September 30, 1999
Annual
Report
Calvert SOCIAL
INVESTMENT fund
<PAGE>
Calvert Social
Investment Fund
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Calvert Group
c/o NFDS
330 West 9th Street
Kansas City, MO 64105
Web Site
http://www.calvert.com
Principal Underwriter
Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
This report is intended to provide fund
information to shareholders. It is
not authorized for distribution to
prospective investors unless preceded or
accompanied by a prospectus.
Calvert Group's
Family of Funds
Tax-Exempt Money Market Funds
CTFR Money Market Portfolio
CTFR California Money Market Portfolio
Taxable Money Market Funds
First Government Money Market Fund
CSIF Money Market Portfolio
Balanced Fund
CSIF Balanced Portfolio
Municipal Funds
CTFR Limited-Term Portfolio
CTFR Long-Term Portfolio
CTFR Vermont Municipal Portfolio
National Muni. Intermediate Portfolio
California Muni. Intermediate Portfolio
Maryland Muni. Intermediate Portfolio
Virginia Muni. Intermediate Portfolio
Taxable Bond Funds
CSIF Bond Portfolio
Income Fund
Equity Funds
CSIF Managed Index Portfolio
CSIF Equity Portfolio
Capital Accumulation Fund
CWV International Equity Fund
New Vision Small Cap Fund
New Africa Fund
printed on recycled paper
using soy-based inks
<PAGE>
Table
of
Contents
President's Letter
1
Chairman's Letter
2
Portfolio
Manager Remarks
4
Report of Independent Accountants
18
Portfolio
of Investments
19
Statements
of Assets and Liabilities
39
Statements
of Operations
41
Statements
of Changes in
Net Assets
43
Notes to
Financial Statements
52
Financial Highlights
57
Y2K Update
69
Dear Shareholders:
1999 may be characterized as a year of
changing fortunes. We have witnessed a
strong recovery in the markets of Asia and
the Far East, while European markets have
enjoyed mixed blessings. At home, top
performing stocks were again concentrated by
capitalization range and industry group,
with large-capitalization companies,
technology, and internet stocks fueling the
advance. Other categories, such as small cap
stocks and health care stocks, have lagged
these advances.
We have seen a watchful Federal Reserve
raise interest rates in response to the
lessening of global liquidity concerns and
rising price pressures -- the latter being a
downside to the benefit of low unemployment.
On the whole, the current economic
environment is very positive, but in any
environment -- particularly one marked by
volatility such as today's -- investor
discipline is more important than ever. In
reviewing our recently redesigned Web site,
www.calvert.com, you will see that we now
offer more interactive information tools to
help you make the most informed decisions.
As always, we encourage you to make
decisions based on your financial objectives
and tolerance for risk. You should routinely
review your asset allocation to be sure you
are positioned at a comfortable risk level.
Your financial professional can suggest
strategies that keep you on track to meet
long-term financial objectives.
We appreciate your investment in Calvert
Group funds and look forward to helping you
meet your financial goals.
Sincerely,
Barbara J. Krumsiek
President and CEO
October 27, 1999
<PAGE>
Dear Investor:
The Fund has continued its leadership work
in humanizing capitalism this past fiscal
year through several different initiatives:
Indigenous Rights
Calvert Social Investment Fund is now the
first ever mutual fund to adopt a social
policy supporting the indigenous peoples of
North America -- and the first ever fund to
include an Indigenous Rights investment
screen in support of that policy. In
formulating our stance on Indigenous Rights,
we took a series of proactive steps over the
course of the past year. These included:
1)Providing testimony on the issue of nega
tive images and intellectual property rights
before the U.S. Patent and Trademark Office.
2)Hosting a half-day networking and strategy
roundtable with leaders from the Native
American community to discuss the use of
negative images surrounding Native
Americans.
3)Discussing our Indigenous Rights policy
with several apparel manufacturers and
retailers, including Federated Department
Stores, Liz Claiborne, Dayton
Hudson, and JC Penney.
We hope that these initiatives backed by
your support will help move this dialog into
the mainstream of public consciousness and
onto the desks of corporate America.
High Social Impact Investments
The Fund continues to help those who are
helping themselves through its High Social
Impact program, where one percent of the
Fund's money is invested at low rates to
further issues of social justice (and almost
no losses on more than 100 investments!).
It's helping people like Phyllis Sisco,
owner and operator of Unique Touch Hair
Salon. Ms. Sisco says she realized her dream
of owning her own business when she was laid
off at her old job after a two-month
illness. She had the knowledge and the
experience to run her own shop, but was
concerned about the financing. First State
Community Loan Fund (FSCLF) made it happen.
"Little by little I would take the loan and
money from my other job and buy things for
the business. And I got everything
together." Sisco acquired an empty space in
the City of Newark and has since then been
maintaining a successful business for
herself. In the last five years, FSCLF has
loaned $1.6 million to more than 500
entrepreneurs and
developers of affordable housing in
Delaware. The Fund is pleased to be able to
support this kind of work through its
investment in FSCLF.
Special Equities
The Fund recently made an investment of
$200,000 into Fran's Healthy Helpings -- A
Company Run by Moms. This private company
makes children's frozen meals that are both
nutritious and tasty. Small investments like
these are important in growing seedling
private companies that may later be able to
grow and contribute to the mainstream in a
way that also results in venture capital
returns to the Fund.
<PAGE>
Calvert Web & Working Women
Calvert has also expanded its Web site,
designing it to be even more user-friendly
to you, the shareholder. It also has a new
Web address, www.calvert.com. Importantly,
your Web site also provides public education
about socially responsible investing. A
complete list of equity portfolio holdings
for the Fund is now posted monthly on the
site -- a first in the mutual fund industry.
Two new screens were added to the "Know What
You Ownr" service: Individuals can now
determine whether their mutual funds invest
in firearms manufacturers or nuclear power
companies, as well as continue to find out
whether they own stock in tobacco companies.
Calvert Group continues to be an employer of
choice among today's professionals, and is
justly proud of its reputation as such
within the business and social communities
in which it operates. And once in a while
the word gets out to the national press,
too! Calvert was once again recognized by
Working Mother Magazine as one of the 100
Best Companies for Working Mothers for the
7th year in a row.
It has taken years to make social investing
a widely-accepted concept. With your help we
have taken strong efforts to build a model
program that has an impact that goes beyond
financial returns, and we expect to continue
to see
the practice grow. Thank you again for your
support.
Sincerely,
D. Wayne Silby,
Chairman
<PAGE>
Money Market Portfolio Statistics
September 30, 1999
Investment Performance
6 Months 12 Months
ended ended
9/30/999/30/99
Money
Market Portfolio 2.21% 4.54%
Lipper Money
Market Instrument
Funds Average 2.16% 4.41%
Maturity Schedule
Weighted Average
9/30/999/30/98
46 days36 days
Laurie
Webster
of CAlvert Asset Management Company
How did the Portfolio perform relative to
its benchmark?
For the past 12 months, the Portfolio
returned 4.54%, outperforming the Lipper
Money Market Instrument Funds average of
4.41%.
How has the tighter money stance by the Fed
affected the market?
This year, the markets have experienced a
complete turnaround of interest
rate expectations. Whereas last year, the
Fed was moving towards lowering rates, this
year the Fed has been cautiously watching
for any signs of inflation spurred by an
overheating economy. The series of interest
rate hikes and tightening bias announcements
have moved rates sharply higher in the short
end of the bond markets. Rapidly rising
rates in Japan and England, and a fast
growing US economy have also combined to
create market expectations of potential
inflation. Particularly in the second half
of the year, the Fed has been keeping a
diligent watch over rising employment
levels, rising stock prices
and a weakening dollar. Over the course on
the year they have increased the discount
rate once and the federal funds rate once.
In addition, they have adopted a tightening
bias, meaning they feel one or more rate
hikes may be needed soon to keep inflation
under control.
Yields on Treasury bills have not moved as
much as on money market instruments because
of the reduction in treasury financing
needs. This, combined with year-end
concerns, could keep money market and
treasury supply low for the remainder of the
year.
<PAGE>
The Portfolio started the year with an
average maturity of close to 40 days. In
anticipation of rising rates, we shortened
the Portfolio to 30 days by the
middle of February 1999. As rates moved
higher throughout the start of 1999, the
Portfolio purchased higher yielding
securities, thereby extending the maturity
to 50 days. The Portfolio continues to
invest in many taxable municipal floating
rate instruments that will reset at higher
levels as interest rates move higher.
What is your outlook for the coming year?
We expect the Fed to continue to carefully
monitor the economy for any signs of
inflation. Concerns over very low
unemployment and rising wage inflation have
fueled the fires for still higher rates.
Coupled with a weakening dollar, strong
consumption, and housing demand, the market
appears poised for higher rates. Most market
participants are looking toward at least one
more rate increases in late 1999 or early
2000.
We will continue to structure the Portfolio
with high liquidity as the year-end
approaches so that we may take advantage of
any additional Fed moves that would raise
rates and create a buying opportunity.
October 27, 1999
Money Market Portfolio Statistics
September 30, 1999
Average Annual Total Returns
as of 9/30/99
One year 4.54%
Five year 4.89%
Ten year 4.81%
Since inception 6.10%
(10/21/82)
Total return assumes reinvestment of
dividends. Past performance is no guarantee
of future results.
<PAGE>
Balanced Portfolio Statistics
September 30, 1999
Investment Performance
6 Months12 Months
ended ended
9/30/999/30/99
Class A (2.70%)
11.52%
Class B (3.24%)
10.15%
Class C (3.17%)
10.43%
Class I (2.45%)
N/A
Lehman Aggregate
Bond Index TR (0.21%)(0.37%)
S&P 500 Index
Mthly. Reinvested 0.37% 27.79%
Lipper Balanced
Funds Average (0.15%) 12.55%
Ten Largest Long-Term Holdings
% of Net Assets
Microsoft Corp. 2.58%
Skandinaviska Enskilda Banken,
6.50%, 12/29/49 2.13%
EMC Corp. 1.90%
International Business
Machines Corp. 1.85%
Illinois Tool Works, Inc. 1.52%
BMC Software, Inc. 1.51%
Lucent Technologies, Inc. 1.47%
Sun Microsystems, Inc.1.42%
MCI Worldcom, Inc. 1.40%
Tellabs, Inc. 1.38%
Total 17.16%
Investment performance does not reflect the
deduction of any front-end or deferred sales
charge. TR represents total return.
Source: Lipper Analytical Services, Inc.
New subadvisors assumed management of the
equity portion of the Portfolio effective
July 1995.
CAMCO
Vice President
of Equities, John Nichols
How did the Portfolio perform?
As a whole the CSIF Balanced Portfolio's
Class A shares performed a respectable
11.52% for the 12 months ending September
30, 1999, trailing only slightly the Lipper
Balanced Funds Average at 12.55%.
What was the strategy for the fixed income
portion of the Portfolio?
Because of the prevailing wide levels of
spreads of non-government bonds, Calvert
Asset Management Company, Inc. (CAMCO) was
overweighted in most corporate, agency, and
asset-backed securities. We have avoided
mortgages because of volatility concerns.
And with high-grade yields now available in
the investment grade market, we have been
reluctant to pursue even higher yields in
the below-investment grade bonds. We have
been overweighted in BBB corporate bonds and
higher grade bonds such as agencies. We have
been underweighted in mortgages, which we
feel are relatively rich.
What strategies were utilized by the equity
managers?
Brown Capital Management
BCM's management strategy is time-tested and
has been effective in
producing competitive long-term investment
returns, regardless of the interest
environment. We attribute underperformance
to the S&P 500 benchmark to two factors:
First, poor stock selection, particularly in
Consumer Cyclicals
and Consumer Staples, where stock
underperformed already depressed sector
performance; and second, our lack of
exposure to the energy sector, which along
with technology,
<PAGE>
performed very strongly indeed, especially
in the third quarter. Some of the worst
performing industry groups in the S&P 500
Index included pollution control,
manufactured housing, and product
distributors.
NCM Capital Management Group, Inc.
Much like 1998, large capitalized growth
stocks dominated the market's performance
over the past twelve months, outperforming
value stocks by a large margin. As in 1998,
the technology sector was the primary
driving force behind the market's stellar
performance, and we at NCM had success in
our decision to overweight the technology
sector. We also experienced good selection
in Basic Materials, Consumer Cyclicals, and
by underweighting Financials. We did less
well with selected stocks in Consumer
Staples, a
sector that appears plagued by some macro-
economic issues that may persist for the
next 6 to 8 months.
What is your outlook for the fixed income
side of the Portfolio in the year ahead?
With Y2K concerns and fears of inflation, we
do not anticipate any major
rally in spreads over the next 6 months, and
we expect a hearty supply of new issues
especially in the first quarter of 2000 to
put pressure on spreads. However, it is our
feeling that at current wide levels an
investor is well compensated for bearing the
risk of potential declining technicals.
Balanced Portfolio Statistics
September 30, 1999
Average Annual Total Returns
Class A Shares
as of 9/30/99
One year 6.22%
Five year 12.25%
Ten year 9.17%
Since inception 11.23%
(10/21/82)
Class B Shares
as of 9/30/99
One year 5.15%
Since inception (0.31%)
(4/1/98)
Class C Shares
as of 9/30/99
One year 10.40%
Five year 12.07%
Since inception 9.96%
(3/1/94)
Class I Shares
as of 9/30/99
Since inception .52%
(3/1/99)
Performance Comparison
Comparison of change in value of $10,000
investment. (Source: Lipper Analytical
Services, Inc.)
