450 respectively)

$9,087,305

$10,483,818

 

 

 

Capital Share Activity

 

 

Shares sold

13,053

252,978

Reinvestment of distributions

--

2,002

Shares redeemed

(32,191)

(46,038)

          Total capital share activity

(19,138)

208,942

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: The Calvert VP Lifestyle Aggressive Portfolio (the "Portfolio"), formerly known as Summit Lifestyle ETF Market Strategy Aggressive Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in various exchange traded funds (the "Underlying Funds"), representing different market exposure.

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 Portfolio uses independent pricing services approved by the Board of Directors 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. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Exchange Traded Funds

$9,031,881

--

--

$9,031,881

TOTAL

$9,031,881

--

--

$9,031,881

Security Transactions and 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 ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities, is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. ("the Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .55% of the Portfolio's average daily net assets. Under the terms of the agreement, $4,458 was payable at period end. In addition, $333 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .75%. 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 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 for the Portfolio. For its services, CASC receives an annual fee, payable monthly, of .10% of the Portfolio's average daily net assets. Under the terms of the agreement $810 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $28 for the six months ended June 30, 2010. Under the terms of the agreement, $5 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $2,617,311 and $3,335,149, respectively.

Capital Loss Carryforwards
Expiration Date

31-Dec-16

$48,485

31-Dec-17

110,750

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$17,819

Unrealized (depreciation)               

(482,531)

Net unrealized appreciation/(depreciation)

($464,712)

Federal income tax cost of investments     

$9,496,593

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had an outstanding loan balance of $155,438 at a rate of 1.56% at June 30, 2010. For the six months ended June 30, 2010, borrowing information by the Portfolio under the Agreement was as follows:

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month Of
Maximum
Amount
Borrowed

 

$2,175

1.57%

$155,438

June 2010

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009

2008

Net asset value, beginning

$43.27

$36.33

$52.28

Income from investment operations

 

 

 

     Net investment income

.27

.38

.78

     Net realized and unrealized gain (loss)

(2.82)

6.92

(15.08)

          Total from investment operations

(2.55)

7.30

(14.30)

Distributions from

 

 

 

     Net investment income

--

(.36)

(1.64)

     Net realized gain

--

--

(.01)

          Total distributions

--

(.36)

(1.65)

Total increase (decrease) in net asset value

(2.55)

6.94

(15.95)

Net asset value, ending

$40.72

$43.27

$36.33

 

 

 

 

Total return*

(5.89%)

20.09%

(27.72%)

Ratios to average net assets: A,B

 

 

 

     Net investment income

1.17% (a)

2.57%

2.50%

     Total expenses

.95% (a)

1.25%

5.55%

     Expenses before offsets

.75% (a)

.75%

.75%

     Net expenses

.75% (a)

.75%

.75%

Portfolio turnover

26%

54%

69%

Net assets, ending (in thousands)

$9,087

$10,484

$1,212

 

 

 

 

 

 

 

 

 

Periods Ended

 

 

December 31,

December 31,

 

 

2007 (z)

2006^

 

Net asset value, beginning

$49.79

$50.00

 

Income from investment operations

 

 

 

     Net investment income

1.23

--

 

     Net realized and unrealized gain (loss)

1.26

(.21)

 

          Total from investment operations

2.49

(.21)

 

Total increase (decrease) in net asset value

2.49

(.21)

 

Net asset value, ending

$52.28

$49.79

 

 

 

 

 

Total return*

5.00%

(.42%)

 

Ratios to average net assets: A,B

 

 

 

     Net investment income (loss)

2.35%

(.72%) (a)

 

     Total expenses

7.14%

220.77% (a)

 

     Expenses before offsets

.75%

.75% (a)

 

     Net expenses

.75%

.75% (a)

 

Portfolio turnover

27%

0%

 

Net assets, ending (in thousands)

$978

$149

 

 

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

B Amounts do not include the activity of the Underlying Funds.

(a) Annualized.

(z) Per share figures calculated using the Average Shares Method.

* Total return is not annualized for periods less than one year.

^ From December 28, 2006 inception.

 

See notes to financial statements.

 

Explanation of Financial Tables

Schedule of Investments

The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.

