N-CSRS 1 csisncsrsfiled0610.htm CALVERT SOCIAL INDEX SERIES, INC. Calvert Social Index Series, 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: 811-9877

CALVERT SOCIAL INDEX SERIES, 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: September 30

Date of reporting period: Six months ended March 31, 2010

 

Item 1. Report to Stockholders.

 

<PAGE>

 

Calvert Social Index Fund

Semi-Annual Report
March 31, 2010

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TABLE OF CONTENTS

1

President's Letter

4

SRI Update

7

Portfolio Management Discussion

11

Shareholder Expense Example

13

Statement of Net Assets

31

Statement of Operations

32

Statement of Changes in Net Assets

34

Notes to Financial Statements

40

Financial Highlights

44

Explanation of Financial Tables

46

Proxy Voting and Availability of Quarterly Portfolio Holdings

46

Basis for Board's Approval of Investment Advisory Contracts

 

Dear Shareholder:

Over the six-month reporting period, the global financial markets climbed higher amidst periods of volatility, as global stimulus policies took hold and economies worked to emerge from the worst recession in 50 years. By the end of 2009, corporate bonds had staged a remarkable nine-month rally, and stocks moved to 18-month highs in March 2010.

Early in 2010, the equity and fixed-income markets were buffeted by an array of concerns, including proposed U.S. financial regulations, trouble in China's economy, high levels of unemployment globally, and worries about the sovereign credit quality of Greece and other European countries. By the end of the reporting period, however, the markets had steadied and resumed their climb, reassured by the release of more positive economic data--particularly relating to the consumer sector.

Looking ahead, we see encouraging signs of economic recovery. However, we also anticipate that there will be a period of transition. Both the equity and fixed-income markets are likely to be challenged by interest-rate uncertainty, increased market volatility, and concerns about mounting government debt. In this environment, we believe that investment strategies that include sustainability criteria may be better positioned to provide long-term value.

Markets Move Higher

In a welcome reversal from the much more difficult time periods of 2008 and early 2009, U.S. stock indexes reported solid six-month gains across all styles, strategies, and capitalization ranges. The large-cap Russell 1000 Index and the Standard & Poor's 500 Index returned 12.11% and 11.75%, respectively. Small- and mid-cap indexes, as well as value and growth indexes, all posted healthy returns. On the international front, the MSCI EAFE Investable Market Index (IMI), a benchmark for international stocks, edged up 3.25%, and the MSCI Emerging Markets IMI was up 12.02%.

Following their robust rally of 2009, corporate bonds recorded more modest gains for the six-month reporting period, with the Barclays Capital U.S. Credit Index up 3.33%. Money market returns remained low, reflecting the Federal Reserve's continued target of 0% to 0.25% for the federal funds rate.

Sustainable and Responsible Investing

As the global economy slowly recovers and the Obama administration and Congress negotiate financial reform and implement the new health care law, priorities for sustainability initiatives worldwide have clearly shifted and realigned. On the environmental front, for instance, while last December's Copenhagen Summit didn't result in legally binding emissions targets, the major world economies did agree to carbon emissions limits.

In this complex environment, we believe it's more important than ever for sustainable investors to retain their focus on and commitment to initiatives that advance environmental, social, and corporate governance responsibilities. In the last six months since we reported to you, Calvert has made progress on several sustainable and responsible investment initiatives.

In March 2010, the United Nations Global Compact and the United Nations Development Fund for Women (UNIFEM) launched the Women's Empowerment Principles, extending the goals underlying the Calvert Women's Principles® to an international audience. The Women's Empowerment Principles set out guidelines for international business practices that establish high-level corporate support for gender equality, promote professional development for women, and measure and publicly report on companies' progress to achieve gender equality.

Board Diversity Front and Center

Calvert has been a rigorous advocate for minority and female representation on corporate boards of directors since the passage of the Sarbanes-Oxley Act of 2002. Last December, we filed our 50th shareholder resolution on board diversity, marking years of engagement with hundreds of companies on this issue. In March, Ceres, an organization of investors focused on sustainability, released a report called The 21st Century Corporation: The Ceres Roadmap for Sustainability, which lays out 20 key expectations for companies related to disclosure, governance, stakeholder engagement, and performance on key environmental and sustainability issues. We are proud that Ceres highlighted Calvert's work on board diversity in the report.

Recently, the Securities and Exchange Commission (SEC) approved board diversity disclosure requirements in proxy statements. To bolster the impact of this SEC requirement, Calvert has provided a scorecard that outlines the approach taken by companies in the Russell 1000 Index that have filed proxies since March 1, 2010. The scorecard compares board diversity disclosures from 2009 and 2010 and analyzes any progress. We believe that companies with high standards of corporate governance, including diverse boards, are better positioned to compete in the global marketplace.

On the Road to Recovery

Looking ahead, we believe that the worst of the recession is behind us. However, the economic recovery will be uneven, with ongoing market volatility. On a positive note, the global financial markets have continued to rally and the U.S. economy is showing improved vital signs. Investors, while still cautious, have become less risk-averse, moving away from the lowest-yielding securities. Most recently, encouraging data has shown that U.S. manufacturing and production levels are up, along with consumer spending and retail sales.

Global fiscal concerns, however, may still prove to be a significant drag on the pace of recovery. At home and abroad, governments at all levels are facing major fiscal challenges. Concerns about Greece's sovereign debt have spread to other European countries, unsettling the euro and raising concerns about countries in other regions as well.

In the U.S., as the government removes fiscal and monetary stimulus from the system, the economy must find a self-sustaining balance to continue its forward momentum. Of course, the Obama administration and Congress are grappling with credit-rating agency reform, banking reform, and the role of the Federal Reserve and U.S. government in the oversight of financial institutions and the markets, among many critical issues. In our view, over time, these efforts may work to redress some of the systemic imbalances revealed in our global financial system, providing additional stability to the economy and markets.

We believe that the U.S. and global economic recovery will move ahead at a pace largely determined by businesses and the consumer. Corporate earnings reports have been strong and businesses appear to be positioned for growth, with larger inventories and increased spending on equipment. In terms of the consumer, however, as long as unemployment, foreclosures, and consumer debt remain relatively high, it will be difficult for the economic expansion to truly take hold.

Check Your Portfolio Allocations

In view of shifting market conditions, it may be wise to review your overall portfolio asset allocation and investment strategy with your financial advisor. Check to ensure that your target mix of U.S. and international stocks, bonds, and cash is well-diversified and appropriate given your investment goals, stage of life, and attitude toward risk.

We encourage you to visit our web site, www.calvert.com, for frequent updates and commentary on economic and market developments from Calvert professionals.

As always, we appreciate your investing with Calvert.

Sincerely,

Barbara J. Krumsiek
President and CEO
Calvert Group, Ltd.
April 2010

 

SRI Update
from the Calvert Sustainability Research Department

Calvert continues to advocate for responsible management of environmental, social, and governance (ESG) factors, which we believe create long-term value and are even more important during this period of recovery from the financial crisis of 2008 and 2009. We've also had unprecedented opportunities to help create new policies in these areas--and make sure the voices of our shareholders are heard loud and strong.

Financial Reform

The financial crisis of the past two years has revealed a number of critical issues and risks that need to be addressed if we are to prevent a repeat experience in the future. Calvert has been working to promote financial reform at the regulatory and legislative level--particularly to fortify the regulatory framework, strengthen consumer protections, and promote more responsible corporate governance.

One such area of financial reform relating to consumer protection is bank overdraft fee practices. We are leading an informal investor coalition that has engaged companies, supported legislation in Congress, and submitted comments to the Federal Reserve calling for changes in how banks provide short-term loans to consumers. We also filed shareholder resolutions calling on BB&T and Capital One to report to shareholders about their overdraft policies and practices, with an eye toward getting them to identify those that are abusive and predatory.

Other Shareholder Advocacy

For the 2010 proxy season, Calvert filed or co-filed 42 resolutions, focusing on climate change, board and employee diversity, executive compensation, sustainability reporting, and political contributions. To date, 26 resolutions have been withdrawn after companies agreed to address our concerns.

Say on Pay

It's particularly notable that we were able to successfully withdraw our "say on pay" resolutions at JPMorgan Chase, American Express, and Morgan Stanley after each agreed to hold a referendum on their compensation practices as part of the proxy statements for their 2010 annual meetings.

"Say on Pay" resolutions have become increasingly common since the financial crisis and bailout focused scrutiny on executive compensation and bonuses. Recipients of Troubled Asset Relief Program funding were required to implement advisory votes on executive pay, but those requirements end when companies repay their obligations. However, we are also working to persuade legislators to pass a bill that requires every publicly owned company to establish an annual advisory vote on pay.

Climate Change

Through participation in the Investor Network on Climate Risk and company dialogues, we have stepped up our support for incentives that will encourage companies to reduce carbon emissions. Calvert also met with several Securities and Exchange Commission (SEC) commissioners about providing interpretive guidance on how corporations should disclose greenhouse gas emissions data and present their analysis of climate risks and opportunities

in filings. The SEC subsequently voted 3-2 to approve the measure, which is a major step toward increasing transparency on these issues.

Board Diversity

We were also pleased to see the SEC approve requirements for companies to disclose whether they consider diversity in identifying board director nominees. Public companies must also say if they have a stated policy to this effect and, if they do, they must also disclose how the policy is implemented and its effectiveness measured. Calvert helped lead efforts in favor of this requirement and, in fact, our comments are cited six times in the final SEC rule.

Calvert published a corporate board diversity disclosure scorecard that outlines how companies in the Russell 1000 Index have responded to the new disclosure requirements and analyzes any progress between disclosures made in 2009 and 2010. So far, we are pleased to see that a few companies provide previously unreleased information on the gender and racial make-up of their directors as well as statements about the value of diversity. However, we are disappointed that so few companies have a formal policy on director diversity.

The Women's Principles

Calvert continues to work with the United Nations Global Compact and the United Nations Development Fund for Women (UNIFEM) to create an international framework for the Calvert Women's Principles® (CWP). In March, this resulted in the launch of the Women's Empowerment Principles, which are based on the CWP. The launch event also honored International Women's Day by bringing together a variety of organizations to further explore how corporations in every industry and region around the world can apply these Principles.

We are also working with the Global Reporting Initiative Gender Working Group to update the G3 Guidelines to better address gender-related issues in sustainability reporting. Also the Gender Equality Principles Initiative--a partnership between the San Francisco Department on the Status of Women, Calvert, and Verité--launched a new website in March to provide companies with tools and resources to improve gender equality from the factory floor to the boardroom.

Other accomplishments include:

After three years of asking Allergan to provide annual updates on its efforts to eliminate the use of animals in Botox® safety testing, the company announced in January that it has cut animal use in its testing protocol by 78%. While we would prefer a 100% reduction, we believe this dramatic cut indicates a serious commitment to this goal.

Calvert has also been working on several fronts to help companies ensure that minerals in their electronics components are not fueling the war in the Democratic Republic of the Congo. More than five million lives have been lost and countless women and children victimized by brutal sexual violence in the Congo as armed groups fight for control of some of the richest deposits of tin, tantalum, tungsten, and gold in the world.

Community Investments

Many of our Funds participate in Calvert's High Social Impact Investing program, which is administered through the Calvert Social Investment Foundation. This community investment program may allocate a small percentage of Fund assets at below-market interest rates to investments that provide economic opportunity for struggling populations.1

One example of those supported by the Foundation's work is Alice, a 33-year old Kenyan woman with a large family who lost almost everything to political violence in 2008. However, a small loan from the Kenya Women's Finance Trust has enabled Alice to set up a small shop that provides for her family and sends her children to school.

Special Equities

A modest but important portion of certain funds is allocated to small private companies that are developing products or services that address important sustainability or environmental issues. One new addition was IGNIA Fund I, LP, a venture capital fund that invests in commercially promising businesses that improve the lives of those at the bottom of the socioeconomic pyramid. The Obama administration recently recognized IGNIA for its role in testing an innovative social impact star rating system that allows investors to better compare investment opportunities and helps channel more capital to higher-impact investments.

Also, a larger firm acquired Neodiagnostix--a special equities holding that provides innovative non-invasive tests for cervical cancer--during the reporting period, which provided a nice return for investors.2

1. As of March 31, 2010, Calvert Social Investment Foundation Community Investment Notes represented the following percentages of Fund net assets: Calvert Social Investment Fund (CSIF) Balanced Portfolio 1.07%, CSIF Bond Portfolio 0.35%, CSIF Equity Portfolio 0.50%, Calvert Capital Accumulation Fund 1.35%, Calvert World Values International Equity Fund 1.14%, Calvert New Vision Small Cap Fund 1.34%, and Calvert Large Cap Growth Fund 0.38%. The Calvert Social Investment Foundation is a 501(c)(3) nonprofit organization. The Foundation's Community Investment Note Program is not a mutual fund and should not be confused with any Calvert Group-sponsored investment product.