INSERT LINE GRAPH HERE
Total returns assume reinvestment of
dividends and reflect the deduction of the
Fund's maximum front-end or deferred sales
charge. No sales charge has been applied to
the index used for comparison. Past
performance is no guarantee of future
results.The value of an investment in Class
A shares is plotted in the line graph. The
value of an investment in another class of
shares would be different.
<PAGE>
Balanced Portfolio Statistics
September 30, 1999
Asset Allocation
Stocks 56%
Bonds 41%
Cash & Cash Equivalents 3%
100%
Portfolio Characteristics
(Equity holdings, excluding Special Equiti
es)
CSIF S&P
Balanced 500
Portfolio index
Number of Stocks 77 500
Median Market
Capitalization ($bil) 41.56 65.35
(by portfolio weight)
Price/Earnings
Ratio 34.59
29.86
Earnings Per Share
Growth 25.2%
16.83%
Yield 0.63%
1.29%
(return on capital investment)
Volatility Measures
CSIF S&P
Balanced 500
Portfolio* index
Beta1 1.11
1.00
R-Squared2 0.93
1.00
* Equity Portion of Portfolio
1Measure of volatility compared to the S&P
500 Stock Index (S&P 500) beta of 1. The
higher the beta, the higher the risk and
potential reward.
2Measure of correlation between the fund's
returns and the overall market's (S&P 500)
returns. An R-Squared of 0 would mean no
correlation, an R-Squared of 1 would mean
total correlation.
Source: Vestek
And the outlook for equities?
On the equities side, NCM believes there is
a unique opportunity to purchase some high
quality names at reasonable prices. In a
climate of decelerating growth, high quality
consistent growth companies should begin to
look more attractive to investors. They also
believe valuations in the Financial Services
sector are enticing, and that Healthcare,
Consumer Cyclicals, and Staples should also
begin to show positive relative earnings
growth by the second half of 2000.
BCM reports that they are restructuring the
portfolio to maintain an appropriate level
of diversification and also broaden economic
sector
exposure -- and in view of the relative
attractiveness of mid cap stocks
relative to large cap stock, are structuring
the portfolio to maintain some mid cap stock
exposure. They expect the market to continue
to exhibit volatility
as it discounts Fed expectations, earnings
expectations, interest rate expectations,
and global economic expectations -- but
believe their investment process will
produce superior returns regardless of the
environment.
October 27, 1999
<PAGE>
Greg Habeeb
of Calvert Asset Management Company
How did the Portfolio perform relative to
its peer group?
Our active management style resulted in the
CSIF Bond Portfolio's Class A shares
significantly outpacing both the Lipper
Corporate Debt Funds A rated average and the
Lehman Aggregate Bond Index by over 100
basis points. In the Lipper Corporate Debt
Funds A-Rated category, the Portfolio ranked
sixth of 161 funds for the one year period
ended September 30, 1999.
What were the driving forces in the credit
markets?
Treasury yields rose significantly over the
last 12 months (from 125 to 200 basis points
across the yield curve) due to two factors:
First, as fears of a global economic crisis
lessened, the flight to quality reversed
itself and treasury prices dropped
dramatically; second, fears of inflation
resurfaced, led by rising commodity prices
(oil and gold in particular).
Credit markets rallied significantly for the
first half of the last year as
investors became less fearful of holding non-
Treasury bonds, especially since the yield
spreads between such bonds and Treasuries
had widened to levels
not seen for 10 years. The appetite for such
bonds created a frenzy of issuance that
lasted through July. In addition, Y2K fears
encouraged issuers to borrow earlier in the
year rather than later. Amazingly, this
issuance was readily absorbed by an investor
marketplace fond of the much higher coupons
now available.
One last observation is that credit spreads
recovered about 40% to 60% of the spread
widening that occurred during last year's
Bond Portfolio Statistics
September 30, 1999
Investment Performance
6 Months12 Months
ended ended
9/30/999/30/99
Class A 0.32%
1.18%
Class B (0.36%)
(0.29%)
Class C (0.43%)
(0.40%)
Lehman Aggregate
Bond Index TR (0.21%)(0.37%)
Lipper Corporate
Debt Funds
A-Rated Average (1.26%)(2.21%)
Maturity Schedule
Weighted Average
9/30/999/30/98
17 years13 years
SEC Yields
30 days ended
9/30/999/30/98
Class A 6.07%
5.56%
Class B 4.90%
4.33%
Class C 4.90%
4.36%
Portfolio Quality Structure
AAA 22%
AA 9%
A 35%
BBB 30%
BB 4%
B --
NR --
Cash & Cash Equivalents --
100%
Investment performance does not reflect the
deduction of any front-end or deferred sales
charge.
TR represents total return.
Source: Lipper Analytical Services, Inc.
<PAGE>
Bond Portfolio
Statistics
September 30, 1999
Average Annual Total Returns
Class A Shares
as of 9/30/99
One year (2.63%)
Five year 6.32%
Ten year 7.13%
Since inception 7.70%
(8/24/87)
Class B Shares
as of 9/30/99
One year (4.21%)
Since inception (0.58%)
(4/1/98)
Class C Shares
as of 9/30/99
One year (0.33%)
Since inception 1.15%
(6/1/98)
Performance Comparison
Comparison of change in value of $10,000
investment. (Source: Lipper Analytical
Services, Inc.)
INSERT LINE GRAPH HERE
Total returns assume reinvestment of
dividends and reflect the deduction of the
Fund's maximum front-end or deferred sales
charge. No sales charge has been applied to
the index used for comparison. Past
performance is no guarantee of future
results. The value of an investment in Class
A shares is plotted in the line graph. The
value of an investment in another class of
shares would be different.
global crisis. Most of this recovery took
place through April. Since April spreads
have stabilized at levels much wider than
those that existed from 1992-1997.
What was your strategy?
Because of the prevailing wide levels of
spreads of non-government bonds,
we have been overweighted in most corporate,
agency, and asset-backed securities. We have
avoided mortgages because of volatility
concerns. And with high-grade yields now
available in the investment grade market, we
have been reluctant to pursue even higher
yields in the below-investment bonds.
We have been overweighted in BBB corporate
bonds and higher grade bonds such as
agencies. We have been underweighted in
mortgages, which we feel are relatively
rich.
What should investors expect in the coming
months?
With Y2K concerns and fears of inflation, we
do not anticipate any major
rally in spreads over the next 6 months. We
expect a hearty supply of new issues
especially in the first quarter of 2000 to
put pressure on spreads. However, it is our
feeling that at current wide levels an
investor is well compensated for bearing the
risk of potential declining technicals.
October 27, 1999
<PAGE>
Dan Boone
of atlanta capital
management
How did the Portfolio perform?
It has been an exciting first year for
Atlanta Capital as your investment sub-
advisor. We are pleased that the Portfolio
has gotten off to a good start, with Class A
shares total return of 32.98% as compared
with our benchmark, the S&P 500 Index, of
27.79%.
How are global economic and market events
shaping economic and market events in the
U.S.?
The general market environment has been
favorable to the Portfolio's performance,
despite many economic and market
crosscurrents. Partly, the strong returns
reflect the relatively low starting point,
as the market one year ago was in the midst
of adjusting to the Russian default and the
implosion of some large, overly-leveraged
derivative-based hedge funds. To contain the
financial crises, the Federal Reserve
repeatedly lowered the Federal Funds rate,
reversing the slide in stock prices and
generating a strong rebound in consumer
spending. Demand for imported goods in turn
stabilized Asian economies, and as prospects
for continued economic growth at very low
inflation rates became evident, the stock
market surged to new highs.
How has the tighter money stance by the Fed
affected markets?
The rising market continued for nine months,
until the Federal Reserve began reigning in
the liquidity during the second quarter. The
Fed is concerned that the domestic economy
has been growing too fast, but has been
constrained from acting too aggressively
because the core inflation rate has remained
benign. Nevertheless, short-term rates were
raised twice and the current
Equity
Portfolio Statistics
September 30, 1999
Investment Performance
6 Months12 Months
ended ended
9/30/999/30/99
Class A (2.38%)
32.98%
Class B (2.92%)
31.37%
Class C (2.84%)
31.66%
S&P 500 Index
Mthly. Reinvested 0.37% 27.79%
Lipper Growth
Funds Average 1.45% 30.34%
Ten Largest Stock Holdings
% of Net Assets
Sun Microsystems, Inc. 4.52%
Scientific Atlanta, Inc. 3.35%
Cisco Systems, Inc. 3.33%
Hewlett Packard Co. 2.98%
Nalco Chemical Co. 2.88%
Electronic Data Systems Corp. 2.86%
Intel Corp. 2.81%
Tyco Int'l, Ltd. 2.79%
EOG Resources, Inc. 2.75%
ABM Industries, Inc. 2.74%
Total 31.01%
Investment performance does not reflect the
deduction of any front-end or deferred sales
charge.
Source: Lipper Analytical Services, Inc.
New subadvisor assumed management of the
Portfolio effective September 1998
<PAGE>
Equity
Portfolio Statistics
September 30, 1999
Average Annual Total Returns
Class A Shares
as of 9/30/99
One year 26.92%
Five year 12.97%
Ten year
8.28%
Since inception 8.70%
(8/24/87)
Class B Shares
as of 9/30/99
One year 26.56%
Since inception (1.79%)
(4/1/98)
Class C Shares
as of 9/30/99
One year 31.80%
Five year 12.76%
Since inception 9.33%
(3/1/94)
Performance Comparison
Comparison of change in value of $10,000
investment. (Source: Lipper Analytical
Services, Inc.)
INSERT LINE GRAPH HERE
Total returns assume reinvestment of
dividends and reflect the deduction of the
Fund's maximum front-end or deferred sales
charge. No sales charge has been applied to
the index used for comparison. Past
performance is no guarantee of future
results. The value of an investment in Class
A shares is plotted in the line graph.The
value of an investment in another class of
shares would be different.
bias is for more tightening. This caused
interest rates to rise and the stock market
to decline in the third quarter of this
year.
Where does the market go from here?
The recent rise in stock prices has not been
broad based, particularly in calendar 1999.
In fact, all of the gain in the market
averages since January has come from just
one sector, technology, the only sector to
show an increase during the third quarter.
This degree of concentration on a single
sector has
not occurred since the 1979 - 1980 focus on
the energy stocks.
Our first investment discipline at Atlanta
Capital is to only invest in high-quality
companies with ten-year financial histories
of consistent earnings and dividend growth,
and we have found a large number of
profitable companies that meet both our
financial criteria as well as Calvert's
socially responsible criteria.
Overall, our outperformance for the year was
provided by stock selection in Basic
Materials and Capital Goods and by
sector/theme weightings helped by avoiding
underperforming sectors of the market, i.e.
utilities, consumer staples, energy, and
financials. Our major disappointment, sector
wise, was our overweighting in
pharmaceutical companies within healthcare,
which rose less than 3% over the twelve
months.
What, then, is your market outlook for the
coming year?
We expect favorable factors such as rising
productivity, low core inflation,
and earnings growth to prevail. If the
Federal Reserve is to keep its hands off the
monetary brakes, the economy must slow to a
more sustainable growth rate. There again,
if growth is too strong, and inflation
begins to rise, the Federal Reserve will
raise interest rates and the correction in
the stock market will be
<PAGE>
increased in both depth and length. We
believe that this will not be the case.
Slower economic growth and rising
productivity will keep inflation in check,
and this should lead to lower interest rates
in 2000 and a modest rise in stock prices.
Following our normal disciplines, we
continue to harvest some of the profits from
our big winners and recycle them into stocks
with strong earnings prospects in 2000 and
2001, but with better valuations. This
includes some of the currently less popular
consumer companies with a significant
international presence. We believe the
international economic recovery is real,
especially in Asia and Japan, and we
invested accordingly.
In summary, we are cautious about the near-
term outlook for the market with the
prospect that the Fed may raise short-term
rates, but positive on the one-
to two-year outlook as we believe inflation
will be contained and earnings
will grow. The Portfolio's combination of
high-quality companies with above-average
growth at valuations equal to the broad
market position us well for both offense and
defense in the markets to come.
We appreciate the confidence expressed by
your investment in the Portfolio. We have
our eyes on the long term. Our belief is
that we can add substantial value by
investing in high-quality socially-
responsible growth companies,
and will keep you fully informed about our
short and long-term progress towards this
goal.
October 27, 1999
Equity Portfolio Statistics
September 30, 1999
Asset Allocation
Stocks 95%
Notes 1%
Cash & Cash Equivalents 4%
100%
Portfolio Characteristics
CSIF S&P
Equity 500
Portfolio index
Number of Stocks 48 500
Median Market
Capitalization ($bil)11.13 65.35
(by portfolio weight)
Price/Earnings
Ratio 29.32 29.86
Earnings Per Share
Growth 17.78%
16.83%
Yield 0.86% 1.29%
(return on capital investment)
Volatility Measures
CSIFS&P
Equity 500
Portfolio index
Beta1 1.01 1.00
R-Squared2 0.82 1.00
1Measure of volatility compared to the S&P
500 Stock Index (S&P 500) beta of 1. The
higher the beta, the higher the risk and
potential reward.