Statement of Assets and Liabilities

The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

<PAGE>

 

Calvert VP Natural
Resources Portfolio

(formerly, Summit Natural

Resources Portfolio)

Semi-Annual Report

June 30, 2010

 

TABLE OF CONTENTS

4

Portfolio Manager Remarks

7

Shareholder Expense Example

8

Statement of Net Assets

9

Statement of Operations

10

Statements of Changes in Net Assets

11

Notes to Financial Statements

15

Financial Highlights

17

Explanation of Financial Tables

18

Proxy Voting

19

Availability of Quarterly Portfolio Holdings

 

Calvert CP Natural Resources Portfolio

Managed by Summit Investment Advisors, Inc., Subadvisor

Investment Climate

For the first six months of 2010, the Standard & Poor's (S&P) 500 Index was down 6.65% and the Russell 2000 Index was down 1.95%. International markets fared poorly as well during the period, as the MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI) lost 12.27% due to a combination of poor market performance and a strong U.S. dollar.

In the S&P 500 Index, all 10 economic sectors lost value. The Materials, Energy, and Information Technology sectors all suffered double-digit losses. The Industrials, Consumer Discretionary, and Consumer Staples sectors provided the best performance for the six-month period.

Equity markets performed poorly over the first six months of 2010 due to a combination of factors--concerns that second-half corporate earnings comparisons may be challenging, impending financial regulation, a potential slowdown in the Chinese economy, the risk of sovereign debt contagion in Europe, and growing fears of a double-dip recession--which are creating multiple uncertainties for investors globally and causing a re-pricing of risk in both equity and fixed-income assets.

Corporate earnings continued to be generally strong, particularly due to easy year-over-year comparisons, and revenues for many large companies also started to improve. However, with signs that economic activity is slowing and cost cutting is at its peak, earnings comparisons will be more challenging in the second half.

Unemployment remained stubbornly high at 9.5% as of June despite increases in government hiring. The underemployment rate, which includes part-time workers who are looking for full-time positions and discouraged workers, was still very high at 16.5%.

U.S. homeowners have taken advantage of historically low interest rates to refinance their existing homes, which should have a positive impact on consumer balance sheets. However, low mortgage rates have not been able to improve home

Calvert VP Natural Resources Portfolio*

Comparison of change in
value of a hypothetical $10,000 investment.

 

 

Average Annual Total Return
(period ended 6.30.10)

Six month**

-11.38%

One year

5.83%

Since inception (12.28.06)

-4.59%

*Performance information is for the Portfolio only and does not reflect charges and expenses of the variable annuity or variable universal life contract.

The performance data shown represents past performance, and does not guarantee future results.The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

** Total return is not annualized for periods of one year or less.

 

sales and prices.

From the March 2009 market low through the April 23, 2010 high, the S&P 500 Index returned 84.21%. Given that fact, it is not surprising that investors were inclined to lock in their gains at the end of April 2010 in the face of mounting uncertainty in the global economic and geopolitical landscape.

Outlook

We believe that the European sovereign debt crisis is unlikely to hurt the major European countries so severely as to cause an economic recession in the entire region. However, investors are worried about specific governments and their ability to roll over their debt in the near future, and they are selling off financial shares accordingly. Their worries are not without warrant.

In our opinion, a slowdown in China is of more immediate concern than one in Europe. Chinese officials raised interest rates in an attempt to engineer a soft landing and prevent the bursting of the asset bubbles in that country. But these asset bubbles could deflate in a disorderly fashion, pushing the Chinese economy to a hard landing, which would certainly impact global growth prospects.

On the positive side, manufacturing continues to hold up better than the rest of the U.S. economy. Factory orders and industrial production have been increasing. U.S. corporations are also enjoying a healthy build-up of cash, which is being used for stock repurchases, dividends, and mergers. Therefore, we believe that merger and acquisition activity will benefit smaller-cap names and the active equity managers who invest in them.

Through April, financial markets seem to have anticipated a V-shaped recovery while the underlying economic recovery has been firmly U-shaped--and the two need to reconcile. Therefore, we view this correction as a healthy development for the equity markets. The sell-off should produce attractive investment opportunities once volatility subsides, with the U.S. market likely to outperform relative to the rest of the world in the short term. Currently, we believe that U.S. equities may be one of the more attractive equity assets.