2. As of March 31, 2010, Ignia Fund I, LP represented 0.02% of Calvert Large Cap Growth Fund; Neodiagnostix represented 0.02% of CSIF Equity Portfolio. All holdings are subject to change without notice.

As of March 31, 2010, the following companies represented the following percentages of Fund net assets: BB&T represented 0.31% of Calvert Social Index Fund. Capital One represented 0.26% of Calvert Social Index Fund, 0.69% of CSIF Enhanced Equity Portfolio, 0.64% of CSIF Balanced Portfolio, and 1.38% of CSIF Bond Portfolio. JPMorgan Chase represented 0.69% of CSIF Balanced Portfolio, 2.69% of CSIF Bond Portfolio, 2.50% of Calvert Social Index Fund and 3.16% of CSIF Enhanced Equity Portfolio. American Express represented 0.14% of CSIF Balanced Portfolio, 1.72% of CSIF Enhanced Equity Portfolio and 0.61% of Calvert Social Index Fund. Morgan Stanley represented 0.91% of Calvert Large Cap Value Fund. Allergan represented 1.15% of CSIF Equity Portfolio, 1.76% of Calvert Large Cap Growth Fund and 0.28% of Calvert Social Index Fund.

All holdings are subject to change without notice.

 

Portfolio Management Discussion

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

Performance

Calvert Social Index Fund Class A shares (at NAV) returned 12.19% for the six-month period ended March 31, 2010, underperforming the 12.59% return of the Calvert Social Index (CSI). The difference was primarily the result of fund expenses, which an index does not incur.

Investment Climate

Over the last six months, stock markets around the globe have continued to rally. In the U.S., the Russell 1000 Index gained 12.11%, but was edged out by both the Russell Mid Cap Index's return of 15.01% and the 13.07% return for the Russell 2000 Index, a measure of small-cap stocks. Large-cap growth stocks outperformed large-cap value stocks for the period, while value held a slight advantage among small- and mid-cap stocks.

Results were more mixed with international stocks. The MSCI Europe, Australasia, Far East Investable Market Index (MSCI EAFE IMI), a measure of stock market performance in developed countries, was up only 3.25% in U.S. dollar terms. Also, a strong U.S. dollar relative to other developed-market currencies hurt Americans who invested in foreign equities. However, they fared better in emerging markets, with the MSCI Emerging Markets IMI Index up 12.02%, boosted by the

 

Portfolio Statistics
March 31, 2010

Investment Performance
(total return at NAV*)

6 Months
ended
3/31/10

12 Months
ended
3/31/10

Class A

12.19%

55.90%

Class B

11.60%

54.44%

Class C

11.60%

54.28%

Class I

12.40%

56.60%

Calvert Social Index

12.59%

57.31%

Lipper Multi-Cap Core Funds Average

11.01%

52.56%

 

 

 

Ten Largest Stock Holdings

 

 

 

% of Net Assets

 

Microsoft Corp.

3.2%

 

Apple, Inc.

3.0%

 

Procter & Gamble Co.

2.6%

 

Johnson & Johnson

2.5%

 

JPMorgan Chase & Co.

2.5%

 

Bank of America Corp.

2.5%

 

International Business Machines Corp.

2.3%

 

AT&T, Inc.

2.2%

 

Wells Fargo & Co.

2.1%

 

Cisco Systems, Inc.

2.1%

 

    Total

25.0%

 

*Investment performance/return at NAV does not reflect the deduction of the Fund's maximum 4.75% front-end sales charge or any deferred sales charge.

 

weakness of the U.S. dollar relative to emerging market currencies.

Overall, equity markets have built on the rally that started in early March 2009 when investors began to perceive the "green shoots" of an economic recovery. Economic news throughout the period suggested that a slow--and at times uneven--recovery was under way. U.S. gross domestic product (GDP) has resumed its growth after bottoming out during the recession. However, persistently high unemployment, continued weakness in residential and commercial real estate markets, and somewhat wary consumers have limited the upside of this recovery.

Investment Strategy

Calvert Social Index Fund is managed using a passive investment strategy, with the objective of matching the day-to-day performance of the CSI as closely as possible. We do this by buying all, or virtually all, of the stocks in the CSI and holding them in the same proportion. Variation in the Fund's total return generally reflects the variation in the total return of the CSI.

In absolute terms, the Fund and the Index performed well over the last six months, generally in line with other equity funds and benchmarks. Five economic sectors make up over 80% of the CSI--Information Technology, Financials, Health Care, Consumer Discretionary, and Consumer Staples. Therefore, performance in these sectors often drives overall Index and Fund performance.

Collectively, these sectors performed in line with the overall Index, but there were differences from sector to sector. The Information Technology and Health Care sectors in the CSI produced returns that were very close to the overall index return of 12.59%. The Consumer Discretionary sector was the best-performing sector in the CSI, up over 21% for the period. The Financials and Consumer Staples sectors of the CSI lagged behind the return of the overall Index.

Outlook

Although the economic recovery may seem slow and painful--especially when it comes to unemployment--it is on track. Industrial production posted a small 0.1% rise in February after a 0.9% jump in January and a 0.7% jump in December, confirming that the manufacturing sector is still leading the way. We continue to believe that the consumer will be the next major factor necessary for a robust and extended economic recovery and that any meaningful uptick in consumer sentiment and spending in combination with ongoing recovery in the manufacturing sector could significantly improve the robustness of the economic upturn and further energize the markets. We believe that the consumer will start to return to more normal spending levels this year (although not the levels seen during the height of the housing bubble) if the employment picture improves as businesses run out of room to cut costs and start to hire new workers. It appears that the market may be anticipating a similar trend, with the Consumer Discretionary sector returning over 10% for the quarter.

 

Portfolio Statistics
March 31, 2010
Average Annual Total Returns
(with max. load)

 

Class A Shares

One year

48.46%

Five year

0.12%

Since inception

-3.07%

(6/30/00)

 

 

Class B Shares

One year

49.44%

Five year

-0.09%

Since inception

-3.53%

(6/30/00)

 

 

Class C Shares

One year

53.28%

Five year

0.10%

Since inception

-3.54%

(6/30/00)

 

Portfolio Statistics
March 31, 2010
Average Annual Total Returns

 

Class I Shares

One year

56.60%

Five year

1.64%

Since inception

-2.14%

(6/30/00)

 

Economic Sectors

% of total investments

Consumer Discretionary

10.2%

Consumer Staples

9.1%

Energy

2.8%

Financials

19.7%

Government

0.6%

Health Care

12.5%

Industrials

7.6%

Information Technology

29.2%

Materials

1.5%

Telecommunications Services

3.1%

Time Deposit

2.6%

Utilities

1.1%

    Total

100%

The performance data shown represents past performance, does not guarantee future results, and does not reflect the deduction of taxes that a shareholder would pay on the Fund's/Portfolio's distributions or the redemption of Fund/Portfolio shares. 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. Visit www.calvert.com for current performance data. The gross expense ratio for Class A Shares is 1.16%. This number may vary from the expense ratio shown elsewhere in this report because it is based on a different time period and, if applicable, does not include fee or expense waivers. Performance data quoted already reflects deduction of fund operating expenses.

 

A short-term concern is that once the strong contribution to GDP from inventory rebuilding subsides and the effects of the stimulus wane, GDP growth may slow. We believe that, while an important concern, this is unlikely to result in negative GDP growth that would lead to a double-dip recession in 2010.

April 2010

Performance Comparison

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

 

 

Average annual total returns in the Portfolio Statistics and the Performance Comparison line graph are with maximum load deducted -- they assume reinvestment of dividends and reflect the deduction of the Fund's Class A maximum front-end sales charge of 4.75%, or deferred sales charge, as applicable. No sales charge has been applied to the index used for comparison. However, the Lipper average does reflect the deduction of the category's average front-end sales charge.

 

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges and redemption fees; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2009 to March 31, 2010).

Actual Expenses

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

The Fund charges an annual low balance account fee of $15 to those shareholders whose regular account balance is less than $5,000 ($1,000 for IRA accounts). If the low balance fee applies to your account, you should subtract the fee from the ending account value in the chart below.

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, such as sales charges (loads) or redemption fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
10/1/09

Ending Account
Value
3/31/10

Expenses Paid
During Period*
10/1/09 - 3/31/10

Class A

 

 

 

Actual

$1,000.00

$1,121.90

$3.97

Hypothetical

$1,000.00

$1,021.19

$3.78

(5% return per year before expenses)

 

 

 

Class B

 

 

 

Actual

$1,000.00

$1,116.00

$9.23

Hypothetical

$1,000.00

$1,016.21

$8.80

(5% return per year before expenses)

 

 

 

Class C

 

 

 

Actual

$1,000.00

$1,116.00

$9.23

Hypothetical

$1,000.00

$1,016.21

$8.80

(5% return per year before expenses)

 

 

 

Class I

 

 

 

Actual

$1,000.00

$1,124.00

$1.11

Hypothetical

$1,000.00

$1,023.88

$1.06

(5% return per year before expenses)

 

 

 

* Expenses are equal to the Fund's annualized expense ratio of 0.75%, 1.75%, 1.75%, and 0.21% for Class A, Class B, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

 

Statement of Net Assets
March 31, 2010

Equity Securities - 96.9%

Shares

Value

Aerospace & Defense - 0.2%

 

 

BE Aerospace, Inc.*

1,517

$46,192

Hexcel Corp.*

1,582

22,844

Rockwell Collins, Inc.

2,525

158,040

Spirit AeroSystems Holdings, Inc.*

1,668

38,998

 

 

266,074

 

 

 

Air Freight & Logistics - 1.3%

 

 

C.H. Robinson Worldwide, Inc.

2,678

149,566

Expeditors International of Washington, Inc.

3,403

125,639

FedEx Corp.

4,638

433,189

United Parcel Service, Inc., Class B

11,382

733,115

 

 

1,441,509

 

 

 

Airlines - 0.3%

 

 

Continental Airlines, Inc., Class B*

2,199

48,312

Delta Air Lines, Inc.*

12,523

182,711

Southwest Airlines Co.

11,841

156,538

 

 

387,561

 

 

 

Auto Components - 0.4%

 

 

BorgWarner, Inc.*

1,850

70,633

Gentex Corp.

2,196

42,646

Johnson Controls, Inc.

10,703

353,092

 

 

466,371

 

 

 

Automobiles - 0.1%

 

 

Harley-Davidson, Inc.

3,718

104,364

 

 

 

Beverages - 1.7%

 

 

Dr Pepper Snapple Group, Inc.

3,755

132,063

Hansen Natural Corp.*

1,107

48,022

PepsiCo, Inc.

25,977

1,718,638

 

 

1,898,723

 

 

 

Biotechnology - 2.3%

 

 

Acorda Therapeutics, Inc.*

565

19,323

Alexion Pharmaceuticals, Inc.*

1,404

76,335

Amgen, Inc.*

16,148

965,005

Amylin Pharmaceuticals, Inc.*

2,041

45,902

Biogen Idec, Inc.*

4,298

246,533

Cubist Pharmaceuticals, Inc.*

861

19,407

Dendreon Corp.*

2,088

76,149

Genzyme Corp.*

4,233

219,396

Gilead Sciences, Inc.*

14,523

660,506

 

 

 

Equity Securities - Cont'd

Shares

Value

Biotechnology - Cont'd

 

 

Isis Pharmaceuticals, Inc.*

1,392

$15,201

Myriad Genetics, Inc.*

1,471

35,378

Onyx Pharmaceuticals, Inc.*

990

29,977

OSI Pharmaceuticals, Inc.*

925

55,084

PDL BioPharma, Inc.

1,963

12,190

United Therapeutics Corp.*

743

41,110

Vertex Pharmaceuticals, Inc.*

3,072

125,553

 

 

2,643,049

 

 

 

Building Products - 0.1%

 

 

Lennox International, Inc.

833

36,919

Masco Corp.

5,739

89,069

 

 

125,988

 

 

 

Capital Markets - 3.4%

 

 

Affiliated Managers Group, Inc.*

664

52,456

Bank of New York Mellon Corp.

19,069

588,851

Charles Schwab Corp.

15,427

288,331

E*Trade Financial Corp.*

29,742

49,074

Eaton Vance Corp.

1,856

62,250

Federated Investors, Inc., Class B

1,584

41,786

Franklin Resources, Inc.

2,484

275,476

Goldman Sachs Group, Inc.

6,875

1,173,081

Invesco Ltd.

6,847

150,018

Investment Technology Group, Inc.*

677

11,299

Janus Capital Group, Inc.

2,860

40,869

Jefferies Group, Inc.

1,749

41,399

Lazard Ltd.

1,469

52,443

Legg Mason, Inc.

2,558

73,338

Northern Trust Corp.

3,850

212,751

SEI Investments Co.