2Measure of correlation between the fund's
returns and the overall market's (S&P 500)
returns. An R-Squared of 0 would mean no
correlation, an R-Squared of 1 would mean
total correlation.
Source: Vestek
<PAGE>
Managed Index
Portfolio Statistics
September 30, 1999
Investment Performance
6 Months12 Months
ended ended
9/30/999/30/99
Class A 0.12%
24.68%
Class B (0.54%)
23.00%
Class C (0.54%)
22.93%
Class I 0.36%
25.09%
Russell 1000
Index 0.05% 26.97%
Lipper Growth
Funds Average 1.45% 30.34%
Investment performance does not reflect the
deduction of any front-end or deferred sales
charge.
Source: Lipper Analytical Services, Inc.
Asset Allocation
Stocks 99%
Cash & Cash Equivalents 1%
Total 100%
Ted Gekas of State Street Global Advisors
How did the Portfolio perform compared to
its benchmark?
The Managed Index Portfolio A shares rose
24.68% for the year ending September 30,
1999, versus 26.97% for the Russell 1000
Index. While the Portfolio tracked the index
closely at the end of 1998, it
underperformed the index by 2% during the
first quarter. A portion of this
underperformance was due to a slight
downward bias in the market cap exposure.
Large cap stocks handily outpaced smaller
caps in the first quarter so any mismatch in
the size profile was punished.
Major risk factors (size, growth, value,
etc.) have had little impact on the
net performance, since the Portfolio has
very little "active" exposure to these
factors. The Portfolio does have marginal
industry and sector exposures. The
Portfolio's underweight in the Basic
Materials sector combined with an overweight
in Health Care impeded the performance
during the second quarter. During the third
quarter, the Portfolio benefited from a
slight overweight to the computer software
industry and an underweight to defense and
aerospace. Much of this was offset as the
Portfolio maintained a strong exposure to
the financial sector which declined over 15%
during the same period on fears of tighter
monetary policy.
Market Environment
The U.S. equity market turned in a solid, if
uneven, performance for the year ending
September 30, 1999. During this time period
large cap stocks outperformed smaller cap
stocks as the Russell 1000 Index rose 26.97%
versus 19.07% for the small cap Russell 2000
Index. Most of the positive
<PAGE>
performance of the equity market can be
attributed to the fourth quarter of 1998,
when the Russell 1000 Index rose 21.9%.
Stocks benefited in the fourth quarter after
the Fed pushed short-term interest rates
lower, helping to allay concerns over the
emerging market crisis.
The story of 1999 has been quite different.
Market participants are now focused on
continued economic strength in the U.S.,
buoyed by strong consumer spending and a
reinvigorated manufacturing sector. In fact,
robust growth in the U.S. has rekindled
fears of wage and price inflation, helping
to push long-term interest rates up over 100
basis points and leading the Fed to raise
the Fed Funds rate 50 basis points over the
past three months.
These fears help explain the less-than-
impressive performance of the U.S. equity
market this year. From January through
September, the Russell 1000 Index rose
4.18%, while the Russell 2000 Index is up
2.37%.
How has the tighter money stance by the Fed
affected markets and the portfolio in the
quarter?
The Federal Reserve pushed the Fed Funds
rate up 25 basis points on June 30, and
again on August 24, citing brisk economic
growth and an easing of financial strains
caused by last year's emerging market
crisis. Today, the
target rate stands at 5.25%, while the
discount rate is at 4.75%. In response to
tighter Fed policy, commercial banks raised
the prime rate, which now stands at 8.25%.
The Fed refrained from raising rates at the
FOMC meeting on October 5, but moved their
policy stance toward a tightening bias. They
meet again on November 16.
The U.S. equity market has struggled in the
aftermath of these rate hikes. The Russell
1000 Index fell 6.60% during the
Managed Index
Portfolio Statistics
September 30, 1999
Average Annual Total Returns
Class A Shares
as of 9/30/99
One year 18.89%
Since inception 4.86%
(4/15/98)
Class B Shares
as of 9/30/99
One year 18.00%
Since inception 3.75%
(4/15/98)
Class C Shares
as of 9/30/99
One year 22.93%
Since inception 10.65%
(6/1/98)
Class I Shares
as of 9/30/99
One year 25.09%
Since inception 8.66%
(4/15/98)
Performance Comparison
Comparison of change in value of $10,000
investment. (Source: Lipper Analytical
Services, Inc.)
INSERT LINE GRAPH HERE
Total returns assume reinvestment of
dividends and reflect the deduction of the
Fund's maximum front-end or deferred sales
charge. No sales charge has been applied to
the index used for comparison. Past
performance is no guarantee of future
results. The value of an investment in Class
A, B and I shares is plotted in the line
graph.The value of an investment in another
class of shares would be different.
<PAGE>
Managed Index
Portfolio Statistics
September 30, 1999
Ten Largest Stock Holdings
% of Net Assets
Microsoft Corp. 3.94%
Intel Corp. 3.14%
International Business
Machines Corp. 2.92%
Cisco Systems, Inc. 2.67%
Lucent Technologies, Inc. 2.50%
Merck & Co., Inc. 2.39%
Johnson & Johnson 2.26%
Pfizer, Inc. 1.99%
Bellsouth Corp. 1.97%
American Int'l Group, Inc. 1.92%
Total 25.70%
third quarter. Every major economic sector
except technology declined during the
quarter. Interest-rate sensitive financial
stocks were hardest hit, falling
over 15% since the first Fed rate hike.
Somewhat surprisingly, growth stocks managed
to beat value stocks during the quarter
despite tighter Fed policy. Technology
stocks were less impacted by the higher
rates as strong PC demand pushed prices up
for chipmakers and software related
securities.
Where does the Fed go from here?
The Fed must sort out whether those who
espouse the philosophy that
stronger economic activity leads to higher
wages and inflation are correct or whether
supply-siders and advocates of the "new
economy" (growth does not cause inflation)
will win the day. Fed Chairman Greenspan
himself is unsure which side has the correct
model of the economy, and is buying time,
waiting for more information before he acts
again.
The consensus is that GDP will accelerate
from the second quarter's anemic 1.6%
annualized rate to a more robust 4% growth
rate. Given this expectation and the Fed's
tightening bias, it is likely that they will
act one more time to raise rates. This would
complete the unwinding of the three Fed
easings in 1998 in response to the emerging
market crisis.
<PAGE>
A year after the latest emerging markets
blow up, how are global economic and market
events shaping events in the U.S. economy
and markets?
Emerging markets have roared back this year
after last year's abysmal performance. 1998
was plagued by Brazil's overvalued currency,
Malaysian capital controls, Russia's
financial crisis, and threat of worldwide
recession.
This year we've seen a surge in liquidity,
with more than 150 central bank
cuts worldwide over the past 12 months. Asia
has been the top region in the world with
many of its markets rising over 50% since
the end of August 31, 1998. Russia has also
bounced back, rising over 70% during this
same time period. Developed economies have
also shown improvement.
Stronger growth abroad and more sanguine
financial markets help remove an additional
obstacle to Fed tightening. Stronger global
growth may eventually be felt at home by a
healthier demand for our exports. On the
margin, this
may push the Fed toward a tighter monetary
policy going forward.
October 27, 1999
Managed Index
Portfolio Statistics
September 30, 1999
Portfolio Characteristics
CSIFRussell
Managed Index 1000
Portfolio index
Number of Stocks 196 989
Median Market
Capitalization ($bil)29.17 54.23
(by portfolio weight)
Price/Earnings
Ratio 27.49 29.13
Earnings Per Share
Growth 20.36% 16.97%
Yield 1.34% 1.33%
(return on capital investment)
Volatility Measures
CSIF Russell
Managed Index 1000
Portfolio index
Beta1 1.03 1.00
R-Squared2 0.97 0.99
1Measure of volatility compared to the S&P
500 Stock Index (S&P 500) beta of 1. The
higher the beta, the higher the risk and
potential reward.
2Measure of correlation between the fund's
returns and the overall market's (S&P 500)
returns. An R-Squared of 0 would mean no
correlation, an R-Squared of 1 would mean
total correlation.
Source: Vestek
<PAGE>
Report of Independent Accountants
To the Board of Trustees and Shareholders of
Calvert Social Investment Fund:
In our opinion, the accompanying statements
of assets and liabilities,
including the schedules of investments, and
the related statements of operations, the
statements of changes in net assets and the
financial highlights present fairly, in all
material respects, the financial position of
Calvert Social Investment Fund (comprised of
the Money Market, Balanced, Bond, Equity,
and Managed Index Portfolios, hereafter
referred to as the "Funds"), at September
30, 1999, and the results of each of their
operations, the changes in each of their net
assets and the financial highlights for each
of the periods presented, in conformity with
accounting principles generally accepted in
the United States. These financial
statements and the financial highlights
(hereafter referred to as "financial
statements") are the responsibility of the
Funds' management; our responsibility is to
express an opinion on these financial
statements based on our audits. We conducted
our audits of these financial statements in
accordance with auditing standards generally
accepted in the United States, which require
that we plan and perform the audit to obtain
reasonable assurance about whether the
financial statements are free of material
misstatement. An audit includes examining,
on a test basis, evidence supporting the
amounts and disclosures in the financial
statements, assessing the accounting
principles used and significant estimates
made by management, and evaluating the
overall financial statement presentation. We
believe that our audits, which included
confirmation of securities at September 30,
1999
by correspondence with custodians and
brokers, provide a reasonable basis
for the opinion expressed above.
PricewaterhouseCoopers LLP
Baltimore, Maryland
November 10, 1999
<PAGE>
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
September 30, 1999
U.S. Government Agency Principal
Obligations - 12.2% Amount Value
Federal Home Loan Bank, 4.79%, 2/4/00
$6,000,000 $5,994,945
Federal Home Loan Bank, 4.98%, 4/14/00
2,000,000 1,999,786
Federal Home Loan Bank, 5.24%, 6/2/00
5,000,000 4,821,694
Federal National Mortgage Assn., 5.79%,
10/12/99
6,000,000 6,001,586
Federal National Mortgage Assn., 5.40%,
2/2/00
5,000,000 4,907,000
Total U.S. Government Agency Obligations
(Cost $23,725,011)
23,725,011
Depository Receipts For U.S. Government
Guaranteed Loans - 6.0%
Colson Services Corporation Loan Sets:
6.875%, 9/9/06 (v)(+) 171,129 171,902
6.59375%, 4/26/09 (v)(+) 227,537
228,143
8.09375%, 1/17/10 (v)(+) 55,869
57,086
6.84375%, 7/26/10 (v)(+) 348,019
349,017
7.00%, 1/22/11 (v)(+) 749,211 749,211
7.25%, 3/23/12 (v)(+) 648,402 657,331
7.125%, 5/29/12 (v)(+) 1,665,696 1,682,280
7.00%, 8/10/12 (v)(+) 5,519,945 5,577,348
6.75%, 9/2/12 (v)(+) 2,045,027 2,065,757
Total Depository Receipts for U.S.
Government
Guaranteed Loans (Cost $11,538,075)
11,538,075
Variable Rate Loans Guaranteed By
Agencies Of The U.S. Government - 1.2%
Loan pools:
5.75%, 3/1/07 (+) 775,745 773,591
6.75%, 8/15/12 (+) 1,511,573 1,516,042
Total Variable Rate Loans Guaranteed by
Agencies of the
U.S. Government (Cost $2,289,633)
2,289,633
Certificates Of Deposit - 2.2%
Bank of Cherokee County, 4.70%, 4/22/00 (^)
100,000 100,000
Broadway Federal Savings & Loan, 4.50%,
9/14/00 (^)
100,000 100,000
Community Bank of the Bay, 4.45%, 10/7/99
(^) 100,000 100,000
Community Capital Bank, 4.15%, 1/20/00 (^)
100,000 100,000
Elk Horn Bank & Trust, 5.34%, 12/18/99 (^)
100,000 100,000
Family Savings Bank, 4.50%, 8/23/00 (^)
100,000 100,000
Founders National Bank, 4.90%, 8/28/00 (^)
100,000 100,000
NOW Bank of Boston, 4.40%, 4/22/00 (^)
100,000 100,000
Royal Bank of Canada, 5.12%, 3/22/00
3,000,000 2,999,591
Seaway National Bank Chicago, IL, 4.40%,
1/27/00 (^)
100,000 100,000
<PAGE>
Principal
Certificates Of Deposit - Cont'd
Amount Value
Self Help Credit Union, 4.98%, 7/15/00 (^)
$100,000 $100,000
South Shore Bank:
4.50%, 10/30/99 (^) 100,000 100,000
4.50%, 12/18/99 100,000 100,000
Total Certificates of Deposit (Cost
$4,199,591) 4,199,591
Commercial Paper - 3.0%
Jefferson Pilot Corp., 5.41%, 2/14/00
3,000,000 2,938,687
Island Finance Puerto Rico, 5.41%, 1/18/00
3,000,000 2,950,859
Total Commercial Paper (Cost $5,889,546)
5,889,546
Corporate Taxable Notes - 11.4%
Abbey National Treasury Services, 5.22%,
5/11/00
5,000,000 4,976,961
Associates Corp. North America, 6.75%,
10/15/99
1,000,000 1,000,453
John Deere Capital Corp., 6.20%, 7/14/00
4,000,000 4,015,157
First Chicago NDB Corp., 6.25%, 7/21/00
2,275,000 2,283,643
Norwest Bank Medium Term Notes, 6.05%,
11/19/99
5,000,000 5,006,775
Star Banc Corp., 6.97%, 5/1/00 4,875,000
4,897,880
Total Corporate Taxable Notes (Cost
$22,180,869) 22,180,869
Taxable Variable Rate Demand Notes - 60.3%
ABAG Financing Authority for Nonprofit Corp.