The sell-off in the equity markets has been relatively orderly so far and could continue if earnings comparisons are heavily challenged in upcoming quarters. At that point, we believe that investors will be likely to reallocate to equities in a more meaningful way.

We also believe that, with so much turmoil in the markets, investors and regulators are not sufficiently focused on the potential long-term effects of climate change. If not mitigated, we believe that climate change could have a very significant negative impact on global gross domestic product growth, possibly subtracting as much as one-fifth of the potential growth rate for an extended period of time.

Economic Sectors

% of Total
Investments

 

 

Materials Stocks

31.1%

Forestry Stocks

6.1%

Energy Stocks

19.2%

Water Stocks

5.0%

Utilities Stocks

4.0%

Energy Commodities

14.8%

Grain Commodities

6.6%

Industrial Metals Commodities

5.3%

Precious Metals Commodities

4.6%

Soft Commodities

2.1%

Livestock Commodities

1.2%

 

 

Total

100%

The recent Gulf of Mexico oil spill further underscores this imperative. We are dismayed by the staggering consequences of the spill on communities, livelihoods, and ecosystems. Yet we trust that solutions focusing on alternative energy and renewing our water supplies will become higher public- and private-sector priorities in the months and years ahead.

Sincerely,

Natalie A. Trunow
Senior Vice President, Chief Investment Officer - Equities
Calvert Asset Management Company
July 2010

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management 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 (January 1, 2010 to June 30, 2010).

Note: Expenses do not reflect charges and expenses of the variable annuity or variable universal life contract.

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
1/1/10

Ending
Account Value
6/30/10

Expenses Paid
During Period*
1/1/10 - 6/30/10

 

 

 

 

Actual

$1,000.00

$886.20

$3.51

Hypothetical
(5% return per year before expenses)

$1,000.00

$1,021.08

$3.76

* Expenses are equal to the Fund's annualized expense ratio of .75%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the Underlying Funds in which the Portfolio invests are not included in the annualized expense ratios.

 

STATEMENT OF NET ASSETS
June 30, 2010

Investment Companies - 98.0%

 

Shares

Value

Claymore/Beacon Global Timber Index ETF

 

88,700

$1,502,578

iPath Dow Jones-UBS Commodity Index Total Return ETN*

 

114,300

4,302,252

iShares Dow Jones US Utilities Sector Index ETF

 

14,600

1,003,604

iShares S&P Global Materials Sector Index ETF

 

57,100

2,990,898

iShares S&P North American Natural Resources Sector Index ETF

 

154,000

4,749,360

PowerShares DB Commodity Index Tracking Fund*

 

198,300

4,277,331

PowerShares Water Resources Portfolio ETF

 

82,400

1,240,944

Vanguard Materials ETF

 

78,700

4,725,148

 

 

 

 

     Total Investment Companies (Cost $25,384,181)

 

 

24,792,115

 

 

 

 

 

 

Principal

 

Time Deposit - 6.3%

 

Amount

 

State Street Corp. Time Deposit, 0.01%, 7/1/10

 

$1,608,107

1,608,107

 

 

 

 

     Total Time Deposit (Cost $1,608,107)

 

 

1,608,107

 

 

 

 

          TOTAL INVESTMENTS (Cost $26,992,288) - 104.3%

 

 

26,400,222

          Other assets and liabilities, net - (4.3%)

 

 

(1,093,860)

          Net Assets - 100%

 

 

$25,306,362

 

 

 

 

Net Assets Consist Of:

 

 

 

Paid-in capital applicable to 599,840 shares of common stock outstanding; $0.10 par value, 20,000,000 shares authorized

 

 

$31,124,841

Undistributed net investment income

 

 

9,869

Accumulated net realized gain (loss) on investments

 

 

(5,236,282)

Net unrealized appreciation (depreciation) on investments

 

 

(592,066)

 

 

 

 

           Net Assets

 

 

$25,306,362

 

 

 

 

           Net Asset Value Per Share

 

 

$42.19

 

* Non-income producing security.

 

Abbreviations:

ETF: Exchange-traded fund
ETN: Exchange-traded note

See notes to financial statements.