2,485

54,596

State Street Corp.

7,887

356,019

Stifel Financial Corp.*

479

25,746

T. Rowe Price Group, Inc.

4,129

226,806

TD Ameritrade Holding Corp.*

3,769

71,837

Waddell & Reed Financial, Inc.

1,372

49,447

 

 

3,897,873

 

 

 

Chemicals - 1.1%

 

 

Air Products & Chemicals, Inc.

3,148

232,795

Airgas, Inc.

1,113

70,809

Ecolab, Inc.

3,772

165,779

H.B. Fuller Co.

726

16,850

International Flavors & Fragrances, Inc.

1,253

59,731

Lubrizol Corp.

1,074

98,507

Nalco Holding Co.

2,193

53,356

Praxair, Inc.

4,919

408,277

Sensient Technologies Corp.

767

22,289

Sigma-Aldrich Corp.

1,671

89,666

 

 

1,218,059

 

 

 

Equity Securities - Cont'd

Shares

Value

Commercial Banks - 5.1%

 

 

Associated Banc-Corp.

2,652

$36,598

BancorpSouth, Inc.

1,249

26,179

Bank of Hawaii Corp.

760

34,162

BB&T Corp.

10,872

352,144

City National Corp.

670

36,160

Comerica, Inc.

2,774

105,523

Commerce Bancshares, Inc.

1,078

44,349

Cullen/Frost Bankers, Inc.

905

50,499

Fifth Third Bancorp

12,701

172,607

First Financial Bankshares, Inc.

310

15,981

First Horizon National Corp.*

3,575

50,233

FirstMerit Corp.

1,357

29,270

Fulton Financial Corp.

2,805

28,583

Glacier Bancorp, Inc.

1,123

17,103

Huntington Bancshares, Inc.

11,520

61,862

KeyCorp

14,014

108,609

M&T Bank Corp.

1,138

90,334

Marshall & Ilsley Corp.

8,299

66,807

PNC Financial Services Group, Inc.

8,220

490,734

PrivateBancorp, Inc.

1,138

15,591

Prosperity Bancshares, Inc.

734

30,094

Regions Financial Corp.

18,976

148,962

SunTrust Banks, Inc.

7,956

213,141

SVB Financial Group*

649

30,282

Synovus Financial Corp.

6,757

22,231

TCF Financial Corp.

2,111

33,649

UMB Financial Corp.

499

20,259

United Bankshares, Inc.

646

16,938

US Bancorp

30,498

789,288

Valley National Bancorp

2,461

37,826

Wells Fargo & Co.

78,167

2,432,557

Westamerica Bancorporation

469

27,038

Whitney Holding Corp.

1,473

20,313

Wilmington Trust Corp.

1,405

23,281

Zions Bancorporation

2,203

48,069

 

 

5,727,256

 

 

 

Commercial Services & Supplies - 0.3%

 

 

Avery Dennison Corp.

1,797

65,429

Brink's Co.

753

21,257

Covanta Holding Corp.*

2,075

34,569

Herman Miller, Inc.

868

15,676

Pitney Bowes, Inc.

3,315

81,052

RR Donnelley & Sons Co.

3,274

69,900

 

 

287,883

 

 

 

Communications Equipment - 4.0%

 

 

3Com Corp.*

6,238

47,970

ADC Telecommunications, Inc.*

1,587

11,601

Adtran, Inc.

975

25,691

Arris Group, Inc.*

1,858

22,315

Ciena Corp.*

1,483

22,601

 

 

 

Equity Securities - Cont'd

Shares

Value

Communications Equipment - Cont'd

 

 

Cisco Systems, Inc.*

92,005

$2,394,890

CommScope, Inc.*

1,540

43,151

F5 Networks, Inc.*

1,252

77,011

Harris Corp.

2,084

98,969

InterDigital, Inc.*

683

19,028

JDS Uniphase Corp.*

3,528

44,206

Juniper Networks, Inc.*

8,421

258,356

Motorola, Inc.*

34,267

240,554

Palm, Inc.*

2,672

10,047

Polycom, Inc.*

1,330

40,671

QUALCOMM, Inc.

26,794

1,125,080

Riverbed Technology, Inc.*

902

25,617

Tekelec*

991

17,997

Tellabs, Inc.

5,458

41,317

 

 

4,567,072

 

 

 

Computers & Peripherals - 8.7%

 

 

Apple, Inc.*

14,457

3,396,383

Dell, Inc.*

27,527

413,180

EMC Corp.*

32,522

586,697

Hewlett-Packard Co.

37,821

2,010,186

International Business Machines Corp.

20,710

2,656,057

Lexmark International, Inc.*

1,250

45,100

NCR Corp.*

2,515

34,707

NetApp, Inc.*

5,363

174,619

QLogic Corp.*

1,782

36,175

SanDisk Corp.*

3,623

125,464

Seagate Technology LLC*

7,952

145,204

Synaptics, Inc.*

509

14,053

Teradata Corp.*

2,750

79,448

Western Digital Corp.*

3,645

142,119

 

 

9,859,392

 

 

 

Construction & Engineering - 0.1%

 

 

AECOM Technology Corp.*

1,585

44,967

EMCOR Group, Inc.*

1,057

26,034

Quanta Services, Inc.*

3,334

63,879

 

 

134,880

 

 

 

Construction Materials - 0.0%

 

 

Eagle Materials, Inc.

678

17,994

 

 

 

Consumer Finance - 1.1%

 

 

American Express Co.

16,787

692,632

Capital One Financial Corp.

7,140

295,667

Discover Financial Services

8,685

129,407

SLM Corp.*

7,579

94,889

 

 

1,212,595

 

 

 

Equity Securities - Cont'd

Shares

Value

Containers & Packaging - 0.3%

 

 

AptarGroup, Inc.

1,002

$39,429

Bemis Co., Inc.

1,722

49,456

Owens-Illinois, Inc.*

2,662

94,607

Sealed Air Corp.

2,520

53,122

Sonoco Products Co.

1,585

48,802

 

 

285,416

 

 

 

Distributors - 0.1%

 

 

Genuine Parts Co.

2,546

107,543

 

 

 

Diversified Consumer Services - 0.2%

 

 

Brink's Home Security Holdings, Inc.*

729

31,019

DeVry, Inc.

987

64,352

ITT Educational Services, Inc.*

589

66,251

Matthews International Corp.

469

16,650

Regis Corp.

910

16,999

Sotheby's

1,050

32,644

Strayer Education, Inc.

223

54,305

 

 

282,220

 

 

 

Diversified Financial Services - 5.7%

 

 

Bank of America Corp.

158,440

2,828,154

CME Group, Inc.

1,068

337,605

IntercontinentalExchange, Inc.*

1,173

131,587

JPMorgan Chase & Co.

63,343

2,834,599

Moody's Corp.

3,010

89,549

NYSE Euronext

4,136

122,467

The NASDAQ OMX Group, Inc.*

2,645

55,862

 

 

6,399,823

 

 

 

Diversified Telecommunication Services - 2.4%

 

 

AT&T, Inc.

94,767

2,448,779

CenturyTel, Inc.

4,711

167,052

Frontier Communications Corp.

4,965

36,940

tw telecom, Inc.*

2,377

43,142

Windstream Corp.

7,020

76,448

 

 

2,772,361

 

 

 

Electric Utilities - 0.1%

 

 

Cleco Corp.

966

25,647

Hawaiian Electric Industries, Inc.

1,459

32,754

IDACORP, Inc.

751

26,000

ITC Holdings Corp.

799

43,945

Portland General Electric Co.

1,189

22,960

 

 

151,306

 

 

 

Electrical Equipment - 1.3%

 

 

Acuity Brands, Inc.

658

27,774

American Superconductor Corp.*

604

17,456

AMETEK, Inc.

1,690

70,067

 

 

 

Equity Securities - Cont'd

Shares

Value

Electrical Equipment - Cont'd

 

 

Baldor Electric Co.

701

$26,217

Belden, Inc.

752

20,650

Brady Corp.

763

23,745

Cooper Industries plc

2,659

127,472

Emerson Electric Co.

12,043

606,245

Energy Conversion Devices, Inc.*

751

5,880

First Solar, Inc.*

755

92,601

General Cable Technologies Corp.*

778

21,006

GrafTech International Ltd.*

1,905

26,041

Hubbell, Inc., Class B

827

41,706

Regal-Beloit Corp.

580

34,458

Rockwell Automation, Inc.

2,259

127,317

Roper Industries, Inc.

1,446

83,637

SunPower Corp.*

868

16,405

Thomas & Betts Corp.*

849

33,315

Woodward Governor Co.

942

30,125

 

 

1,432,117

 

 

 

Electronic Equipment & Instruments - 1.5%

 

 

Agilent Technologies, Inc.*

5,562

191,277

Amphenol Corp.

2,733

115,305

Anixter International, Inc.*

477

22,347

Arrow Electronics, Inc.*

1,907

57,458

Avnet, Inc.*

2,411

72,330

Benchmark Electronics, Inc.*

976

20,242

Corning, Inc.

24,952

504,280

Dolby Laboratories, Inc.*

833

48,872

Flextronics International Ltd.*

12,928

101,356

FLIR Systems, Inc.*

2,399

67,652

Ingram Micro, Inc.*

2,608

45,770

Itron, Inc.*

637

46,227

Jabil Circuit, Inc.

3,254

52,682

National Instruments Corp.

977

32,583

Tech Data Corp.*

805

33,730

Trimble Navigation Ltd.*

1,916

55,028

Tyco Electronics Ltd.

7,299

200,577

 

 

1,667,716

 

 

 

Energy Equipment & Services - 0.8%

 

 

Cameron International Corp.*

3,883

166,425

Core Laboratories NV

366

47,873

Dril-Quip, Inc.*

480

29,203

Exterran Holdings, Inc.*

1,002

24,218

FMC Technologies, Inc.*

1,947

125,835

Helix Energy Solutions Group, Inc.*

1,479

19,271

Key Energy Services, Inc.*

1,899

18,136

Noble Corp.*

4,167

174,264

SEACOR Holdings, Inc.*

302

24,359

Smith International, Inc.

3,944

168,882

Superior Energy Services, Inc.*

1,226

25,771

 

 

 

Equity Securities - Cont'd

Shares

Value

Energy Equipment & Services - Cont'd

 

 

Tidewater, Inc.

822

$38,856

Unit Corp.*

751

31,752

 

 

894,845

 

 

 

Food & Staples Retailing - 2.0%

 

 

BJ's Wholesale Club, Inc.*

872

32,255

Casey's General Stores, Inc.

759

23,833

Costco Wholesale Corp.

7,004

418,209

CVS Caremark Corp.

22,500

822,600

Ruddick Corp.

657

20,788

SUPERVALU, Inc.

3,381

56,395

Sysco Corp.

9,398

277,241

Walgreen Co.

15,813

586,504

Whole Foods Market, Inc.*

2,149

77,686

 

 

2,315,511

 

 

 

Food Products - 1.3%

 

 

Campbell Soup Co.

3,418

120,826

Corn Products International, Inc.

1,180

40,899

Del Monte Foods Co.

3,178

46,399

Flowers Foods, Inc.

1,365

33,770

General Mills, Inc.

4,943

349,915

Green Mountain Coffee Roasters, Inc.*

616

59,641

H.J. Heinz Co.

5,001

228,095

Hershey Co.

2,479

106,126

J.M. Smucker Co.

1,884

113,530

Kellogg Co.

3,802

203,141

McCormick & Co., Inc.

1,763

67,629

Ralcorp Holdings, Inc.*

872

59,104

 

 

1,429,075

 

 

 

Gas Utilities - 0.5%

 

 

AGL Resources, Inc.

1,219

47,114

Atmos Energy Corp.

1,483

42,369

Energen Corp.

1,153

53,649

EQT Corp.

2,293

94,013

New Jersey Resources Corp.

631

23,700

Nicor, Inc.

716

30,015

Northwest Natural Gas Co.

398

18,547

Oneok, Inc.

1,569

71,625

Piedmont Natural Gas Co., Inc.

1,115

30,752

Questar Corp.

2,749

118,757

South Jersey Industries, Inc.

446

18,728

Southwest Gas Corp.

670

20,046

WGL Holdings, Inc.

811

28,101

 

 

597,416

 

 

 

Equity Securities - Cont'd

Shares

Value

Health Care Equipment & Supplies - 2.6%

 

 

American Medical Systems Holdings, Inc.*

1,105

$20,531

Beckman Coulter, Inc.

1,105

69,394

Becton Dickinson & Co.

3,532

278,074

CareFusion Corp.*

2,867

75,775

Cooper Co.'s, Inc.

722

28,071

DENTSPLY International, Inc.