CA
COPs VRDN, 5.50%, 10/1/27,
LOC: Banque National de Paris 3,668,000
3,668,000
Alabama St. Industrial Development Authority
VRDN,
5.45%, 12/1/19, LOC: Nationsbank
5,540,000 5,540,000
Alabama St. Industrial Development Authority
VRDN,
5.45%, 5/1/10, LOC: Regions Bank
115,000 115,000
Aspen Institute, Inc. VRDN, 6.18%, 12/1/04,
LOC: Allfirst, N.A. 510,000 510,000
Barton Healthcare LLC VRDN, 5.43%, 2/15/25,
LOC: American National Bank & Trust
5,430,000 5,430,000
Berks County PA Industrial Development
Authority Revenue
VRDN, 5.50%, 6/1/15, LOC: First Union
National Bank
2,055,000 2,055,000
Betters Group LP VRDN, 5.45%, 2/1/12, LOC:
Century National
Bank & Trust, Confirming LOC: Mellon Bank
2,090,000 2,090,000
California Housing Finance Agency VRDN,
5.70%, 8/1/31
(Mandatory Put Tender on 8/1/2000)
6,600,000 6,600,000
California Statewide Community Development
VRDN,
5.65%, 7/1/27, Confirming LOC: Calsterns,
LOC: Sanwa Bank California 65,000
65,000
Chicago IL General Obligations VRDN, 5.43%,
1/1/19,
BPA: LaSalle Bank, INSUR: FGIC
9,300,000 9,300,000
Cloquet MN Industrial Facilities Revenue
VRDN, 5.43%, 4/1/00,
LOC: Wachovia Bank & Trust 4,400,000
4,400,000
Colorado Health Facilities Authority VRDN,
4.85%, 11/1/26,
LOC: Kredietbank 5,000,000 5,000,000
<PAGE>
Taxable Variable Rate Principal
Demand Notes - Cont'd Amount Value
Episcopal Health Services, Inc. VRDN, 5.50%,
3/1/28,
LOC: Banque Paribas $2,585,000 $2,585
,000
Fairview Hospital & Healthcare Services
VRDN, 5.35%, 11/1/15,
BPA: U.S. Bank N.A., INSUR: MBIA
5,000,000 5,000,000
Health Midwest Ventures Group VRDN, 5.43%,
8/1/19,
LOC: Bank of America 2,900,000 2,900,000
Healthtrack Sports & Wellness VRDN, 5.43%,
2/15/27,
LOC: American National Bank & Trust
2,900,000 2,900,000
IPC Industries, Inc. VRDN, 5.45%, 10/1/11,
LOC: National Bank of Canada 3,435,000
3,435,000
La Miranda CA Industrial Development
Authority VRDN,
5.43%, 12/1/26, LOC: First National Bank
of Chicago
3,750,000 3,750,000
Maryland State Health High Educational
Facilities VRDN,
5.45%, 7/1/29, LOC: First Union Bank, NC
2,500,000 2,500,000
Memphis Center Finance Corp. MFH Revenue
VRDN, 5.73%, 11/1/23, LOC: National Bank
of Commerce TN
190,000 190,000
Meriter Hospital, Inc. VRDN, 5.45%, 12/1/16,
LOC: Firstar Bank, Milwaukee 7,875,000
7,875,000
Montgomery County Cancer Center LLC VRDN,
5.45%, 10/1/12,
LOC: Southtrust Bank of Alabama
130,000 130,000
Montgomery County KY Industrial Building
Revenue VRDN,
5.45%, 8/1/06, LOC: Fleet Bank
1,661,000 1,661,000
Nevada Housing Division Cheyenne MFH VRDN,
5.38%, 4/1/31,
LOC: East-West Bank, Confirming LOC: FHLB
1,920,000 1,920,000
Nevada Housing Division Hilltop MFH VRDN,
5.38%, 4/1/31,
LOC: East-West Bank, Confirming LOC: FHLB
570,000 570,000
Nevada Housing Division Stewart MFH VRDN,
5.38%, 4/1/31,
LOC: East-West Bank, Confirming LOC: FHLB
585,000 585,000
Nevada Housing Division VRDN, 5.38%,
10/1/30,
LOC: U.S. Bank, N.A. 2,050,000 2,050,000
New Hampshire State Business Financial
Authority Revenue
VRDN, 5.50%, 6/1/28, LOC: Fleet Bank2,00
0,000 2,000,000
Pasadena CA COPs VRDN, 5.43%, 11/1/12,
LOC: Canadian Imperial Bank 5,000,000
5,000,000
Pleasant Hill CA Redevelopment Agency VRDN,
5.80%, 8/1/26,
LOC: Heller Financial, Confirming LOC:
Commerze Bank, AG
5,000 5,000
Portage Industrial Pollution Control Revenue
VRDN, 6.00%, 5/1/18,
LOC: Bank of Tokyo Mitsubishi 5,150,000
5,150,000
San Jose Financing Authority Revenue VRDN,
5.35%, 12/1/25,
BPA: Bank of Nova Scotia, INSUR: AMBAC
1,000,000 1,000,000
South Central Communications Corp. VRDN,
5.43%, 6/1/13,
LOC: Citizens National Bank of Evansville,
Confirming LOC: Suntrust Bank 3,950,000
3,950,000
St Josephs County MFH VRDN, 5.83%, 6/1/27,
LOC: FHLB - Indianapolis 400,000
400,000
St. Paul MN Port Authority Industrial
Revenue VRDN,
5.55%, 6/1/11, LOC: U.S. Bank, N.A.
755,000 755,000
Texas St., Texas Veterans Land VRDN, 5.405%,
12/1/27,
TOA: Citibank 8,616,000 8,616,000
Virginia State Housing Development Authority
VRDN:
5.43%, 7/1/07, BPA: Bayer Hypobank
3,620,000 3,620,000
5.35%, 1/1/47, BPA: Bayer Hypobank
700,000 700,000
<PAGE>
Taxable Variable Rate Principal
Demand Notes - Cont'd Amount Value
W.L. Petrey Wholesaling, Inc. VRDN, 5.45%,
3/1/08,
LOC: Southtrust Bank of Alabama
$2,470,000 $2,470,000
Waukesha Health Systems, Inc. VRDN, 5.45%,
8/15/26,
LOC: Bank of America 400,000 400,000
Total Taxable Variable Rate Demand
Notes (Cost $116,890,000)
116,890,000
REPURCHASE AGREEMENTS - 3.3%
Donaldson, Lufkin & Jenrette, 5.375%, dated
9/30/99, due 10/1/99
6,400,000 6,400,000
(Collateral: $6,579,882 FNMA Medium Term
Note, 5.50%, 2/10/00)
Total Repurchase Agreements (Cost
$6,400,000) 6,400,000
TOTAL INVESTMENTS (Cost $193,112,725)
99.6%
193,112,725
Other assets and liabilities, net -
0.4% 828,009
Net Assets 100% $193,940,734
See notes to financial statements.
<PAGE>
Balanced PORTFOLIO
PORTFOLIO OF INVESTMENTS
September 30, 1999
Principal
Certificates Of Deposit - 0.1% Amount
Value
Alternative Federal Credit Union, 4.00%,
11/30/99 (+)(^)
$50,000 $49,835
Blackfeet National Bank, 5.15%, 11/13/99
(+)(^)
92,000 91,565
D. Edward Wells Federal Credit Union, 5.00%,
11/20/99 (+)(^)
50,000 49,389
First American Credit Union, 5.75%, 12/23/99
(+)(^)
92,000 91,560
Mission Area Federal Credit Union, 4.95%,
11/18/99 (+)(^)
50,000 49,797
Northeast Community Federal Credit Union,
5.00%, 11/18/99 (+)(^)
50,000 49,815
South Shore Bank:
4.70%, 12/6/99 (+)(^) 100,000 98,631
4.65%, 2/9/00 (+) 350,000 348,475
Total Certificates of Deposit (Cost
$834,000) 829,067
Convertible Debenture Bonds - 0.0%
WorldWater, Inc., 9.00%, 3/31/00
(+)(#)(*)(b) 135,000 40,500
Total Convertible Debenture Bonds (Cost
$135,000) 40,500
High Social Impact Investments - 0.6%
Accion International Corp., 4.00%, 9/30/04
(+)(*)
250,000 235,905
Accion US Bridge Fund, 4.00%, 1/12/01 (+)(*)
100,000 98,294
Boston Community Loan Fund, 4.50%, 1/12/01
(+)(*)
500,000 492,130
Coastal Enterprises, Inc., 4.00%, 7/15/01
(+)(*) 200,000 190,870
Community Reinvestment Fund, 4.00%, 4/5/00
(+)(*)
100,000 96,909
Co-op Fund of New England, Inc., 4.00%,
1/13/00 (+)(*)
105,000 103,191
Eastside Community Investment, 4.00%, 4/5/00
(+)(*)(b)
100,000 33,000
Ecumenical Development Corp., 5.00%,
12/31/01 (+)(*)
100,000 98,713
Environmental Enterprises Assistance Fund,
4.50%, 6/30/00 (+)(*)
125,000 120,046
First State Community Loan Fund, 4.00%,
1/13/02 (+)(*)
25,000 24,570
Foundation for International Community
Asst., 3.50%, 4/30/01 (+)(*)
33,333 32,104
Housing Assistance Council, 4.50%, 6/30/02
(+)(*)
75,000 72,009
Institute for Community Development, 4.00%,
10/1/01 (+)(*)
250,000 235,867
Institute for Community Economics, 4.00%,
1/13/00 (+)(*)
150,000 147,417
Interfaith Housing Delaware, 4.50%, 12/31/99
(+)(*)
49,888 39,910
Low Income Housing Fund, 4.00%, 9/30/04
(+)(*)
500,000 471,810
Manna, Inc., 4.50%, 9/30/02 (+)(*)
250,000 237,050
Michigan Housing Trust, 4.50%, 6/30/00
(+)(*) 100,000 96,012
Micro Industry Credit Rural Corp., 4.50%,
1/13/01 (+)(*)
100,000 98,412
Minnesota Non Profit Assistance Fund, 4.00%,
4/7/00 (+)(*)
200,000 193,760
National Federation of Community Development
Credit Union,
4.00%, 4/7/01 (+)(*) 400,000 387,520
New Hampshire Community Loan Fund, 4.00%,
7/15/01 (+)(*)
400,000 381,856
Nonprofit Facilities Fund, 4.50%, 6/30/04
(+)(*) 100,000 96,012
North Country Co-op Development Fund, 4.50%,
1/12/01 (+)(*)
100,000 98,426
Northeast South Dakota Energy Conservation
Corp.,
4.50%, 1/13/03 (+)(*) 25,000 24,603
Opportunity International, 3.50%, 9/30/04
(+)(*) 100,000 93,905
Saint Ambrose Housing Center, 4.50%, 3/31/00
(+)(*)
25,000 24,303
Principal
High Social Impact Investments - Cont'd
Amount Value
Vermont Community Loan Fund, 4.50%, 4/30/01
(+)(*)
$200,000 $193,696
Washington Area Community Investment Fund,
4.50%, 12/31/01 (+)(*)
302,334 298,086
Western Massachusetts Enterprise Fund,
4.50%, 9/30/03 (+)(*)
50,000 47,410
Women's Self-Employment Loan Fund, 4.50%,
3/31/00 (+)(*)
50,000 48,613
Total High Social Impact Investments
(Cost $5,065,000)
4,812,409
Corporate Bonds - 37.0%
AB Spintab, 6.80%, 12/29/49 2,500,000
2,421,700
AGL Capital Trust, 8.17%, 6/1/37
4,000,000 3,631,080
Allfirst Preferred Funding Capital Trust,
6.81%, 7/15/29
5,000,000 4,996,850
Atlantic Mutual Insurance Co., 8.15%,
2/15/28
8,500,000 7,036,555
BCI US Funding Trust I, 8.01%, 12/29/49
3,500,000 3,232,320
BNP US Funding LLC, 7.738%, 12/31/49
4,000,000 3,731,228
Bank of New York, Inc., 7.625%, 7/15/02
1,400,000 1,430,996
Bank United Corp., 8.00%, 3/15/09
2,000,000 1,905,560
Blyth Industries, Inc., 7.90%, 10/1/09
1,500,000 1,473,315
Bombardier Capital, Ltd., 7.50%, 8/15/04
3,000,000 2,999,310
Cable & Wireless Communications, 6.625%,
3/6/05
4,000,000 4,024,840
Chase Credit Card Owner Trust, 6.66%,
1/15/07
7,000,000 6,997,644
Chase Funding Trust, 7.288%, 12/26/25
3,000,000 2,996,520
CLECO Corp., 6.52%, 5/15/09 2,000,000
1,931,840
Columbia University, 6.83%, 12/15/20