 

Statement of Operations
Six Months Ended June 30, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income

$66,569

     Interest income

1

          Total investment income

66,570

 

 

Expenses:

 

     Investment advisory fee

50,514

     Transfer agency fees and expenses

841

     Accounting fees

1,438

     Directors' fees and expenses

1,236

     Administrative fees

9,184

     Custodian fees

3,269

     Reports to shareholders

2,447

     Professional fees

10,090

     Miscellaneous

316

          Total expenses

79,335

          Reimbursement from Advisor

(10,198)

          Fees paid indirectly

(255)

               Net expenses

68,882

 

 

                    Net Investment Income

(2,312)

 

 

Realized and Unrealized Gain (Loss) on Investments

 

Net realized gain (loss)

(698,996)

Change in unrealized appreciation (depreciation)

(1,794,746)

 

 

                    Net Realized and Unrealized Gain

 

                    (Loss) on Investments

(2,493,742)

 

 

                    Increase (Decrease) in Net Assets

 

                    Resulting From Operations

($2,496,054)

 

See notes to financial statements.

 

Statements of Changes in Net Assets

 

Six Months Ended

Year Ended

 

June 30,

December 31,

Increase (Decrease) in Net Assets

2010

2009

Operations:

 

 

     Net investment income (loss)

($2,312)

$24,394

     Net realized gain (loss)

(698,996)

(2,288,408)

     Change in unrealized appreciation or (depreciation)

(1,794,746)

5,748,315

 

 

 

          Increase (Decrease) in Net Assets

 

 

          Resulting From Operations

(2,496,054)

3,484,301

 

 

 

Distributions to shareholders from:

 

 

     Net investment income

--

(41,810)

 

 

 

Capital share transactions:

 

 

     Shares sold

13,247,658

10,788,926

     Reinvestment of distributions

--

41,810

     Shares redeemed

(2,814,222)

(4,578,253)

          Total capital share transactions

10,433,436

6,252,483

 

 

 

          Total Increase (Decrease) in Net Assets

7,937,382

9,694,974

 

 

 

Net Assets

 

 

Beginning of period

17,368,980

7,674,006

End of period (including undistributed net investment income of $9,869 and $12,181, respectively)

$25,306,362

$17,368,980

 

 

 

Capital Share Activity

 

 

Shares sold

295,792

266,524

Reinvestment of distributions

--

874

Shares redeemed

(60,766)

(113,298)

          Total capital share activity

235,026

154,100

 

See notes to financial statements.

 

NOTES TO FINANCIAL STATEMENTS

Note A --- Significant Accounting Policies

General: Calvert VP Natural Resources Portfolio (the "Portfolio"), formerly known as Summit Natural Resources Portfolio, a series of Calvert Variable Products, Inc. (the "Fund"), formerly known as Summit Mutual Funds, Inc., is registered under the Investment Company Act of 1940 as a non-diversified, open-end management investment company. The Fund is comprised of thirteen separate portfolios. The operations of each series of the Fund are accounted for separately. The shares of the Portfolio are sold to affiliated and unaffiliated insurance companies for allocation to certain of their variable separate accounts. The Portfolio invests primarily in exchange traded funds and exchange traded notes (the "Underlying Funds") representing different natural resources exposures.

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 Portfolio uses independent pricing services approved by the Board of Directors 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. 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 Directors.

In determining fair value, the Board considers all relevant qualitative and quantitative information available. These factors are subject to change over time and are reviewed periodically. The values assigned to fair value investments are based on available information and do not necessarily represent amounts that might ultimately be realized. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material. At June 30, 2010, no securities were fair valued under the direction of the Board of Directors.

The Portfolio utilizes various methods to measure the fair value of its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

Level 1 -- quoted prices in active markets for identical securities

Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy during the period. For additional information on the Portfolio's policy regarding valuation of investments, please refer to the Portfolio's most recent prospectus.

The following is a summary of the inputs used to value the Portfolio's net assets as of June 30, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Exchange traded funds & notes

$24,792,115

--

--

$24,792,115

Other debt obligations

--

$1,608,107

--

1,608,107

TOTAL

$24,792,115

$1,608,107

--

$26,400,222

Security Transactions and 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 ex-dividend date. Interest income, which includes amortization of premium and accretion of discount on debt securities is accrued as earned. Expenses included in the accompanying financial statements reflect the expenses of the Portfolio and do not include any expenses associated with the Underlying Funds.