2,376

82,804

Edwards Lifesciences Corp.*

898

88,794

Gen-Probe, Inc.*

782

39,100

Haemonetics Corp.*

411

23,489

Hologic, Inc.*

4,120

76,385

Hospira, Inc.*

2,585

146,440

IDEXX Laboratories, Inc.*

948

54,557

Immucor, Inc.*

1,131

25,323

Intuitive Surgical, Inc.*

620

215,841

Inverness Medical Innovations, Inc.*

1,326

51,648

Kinetic Concepts, Inc.*

988

47,236

Masimo Corp.

779

20,683

Medtronic, Inc.

17,702

797,121

NuVasive, Inc.*

580

26,216

ResMed, Inc.*

1,206

76,762

St. Jude Medical, Inc.*

5,331

218,838

Stryker Corp.

4,853

277,689

Teleflex, Inc.

632

40,492

Thoratec Corp.*

894

29,904

Varian Medical Systems, Inc.*

1,986

109,885

 

 

2,921,052

 

 

 

Health Care Providers & Services - 2.0%

 

 

AMERIGROUP Corp.*

794

26,393

AmerisourceBergen Corp.

4,502

130,198

Cardinal Health, Inc.

5,752

207,245

CIGNA Corp.

4,339

158,721

Coventry Health Care, Inc.*

2,361

58,364

DaVita, Inc.*

1,632

103,469

Express Scripts, Inc.*

4,059

413,044

Health Management Associates, Inc.*

3,895

33,497

Health Net, Inc.*

1,653

41,110

Henry Schein, Inc.*

1,438

84,698

HMS Holdings Corp.*

387

19,733

Laboratory Corp. of America Holdings*

1,696

128,404

LifePoint Hospitals, Inc.*

876

32,219

Lincare Holdings, Inc.*

1,082

48,560

Magellan Health Services, Inc.*

580

25,218

McKesson Corp.

4,285

281,610

Omnicare, Inc.

1,884

53,298

Owens & Minor, Inc.

662

30,710

Patterson Co.'s, Inc.

1,596

49,556

PSS World Medical, Inc.*

907

21,324

Psychiatric Solutions, Inc.*

873

26,015

Quest Diagnostics, Inc.

2,469

143,918

Universal Health Services, Inc., Class B

1,447

50,775

VCA Antech, Inc.*

1,349

37,813

 

 

 

Equity Securities - Cont'd

Shares

Value

Health Care Providers & Services - Cont'd

 

 

WellCare Health Plans, Inc.*

675

$20,115

 

 

2,226,007

 

 

 

Health Care Technology - 0.1%

 

 

Cerner Corp.*

1,105

93,991

 

 

 

Hotels, Restaurants & Leisure - 0.4%

 

 

Brinker International, Inc.

1,665

32,101

Chipotle Mexican Grill, Inc.*

504

56,786

Panera Bread Co.*

480

36,715

Starbucks Corp.*

11,852

287,648

Wendy's/Arby's Group, Inc.

5,546

27,730

 

 

440,980

 

 

 

Household Durables - 0.5%

 

 

D.R. Horton, Inc.

4,425

55,755

Garmin Ltd.

1,891

72,766

Harman International Industries, Inc.*

1,105

51,692

KB Home

1,210

20,268

Mohawk Industries, Inc.*

880

47,854

Pulte Homes, Inc.*

5,325

59,906

Stanley Black & Decker, Inc.

2,501

143,582

Tupperware Brands Corp.

998

48,124

Whirlpool Corp.

1,173

102,344

 

 

602,291

 

 

 

Household Products - 3.8%

 

 

Church & Dwight Co., Inc.

1,116

74,716

Clorox Co.

2,209

141,685

Colgate-Palmolive Co.

7,968

679,352

Kimberly-Clark Corp.

6,623

416,454

Procter & Gamble Co.

46,750

2,957,873

 

 

4,270,080

 

 

 

Industrial Conglomerates - 0.8%

 

 

3M Co.

10,405

869,546

Carlisle Co.'s, Inc.

972

37,033

 

 

906,579

 

 

 

Insurance - 3.9%

 

 

ACE Ltd.

5,310

277,713

Aflac, Inc.

7,435

403,646

Alleghany Corp.*

101

29,365

Allied World Assurance Co. Holdings Ltd.

650

29,152

American Financial Group, Inc.

1,232

35,050

AON Corp.

3,851

164,476

Arch Capital Group Ltd.*

813

61,991

Arthur J. Gallagher & Co.

1,623

39,845

Aspen Insurance Holdings Ltd.

1,226

35,358

AXIS Capital Holdings Ltd.

2,279

71,242

 

 

 

Equity Securities - Cont'd

Shares

Value

Insurance - Cont'd

 

 

Brown & Brown, Inc.

1,834

$32,865

Chubb Corp.

5,448

282,479

Cincinnati Financial Corp.

2,421

69,967

Endurance Specialty Holdings Ltd.

813

30,203

Everest Re Group Ltd.

914

73,970

Fidelity National Financial, Inc.

3,676

54,478

First American Corp.

1,924

65,108

Genworth Financial, Inc.*

7,789

142,850

Hanover Insurance Group, Inc.

797

34,757

Hartford Financial Services Group, Inc.

7,070

200,929

HCC Insurance Holdings, Inc.

1,788

49,349

Lincoln National Corp.

4,824

148,097

Markel Corp.*

156

58,447

Montpelier Re Holdings Ltd.

1,240

20,844

PartnerRe Ltd.

1,294

103,158

Platinum Underwriters Holdings Ltd.

793

29,404

Principal Financial Group, Inc.

4,795

140,062

ProAssurance Corp.*

516

30,207

Progressive Corp.

10,117

193,134

Protective Life Corp.

1,338

29,423

Prudential Financial, Inc.

7,353

444,856

RenaissanceRe Holdings Ltd.

993

56,363

StanCorp Financial Group, Inc.

781

37,199

Torchmark Corp.

1,319

70,580

Transatlantic Holdings, Inc.

1,058

55,862

Travelers Co.'s, Inc.

8,188

441,661

Unum Group

5,288

130,984

White Mountains Insurance Group Ltd.

122

43,310

Willis Group Holdings plc

2,656

83,106

WR Berkley Corp.

2,246

58,598

XL Capital Ltd.

5,464

103,270

 

 

4,463,358

 

 

 

Internet & Catalog Retail - 1.1%

 

 

Amazon.com, Inc.*

5,538

751,673

Expedia, Inc.

3,382

84,415

Liberty Media Corp. - Interactive*

9,013

137,989

NetFlix, Inc.*

752

55,452

priceline.com, Inc.*

701

178,755

 

 

1,208,284

 

 

 

Internet Software & Services - 2.9%

 

 

Akamai Technologies, Inc.*

2,758

86,629

AOL, Inc.*

1,692

42,774

Digital River, Inc.*

628

19,028

eBay, Inc.*

17,505

471,760

Equinix, Inc.*

621

60,448

Google, Inc.*

3,891

2,206,236

j2 Global Communications, Inc.*

669

15,654

Monster Worldwide, Inc.*

1,994

33,120

ValueClick, Inc.*

1,401

14,206

 

 

 

Equity Securities - Cont'd

Shares

Value

Internet Software & Services - Cont'd

 

 

VistaPrint NV*

639

$36,583

Yahoo!, Inc.*

20,877

345,097

 

 

3,331,535

 

 

 

IT Services - 2.6%

 

 

Acxiom Corp.*

1,179

21,151

Alliance Data Systems Corp.*

833

53,304

Amdocs Ltd.*

3,018

90,872

Automatic Data Processing, Inc.

8,001

355,804

Broadridge Financial Solutions, Inc.

1,997

42,696

Cognizant Technology Solutions Corp.*

4,658

237,465

Convergys Corp.*

1,857

22,767

Cybersource Corp.*

1,042

18,381

DST Systems, Inc.

640

26,528

Fidelity National Information Services, Inc.

5,272

123,576

Fiserv, Inc.*

2,453

124,514

Global Payments, Inc.

1,327

60,445

Hewitt Associates, Inc.*

1,502

59,750

Iron Mountain, Inc.

2,949

80,803

Lender Processing Services, Inc.

1,511

57,040

Mantech International Corp.*

328

16,016

MasterCard, Inc.

1,534

389,636

NeuStar, Inc.*

1,189

29,963

Paychex, Inc.

5,175

158,872

Total System Services, Inc.

3,139

49,157

Visa, Inc.

7,477

680,631

Western Union Co.

11,040

187,238

Wright Express Corp.*

573

17,259

 

 

2,903,868

 

 

 

Leisure Equipment & Products - 0.1%

 

 

Mattel, Inc.

5,771

131,233

Polaris Industries, Inc.

506

25,887

 

 

157,120

 

 

 

Life Sciences - Tools & Services - 0.9%

 

 

Bio-Rad Laboratories, Inc.*

299

30,952

Dionex Corp.*

265

19,817

Illumina, Inc.*

1,994

77,567

Life Technologies Corp.*

2,848

148,865

Mettler-Toledo International, Inc.*

534

58,313

Millipore Corp.*

885

93,456

Pharmaceutical Product Development, Inc.

1,755

41,681

Techne Corp.

597

38,023

Thermo Fisher Scientific, Inc.*

6,510

334,874

Varian, Inc.*

476

24,647

Waters Corp.*

1,509

101,918

 

 

970,113

 

 

 

Equity Securities - Cont'd

Shares

Value

Machinery - 2.5%

 

 

Actuant Corp.

1,081

$21,134

AGCO Corp.*

1,458

52,298

Bucyrus International, Inc.

1,193

78,726

CLARCOR, Inc.

825

28,454

Cummins, Inc.

2,883

178,602

Danaher Corp.

3,933

314,286

Deere & Co.

6,716

399,333

Donaldson Co., Inc.

1,137

51,301

Dover Corp.

2,970

138,848

Eaton Corp.

2,641

200,109

ESCO Technologies, Inc.

388

12,342

Flowserve Corp.

903

99,574

Gardner Denver, Inc.

825

36,333

Graco, Inc.

972

31,104

Harsco Corp.

1,236

39,478

IDEX Corp.

1,286

42,567

Illinois Tool Works, Inc.

6,841

323,990

Lincoln Electric Holdings, Inc.

646

35,097

Nordson Corp.

487

33,077

PACCAR, Inc.

5,494

238,110

Pall Corp.

1,867

75,595

Parker Hannifin Corp.

2,573

166,576

Pentair, Inc.

1,566

55,781

Snap-on, Inc.

916

39,699

SPX Corp.

781

51,796

Terex Corp.*

1,721

39,084

Toro Co.

564

27,732

Valmont Industries, Inc.

336

27,831

WABCO Holdings, Inc.*

1,020

30,518

 

 

2,869,375

 

 

 

Marine - 0.0%

 

 

Alexander & Baldwin, Inc.

679

22,441

Kirby Corp.*

856

32,656

 

 

55,097

 

 

 

Media - 2.5%

 

 

CBS Corp., Class B

9,331

130,074

DIRECTV*

14,561

492,307

Discovery Communications, Inc.*

2,232

65,643

DISH Network Corp.

3,355

69,851

DreamWorks Animation SKG, Inc.*

1,114

43,880

Gannett Co., Inc.

3,781

62,462

John Wiley & Sons, Inc.

774

33,499

Lamar Advertising Co.*

916

31,465

Liberty Global, Inc.*

1,978

57,679

Liberty Media Corp. - Capital*

1,353

49,209

Liberty Media Corp. - Starz*

794

43,416

McGraw-Hill Co.'s, Inc.

5,016

178,820

Meredith Corp.

540

18,581

Omnicom Group, Inc.

4,957

192,381

 

 

 

Equity Securities - Cont'd

Shares

Value

Media - Cont'd

 

 

Scripps Networks Interactive, Inc.

1,420

$62,977

Time Warner Cable, Inc.

5,620

299,602

Time Warner, Inc.

18,624

582,373

Viacom, Inc., Class B*

8,848

304,194

Virgin Media, Inc.

4,668

80,570

Washington Post Co., Class B

93

41,309

 

 

2,840,292

 

 

 

Metals & Mining - 0.1%

 

 

Compass Minerals International, Inc.

516

41,398

Reliance Steel & Aluminum Co.

1,021

50,264

Schnitzer Steel Industries, Inc.

356

18,701

 

 

110,363

 

 

 

Multiline Retail - 1.0%

 

 

Big Lots, Inc.*

1,317

47,965

Dollar Tree, Inc.*

1,407

83,323

Family Dollar Stores, Inc.

2,041

74,721

Kohl's Corp.*

4,580

250,892

Nordstrom, Inc.

2,689

109,846

Target Corp.

10,906

573,656

 

 

1,140,403

 

 

 

Multi-Utilities - 0.4%

 

 

Consolidated Edison, Inc.

4,476

199,361

Integrys Energy Group, Inc.

1,219

57,756

MDU Resources Group, Inc.

2,768

59,734

NiSource, Inc.

4,374

69,109

OGE Energy Corp.