3,000,000 2,873,919
Community Reinvestment Fund, 6.35%, 6/1/15
66,607 58,886
Computer Associates International, Inc.:
6.25%, 4/15/03 2,000,000
1,925,760
6.375%, 4/15/05 7,000,000
6,577,900
Conseco Financing Trust II, 8.70%, 11/15/26
1,500,000 1,308,395
Conseco Financing Trust III, 8.796%, 4/1/27
8,470,000 7,532,371
Conseco, Inc.:
6.40%, 2/10/03 450,000
425,443
6.80%, 6/15/05 3,350,000
3,073,692
Cox Communications, Inc., 7.875%, 8/15/09
3,000,000 3,086,760
Credit Suisse First Boston, 7.90%, 4/29/49
4,000,000 3,822,060
Crescent Real Estate Equities, 7.00%,
9/15/02
5,000,000 4,601,150
Deutsche Bank, 7.872%, 12/29/49
1,400,000 1,336,680
Dime Bancorp, Inc., 7.00%, 7/25/01 3,735,000
3,718,453
Discover Card Medium Term Notes, 5.65%,
11/15/04
5,500,000 5,388,405
Dresdner Funding Trust I, 8.151%, 6/30/31
5,620,000 5,269,666
El Paso Energy Corp., 6.75%, 5/15/09
3,500,000 3,312,120
First Data Corp., 6.375%, 12/15/07
3,250,000 3,067,837
Florida Windstorm Underwriting:
6.70%, 8/25/04 1,855,000
1,813,225
6.85%, 8/25/07 2,200,000
2,116,598
7.125%, 2/25/19 7,525,000
7,033,166
Fusion Capital, 10.00%, 1/16/02
898,210 771,249
Goldman Sachs Group LP:
6.625%, 12/1/04 1,000,000
970,010
6.34%, 3/1/06 1,250,000
1,188,445
Hyder PLC, 7.375%, 12/15/28 2,500,000
2,206,972
Imperial Bank, 8.375%, 4/1/09 5,970,000
5,672,604
International Business Machines Corp.,
5.10%, 11/10/03
2,000,000 1,892,080
Principal
Corporate Bonds (Cont'd) Amount
Value
Interpool Capital Trust, 9.875%, 2/15/27
$1,500,000 $1,327,455
Interpool, Inc., 6.625%, 3/1/03
8,000,000 7,428,080
LG & E Capital Corp., 6.205%, 5/1/04
1,500,000 1,444,455
LG & G Capital Corp., 5.75%, 11/1/01
1,500,000 1,464,495
Long Island Savings Bank, 7.00%, 6/13/02
2,500,000 2,483,000
Mark IV Industries, Inc., 7.50%, 9/1/07
4,750,000 4,322,500
MCN Investment Corp., 6.30%, 4/2/11
2,000,000 1,979,020
Merita Bank, Ltd., 7.15%, 12/29/49
7,125,000 6,953,950
National Association of People with AIDS,
10.00%, 1/31/98 (+)(#)(*)(b) 250,000
25,000
National Rural Utilities:
5.38%, 12/15/03 1,000,000
953,390
6.20%, 2/1/08 3,500,000
3,337,180
Natexis Ambs Co., 8.44%, 12/29/49 3,500,000
3,323,197
NCB Affordable Housing / Market Rate
Cooperative
First Mortgage Certificates Series 1993-
3 B, 7.63%, 7/1/12 (*)
2,329,679 2,337,134
Orion Capital Trust II, 7.70%, 4/15/28
7,400,000 6,330,626
Osprey Trust, 8.31%, 1/15/03 2,000,000
2,007,200
Pioneer Human Services, 8.75%, 5/27/01
(+)(*)
500,000 498,844
Pitney Bowes Credit Corp., 8.80%, 2/15/03
2,000,000 2,127,620
Poland Partners, 5.875%, 4/13/04 (+)(*)
543,583 404,745
Providian Master Trust, 6.60%, 8/31/01
7,000,000 6,993,329
Puget Sound Energy, 6.23%, 7/11/02 2,536,612
2,543,309
Riggs Capital Trust, 8.625%, 12/31/26
2,000,000 1,860,100
Royal Sun Alliance Insurance Group, 8.95%,
10/15/29
1,500,000 1,478,025
Russell Frank Co., 5.625%, 1/15/09
1,000,000 898,150
Sage Bruno, 6.00%, 12/31/99 (+)(*) 100,000
50,000
Saks, Inc., 7.00%, 7/15/04
4,000,000 3,772,640
Seventh Generation, 9.47%, 6/30/02 (+)(*)
100,000 100,000
Skandinaviska Enskilda Banken, 6.50%,
12/29/49
16,800,000 15,873,043
Socgen Real Estate Co. LLC, 7.64%, 12/29/49
5,190,000 4,806,926
Sovereign Bancorp, Inc., 6.75%, 9/1/00
1,500,000 1,490,895
Sun Life Canada Capital Trust I, 8.526%,
5/29/49
3,500,000 3,387,296
Sunamerica, Inc., 7.34%, 8/30/05
2,000,000 2,036,060
Supervalu Inc., 7.625%, 9/15/04
5,000,000 5,018,450
Swedbank Sparbank Svenge AB, 7.50%, 9/27/49
5,250,000 4,750,357
Telecom Corp of New Zealand, 6.50%, 2/10/08
2,500,000 2,396,897
Teleglobe CDA, Inc.:
7.20%, 7/20/09 8,750,000
8,296,138
7.70%, 7/20/29 200,000
188,702
Tyco International Group, 6.875%, 9/05/02
9,000,000 8,992,980
12th Street Historic Rehabilitation
Associates Mortgage,
10.75%, 4/15/04 (+)(#)(*)(b) 353,158
70,631
Union Bank Norway, 7.35%, 12/31/49 4,000,000
3,931,440
US West Capital Funding, Inc.:
6.875%, 8/15/01 5,000,000
5,001,350
6.125%, 7/15/02 500,000
488,550
6.25%, 7/15/05 500,000
473,480
Xerox Capital Europe PLC, 5.875%, 5/15/04
1,150,000 1,100,009
Xerox Capital Trust I, 8.00%, 2/1/27
9,560,000 9,217,943
Zurich Capital Trust, 8.376%, 6/1/37
1,850,000 1,817,218
Total Corporate Bonds (Cost
$285,313,181) 275,635,413
<PAGE>
Principal
Commercial Paper - 2.0% Amount Value
Govco, Inc., 5.62%, 10/1/99 $15,000,000
$15,000,000
Total Commercial Paper (Cost
$15,000,000) 15,000,000
Municipal Obligations - 5.5%
Botsford General Hospital Revenue VRDN,
5.40%, 2/15/27
LOC: Michigan National Bank 12,850,000
12,850,000
Chickasaw Nation COPs, 10.00%, 8/1/03 (+)1
,649,721 1,567,235
Maryland State Economic Development Corp.
Revenue Bonds:
8.00%, 10/1/05 3,625,000 3,626,704
8.625%, 10/1/19 3,750,000 4,185,675
San Mateo Redevelopment Agency Tax
Allocation Refunding Bonds,
7.125%, 8/1/08 1,415,000 1,391,412
San Jose Financing Authority Revenue VRDN,
5.35%, 12/1/25,
AMBAC Insured 17,245,000 17,245
,000
Total Municipal Obligations (Cost
$39,168,065) 40,866,026
Adjusted
Limited Partnership Interest - 0.5%
Basis
Coastal Venture Partners (+)(#)(*)
140,000 136,801
Environmental Allies Investment Trust
(+)(#)(*) 8,520 9,404
Environmental Private Equity Fund II (+)(*)
107,297 177,056
Global Environment Emerging Markets Fund
(+)(#)(*)
814,997 0
GEEMF Partners (+)(*) 185,003 180,163
Hambrecht & Quist Environmental Technology
Fund (+)(#)(*)
434,905 347,734
HFG Expansion Fund I (+)(#)(*) 125,000
0
IEPF Equity Fund III (+)(#)(*) 700,000
761,855
Labrador Ventures III (+)(#)(*) 291,379
439,685
Liberty Environmental Partners (+)(#)(*)
350,000 277,939
Poland Partners (+)(#)(*) 376,800
407,885
Ukraine Fund (+)(#)(*) 67,055 54,023
Utah Ventures (+)(#)(*) 300,000 267,667
Venture Strategy Partners (+)(#)(*)
150,000 143,532
Viridian Capital (+)(#)(*) 235,125
189,315
Total Limited Partnership Interest
(Cost $4,286,081)3,393,059
Equity Securities - 55.2% Shares
Basic Materials - 0.9%
Praxair, Inc. 67,900
3,123,400
Sigma Aldrich Corp. 102,600 3,257,550
6,380,950
Capital Goods - 4.8%
Avery Dennison Corp. 67,100 3,539,525
Illinois Tool Works, Inc. 151,600
11,303,675
Pitney Bowes, Inc. 57,000 3,473,437
Sealed Air Corp. 48,200 2,473,262
Solectron Corp. (#) 73,200 5,256,675
Tyco International, Ltd. 93,600 9,664,200
35,710,774
<PAGE>
EQUITY SECURITIES - Cont'd Shares
Value
Communication Services - 4.0%
Alltel Corp. 51,100
$3,596,162
Bellsouth Corp. 78,900 3,550,500
MCI Worldcom, Inc. (#) 145,185 10,435,171
SBC Communications, Inc. 167,440 8,549,905
Vodafone Airtouch PLC 16,600 3,946,650
30,078,388
Consumer Cyclicals - 5.2%
Acxiom Corp. (#) 155,500 3,056,546
Autozone, Inc. (#) 53,100 1,490,119
Black & Decker Corp. 45 2,056
Dayton Hudson Corp. 45,700 2,744,856
Dollar General Corp. 189,462 5,849,639
Fastenal Co. 92,000
4,335,500
Harley Davidson, Inc. 124,400 6,227,775
Home Depot, Inc. 124,040 8,512,245
Omnicom Group, Inc. 74,000 5,859,875
Real Goods Trading Corp. (#) 125,000
640,625
38,719,236
Consumer Staples - 4.8%
Cardinal Health, Inc. 171,675 9,356,287
Clear Channel Communications (#)
45,100 3,602,362
CVS Corp. 82,700
3,375,194
Dial Corp. 128,500
3,276,750
Estee Lauder Companies, Inc. 79,000
3,085,937
Gillette Co. 63,100
2,141,456
Heinz (H. J.) Co. 20 860
Kroger Co. (#) 143,000 3,154,937
Newell Rubbermaid, Inc. 60 1,714
Quaker Oats Co. 28,200 1,744,875
Safeway, Inc. (#) 59,000 2,245,687
Time Warner, Inc. 61,500 3,736,125
35,722,184
Financial Services - 9.9%
Aflac, Inc. 153,600
6,432,000
American International Group, Inc.
60,033 5,219,119
BankAmerica Corp. 70,800 3,942,675
Chase Manhattan Corp. 98,400 7,416,900
Federal Home Loan Mortgage Corp.
45 2,340
Federal National Mortgage Assn. 59,420
3,724,891
Fifth Third Bancorp. 48,400 2,944,837
First Republic Preferred Capital Corp.,
Series A, Preferred
2,000 1,960,000
Firstar Corp. 111,200
2,849,500
Fusion Capital (#)(a) 19,872,196 4,469,
381
Highwood Properties, Inc. 6,900
5,284,917
Marsh & Mclennan Companies 71,600
4,904,500
Mellon Bank Corp. 136,600 4,610,250
Price (T. Rowe) Associates, Inc.
163,800 4,494,262
Providian Financial Corp. 20,600
1,631,262
SLM Holding Corp. 140,400 6,037,200
State Street Boston Corp. 82,600
5,338,025
<PAGE>
EQUITY SECURITIES - Cont'dShares Value
Financial Services - Cont'd
Wells Fargo & Co. 68,400 $2,710,350
73,972,409
Pharmaceutical & Health Care - 6.2%
Amgen, Inc. (#) 48,300 3,936,450
Aviron (#) 37,074
899,044
Boston Scientific Corp. (#) 87,600
2,162,625
Guidant Corp. 160,700 8,617,537
Hayes Medical Services (+)(#)(*)
326,797 359,477
Johnson & Johnson 96,600 8,875,125
Merck & Co., Inc. 99,324 6,437,436
Pfizer, Inc. 206,200
7,410,312
Quadrant Healthcare Plc. (#) 305,263
286,456
Schering Plough Corp. 159,400 6,953,825
45,938,287
Technology - 18.4%
America Online, Inc. (#) 25,700 2,672,800
BMC Software, Inc.(#) 157,700 11,285,406
Cisco Systems, Inc. (#) 127,000 8,707,437
Compuware Corp. (#) 120,400 3,137,925
EMC Corp. 198,540
14,183,201
First Data Corp. 40,300 1,768,162
Fiserv, Inc. (#) 77,600 2,522,000
Intel Corp. 123,200
9,155,300
International Business Machines Corp.