Distributions to Shareholders: Distributions to shareholders are recorded by the Portfolio on ex-dividend date. Dividends from net investment income and distributions from net realized capital gains, if any, are paid at least annually. Distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles; accordingly, periodic reclassifications are made within the Portfolio's capital accounts to reflect income and gains available for distribution under income tax regulations.

Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Expense Offset Arrangements: The Portfolio has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Portfolio's cash on deposit with the bank. These credits are used to reduce the Portfolio'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 Portfolio intends to continue to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

Management has analyzed the Portfolio's tax positions taken for all open federal income tax years and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. A Portfolio's federal tax return is subject to examination by the Internal Revenue Service for a period of three years.

New Accounting Pronouncements: In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 requires reporting entities to make new disclosures about amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, and information on purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2009 except for the disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures, which are effective for fiscal years beginning after December 15, 2010. Effective, January 1, 2010, management has implemented the ASU 2010-06 requirement to disclose the amount and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements and input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3. At this time, management is evaluating the implications of ASU No. 2010-06 disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measures and its impact on the financial statements has not been determined.

Note B -- Related Party Transactions

Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by UNIFI Mutual Holding Company. The Advisor provides investment advisory services and pays the salaries and fees of officers and Directors of the Fund who are employees of the Advisor or its affiliates. For its services, the Advisor receives an annual fee, payable monthly, of .55%, of the Portfolio's average daily net assets. Under the terms of the agreement, $10,394 was payable at period end. In addition, $1,509 was payable at period end for operating expenses paid by the Advisor during June 2010.

The Advisor has contractually agreed to limit net annual portfolio operating expenses through April 30, 2011. The contractual expense cap is .75%. 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 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 Portfolio for an annual fee, payable monthly, of .10% based on the Portfolio's average daily net assets. Under the terms of the agreement, $1,890 was payable at period end.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, acts as shareholder servicing agent for the Portfolio. For its services, CSSI received a fee of $36 for the six months ended June 30, 2010. Under the terms of the agreement, $6 was payable at period end. Boston Financial Data Services, Inc. is the transfer and dividend disbursing agent.

Each Director of the Fund who is not an employee of the Advisor or its affiliates receives a fee of $1,500 for each Board and Committee meeting attended plus an annual fee of $30,000 ($20,000 prior to April 1, 2010). Committee chairs receive an additional $5,000 annual retainer. Director's fees are allocated to each of the portfolios served.

Note C -- Investment Activity

During the period, the cost of purchases and proceeds from sales of investments, other than short-term securities were $12,532,686 and $2,285,896, respectively.

Capital Loss Carryforwards
Expiration Date

31-Dec-16                    $1,893,101

Capital losses may be utilized to offset future capital gains until expiration.

As of June 30, 2010, the tax basis components of unrealized appreciation/(depreciation) and the federal tax cost were as follows:

Unrealized appreciation               

$--

Unrealized (depreciation)               

(4,296,612)

Net unrealized appreciation/(depreciation)     

($4,296,612)

Federal income tax cost of investments     

$30,696,834

Note D -- Line of Credit

A financing agreement is in place with all Calvert Group Funds and State Street Corporation ("SSC"). Under the agreement, SSC provides an unsecured line of credit facility, in the aggregate amount of $50 million ($25 million committed and $25 million uncommitted), accessible by the Funds for temporary or emergency purposes only. Borrowings under the committed facility bear interest at the higher of the London Interbank Offered Rate, (LIBOR) or the overnight Federal Funds Rate plus 1.25% per annum. A commitment fee of .15% per annum is incurred on the unused portion of the committed facility, which is allocated to all participating funds. The Portfolio had no borrowings under the agreement during the six months ended June 30, 2010.

Note E -- Subsequent Events

In preparing the financial statements as of June 30, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

June 30,

December 31,

December 31,

 

2010

2009 (z)

2008

Net asset value, beginning

$47.61

$36.42

$60.90

Income from investment operations

 

 

 

     Net investment income (loss)

(.02)

.08

.10

     Net realized and unrealized gain (loss)

(5.40)

11.22

(24.46)

          Total from investment operations

(5.42)

11.30

(24.36)

Distributions from

 

 

 

     Net investment income

--

(.11)

(.12)

          Total distributions

--

(.11)

(.12)

Total increase (decrease) in net asset value

(5.42)

11.19

(24.48)

Net asset value, ending

$42.19

$47.61

$36.42

 