1,531

59,617

 

 

445,577

 

 

 

Office Electronics - 0.2%

 

 

Xerox Corp.

21,592

210,522

Zebra Technologies Corp.*

947

28,031

 

 

238,553

 

 

 

Oil, Gas & Consumable Fuels - 2.0%

 

 

Bill Barrett Corp.*

550

16,892

Chesapeake Energy Corp.

10,331

244,225

Cimarex Energy Co.

1,317

78,204

Comstock Resources, Inc.*

733

23,309

Denbury Resources, Inc.*

6,029

101,709

EOG Resources, Inc.

4,018

373,433

EXCO Resources, Inc.

2,724

50,067

Mariner Energy, Inc.*

1,624

24,311

Overseas Shipholding Group, Inc.

428

16,790

Pioneer Natural Resources Co.

1,820

102,502

Plains Exploration & Production Co.*

2,220

66,578

Quicksilver Resources, Inc.*

1,905

26,803

Range Resources Corp.

2,500

117,175

Southern Union Co.

1,663

42,190

 

 

 

Equity Securities - Cont'd

Shares

Value

Oil, Gas & Consumable Fuels - Cont'd

 

 

Southwestern Energy Co.*

5,454

$222,087

Spectra Energy Corp.

10,194

229,671

St. Mary Land & Exploration Co.

991

34,497

Whiting Petroleum Corp.*

804

64,995

World Fuel Services Corp.

947

25,228

XTO Energy, Inc.

9,201

434,103

 

 

2,294,769

 

 

 

Paper & Forest Products - 0.1%

 

 

Domtar Corp.*

668

43,026

MeadWestvaco Corp.

2,381

60,834

 

 

103,860

 

 

 

Personal Products - 0.4%

 

 

Alberto-Culver Co.

1,396

36,505

Avon Products, Inc.

6,807

230,553

Estee Lauder Co.'s, Inc.

1,889

122,540

NBTY, Inc.*

914

43,854

 

 

433,452

 

 

 

Pharmaceuticals - 4.7%

 

 

Allergan, Inc.

4,905

320,395

Auxilium Pharmaceuticals, Inc.*

751

23,401

Bristol-Myers Squibb Co.

27,095

723,436

Endo Pharmaceuticals Holdings, Inc.*

1,656

39,231

Forest Laboratories, Inc.*

4,817

151,061

Johnson & Johnson

44,118

2,876,494

Medicis Pharmaceutical Corp.

928

23,348

Perrigo Co.

1,315

77,217

Pfizer, Inc.

64,535

1,106,775

 

 

5,341,358

 

 

 

Professional Services - 0.3%

 

 

Dun & Bradstreet Corp.

842

62,662

FTI Consulting, Inc.*

818

32,164

Huron Consulting Group, Inc.*

323

6,557

IHS, Inc.*

712

38,071

Manpower, Inc.

1,245

71,114

Robert Half International, Inc.

2,413

73,427

Towers Watson & Co.

675

32,062

 

 

316,057

 

 

 

Real Estate Management & Development - 0.2%

 

 

Brookfield Properties Corp.

4,130

63,437

CB Richard Ellis Group, Inc.*

3,987

63,194

Jones Lang LaSalle, Inc.

653

47,597

St. Joe Co.*

1,462

47,296

 

 

221,524

 

 

 

 

 

 

Equity Securities - Cont'd

Shares

Value

Road & Rail - 0.1%

 

 

Con-way, Inc.

759

$26,656

Kansas City Southern*

1,530

55,340

Ryder System, Inc.

822

31,861

 

 

113,857

 

 

 

Semiconductors & Semiconductor Equipment - 4.1%

 

 

Advanced Micro Devices, Inc.*

8,946

82,929

Altera Corp.

4,685

113,892

Analog Devices, Inc.

4,746

136,780

Applied Materials, Inc.

21,401

288,485

Atheros Communications, Inc.*

1,095

42,387

Atmel Corp.*

6,408

32,232

Cypress Semiconductor Corp.*

2,469

28,395

Fairchild Semiconductor International, Inc.*

1,934

20,597

Formfactor, Inc.*

739

13,125

Integrated Device Technology, Inc.*

2,670

16,367

Intel Corp.

88,721

1,974,929

Intersil Corp.

1,948

28,752

KLA-Tencor Corp.

2,726

84,288

Lam Research Corp.*

2,015

75,200

Linear Technology Corp.

3,292

93,098

LSI Corp.*

10,284

62,938

Marvell Technology Group Ltd.*

7,782

158,597

MEMC Electronic Materials, Inc.*

3,562

54,605

Microchip Technology, Inc.

2,904

81,777

Micron Technology, Inc.*

13,524

140,514

National Semiconductor Corp.

3,768

54,448

Novellus Systems, Inc.*

1,557

38,925

NVIDIA Corp.*

8,847

153,761

ON Semiconductor Corp.*

6,779

54,232

PMC - Sierra, Inc.*

3,513

31,336

Semtech Corp.*

905

15,774

Silicon Laboratories, Inc.*

721

34,370

Skyworks Solutions, Inc.*

2,670

41,652

Teradyne, Inc.*

2,753

30,751

Tessera Technologies, Inc.*

743

15,068

Texas Instruments, Inc.

19,975

488,788

Varian Semiconductor Equipment Associates, Inc.*

1,158

38,353

Xilinx, Inc.

4,415

112,583

 

 

4,639,928

 

 

 

Software - 5.3%

 

 

Adobe Systems, Inc.*

8,361

295,729

ANSYS, Inc.*

1,414

61,000

Autodesk, Inc.*

3,614

106,324

BMC Software, Inc.*

2,948

112,024

CA, Inc.

6,687

156,944

Cadence Design Systems, Inc.*

4,173

27,792

Check Point Software Technologies Ltd.*

2,682

94,031

Citrix Systems, Inc.*

2,901

137,710

Compuware Corp.*

3,562

29,921

Concur Technologies, Inc.*

670

27,477

 

 

 

Equity Securities - Cont'd

Shares

Value

Software - Cont'd

 

 

Electronic Arts, Inc.*

5,139

$95,894

FactSet Research Systems, Inc.

691

50,699

Informatica Corp.*

1,392

37,389

Intuit, Inc.*

4,632

159,063

Jack Henry & Associates, Inc.

1,330

32,000

MICROS Systems, Inc.*

1,270

41,758

Microsoft Corp.

124,366

3,640,193

Novell, Inc.*

5,588

33,472

Nuance Communications, Inc.*

3,676

61,169

Parametric Technology Corp.*

1,849

33,374

Progress Software Corp.*

657

20,649

Red Hat, Inc.*

3,002

87,869

Salesforce.com, Inc.*

1,683

125,299

Solera Holdings, Inc.

1,104

42,670

Sybase, Inc.*

1,299

60,559

Symantec Corp.*

13,095

221,567

Synopsys, Inc.*

2,323

51,965

TIBCO Software, Inc.*

2,758

29,759

TiVo, Inc.*

1,727

29,566

VMware, Inc.*

927

49,409

 

 

5,953,275

 

 

 

Specialty Retail - 3.2%

 

 

Aaron's, Inc.

696

23,205

Advance Auto Parts, Inc.

1,506

63,131

American Eagle Outfitters, Inc.

2,809

52,023

Bed Bath & Beyond, Inc.*

4,183

183,048

Best Buy Co., Inc.

5,411

230,184

CarMax, Inc.*

3,157

79,304

Chico's FAS, Inc.

2,799

40,362

GameStop Corp.*

2,601

56,988

Gap, Inc.

8,090

186,960

Home Depot, Inc.

27,092

876,426

J Crew Group, Inc.*

831

38,143

Limited Brands, Inc.

4,390

108,082

Lowe's Co.'s, Inc.

23,330

565,519

Office Depot, Inc.*

4,252

33,931

O'Reilly Automotive, Inc.*

2,181

90,969

PetSmart, Inc.

1,970

62,961

RadioShack Corp.

1,995

45,147

Ross Stores, Inc.

1,997

106,780

Signet Jewelers Ltd.*

1,359

43,950

Staples, Inc.

11,522

269,500

Tiffany & Co.

1,980

94,030

TJX Co.'s, Inc.

6,761

287,478

Tractor Supply Co.

577

33,495

Williams-Sonoma, Inc.

1,484

39,014

 

 

3,610,630

 

 

 

Equity Securities - Cont'd

Shares

Value

Textiles, Apparel & Luxury Goods - 0.4%

 

 

Deckers Outdoor Corp.*

215

$29,670

Fossil, Inc.*

752

28,380

Jones Apparel Group, Inc.

1,382

26,286

Nike, Inc., Class B

4,375

321,563

Phillips-Van Heusen Corp.

819

46,978

Wolverine World Wide, Inc.

790

23,036

 

 

475,913

 

 

 

Thrifts & Mortgage Finance - 0.4%

 

 

First Niagara Financial Group, Inc.

3,000

42,660

Hudson City Bancorp, Inc.

7,695

108,961

New York Community Bancorp, Inc.

6,758

111,777

NewAlliance Bancshares, Inc.

1,496

18,880

People's United Financial, Inc.

5,965

93,293

Washington Federal, Inc.

1,789

36,352

 

 

411,923

 

 

 

Trading Companies & Distributors - 0.3%

 

 

Fastenal Co.

2,180

104,618

MSC Industrial Direct Co.

714

36,214

W.W. Grainger, Inc.

986

106,606

Watsco, Inc.

443

25,198

WESCO International, Inc.*

656

22,770

 

 

295,406

 

 

 

Water Utilities - 0.0%

 

 

Aqua America, Inc.

2,159

37,934

 

 

 

Wireless Telecommunication Services - 0.6%

 

 

American Tower Corp.*

6,403

272,832

Crown Castle International Corp.*

3,945

150,817

Leap Wireless International, Inc.*

996

16,295

MetroPCS Communications, Inc.*

3,986

28,221

NII Holdings, Inc.*

2,646

110,232

SBA Communications Corp.*

1,858

67,018

Syniverse Holdings, Inc.*

1,026

19,976

Telephone & Data Systems, Inc.

764

25,861

 

 

691,252

 

 

 

Total Equity Securities (Cost $101,261,640)

 

109,728,048

 

 

 

 

Principal

 

U.S. Treasury - 0.6%

Amount

Value

United States Treasury Bills, 7/22/10^

$650,000

$649,737

 

 

 

     Total U.S. Treasury (Cost $649,737)

 

649,737

 

 

 

Time Deposit- 2.6%

 

 

State Street Corp. Time Deposit, 0.01%, 4/1/10

2,917,835

2,917,835

 

 

 

     Total Time Deposit (Cost $2,917,835)

 

2,917,835

 

 

 

 

 

 

 

 

 

          TOTAL INVESTMENTS (Cost $104,829,212) - 100.1%

 

113,295,620

          Other assets and liabilities, net - (0.1%)

 

(96,407)

          Net Assets - 100%

 

$113,199,213

 

 

 

 

 

 

Net Assets Consist of:

 

 

Paid-in capital applicable to the following shares of common stock

 

 

with 250,000,000 shares of $0.01 par value shares authorized:

 

 

     Class A: 6,856,574 shares outstanding

 

$67,808,101

     Class B: 348,191 shares outstanding

 

3,721,851

     Class C: 601,583 shares outstanding

 

6,699,277

     Class I: 2,698,496 shares outstanding

 

36,984,334

Undistributed net investment income

 

223,714

Accumulated net realized gain (loss) on investments

 

(10,741,911)

Net unrealized appreciation (depreciation) on investments

 

8,503,847

     Net Assets

 

$113,199,213

 

 

 

Net Asset Value Per Share

 

 

Class A (based on net assets of $73,882,137)

 

$10.78

Class B (based on net assets of $3,609,480)

 

$10.37

Class C (based on net assets of $6,233,978)

 

$10.36

Class I (based on net assets of $29,473,618 )

 

$10.92

Futures

# of
Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation
(Depreciation)

Purchased:

 

 

 

 

     E-Mini NASDAQ 100 Index^

22

6/10

$860,530

$8,828

     E-Mini S&P 500 Index^

45

6/10

2,621,700

28,611

          Total Purchased

 

 

 

$37,439

 

* Non-income producing security.

^ Futures collateralized by 650,000 units of U.S. Treasury Bills.

Abbreviations:

LLC: Limited Liability Corporation

 

See notes to financial statements.