113,800 13,812,475
Lexmark International Group, Inc.
24,900 2,004,450
Linear Technology Corp. 26,600 1,563,581
Lucent Technologies, Inc. 169,400
10,989,825
Microsoft Corp.(#) 212,380 19,233,663
Nokia Corp. 31,000
2,784,187
Oracle Systems Corp.(#) 65,000 2,957,500
Paychex, Inc. 185,950 6,345,543
Sterling Software, Inc. (#) 180,400
3,608,000
Sun Microsystems, Inc. (#) 113,800
10,583,400
Tellabs, Inc. (#) 180,100 10,254,443
137,569,298
Utilities - 0.2%
American Water Works, Inc. 59,500
1,721,813
Venture Capital - 0.8%
Agraquest, Inc., Series B Preferred
(+)(#)(*) 190,477 447,621
Agraquest, Inc., Series C Convertible
Preferred (+)(#)(*)
117,647 276,470
All Media Solutions, Inc.(+)(#)(*)
479,652 205,771
Allos Therapeutics (+)(#)(*) 276,243
500,000
Calypte Biomed (+)(#)(*) 100,000 109,375
Community Bank of the Bay (+)(#)(*)
4,000 100,000
Community Growth Fund (+)(*) 1,341,967
414,068
Eco Timber International, Inc.(+)(#)(*)
12,468 99,993
Energia Global, Inc., Series A, Convertible
Preferred (+)(#)(*)
80,129 580,935
Energia Global, Inc., Series B, Convertible
Preferred (+)(#)(*)
33,571 243,389
Envirolutions, Inc. (+)(#)(*) 814
26,184
<PAGE>
Equity Securities - Cont'd Shares
Value
Venture Capital - Cont'd
Evergreen Solar, Series B (+)(#)(*)
100,000 $200,000
Evergreen Solar, Series C (+)(#)(*)
76,972 153,944
Evergreen Solar (warrants)(+)(#)(*)
30,789 300
Fountainhead Technologies, Inc., Preferred
(+)(#)(*)
3,295 25,000
Frans Health Helpings (+)(#)(*) 505,051
200,000
Knowaste LLC (+)(#)(*) 814 81,400
Living Technologies, Inc. (+)(#)(*)
25,000 100,000
Neighborhood Bancorp (+)(#)(*) 10,000
100,000
Paradigm Biosciences (+)(#)(*) 125,000
302,500
Paradigm, Inc. (+)(#)(*) 113,636 274,999
Pharmadigm, Inc. (warrants) (+)(#)(*)
7,955 0
Pro Fund International (+)(#)(*)
7,501 7,501
Pro Fund International, Preferred (+)(#)(*)
742,499 742,499
Take the Lead (+)(#)(*) 23,630 0
Ultrafem, Inc. (+)(#)(*) 25,000 0
Vcampus Corp.(+)(#)(*) 25,080 78,375
Wild Planet Toys, Inc., Series B, Preferred
(+)(#)(*)
476,190 666,666
Wild Planet Toys, Inc., Series E, Preferred
(+)(#)(*)
129,089 180,724
Wind Harvest Co., Inc., Series A, Preferred
(+)(#)(*)
8,696 50,000
6,167,714
Total Equity Securities (Cost
$334,505,160)
411,981,053
TOTAL INVESTMENTS (Cost $684,306,487)
100.9%
752,557,527
Other assets and liabilities, net -
(0.9%) (6,888,090)
Net Assets - 100% $745,669,437
Underlying Unrealized
# of
Expiration Face Amount Appreciation
Initial Futures Contracts Date
at Value (Depreciation) Margin
Purchased:
10 Year U.S. Treasury
50 12/99
$5,506,250 $(4,306)
$60,000
See notes to financial statements.
<PAGE>
Bond PORTFOLIO
PORTFOLIO OF INVESTMENTS
September 30, 1999
Principal
Corporate Bonds - 90.6% Amount Value
Abbey National PLC, 6.70%, 6/29/49
$1,500,000 $1,365,036
AGL Capital Trust, 8.17%, 6/1/37
1,000,000 907,770
AGL Capital Trust, 8.17%, 6/1/37
1,000,000 999,370
ARG Funding Corp., 5.88%, 5/20/02
1,000,000 980,312
Atlantic Mutual Insurance Co., 8.15%,
2/15/28 500,000 413,915
BCI US Funding Trust I, 8.01%, 12/29/49
1,000,000 923,520
BNP US Funding LLC, 7.738%, 12/31/49
1,000,000 932,807
BellSouth Savings & Employee Stock Ownership
Plan, 9.125%, 7/1/03
128,069 135,253
Blyth Industries, Inc., 7.90%, 10/1/09
1,000,000 982,210
Bombardier Capital Ltd., 7.5%, 8/15/04
2,000,000 1,999,540
Chase Credit Card Owner Trust, 6.66%,
1/15/07
2,000,000 1,999,327
Citizens Utilities Co., 8.45%, 9/1/01
1,000,000 1,031,380
CLECO Corp., 6.52%, 5/15/09 1,000,000
965,920
Columbia University, 6.83%, 12/15/20
3,000,000 2,873,919
Computer Associates International, Inc.,
6.375%, 4/15/05
2,250,000 2,114,325
Conseco Financing Trust II, 8.70%, 11/15/26
500,000 440,260
Conseco, Inc., 6.80%, 6/15/05 1,000,000
917,520
Discover Card Medium Term Notes, 5.65%,
11/15/04
2,000,000 1,959,420
El Paso Energy Corp., 6.75%, 5/15/09
1,500,000 1,419,480
First Data Corp., 6.375%, 12/15/07
2,000,000 1,887,900
Florida Windstrom Underwriting, 7.125%,
2/25/19
1,300,000 1,215,032
Goldman Sachs Group LP, 6.34%, 3/1/06
1,750,000 1,663,823
Interpool Capital Trust, 9.875%, 2/15/27
500,000 442,485
LG & E Capital Corp., 6.205%, 5/1/04
1,500,000 1,444,455
LG & G Capital Corp., 5.75%, 11/1/01
1,500,000 1,464,495
Merita Bank, Ltd., 7.15%, 12/29/49
1,290,000 1,259,031
Natexis Ambs Co., 8.44%, 12/29/49
1,500,000 1,424,227
National Rural Utilities, 6.20%, 2/1/08
1,500,000 1,430,220
NCB Affordable Housing / Market Rate
Cooperative First Mortgage
Certificates Series 1993-3 B, 7.63%,
7/1/12 (*)
777,731 777,575
Orion Capital Trust II, 7.70%, 4/15/28
2,000,000 1,710,980
Pacific Bell, 7.25%, 7/1/02 1,950,000
1,981,883
Providian Master Trust, 6.60%, 8/31/01
3,000,000 2,997,141
Royal Sun Alliance Insurance Group, 8.95%,
10/15/29
2,750,000 2,709,712
Russell Frank Co., 5.625%, 1/15/09
1,500,000 1,347,225
Skandinaviska Enskilda Banken, 6.50%,
12/29/49
3,500,000 3,306,884
Sovereign Bancorp, Inc., 6.75%, 9/1/00
1,500,000 1,490,895
Sun Life Canada Capital Trust I, 8.526%,
5/29/49
1,500,000 1,451,699
Supervalu, Inc., 7.875%, 8/1/09 2,000,000
2,005,320
Swedbank Sparbank Svenge AB, 7.50%, 9/27/49
2,500,000 2,262,075
Teleglobe CDA, Inc.:
7.20%, 7/20/09 2,500,000 2,370,325
7.70%, 7/20/29 500,000 471,755
Union Bank Norway, 7.35%, 12/31/49
1,000,000 982,860
Union Pacific Resources Group, Inc., 7.05%,
5/15/18
500,000 455,150
Xerox Capital Europe PLC, 5.875%, 5/15/04
500,000 478,265
Xerox Capital Trust I, 8.00%, 2/1/27
2,500,000 2,410,550
Total Corporate Bonds (Cost $66,096,339)
64,803,246
<PAGE>
U.S. Government Agencies Principal
And Instrumentalities - 3.9% Amount
Value
Federal Home Loan Mortgage Corp., 7.12%,
6/25/28
$2,750,000 $2,758,607
Total U.S. Government Agencies and
Instrumentalities
(Cost $2,852,747) 2,758,607
Municipal Obligations - 2.1%
Missouri Higher Education Student Loan
Revenue Bonds,
6.80%, 2/15/01 1,000,000 1,007,850
Somerville, Massachusetts, U.S. Government
Guaranteed Notes,
7.12%, 8/1/01 475,000 483,655
Total Municipal Obligations (Cost
$1,474,328) 1,491,505
Certificates Of Deposit - 0.1%
South Shore Bank, 4.65%, 2/9/00 (+)(*)(^)
100,000 99,564
Total Certificates of Deposit (Cost
$100,000) 99,564
High Social Impact Investments - 0.6%
D.C. Habitat for Humanity, 4.50%, 2/17/01
(+)(*)
150,000 146,837
Northeast Entrepreneur Fund, 4.50%, 6/30/03
(+)(*)
100,000 96,012
St. Vincent de Paul Society, 4.50%, 7/29/01
(+)(*)
200,000 191,250
Total High Social Impact Investments
(Cost $450,000) 434,099
Repurchase Agreements - 6.0%
State Street Bank, 5.31%, dated 9/30/99, due
10/1/99
(Collateral: $4,593,934 FHLB, 4.985%,
6/23/00)
4,300,000 4,300,000
Total Repurchase Agreements (Cost
$4,300,000) 4,300,000
Equity Securities - 1.5% Shares
First Republic Preferred Capital Corp.,
Series A, Preferred
500 490,000
Highwoods Properties, Inc., Series A,
Preferred
600 459,558
Northern Borders Partners, LP (*)
3,500 101,282
Total Equity Securities (Cost
$1,179,122) 1,050,840
TOTAL INVESTMENTS (Cost $76,452,536)
104.8%
74,937,861
Other assets and liabilities, net -
(4.8%) (3,441,770)
Net Assets - 100% $71,496,091
Underlying Unrealized
# of Expiration Face Amount
Appreciation Initial
Futures Contracts Date at Value
(Depreciation) Margin
Purchased:
10 Year U.S. Treasury
5 12/99$550,625 $(2,863) $6,000
See notes to financial statements.
<PAGE>
EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
September 30, 1999
Equity Securities - 94.7% Shares
Value
Basic Industries - 2.9%
Nalco Chemical Co. 105,600 $5,332,800
5,332,800
Capital Goods - 10.7%
CTS Corp. 40,000 2,300,000
Diebold, Inc. 100,000 2,312,500
Dover Corp. 96,000 3,924,000
Pitney Bowes, Inc. 40,000 2,437,500
Solectron Corp. (#) 50,000 3,590,625
Tyco International, Ltd. 50,000
5,162,500
19,727,125
Consumer Cyclicals - 16.9%
Autozone, Inc. (#) 150,000 4,209,375
Block H & R, Inc. 80,000 3,475,000
Dayton Hudson Corp. 70,000 4,204,375
Family Dollar Stores, Inc. 200,000
4,225,000
Gap, Inc. 110,000 3,520,000
Harley Davidson, Inc. 85,000 4,255,310
Liz Claiborne, Inc. 500 15,500
Lowes Companies, Inc. 100,000 4,875,000
Office Depot, Inc. (#) 240,150 2,446,528
Reebok International, Ltd. (#)
600 6,413
31,232,501
Consumer Staples - 7.4%
ABM Industries, Inc. 200,000 5,075,000
Bergen Brunswig Corp. 200,000 2,075,000
Colgate Palmolive Co. 92,000 4,209,000
Newell Rubbermaid, Inc. 85,000
2,427,813
13,786,813
Energy - 3.8%
Anadarko Petroleum Corp. 65,000
1,986,563
EOG Resources, Inc. 240,000 5,100,000
7,086,563
Financial Services - 12.6%
Aflac, Inc. 90,000 3,768,750
American International Group, Inc.
43,750 3,803,51
BankAmerica Corp. 50,343 2,803,475
Federal National Mortgage Assn.