 

 

 

Total return*

(11.38%)

31.04%

(40.03%)

Ratios to average net assets: A,B

 

 

 

     Net investment income (loss)

(.03%) (a)

.20%

.40%

     Total expenses

.86% (a)

.90%

1.38%

     Expenses before offsets

.75% (a)

.75%

.75%

     Net expenses

.75% (a)

.75%

.75%

Portfolio turnover

12%

35%

101%

Net assets, ending (in thousands)

$25,306

$17,369

$7,674

 

 

 

 

 

 

 

 

 

Periods Ended

 

 

December 31,

December 31,

 

 

2007

2006^

 

Net asset value, beginning

$49.98

$50.00

 

Income from investment operations

 

 

 

     Net investment income

.10

--

 

     Net realized and unrealized gain (loss)

10.82

(.02)

 

          Total from investment operations

10.92

(.02)

 

Distributions from

 

 

 

     Net investment income

--

--

 

          Total distributions

--

--

 

Total increase (decrease) in net asset value

10.92

(.02)

 

Net asset value, ending

$60.90

$49.98

 

 

 

 

 

Total return*

21.85%

(.04%)

 

Ratios to average net assets: A,B

 

 

 

     Net investment income (loss)

.23%

(.75%) (a)

 

     Total expenses

6.33%

133.46% (a)

 

     Expenses before offsets

.75%

.75% (a)

 

     Net expenses

.75%

.75% (a)

 

     Portfolio turnover

28%

0%

 

Net assets, ending (in thousands)

$1,255

$250

 

 

See notes to financial highlights.

 

A Total expenses do not reflect amounts reimbursed and/or waived by the Advisor or reductions from expense offset arrangements. Expenses before offsets reflect expenses after reimbursement and/or waiver by the Advisor but prior to reductions from expense offset arrangements. Net expenses are net of all reductions and represent the net expenses paid by the portfolio.

B Amounts do not include the activity of the Underlying Funds.

(a) Annualized.

(z) Per share figures are calculated using the Average Shares Method.

*      Total return is not annualized for periods less than one year.

^     From December 28, 2006, inception.

 

See notes to financial statements.

 

Explanation of Financial Tables

Schedule of Investments

The Schedule of Investments is a snapshot of all securities held in the fund at their market value, on the last day of the reporting period. Securities are listed by asset type (e.g., common stock, corporate bonds, U.S. government obligations) and may be further broken down into sub-groups and by industry classification.

Statement of Assets and Liabilities

The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities typically 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 by class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, expressed as a percentage of net assets. These expenses directly reduce returns to shareholders. Portfolio turnover measures the trading activity in a fund's investment portfolio -- how often securities are bought and sold by a fund. Portfolio turnover is affected by market conditions, changes in the size of the fund, the nature of the fund's investments and the investment style of the portfolio manager.

Proxy Voting

The Proxy Voting Guidelines that the Portfolio uses to determine how to vote proxies relating to portfolio securities is provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745 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 by calling the Fund or visiting 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.

 

 

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.

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.

 

 

<PAGE>

 

Item 2. Code of Ethics.

Not applicable.

 

Item 3. Audit Committee Financial Expert.

Not applicable.

 

Item 4. Principal Accountant Fees and Services.

Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable.

 

Item 6. Schedule of Investments.

  1. This Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
  2. Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

 

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Directors since registrant last provided disclosure in response to this Item.

 

Item 11. Controls and Procedures.

(a) The principal executive and financial officers concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Exchange Act, as of a date within 90 days of the filing date of this report.

(b) There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

Item 12. Exhibits.

(a)(1) Not applicable.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2).

Attached hereto.

(a)(3) Not applicable.

(b) A certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. The certification furnished pursuant to this paragraph is not deemed to be "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section. Such certification is not deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934, except to the extent that the registrant specifically incorporates it by reference.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

CALVERT VARIABLE PRODUCTS, INC.

By:

/s/ Barbara J. Krumsiek
Barbara J. Krumsiek
Chairman -- Principal Executive Officer

Date:

August 30, 2010

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
Chairman -- Principal Executive Officer

Date: August 30, 2010

/s/ Ronald M. Wolfsheimer
Ronald M. Wolfsheimer
Treasurer -- Principal Financial Officer

Date: August 30, 2010