 

Statement of Operations
Six Months Ended March 31, 2010

Net Investment Income

 

Investment Income:

 

     Dividend income (net of foreign taxes withheld of $175)

$791,986

 

 

Expenses:

 

     Investment advisory fee

115,197

     Transfer agency fees and expenses

72,560

     Distribution Plan expenses:

 

          Class A

84,296

          Class B

17,344

          Class C

28,814

     Directors' fees and expenses

6,254

     Administrative Fees

99,116

     Accounting Fees

8,196

     Custodian fees

36,942

     Registration fees

25,463

     Reports to shareholders

19,931

     Professional fees

12,125

     Miscellaneous

6,924

          Total expenses

533,162

          Reimbursement from Advisor:

 

               Class A

(107,772)

               Class B

(9,606)

               Class C

(9,539)

               Class I

(45,433)

          Fees paid indirectly

(134)

                    Net expenses

360,678

 

 

     Net Investment Income

431,308

 

 

Realized and Unrealized Gain (Loss)

 

Net realized gain (loss) on:

 

     Investments

(555,446)

     Futures

273,286

 

(282,160)

 

 

Change in unrealized appreciation or (depreciation) on:

 

     Investments

11,524,319

     Futures

22

 

11,524,341

 

 

          Net Realized and Unrealized Gain

 

           (Loss)

11,242,181

 

 

          Increase (Decrease) in Net Assets

 

          Resulting From Operations

$11,673,489

See notes to financial statements.

 

Statements of Changes in Net Assets

Increase (Decrease) in Net Assets

Six Months Ended
March 31,
2010

Year Ended
September 30,
2009

Operations:

 

 

     Net investment income

$431,308

$1,085,655

     Net realized gain (loss) on investments

(282,160)

(3,791,552)

     Change in unrealized appreciation (depreciation)

11,524,341

3,336,843

 

 

 

          Increase (Decrease) in Net Assets

 

 

          Resulting From Operations

11,673,489

630,946

 

 

 

Distributions to shareholders from:

 

 

     Net investment income:

 

 

          Class A shares

(642,883)

(672,772)

          Class B shares

(2,892)

(12,747)

          Class C shares

(4,249)

(18,924)

          Class I shares

(309,011)

(368,607)

               Total distributions

(959,035)

(1,073,050)

Capital share transactions:

 

 

     Shares sold:

 

 

          Class A shares

7,632,375

35,083,696

          Class B shares

181,900

280,055

          Class C shares

702,086

960,445

          Class I shares

9,593,010

3,666,090

     Reinvestment of distributions:

 

 

          Class A shares

578,033

617,022

          Class B shares

2,429

10,697

          Class C shares

2,968

12,761

          Class I shares

296,826

345,485

     Redemption fees:

 

 

          Class A shares

177

5,228

     Shares redeemed:

 

 

          Class A shares

(5,137,831)

(18,033,264)

          Class B shares

(388,987)

(614,939)

          Class C shares

(721,267)

(1,030,455)

          Class I shares

(4,687,355)

(2,469,774)

               Total capital share transactions

8,054,364

18,833,047

 

 

 

Total Increase (Decrease) in Net Assets

18,768,818

18,390,943

 

 

 

Net Assets

 

 

Beginning of period

94,430,395

76,039,452

End of period (including undistributed net

 

 

     investment income of $223,714 and $751,441, respectively)

$113,199,213

$94,430,395

See notes to financial statements.

Capital Share Activity

Six Months Ended
March 31,
2010

Year Ended
September 30,
2009

Shares sold:

 

 

 

     Class A shares

 

748,965

4,428,001

     Class B shares

 

18,798

37,118

     Class C shares

 

71,603

127,237

     Class I shares

 

925,207

453,418

Reinvestment of distributions:

 

 

 

     Class A shares

 

56,504

84,178

     Class B shares

 

246

1,511

     Class C shares

 

301

1,805

     Class I shares

 

28,679

46,624

Shares redeemed:

 

 

 

     Class A shares

 

(507,792)

(2,208,137)

     Class B shares

 

(40,146)

(80,453)

     Class C shares

 

(73,764)

(139,260)

     Class I shares

 

(467,603)

(291,577)

          Total capital share activity

 

760,998

2,460,465

See notes to financial statements.

 

Notes to Financial Statements

Note A -- Significant Accounting Policies

General: The Calvert Social Index Fund (the "Fund"), the sole series of Calvert Social Index Series, Inc., is registered under the Investment Company Act of 1940 as a diversified, open-end management investment company. The Fund offers four classes of shares of capital stock. Class A shares are sold with a maximum front-end sales charge of 4.75%. Class B shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge at the time of redemption, depending on how long investors have owned the shares. Effective March 1, 2010, Class B shares are no longer offered for purchase, except through reinvestment of dividends and/or distributions and through certain exchanges. Class C shares are sold without a front-end sales charge. With certain exceptions, the Fund will impose a deferred sales charge on shares sold within one year of purchase. Class B and Class C shares have higher levels of expenses than Class A shares. Class I shares require a minimum account balance of $1,000,000. The $1 million minimum initial investment may be waived for certain institutional accounts, where it is believed to be in the best interest of the Fund and its shareholders. Class I shares have no front-end or deferred sales charge and have lower levels of expenses than Class A shares. Each class has different: (a) dividend rates, due to differences in Distribution Plan expenses and other class specific expenses, (b) exchange privileges and (c) class specific voting rights.

Security Valuation: Net asset value per share is determined every business day as of the close of the regular session of the New York Stock Exchange (generally 4:00 p.m. Eastern time). The Fund uses independent pricing services approved by the Board of 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 Fund may invest in securities whose resale is subject to restrictions. Investments for which market quotations are not available or deemed not reliable are fair valued in good faith under the direction of the Board of 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 March 31, 2010, no securities were fair valued in good faith under the direction of the Board of Directors.

The Fund 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 Fund'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 Fund's policy regarding valuation of investments, please refer to the Fund's most recent prospectus.

The following is a summary of the inputs used to value the Fund's net assets as of March 31, 2010:

 

Valuation Inputs

Investments in Securities

Level 1

Level 2

Level 3

Total

Equity securities *

$109,728,048

--

--

$109,728,048

U.S. government obligations

--

$649,737

--

649,737

Other debt obligations

--

2,917,835

--

2,917,835

TOTAL

$109,728,048

$3,567,572

--

$113,295,620

Other financial instruments**

$37,439

--

--

$37,439

* 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.

Repurchase Agreements: The Fund may enter into repurchase agreements with recognized financial institutions or registered broker/dealers and, in all instances, holds underlying securities with a value exceeding the total repurchase price, including accrued interest. Although risk is mitigated by the collateral, the Fund could experience a delay in recovering its value and a possible loss of income or value if the counterparty fails to perform in accordance with the terms of the agreement.

Futures Contracts: The Fund may purchase and sell futures contracts, but only when, in the judgment of the Advisor, such a position acts as a hedge. The Fund 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 Fund is subject to market risk in the normal course of pursuing its investment objectives. The Fund may use futures contracts to hedge against changes in the value of securities. The Fund may enter into futures contracts agreeing to buy or sell a financial instrument for a set price at a future date. Initial margin deposits of either cash or securities as required by the broker are made upon entering into the contract. While the contract is open, daily variation margin payments are made to or received from the broker reflecting the daily change in market value of the contract and are recorded for financial reporting purposes as unrealized gains or losses by the Fund. When a futures contract is closed, a realized gain or loss is recorded equal to the difference between the opening and closing value of the contract. The risks associated with entering into futures contracts may include the possible illiquidity of the secondary market which would limit the Fund's ability to close out a futures contract prior to the settlement date, an imperfect correlation between the value of the contracts and the underlying financial instruments, or that the counterparty will fail to perform its obligations under the contracts' terms. Futures contracts are designed by boards of trade which are designated "contracts markets" by the Commodities Futures Trading Commission. Futures contracts trade on the contracts markets in a manner that is similar to the way a stock trades on a stock exchange and the boards of trade, through their clearing corporations, guarantee the futures contracts against default. As a result, there is minimal counterparty credit risk to the Fund.

Security Transactions and Net Investment Income: Security transactions are accounted for on trade date. Realized gains and losses are recorded on an identified cost basis and may include proceeds from litigation. Dividend income is recorded on the ex-dividend date. 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 Fund's understanding of the applicable country's tax rules and rates.

Distributions to Shareholders: Distributions to shareholders are recorded by the Fund 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 Fund'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.

Redemption Fees: The Fund charges a 2% redemption fee on redemptions, including exchanges, made within 30 days of purchase in the same Fund (within seven days for Class I shares). The redemption fee is paid to the Class of the Fund from which the redemption is made, and is accounted for as an addition to paid-in capital. The fee is intended to discourage market-timers by ensuring that short-term trading costs are borne by the investors making the transactions and not the shareholders already in the Fund.

Expense Offset Arrangements: The Fund has an arrangement with its custodian bank whereby the custodian's fees may be paid indirectly by credits earned on the Fund's cash on deposit with the bank. These credits are used to reduce the Fund's expenses. Such a deposit arrangement may be an alternative to overnight investments.

Federal Income Taxes: No provision for federal income or excise tax is required since the Fund intends to qualify as a regulated investment company under the Internal Revenue Code and to distribute substantially all of its taxable earnings.

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

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 will require 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. At this time, management is evaluating the implications of ASU No. 2010-06 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 .225% of the Fund's average daily net assets. Under the terms of the agreement, $21,190 was payable at period end. In addition, $1,133 was payable to the Advisor at period end for reimbursement of operating expenses paid during March 2010.

The Advisor has contractually agreed to limit net annual fund operating expenses for Class A, Class B and Class C through January 31, 2011 and for Class I through January 31, 2016. The contractual expense cap is .75% for Class A, 1.75% for Class B, 1.75% for Class C and .21% for Class I. For the purpose of this expense limit, operating expenses do not include interest expense, brokerage commissions, taxes and extraordinary expenses. To the extent any expense offset credits are earned, the Advisor's obligation under the contractual limitation may be reduced and the Advisor may benefit from the expense offset arrangement.

Calvert Administrative Services Company, an affiliate of the Advisor, provides administrative services to the Fund for an annual fee, payable monthly, of .225% for Class A, Class B, and Class C shares and .10% for Class I shares based on their average daily net assets. Under the terms of the agreement, $18,136 was payable at period end.

Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor and principal underwriter for the Fund. Distribution Plans, adopted by Class A, Class B and Class C shares, allow the Fund to pay the Distributor for expenses and services associated with distribution of shares. The expenses paid may not exceed .25%, 1.00% and 1.00% annually of average daily net assets of each Class A, Class B and Class C, respectively. The amount actually paid by the Fund is an annualized fee, payable monthly of .25%, 1.00%, and 1.00% of the Fund's average daily net assets of Class A, Class B, and Class C, respectively. Class I does not have Distribution Plan expenses. Under the terms of the agreement, $23,575 was payable at period end.

The Distributor received $6,154 as its portion of commissions charged on sales of the Fund's Class A shares for the six months ended March 31, 2010.

Calvert Shareholder Services, Inc. ("CSSI"), an affiliate of the Advisor, is the shareholder servicing agent for the Fund. For its services, CSSI received fees of $13,362 for the period ended March 31, 2010. Under the terms of the agreement, $2,280 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 an annual retainer of $44,000 plus a meeting fee of $2,000 for each Board meeting attended. Additional fees of up to $5,000 annually may be paid to the Board chair and Committee chairs and $2,500 annually may be paid to Committee members, plus a Committee meeting fee of $500 for each Committee meeting attended. Director's fees are allocated to each of the funds served.

Note C -- Investment Activity

During the period, cost of purchases and proceeds from sales of investments, other than short-term securities, were $12,256,305 and $6,153,882, respectively.

The cost of investments owned at March 31, 2010 for federal income tax purposes was $109,020,633. Net unrealized appreciation aggregated $4,274,987, of which $13,478,007 related to appreciated securities and $9,203,020 related to depreciated securities.

Net realized capital loss carryforwards for federal income tax purposes of $1,123,572, $900,355, $534,245 and $864,557 at September 30, 2009 may be utilized to offset future capital gains until expiration in September 2011, September 2012, September 2014 and September 2017, respectively.

The Fund intends to elect to defer net capital losses of $2,783,447 incurred from November 1, 2008 through September 30, 2009 and treat them as arising in the fiscal year ending September 30, 2010.

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 March 31, 2010. For the six months ended March 31, 2010, borrowings by the Fund under the Agreement were as follows:

Average
Daily
Balance

Weighted
Average
Interest
Rate

Maximum
Amount
Borrowed

Month of
Maximum
Amount
Borrowed

 

$42,222

1.44%

$2,945,749

February 2010

Note E -- Subsequent Events

In preparing the financial statements as of March 31, 2010, no subsequent events or transactions occurred that would have materially impacted the financial statements as presented.