50,000 3,134,375
Southtrust Corp. 100,000 3,587,500
Progressive Corp. 40,000 3,267,500
Protective Life Corp. 100,000 2,900,000
23,265,116
<PAGE>
Equity Securities - Cont'd Shares
Value
Pharmaceutical & Health Care - 12.1%
Biomet, Inc. 60,000 $1,578,750
Dentsply International, Inc. 140,000
3,185,000
Merck & Co., Inc. 42,000 2,722,125
Mylan Labs, Inc. 160,000 2,940,000
Pfizer, Inc. 120,000 4,312,500
Schering Plough Corp. 100,000 4,362,500
Stryker Corp. 65,000 3,323,125
22,424,000
Technology - 28.3%
Adobe Systems, Inc. 30,000 3,405,000
Autodesk, Inc. 70,000 1,531,250
Ciber, Inc. (#) 204,000 3,123,750
Cisco Systems, Inc. (#) 90,000
6,170,625
Electronic Data Systems Corp. 100,000
5,293,750
Grainger (W.W.), Inc. 65,000 3,124,063
Hewlett Packard Co. 60,000 5,520,000
Intel Corp. 70,000 5,201,875
Oracle Corp. 100,000 4,550,000
Scientific Atlanta, Inc. 125,000
6,195,313
Sun Microsystems, Inc. (#) 90,000
8,370,000
52,485,626
Total Equity Securities (Cost
$142,443,670)
175,340,544
Principal
Certificates of Deposit - 0.0% Amount
South Shore Bank, 4.65%, 2/9/00 (+)(*)(^)
$100,000 99,564
Total Certificates of Deposit (Cost
$100,000) 99,564
High Social Impact Investments - 0.7%
Chicago Community Loan Fund, 4.50%, 6/30/03
(+)(*)
150,000 144,018
Community Loan Fund of SW Pennsylvania,
4.50%, 4/15/01 (+)(*)
100,000 97,046
Delaware Valley Reinvestment Fund, 4.50%,
7/15/03 (+)(*)
250,000 239,493
Enterprise Corp. of Delta, 4.50%, 7/29/01
(+)(*) 300,000 286,875
Midwest Minnesota Community Development
Corp.,
4.50%, 9/30/01 (+)(*) 300,000 284,460
Primary Care Development Corp., 4.50%,
2/17/01 (+)(*)
200,000 195,714
Total High Social Impact Investments
(Cost $1,300,000)1,247,606
Repurchase Agreements - 3.8%
Donaldson, Lufkin, & Jenrette, 5.31%, dated
9/30/99, due 10/1/99
(Collateral: $7,223,694 FNMA, 6.50%,
7/29/02)
7,000,000 7,000,000
Total Repurchase Agreements (Cost
$7,000,000) 7,000,000
TOTAL INVESTMENTS (Cost $150,843,670)
99.2%
183,687,714
Other assets and liabilities, net -
0.8% 1,479,281
Net Assets 100% $185,166,995
See notes to financial statements.
<PAGE>
MANAGED INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
September 30, 1999
Equity Securities - 99.0% Shares
Value
Basic Industries - 0.8%
Level 3 Communications, Inc. (#)
500 $26,109
Nalco Chemical Co. 1,900 95,950
Praxair, Inc. 4,000 184,000
306,059
Capital Goods - 4.2%
Avery Dennison Corp. 4,200 221,550
Briggs & Stratton Corp. 1,000
58,375
Cummins Engine, Inc. 1,500 74,719
Dover Corp. 1,700 69,488
Illinois Tool Works, Inc. 1,900
141,669
National Service Industries, Inc.
3,100 97,650
Paccar, Inc. 3,100 157,713
Pitney Bowes, Inc. 700 42,656
Premark International, Inc. 7,300
368,650
Solectron Corp. (#) 2,600 186,713
York International Corp. 4,500
161,719
1,580,902
Communication Services - 8.4%
Ameritech Corp. 9,700 651,719
Bellsouth Corp. 16,400 738,000
Clear Channel Communications 500
39,93
Global Telesystems Group, Inc. (#)
600 11,831
MCI Worldcom, Inc. (#) 8,300 596,563
Nextel Communications, Inc. 2,000
135,625
SBC Communications, Inc. 12,200
622,963
US West, Inc. 6,500 370,906
3,167,545
Consumer Cyclicals - 7.9%
Amazon.com, Inc. 400 31,900
American Greetings Corp. 2,600
66,950
Best Buy, Inc. (#) 2,900 179,981
Central Newspapers, Inc. 5,900
262,550
Costco Companies, Inc. (#) 2,100
151,200
Dayton Hudson Corp. 2,200 132,138
Dun & Bradstreet Corp. 3,900 116,513
Federal Mogul Corp. 700 19,294
Federated Department Stores, Inc.
4,000 174,750
Gap, Inc. 3,225 103,200
Harley Davidson, Inc. 1,400 70,088
Home Depot, Inc. 7,700 528,413
Jones Apparel Group, Inc. (#) 2,800
80,500
Lancaster Colony Corp. 900 28,800
Lowes Companies, Inc. 1,900 92,625
Masco Corp. 700 21,700
May Department Stores Co. 5,450
198,584
Maytag Corp. 300 9,994
<PAGE>
Equity Securities - Cont'd Shares
Value
Consumer Cyclicals - Cont'd
McGraw Hill Companies, Inc. 700
$33,863
Omnicom Group, Inc. 1,900 150,456
Ross Stores, Inc. 4,200 84,525
Staples, Inc. (#) 1,300 28,356
Snap On, Inc. 1,800 58,500
The New York Times Co. 1,000 37,500
TJX Companies, Inc. 2,700 75,769
Viad Corp. 7,800 230,100
2,968,249
Consumer Staples - 10.7%
Adelphia Communications Corp. (#)
500 29,406
Alberto Culver Co. 2,100 48,563
Avon Products, Inc. 1,600 39,700
Bestfoods (#) 900 43,650
BHC Communications, Inc. 2,800
390,600
Cardinal Health, Inc. 1,531 83,440
Colgate Palmolive Co. 8,700 398,025
Comcast Corp. 2,100
83,738
Cox Communications (#) 1,700 70,975
CVS Corp. 800 32,650
Darden Restaurant, Inc. 10,800
211,275
Donnelley RR & Sons 12,000 346,500
Estee Lauder Companies 1,600 62,500
Fort James 2,500 66,719
General Mills, Inc. 5,100 413,738
Gillette Co .7,500 254,531
Heinz (H. J.) Co. 5,000 215,000
Kellogg Co. 4,500 168,469
King World Productions, Inc. (#)
2,900 108,750
RCN Corporation (#) 400 16,40
Safeway, Inc. (#) 2,700 102,769
Supervalu, Inc. 16,100 351,181
Time Warner, Inc. 5,300 321,975
Walgreen Co. 5,100 129,413
3,989,967
Energy - 3.0%
Anadarko Petroleum Corp. 7,500
229,219
Cooper Cameron Corp. (#) 3,900
147,225
EOG Resources, Inc. 4,500 95,62
Halliburton Co. 4,300 176,300
Smith International, Inc. (#) 3,900
157,950
Union Pacific Resources Group, Inc.
19,100 306,794
1,113,113
Financial Services - 19.6%
Aegon N V 1,077 93,161
Aflac, Inc. 1,400 58,625
Ambac Financial Group, Inc. 1,200
56,850
American General Corp.4,700 296,981
American International Group, Inc.
8,283 720,103
Aon Corp. 1,800 53,213
<PAGE>
Equity Securities - Cont'd Shares
Value
Financial Services - Cont'd
AXA Financial, Inc. 600 $ 33,488
Bank One Corp. 4,858 169,119
BankAmerica Corp. 5,647 314,467
Capital One Financial Corp. 1,900
74,100
Chase Manhattan Corp. 8,100 610,538
Comerica, Inc. 1,900 96,188
Conseco, Inc. 6,900 133,256
Countrywide Credit Industries, Inc.
500 16,125
E Trade Group, Inc. (#) 500
11,750
Edwards (A.G.), Inc. 6,000 158,250
Everest Reinsurance Holdings 1,600
38,100
Federal Home Loan Mortgage Corp.
6,300 327,600
Federal National Mortgage Assn.
9,900 620,606
Fifth Third Bancorp. 5,500 334,641
Finova Group, Inc. 400 14,600
Fremont General Corp. 1,200 11,400
Franklin Resources, Inc. 1,100
33,825
Golden West Financial Corp. 1,000
98,250
Household International, Inc. 3,700
148,463
Jefferson Pilot Corp. 900 56,869
Key Corp 15,200 392,350
Lincoln National Corp. 3,800 142,738
Marsh & Mclennan Companies, Inc.
4,300 294,550
MBIA, Inc. 1,000 46,625
MBNA Corp. 4,000 91,250
MGIC Investment Corp. 1,500 71,625
National City Corp. 4,400 117,425
North Fork Bancorporation 10,200
198,900
Old Kent Financial Corp. 900
33,413
Paine Webber Group, Inc. 2,600
94,250
PMI Group, Inc. 3,000 122,625
Providian Financial Corp. 1,500
118,781
Protective Life Corp. 1,100 31,900
Republic NY Corp. 600 36,863
Schwab Charles Corp. 4,600 154,963
SLM Holding Corp. 2,100 90,30
Suntrust Banks, Inc. 6,600 433,950
Wells Fargo & Co. 7,000 277,375
7,330,451
Pharmaceutical & Health Care - 11.7%
Amgen, Inc. (#) 5,200 423,800
Becton Dickinson & Co. 1,200 33,675
Biogen, Inc. (#) 2,600 204,913
Dentsply International, Inc. 4,400
100,100
Foundation Health Systems 1,200
11,325
Genzyme Corp. (#) 1,905 73,813
Guidant Corp. (#) 3,000 160,875
Johnson & Johnson, Inc. 9,200
845,250
Medtronic Inc. 3,200 113,600
Merck & Co., Inc. 13,800 894,413
Mylan Labs, Inc. 2,800 51,450
Pfizer, Inc. 20,700 743,906
<PAGE>
Equity Securities - Cont'dShares Value
Pharmaceutical & Health Care - Cont'd
Schering Plough Corp. 12,800 $ 558,400
Sybron International Corp. (#)
3,500 94,063
Visx (#) 200
15,818
Wellpoint Health Networks, Inc. (#)
1,100 62,700
4,388,101
Real Estate Investment Trusts - 2.3%
Apartment Investment & Management Co.4,200
160,650
Equity Office Properties Trust
14,400 334,800
Liberty Property Trust 8,700 197,381
Meditrust Corp. 8,200 69,700
Pro Logis Trust 3,700 69,838
Public Storage, Inc. 1,300 32,744
865,113
Technology - 26.6%
Adaptec, Inc. (#) 600 23,813
Adobe Systems, Inc. 1,400 158,900
Altera Corp. (#) 900 39,038
America Online, Inc. (#) 4,200
436,800
Apple Computer, Inc. (#) 2,200
139,288
Applied Materials, Inc. (#) 4,500
350,438
Automatic Data Process 900 40,163
BMC Software, Inc.(#) 2,400 171,750
Ciena Corp. 600 21,900
Cisco Systems, Inc. (#) 14,600
1,001,013
Computer Associates International, Inc.
2,300 140,875
Compuware Corp. (#) 700 18,244
Comverse Technology, Inc. (#) 500
47,156
Dell Computer Corp. (#) 7,500
313,594
Electronic Data Systems 2,300
121,756
EMC Corp. (#) 3,900 278,607
First Data Corp. 2,800 122,850
Firserv, Inc. (#) 600 19,500
General Instrument Corp. (#) 1,200
57,750
Hewlett Packard Co. 4,600 423,200
Intel Corp. 15,800 1,174,118
International Business Machines Corp.
9,000 1,092,375
KLA-Tencor Corp. 800 52,000
Linear Technology Corp. 300
17,634
LSI Logic Corp. (#) 400 20,600
Lucent Technologies, Inc. 14,400
934,200
Maxim Integrated Products, Inc. (#)
1,100 69,403
Micron Technology, Inc. 500
33,281
Microsoft Corp.(#) 16,300 1,476,169
Oracle Systems Corp.(#) 4,750
216,125
PSINet, Inc. 300 10,791
Qualcomm, Inc. (#) 300 56,756
Sabre Group Holdings, Inc. 500
21,500
Scientific Atlanta, Inc. 600
29,738
Sun Microsystems, Inc. (#) 3,700
344,100
Tellabs, Inc. (#) 3,300 187,894
Teradyne, Inc. (#) 1,600 56,400
<PAGE>
Equity Securities - (Cont'd) Shares
Value
Technology - Cont'd
Xerox Corp. 3,200 $134,200
Xilinx Inc. (#) 1,400 91,744
9,945,663
Transportation - 0.8%
Delta Air Lines, Inc. 1,300 63,050
FDX Corp (#) 1,400 54,250
Norfolk Southern Corp. 5,500 134,750
Southwest Airlines Corp. 3,750
56,953
309,003
Utilities - 3.0%
Allgheny Energy, Inc. 3,100 98,619
Cinergy Corp. 8,400 237,825
Columbia Energy Group 4,000 221,500
Consolidated Natural Gas Co. 3,000
187,125
El Paso Energy Corp. 600 23,888
MCN Energy Group, Inc. 9,800 168,438
OGE Energy Corp. 3,700 82,325
Puget Sound Energy 3,700 83,020
1,102,740
Total Equity Securities (Cost
$33,543,932) 37,066,906
TOTAL INVESTMENTS (Cost $33,543,932)
99.0%
37,066,906
Other assets and liabilities, net -
1.0% 372,886
Net Assets - 100% $37,439,792
(+) This security was valued by the Board of
Trustees. See Note A.
(v) Colson Services Corporation is the
collection, and transfer agent for
certain of the Fund's U.S. Government
guaranteed variable rate loans. Each
depository receipt pertains to a set,
grouped by interest rate, of these loans.
(#) Non-income producing.
(+) Represents rates in effect at September
30, 1999, after regularly scheduled
adjustments on such date. Interest rates
adjust monthly and or quarterly, generally
at the beginning of the month or calendar
quarter, or semiannually based on prime plus
contracted adjustments. As of September 30,
1999, the prime rate was 8.25%.