 

Financial Highlights

 

 

Periods Ended

 

 

March 31,

September 30,

September 30,

Class A Shares

 

2010

2009 (z)

2008

Net asset value, beginning

 

$9.70

$10.44

$13.67

Income from investment operations

 

 

 

 

     Net investment income

 

.04

.11

.14

     Net realized and unrealized gain (loss)

 

1.14

(.75)

(3.23)

          Total from investment operations

 

1.18

(.64)

(3.09)

Distributions from

 

 

 

 

     Net investment income

 

(.10)

(.10)

(.14)

          Total distributions

 

(.10)

(.10)

(.14)

Total increase (decrease) in net asset value

 

1.08

(.74)

(3.23)

Net asset value, ending

 

$10.78

$9.70

$10.44

 

 

 

 

 

Total return*

 

12.19%

(5.80%)

(22.81%)

Ratios to average net assets:A

 

 

 

 

     Net investment income

 

.79% (a)

1.34%

1.14%

     Total expenses

 

1.07% (a)

1.16%

1.10%

     Expenses before offsets

 

.75% (a)

.75%

.76%

     Net expenses

 

.75% (a)

.75%

.75%

Portfolio turnover

 

6%

16%

14%

Net assets, ending (in thousands)

 

$73,882

$63,609

$44,439

 

 

 

 

 

 

 

 

 

 

 

 

 

Years Ended

 

 

 

September 30,

September 30,

September 30,

Class A Shares

 

2007 (z)

2006 (z)

2005 (z)

Net asset value, beginning

 

$12.23

$11.29

$10.43

Income from investment operations

 

 

 

 

     Net investment income

.

.15

.11

.13

     Net realized and unrealized gain (loss)

 

1.41

.92

.84

          Total from investment operations

 

1.56

1.03

.97

Distributions from

 

 

 

 

     Net investment income

 

(.12)

(.09)

(.11)

          Total distributions

 

(.12)

(.09)

(.11)

Total increase (decrease) in net asset value

 

1.44

.94

.86

Net asset value, ending

 

$13.67

$12.23

$11.29

 

 

 

 

 

Total return*

 

12.80%

9.14%

9.31%

Ratios to average net assets:A

 

 

 

 

     Net investment income

 

1.12%

.96%

1.21%

     Total expenses

 

1.09%

1.22%

1.34%

     Expenses before offsets

 

.77%

.78%

.77%

     Net expenses

 

.75%

.75%

.75%

Portfolio turnover

 

9%

12%

14%

Net assets, ending (in thousands)

 

$59,291

$48,265

$44,108

See notes to financial highlights.

 

Financial Highlights

 

 

 

Periods Ended

 

 

 

March 31,

September 30,

September 30,

Class B Shares

 

2010

2009 (z)

2008

Net asset value, beginning

 

$9.30

$10.01

$13.11

Income from investment operations

 

 

 

 

     Net investment income (loss)

 

(.02)

.03

.01

     Net realized and unrealized gain (loss)

 

1.10

(.71)

(3.10)

          Total from investment operations

 

1.08

(.68)

(3.09)

Distributions from

 

 

 

 

     Net investment income

 

(.01)

(.03)

(.01)

          Total distributions

 

(.01)

(.03)

(.01)

Total increase (decrease) in net asset value

 

1.07

(.71)

(3.10)

Net asset value, ending

 

$10.37

$9.30

$10.01

 

 

 

 

 

Total return*

 

11.60%

(6.67%)

(23.57%)

Ratios to average net assets:A

 

 

 

 

     Net investment income (loss)

 

(.21%) (a)

.37%

.14%

     Total expenses

 

2.30% (a)

2.46%

2.11%

     Expenses before offsets

 

1.75% (a)

1.75%

1.76%

     Net expenses

 

1.75% (a)

1.75%

1.75%

Portfolio turnover

 

6%

16%

14%

Net assets, ending (in thousands)

 

$3,609

$3,433

$4,117

 

 

 

 

 

 

 

 

 

 

 

 

 

Years Ended

 

 

 

September 30,

September 30,

September 30,

Class B Shares

 

2007 (z)

2006 (z)

2005 (z)

 

 

 

 

 

Net asset value, beginning

 

$11.74

$10.87

$10.05

Income from investment operations

 

 

 

 

     Net investment income

 

.01

**

.02

     Net realized and unrealized gain (loss)

 

1.36

.87

.81

          Total from investment operations

 

1.37

.87

.83

Distributions from

 

 

 

 

     Net investment income

 

**

--

(.01)

          Total distributions

 

**

--

(.01)

Total increase (decrease) in net asset value

 

1.37

.87

.82

Net asset value, ending

 

$13.11

$11.74

$10.87

 

 

 

 

 

Total return*

 

11.68%

8.00%

8.29%

Ratios to average net assets:A

 

 

 

 

     Net investment income (loss)

 

.12%

(.04%)

.21%

     Total expenses

 

2.08%

2.26%

2.43%

     Expenses before offsets

 

1.77%

1.78%

1.77%

     Net expenses

 

1.75%

1.75%

1.75%

Portfolio turnover

 

9%

12%

14%

Net assets, ending (in thousands)

 

$6,036

$4,949

$4,623

See notes to financial highlights.

 

Financial Highlights

 

 

 

Periods Ended

 

 

 

March 31,

September 30,

September 30

Class C Shares

 

2010

2009 (z)

2008

Net asset value, beginning

 

$9.29

$10.01

$13.10

Income from investment operations

 

 

 

 

     Net investment income (loss)

 

(.01)

.03

.01

     Net realized and unrealized gain (loss)

 

1.09

(.72)

(3.09)

          Total from investment operations

 

1.08

(.69)

(3.08)

Distributions from

 

 

 

 

     Net investment income

 

(.01)

(.03)

(.01)

          Total distributions

 

(.01)

(.03)

(.01)

Total increase (decrease) in net asset value

 

1.07

(.72)

(3.09)

Net asset value, ending

 

$10.36

$9.29

$10.01

 

 

 

 

 

Total return*

 

11.60%

(6.80%)

(23.51%)

Ratios to average net assets:A

 

 

 

 

     Net investment income (loss)

 

(.20%) (a)

.36%

.14%

     Total expenses

 

2.08% (a)

2.23%

1.97%

     Expenses before offsets

 

1.75% (a)

1.75%

1.76%

     Net expenses

 

1.75% (a)

1.75%

1.75%

Portfolio turnover

 

6%

16%

14%

Net assets, ending (in thousands)

 

$6,234

$5,607

$6,141

 

 

 

 

 

 

 

 

 

 

 

 

 

Years Ended

 

 

 

September 30,

September 30,

September 30,

Class C Shares

 

2007 (z)

2006 (z)

2005 (z)

Net asset value, beginning

 

$11.73

$10.86

$10.05

Income from investment operations

 

 

 

 

     Net investment income

 

.01

**

.02

     Net realized and unrealized gain (loss)

 

1.36

.87

.80

          Total from investment operations

 

1.37

.87

.82

Distributions from

 

 

 

 

     Net investment income

 

**

--

(.01)

          Total distributions

 

**

--

(.01)

Total increase (decrease) in net asset value

 

1.37

.87

.81

Net asset value, ending

 

$13.10

$11.73

$10.86

 

 

 

 

 

Total return*

 

11.69%

8.01%

8.19%

Ratios to average net assets:A

 

 

 

 

     Net investment income (loss)

 

.12%

(.04%)

.21%

     Total expenses

 

1.96%

2.13%

2.30%

     Expenses before offsets

 

1.77%

1.78%

1.77%

     Net expenses

 

1.75%

1.75%

1.75%

Portfolio turnover

 

9%

12%

14%

Net assets, ending (in thousands)

 

$8,998

$6,751

$5,542

See notes to financial highlights.

 

Financial Highlights

 

 

 

Periods Ended

 

 

 

March 31,

September 30,

September 30,

Class I Shares

 

2010

2009 (z)

2008

Net asset value, beginning

 

$9.85

$10.65

$13.92

Income from investment operations

 

 

 

 

     Net investment income

 

.07

.15

.18

     Net realized and unrealized gain (loss)

 

1.14

(.77)

(3.25)

          Total from investment operations

 

1.21

(.62)

(3.07)

Distributions from

 

 

 

 

     Net investment income

 

(.14)

(.18)

(.20)

          Total distributions

 

(.14)

(.18)

(.20)

Total increase (decrease) in net asset value

 

1.07

(.80)

(3.27)

Net asset value, ending

 

$10.92

$9.85

$10.65

 

 

 

 

 

Total return*

 

12.40%

(5.26%)

(22.34%)

Ratios to average net assets:A

 

 

 

 

     Net investment income

 

1.34% (a)

1.88%

1.68%

     Total expenses

 

.56% (a)

.63%

.57%

     Expenses before offsets

 

.21% (a)

.21%

.22%

     Net expenses

 

.21% (a)

.21%

.21%

Portfolio turnover

 

6%

16%

14%

Net assets, ending (in thousands)

 

$29,474

$21,781

$21,342

 

 

 

 

 

 

 

 

 

 

 

 

 

Years Ended

 

 

 

September 30,

September 30,

September 30,

Class I Shares

 

2007 (z)

2006 (z)

2005 (z)

Net asset value, beginning

 

$12.38

$11.38

$10.59

Income from investment operations

 

 

 

 

     Net investment income

 

.22

.17

.16

     Net realized and unrealized gain (loss)

 

1.44

.92

.87

          Total from investment operations

 

1.66

1.09

1.03

Distributions from

 

 

 

 

     Net investment income

 

(.12)

(.09)

(.24)

          Total distributions

 

(.12)

(.09)

(.24)

Total increase (decrease) in net asset value

 

1.54

1.00

.79

Net asset value, ending

 

$13.92

$12.38

$11.38

 

 

 

 

 

Total return*

 

13.44%

9.61%

9.76%

Ratios to average net assets:A

 

 

 

 

     Net investment income

 

1.65%

1.46%

1.50%

     Total expenses

 

.57%

.80%

1.35%

     Expenses before offsets

 

.23%

.26%

.40%

     Net expenses

 

.21%

.24%

.38%

Portfolio turnover

 

9%

12%

14%

Net assets, ending (in thousands)

 

$23,120

$12,462

$2,374

 

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

(a) Annualized.

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

* Total return is not annualized for periods less than one year and does not reflect deduction of any front-end or deferred sales charge.

** Less than $0.01 per share.

See notes to financial statements.

 

Explanation of Financial Tables

Schedule of Investments

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

Statement of Assets and Liabilities

The Statement of Assets and Liabilities is often referred to as the fund's balance sheet. It lists the value of what the fund owns, is due and owes on the last day of the reporting period. The fund's assets include the market value of securities owned, cash, receivables for securities sold and shareholder subscriptions, and receivables for dividends and interest payments that have been earned, but not yet received. The fund's liabilities include payables for securities purchased and shareholder redemptions, and expenses owed but not yet paid. The statement also reports the fund's net asset value (NAV) per share on the last day of the reporting period. The NAV is calculated by dividing the fund's net assets (assets minus liabilities) by the number of shares outstanding. This statement is accompanied by a Schedule of Investments. Alternatively, if certain conditions are met, a Statement of Net Assets may be presented in lieu of this statement and the Schedule of Investments.

Statement of Net Assets

The Statement of Net Assets provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. The Statement of Net Assets includes a Schedule of Investments. Other assets are added and other liabilities subtracted from the investments total to calculate the fund's net assets. Finally, net assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) per share.

At the end of the Statement of Net Assets is a table displaying the composition of the fund's net assets. Paid in Capital is the money invested by shareholders and represents the bulk of net assets. Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the amounts the fund had available to distribute to shareholders as of the statement date. Accumulated Realized Losses will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date -values.

Statement of Operations

The Statement of Operations summarizes the fund's investment income earned and expenses incurred in operating the fund. Investment income includes dividends earned from stocks and interest earned from interest-bearing securities in the fund. Expenses incurred in operating the fund include the advisory fee paid to the investment advisor, administrative services fees, distribution plan expenses (if applicable), transfer agent fees, shareholder servicing expenses, custodial, legal, and audit fees, and the printing and postage expenses related to shareholder reports. Expense offsets (fees paid indirectly) are also shown. Credits earned from offset arrangements are used to reduce the fund's expenses. This statement also shows net gains (losses) realized on the sale of investments and the increase or decrease in the unrealized appreciation (depreciation) on investments held during the period.

Statement of Changes in Net Assets

The Statement of Changes in Net Assets shows how the fund's total net assets changed during the two most recent reporting periods. Changes in the fund's net assets are attributable to investment operations, distributions and capital share transactions.

The Operations section of the report summarizes information detailed in the Statement of Operations. The Distribution section shows the dividend and capital gain distributions made to shareholders. The amounts shown as distributions in this section may not match the net investment income and realized gains amounts shown in the Operations section because distributions are determined on a tax basis and certain investments or transactions may be treated differently for financial statement and tax purposes. The Capital Share Transactions section shows the amount shareholders invested in the fund, either by purchasing shares or by reinvesting distributions, and the amounts redeemed. The corresponding numbers of shares issued, reinvested and redeemed are shown at the end of the report.

Financial Highlights

The Financial Highlights table provides a per-share breakdown per class of the components that affect the fund's net asset value for current and past reporting periods. The table provides total return, total distributions, expense ratios, portfolio turnover and net assets for the applicable period. Total return is a measure of a fund's performance that encompasses all elements of return: dividends, capital gain distributions and changes in net asset value. Total return is the change in value of an investment over a given period, assuming reinvestment of any dividends and capital gain distributions, expressed as a percentage of the initial investment. Total distributions include distributions from net investment income and net realized gains. Long-term gains are earned on securities held in the fund more than one year. Short-term gains, on the sale of securities held less than one year, are treated as ordinary dividend income for tax purposes. The expense ratio is a fund's cost of doing business, 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 of the Calvert Funds that the Fund uses to determine how to vote proxies relating to portfolio securities are provided as an Appendix to the Fund's Statement of Additional Information. The Statement of Additional Information can be obtained free of charge by calling the Fund at 1-800-368-2745, by visiting the Calvert website at www.calvert.com; or by visiting the SEC's website at www.sec.gov.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund's website at www.calvert.com and on the SEC's website at www.sec.gov.

Availability of Quarterly Portfolio Holdings

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund's Form N-Q is available on the SEC's website at www.sec.gov. The Fund's Form N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC;  information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Basis for Board's Approval of Investment Advisory Contracts

At a meeting held on December 8, 2009, the Board of Directors, and by a separate vote, the disinterested Directors, approved the continuance of the Investment Advisory Agreement between Calvert Social Index Series, Inc. and the Advisor and the Investment Subadvisory Agreement between the Advisor and the Subadvisor with respect to the Fund.

In evaluating the Investment Advisory Agreement, the Board considered a variety of information relating to the Fund and the Advisor. The disinterested Directors reviewed a report prepared by the Advisor regarding various services provided to the Fund by the Advisor and its affiliates. Such report included, among other data, information regarding the Advisor's personnel and the Advisor's revenue and cost of providing services to the Fund, and a separate report prepared by an independent third party, which provided a statistical analysis comparing the Fund's investment performance, expenses, and fees to comparable mutual funds.

The disinterested Directors were separately represented by independent legal counsel with respect to their consideration of the reapproval of the Investment Advisory Agreement and Investment Subadvisory Agreement. Prior to voting, the disinterested Directors reviewed the proposed continuance of the Investment Advisory Agreement and Investment Subadvisory Agreement with management and also met in private sessions with their counsel at which no representatives of management were present.

In the course of its deliberations regarding the Investment Advisory Agreement, the Board considered the following factors, among others: the nature, extent and quality of the services provided by the Advisor, including the personnel providing such services; the Advisor's financial condition; the level and method of computing the Fund's advisory fee; comparative performance, fee and expense information for the Fund; the profitability of the Calvert Group of Funds to the Advisor and its affiliates; the allocation of the Fund's brokerage, including the Advisor's process for monitoring "best execution"; the direct and indirect benefits, if any, derived by the Advisor and its affiliates from their relationship with the Fund; the effect of the Fund's growth and size on the Fund's performance and expenses; the affiliated distributor's process for monitoring sales load breakpoints; the Advisor's compliance programs and policies; the Advisor's performance of substantially similar duties for other funds; and any possible conflicts of interest.

In considering the nature, extent and quality of the services provided by the Advisor under the Investment Advisory Agreement, the Board reviewed information provided by the Advisor relating to its operations and personnel, including, among other information, biographical information on the Advisor's supervisory and professional staff and descriptions of its organizational and management structure. The Board also took into account similar information provided periodically throughout the previous year by the Advisor as well as the Board's familiarity with the Advisor's senior management through Board of Directors' meetings, discussions and other reports. The Advisor's administrative capabilities, including its ability to supervise the other service providers for the Fund, were also considered. The Board also took into account the environmental, social and governance research and analysis provided by the Advisor to the Fund. The Board discussed the Advisor's effectiveness in monitoring the performance of the Subadvisor and its timeliness in responding to performance issues. The Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Advisor under the Investment Advisory Agreement.

In considering the Fund's performance, the Board noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. In addition, the Board took into account overall financial market conditions. The Board also reviewed various comparative data provided to it in connection with its consideration of the renewal of the Investment Advisory Agreement, including, among other information, a comparison of the Fund's total return with its Lipper index and with that of other mutual funds deemed to be in its peer group by an independent third party in its report. This comparison indicated that the Fund performed at the median of its peer group for the one-year period ended June 30, 2009, and underperformed the median of its peer group for the same three- and five-year periods. The data also indicated that the Fund outperformed its Lipper index for the same one-year period and underperformed the Lipper index for the same three- and five-year periods. The Board took into account management's discussion of the Fund's performance and the factors that contributed to such underperformance. The Board noted the Advisor's continued monitoring of the Fund's performance. The Board also took into account the Advisor's discussion of the Fund's role within the Calvert Group of Funds social investment offerings. Based upon its review and in view of management's discussion, the Board concluded that appropriate action was being taken with respect to the Fund's performance.

In considering the Fund's fees and expenses, the Board compared the Fund's fees and total expense ratio with various comparative data for the funds in its peer group. Among other findings, the data indicated that the Fund's advisory fee (after taking into account waivers and/or reimbursements) and total expenses (net of waivers and/or reimbursements) were below the median of its peer group. The Board noted that the allocation of advisory and administrative fees may vary among the Fund's peer group. The Board also took into account the Advisor's current undertakings to maintain expense limitations for the Fund, noting that the Advisor was currently reimbursing fund expenses in excess of the entire advisory fee. The Board also noted management's discussion of the Fund's expenses and certain factors that affected the level of such expenses, including the cost of providing the environmental, social and governance research and analysis provided by the Advisor. Based upon its review, the Board concluded that the advisory fee was reasonable in view of the quality of services provided by the Advisor and other factors considered.

The Board reviewed the Advisor's profitability on a fund-by-fund basis. In reviewing the overall profitability of the advisory fee to the Fund's Advisor, the Board also considered the fact that affiliates of the Advisor provided shareholder servicing and administrative services to the Fund for which they received compensation. The information considered by the Board included Calvert's operating profit margin information both before and after tax expenses with respect to the services that the Advisor and its affiliates provided to the Calvert Group of Funds complex. The Board reviewed the profitability of the Advisor's relationship with the Fund in terms of the total amount of annual advisory fees it received with respect to the Fund and whether the Advisor had the financial wherewithal to continue to provide a high level of services to the Fund. The Board noted that the Advisor had reimbursed expenses of the Fund in excess of the entire advisory fee. The Board also noted the Advisor's current undertaking to maintain expense limitations for the Fund. The Board also considered that the Advisor derived benefits to its reputation and other indirect benefits from its relationship with the Fund. The Board also noted the Advisor paid the subadvisory fee to the Subadvisor. Based upon its review, the Board concluded that the Advisor's and its affiliates' level of profitability from their relationship with the Fund was reasonable.

The Board considered the effect of the Fund's current size and potential growth on its performance and expenses. The Board concluded that adding breakpoints to the advisory fee at specified asset levels would not be appropriate at this time given the Fund's current size and that the Advisor was currently reimbursing fund expenses in excess of the entire advisory fee. The Board noted that if the Fund's assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.

In reapproving the Investment Advisory Agreement, the Board, including the disinterested Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.

In evaluating the Investment Subadvisory Agreement, the disinterested Directors reviewed information provided by the Subadvisor relating to its operations, personnel, investment philosophy, strategies and techniques. Among other information, the Subadvisor provided biographical information on portfolio management and other professional staff, performance information for itself, and descriptions of its investment philosophies, strategies and techniques, organizational and management structures and brokerage policies and practices.

The Board reapproved the Investment Subadvisory Agreement between the Advisor and the Subadvisor based on a number of factors relating to the Subadvisor's ability to perform under the Investment Subadvisory Agreement. In the course of its deliberations, the Board evaluated, among other factors: the nature, extent and the quality of the services to be provided by the Subadvisor; the Subadvisor's management style and long-term performance record; the Fund's performance record and the Subadvisor's performance in employing its investment strategies; the Subadvisor's current level of staffing and its overall resources; the qualifications and experience of the Subadvisor's personnel; the Subadvisor's financial condition with respect to its ability to perform the services required under the Investment Subadvisory Agreement; the Subadvisor's compliance systems, including those related to personal investing; and any disciplinary history. Based upon its review, the Board concluded that it was satisfied with the nature, extent and quality of services provided to the Fund by the Subadvisor under the Investment Subadvisory Agreement.

As noted above, the Board considered, among other information, the Fund's performance during the one-, three- and five-year periods ended June 30, 2009 as compared to the Fund's peer group and noted that it reviewed on a quarterly basis detailed information about the Fund's performance results, portfolio composition and investment strategies. The Board also noted the Advisor's expertise and resources in monitoring the performance, investment style and risk-adjusted performance of the Subadvisor.

In considering the cost of services to be provided by the Subadvisor and the profitability to the Subadvisor of its relationship with the Fund, the Board noted that the subadvisory fee under the Investment Subadvisory Agreement was paid by the Advisor and not the Fund. The Board also relied on the ability of the Advisor to negotiate the Investment Subadvisory Agreement and the corresponding subadvisory fee at arm's length. In addition, the Board considered comparative fee information. Based upon its review, the Board determined that the subadvisory fee was reasonable. Because the Advisor pays the Subadvisor's subadvisory fee and the subadvisory fee was negotiated at arm's length by the Advisor, the cost of services to be provided by the Subadvisor and the profitability to the Subadvisor of its relationship with the Fund were not material factors in the Board's deliberations. For similar reasons, the Board did not consider the potential economies of scale in the Subadvisor's management of the Fund to be a material factor in its consideration, although the Board noted that the subadvisory fee schedule for the Fund contained breakpoints that reduced the subadvisory fee rate on assets above specified levels.

In reapproving the Investment Subadvisory Agreement, the Board, including the disinterested Directors, did not identify any single factor as controlling, and each Director may have attributed different weight to various factors.

Conclusions

The Board reached the following conclusions regarding the Investment Advisory Agreement and the Investment Subadvisory Agreement, among others: (a) the Advisor has demonstrated that it possesses the capability and resources to perform the duties required of it under the Investment Advisory Agreement; (b) the Subadvisor is qualified to manage the Fund's assets in accordance with the Fund's investment objectives and policies; (c) the Advisor and Subadvisor maintain appropriate compliance programs; (d) the Subadvisor is likely to execute its investment strategies consistently over time; (e) appropriate action is being taken with respect to the Fund's performance; and (f) the Fund's advisory and subadvisory fees are reasonable relative to those of similar funds and to the services to be provided by the Advisor and the Subadvisor. Based on its conclusions, the Board determined that reapproval of the Investment Advisory Agreement and the Investment Subadvisory Agreement would be in the best interests of the Fund and its shareholders.

 

To Open an Account
800-368-2748

Yields and Prices
Calvert Information Network
(24 hours, 7 days a week)
800-368-2745

Service for Existing Account
Shareholders: 800-368-2745
Brokers: 800-368-2746

TDD for Hearing Impaired
800-541-1524

Branch Office
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814

Registered, Certified
or Overnight Mail
Calvert Group
c/o BFDS,
330 West 9th Street
Kansas City, MO 64105

Web Site
www.calvert.com

Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814

 

Calvert Social Index Fund

 

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.

 

Calvert's Family of Funds

Tax-Exempt Money Market Funds
CTFR Money Market Portfolio

Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio

Municipal Funds
Calvert Tax-Free Bond Fund

Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Short Duration Income Fund
Long-Term Income Fund
Ultra-Short Income Fund
Government Fund
Short-Term Government Fund
High Yield Bond Fund

Equity Funds
CSIF Enhanced Equity Portfolio
CSIF Equity Portfolio
Calvert Large Cap Growth Fund
Calvert Large Cap Value Fund
Calvert Social Index Fund
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
Small Cap Value Fund
Mid Cap Value Fund
Global Alternative Energy Fund
Global Water Fund
International Opportunities Fund

Balanced and Asset
Allocation Funds
CSIF Balanced Portfolio
Calvert Conservative Allocation Fund
Calvert Moderate Allocation Fund
Calvert Aggressive Allocation Fund

 

<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.

(a) This Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) 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.

No material 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.

  1. 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.
  2. There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

Item 12 Exhibits.

(a)(1) 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 SOCIAL INDEX SERIES, INC.

 

By:

/s/ Barbara J. Krumsiek
Barbara J. Krumsiek
Senior Vice President -- Principal Executive Officer

Date:

June 1, 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
Senior Vice President -- Principal Executive Officer
Date:   June 1, 2010

 

/s/ D. Wayne Silby
D. Wayne Silby
President -- Principal Executive Officer
Date:  June 1, 2010

 

/s/ Ronald M. Wolfsheimer
Ronald M. Wolfsheimer
Treasurer -- Principal Financial Officer
Date:  June 1, 2010