(*) Restricted securities represents, 2.4%
of net assets for Balanced, 1.8% for Bond,
and 0.7% for Equity.
(a) See Note B.
(^) These certificates of deposit are fully
insured by agencies of the federal
government.
(b) This security is in default.
Explanation of Guarantees: Abbreviati
ons:
BPA: Bond Purchase Agreement AMBAC: Ame
rican Municipal Bond Assurance Corp.
GA: Guarantee Agreement COPs: Certificates
of Participation
INSUR: Insurance FGIC: Financial
Guaranty Insurance Company
LOC: Letter of Credit MFH: Multi-family
Housing
TOA: Tender Option Agreement VRDN: Vari
able Rate Demand Notes
See notes to financial statements.
<PAGE>
statements of assets and liabilities
September 30, 1999
money
marketbalanced bond
assets portfolioportfolio
portfolio
Investments in securities, at value$193,11
2,725 $752,557,527$74,937,861
Cash . . . . . 375,296612,851 252,821
Receivable for securities sold--24,413,086
8,475,357
Receivable for shares sold711,409 287,901
14,731
Interest & dividends receivable1,851,0695,
521,496 1,059,186
Other assets 15,451 97,357
22,567
Total assets196,065,950 783,490,21884,
762,523
liabilities
Payable for securities purchased --
36,339,678 13,107,733
Payable for shares redeemed1,876,327509,016
57,374
Payable to Calvert Asset Management, Inc.
95,732 387,136 42,008
Payable to Calvert Administrative Services,
Inc.
31,730 173,310 12,086
Payable to Calvert Shareholders Services,
Inc.
19,904 21,180 3,033
Payable to Calvert Distributors, Inc. --
160,982 14,621
Accrued expenses and other liabilities
101,523 229,479 29,577
Total liabilities2,125,21637,820,78113,2
66,432
Net Assets $193,940,734 $745,669,437
$71,496,091
net assets consist of:
Paid-in capital applicable to the following
shares of beneficial
interest, unlimited number of no par value
shares authorized:
Money Market Portfolio:
194,031,124 shares outstanding
$193,987,791
Balanced Portfolio:
Class A: 22,048,556 shares
outstanding
$594,238,397
Class B: 309,988 shares outstanding
10,297,165
Class C: 430,473 shares outstanding
13,341,833
Class I: 418,846 shares outstanding
14,259,541
Bond Portfolio:
Class A: 4,295,248 shares outstanding
$69,621,947
Class B: 178,496 shares outstanding
2,895,386
Class C: 114,699 shares outstanding
1,858,000
Undistributed net investment income 1,036
1,411,887 25,363
Accumulated net realized gain (loss) on
investments
(48,093) 43,872,836(1,387,067)
Net unrealized appreciation (depreciation)
on investments and assets and liabilities
in foreign currencies--68,247,778(1,517,
538)
Net Assets$193,940,734 $745,669,437$
71,496,091
net asset value per share
Money Market Portfolio$1.00
Balanced Portfolio:
Class A: (based on net assets of
$708,654,877) . $32.14
Class B: (based on net assets of
$9,909,810) $31.97
Class C: (based on net assets of
$13,646,283) $31.70
Class I: (based on net assets of
$13,458,467) $32.13
Bond Portfolio:
Class A: (based on net assets of
$66,944,220) $15.59
Class B: (based on net assets of
$2,772,712) $15.53
Class C: (based on net assets of
$1,779,159) $15.51
See notes to financial statements.
<PAGE>
statements of assets and liabilities
September 30, 1999
managed
equity index
assets portfolio
portfolio
Investments in securities, at value
$183,687,714 $37,066,906
Cash . . . 345,503
581,055
Receivable for securities sold 466,959
- --
Receivable for shares sold 825,637
80,593
Interest & dividends receivable 108,661
36,269
Other assets 17,933
8,519
Total assets 185,452,40737,773
,342
liabilities
Payable for securities purchased
- -- 282,899
Payable for shares redeemed 45,935
2,604
Payable to Calvert Asset Management, Inc.
109,612 22,691
Payable to Calvert Administrative Service
Company
32,463 3,933
Payable to Calvert Shareholders Services,
Inc. 12,278 1,145
Payable to Calvert Distributors, Inc.
47,774 8,028
Accrued expenses and other liabilities
37,350 12,250
Total liabilities 285,412 333,550
Net Assets $185,166,995$37,4
39,792
net assets consist of:
Paid-in capital applicable to the following
shares of beneficial
interest, unlimited number of no par value
shares authorized:
Equity Portfolio
Class A: 6,160,076 shares outstanding
$124,600,581
Class B: 302,157 shares outstanding
7,977,871
Class C: 416,552 shares outstanding
9,563,997
Managed Index Portfolio
Class A: 728,391 shares outstanding
$11,499,118
Class B: 245,894 shares outstanding
3,896,112
Class C: 147,598 shares outstanding
2,425,965
Class I: 1,104,330 shares outstanding
16,571,893
Undistributed net investment income (loss)
- -- 57,317
Accumulated net realized gain (loss) on
investments
10,180,502 (533,587)
Net unrealized appreciation (depreciation)
on investments
32,844,044 3,522,974
Net Assets $185,166,995$37,4
39,792
net asset value per share
Equity Portfolio:
Class A (based on net assets of
$166,715,719)
$27.06
Class B (based on net assets of
$8,037,848)
$26.60
Class C (based on net assets of
$10,413,428)
$25.00
Managed Index Portfolio:
Class A (based on net assets of
$12,256,925)
$16.83
Class B (based on net assets of
$4,077,731)
$16.58
Class C (based on net assets of
$2,453,630)
$16.62
Class I (based on net assets of
$18,651,506)
$16.89
See notes to financial statements.
<PAGE>
Statements of Operations
Year Ended September 30, 1999
Money
MarketBalanced Bond
Net Investment IncomePortfolioPortfolioPor
tfolio
Investment Income:
Interest income$9,966,885$20,766,803$4,7
46,028
Dividend income --3,409,544 56,125
Total investment income
9,966,885 24,176,3474,802,153
Expenses:
Investment advisory fee713,040 3,809,681
301,347
Transfer agency fees and expenses
490,329 1,211,546162,181
Administrative fees226,6461,246,92583,992
Distribution Plan expenses:
Class A --1,745,398 133,657
Class B -- 65,329 18,171
Class C --133,012 12,147
Trustees' fees and expenses39,781142,545
15,264
Custodian fees 33,795123,635 34,268
Registration fees32,645 81,577 41,135
Reports to shareholders 80,113 170,820
17,869
Professional fees22,818101,851 8,960
Miscellaneous 50,887150,145 13,143
Total expenses1,690,0548,982,464842
,134
Reimbursement from Advisor:
Class O (17,277) -- --
Class B -- --(2,882)
Class C -- --(3,609)
Fees paid indirectly(31,798)(104,688)
(34,448)
Net expenses1,640,9798,877,776801,195
Net Investment Income
8,325,906 15,298,5714,000,958
Realized and Unrealized
Gain (Loss) on Investments
Net realized gain (loss) on:
Investments (40,476)45,234,804(1,238,
278)
Foreign currency transactions-- 3,763
- --
Futures -- 70,900
31,622
(40,476)45,309,467(1,206,
656)
Change in unrealized appreciation or
(depreciation):
Securities --18,691,524(2,006,
821)
Assets and liabilities denominated
in foreign currencies -- 3,029
- --
--18,694,553(2,006,
821)
Net Realized and Unrealized
Gain (Loss) on Investments
(40,476) 64,004,020(3,213,477)
Increase (Decrease) in Net Assets
Resulting From Operations$8,285,430$79,3
02,591 $787,481
See notes to financial statements.
<PAGE>
Statements of Operations
Year Ended September 30, 1999
EquityManaged In
dex
Net Investment Income PortfolioPortfolio
Investment Income:
Interest income $79,381 --
Dividend income 1,304,467$441,400
Other income 50,518 --
Total investment income 1,434,366
441,400
Expenses:
Investment advisory fee 896,683
189,815
Transfer agency fees and expenses
437,169 46,780
Administrative fees 223,502 38,282
Distribution Plan expenses:
Class A 373,197 22,697
Class B 45,687 27,946
Class C 83,727 14,179
Trustees' fees and expenses 37,479
8,228
Custodian fees 24,023 31,227
Registration fees 40,895 40,473
Reports to shareholders 59,364
2,655
Professional fees 20,962 --
Miscellaneous 37,849 1,657
Total expenses 2,280,537 423,939
Reimbursement from Advisor:
Class A -- (25,268)
Class B -- (3,054)
Class C -- (1,720)
Class I -- (18,827)
Fees paid indirectly (228,024)
(18,689)
Net expenses 2,052,513 356,381
Net Investment Income (Loss)(618,147)
85,019
Realized and Unrealized
Gain (Loss) on Investments
Net realized gain (loss) 13,652,242(429,247)
Change in unrealized appreciation or
(depreciation)
30,148,335 5,589,849
Net Realized and Unrealized
Gain (Loss) on Investments43,800,577
5,160,602
Increase (Decrease) in Net Assets
Resulting From Operations$43,182,430
$5,245,621
See notes to financial statements.
<PAGE>
Money Market Portfolio
Statements of Changes in Net Assets
Year EndedYear En
ded
September 30, Sep
tember 30,
Increase (Decrease) in Net Assets
1999 1998
Operations:
Net investment income $8,325,906$8,321,
421
Net realized gain (loss) (40,476)
1,009
Increase (Decrease) in Net Assets
Resulting From Operations 8,285,430
8,322,430
Distributions to shareholders from
Net investment income (8,337,453)(8,308
,855)
Capital share transactions:
Shares sold 210,031,383154,77
9,292
Reinvestment of distributions 7,715,268
7,819,897
Shares redeemed (196,454,418)(156
,022,801)
Total capital share transactions
21,292,233 6,576,388
Total Increase (Decrease) in Net Assets
21,240,210 6,589,963
Net Assets
Beginning of year 172,700,524166,11
0,561
End of year (including undistributed net
investment
income (loss) of $1,036 and $12,583,
respectively)
$193,940,734 $172,700,524
Capital Share Activity
Shares sold 210,031,383
154,779,292
Reinvestment of distributions 7,715,268
7,819,897
Shares redeemed (196,454,418)(156
,022,801)
Total capital share activity 21,292,233
6,576,388
See notes to financial statements.
<PAGE>
Balanced Portfolio
Statements of Changes in Net Assets
Year EndedYear En
ded
September 30,Sept
ember 30,
Increase (Decrease) in Net Assets
1999 1998
Operations:
Net investment income $15,298,571$15,84
3,294
Net realized gain (loss) 45,309,467
76,966,372
Change in net unrealized appreciation or
(depreciation)
18,694,553 (55,906,082)
Increase (Decrease) in Net Assets
Resulting From Operations 79,302,591
36,903,584
Distributions to shareholders from
Net investment income:
Class A Shares (14,415,933)(15,4
07,301)
Class B Shares (73,369) (13,826)
Class C Shares (132,117)(132,534)
Class I Shares (172,938) ----
Net realized gain:
Class A Shares (69,564,483)(64,6
90,996)
Class B Shares (412,084) --
Class C Shares (1,218,576)(945,6
05)
Total distributions (85,989,500)
(81,190,262)
Capital share transactions:
Shares sold:
Class A Shares 91,353,89268,087,
988
Class B Shares 7,831,875 2,658,548
Class C Shares 3,839,839 4,076,426
Class I Shares 14,958,479 ----
Reinvestment of distributions:
Class A Shares 77,715,08374,176,
448
Class B Shares 442,318 12,756
Class C Shares 1,313,120 1,056,857
Class I Shares 172,938 __
Shares redeemed:
Class A Shares (128,868,511)(100
,217,586)
Class B Shares (637,645)(10,687)
Class C Shares (2,823,028)(1,828
,205)
Class I Shares (871,876) ----
Total capital share transactions
64,426,484 48,012,545
Total Increase (Decrease) in Net Assets
57,739,575 3,725,867
Net Assets
Beginning of year 687,929,862 684,2
03,995
End of year (including undistributed net
investment
income of $1,411,887 and $926,233,
respectively)
$745,669,437 $687,929,862
See notes to financial statements.
<PAGE>
Balanced Portfolio
Statements of Changes in Net Assets
Balanced Portfolio (Cont'd)
Year EndedYear En
ded
September 30,Sept
ember 30,
Capital Share Activity 1999 1998
Shares sold:
Class A Shares 2,754,1812,018,239
Class B Shares 237,115 78,358
Class C Shares 117,332 121,111
Class I Shares 439,482 ----
Reinvestment of distributions:
Class A Shares 2,401,960 2,377,203
Class B Shares 13,727 385
Class C Shares 41,161 34,413
Class I Shares 5,340 ----
Shares redeemed:
Class A Shares (3,875,939)(2,988
,777)
Class B Shares (19,294) (303)
Class C Shares (86,273) (55,002)
Class I Shares (25,976) ----
Total capital share activity
2,002,816 1,585,627
See notes to financial statements.
<PAGE>
Bond Portfolio
Statements of Changes in Net Assets
Year EndedYear En
ded
September 30,Sept
ember 30,
Increase (Decrease) in Net Assets
1999 1998
Operations:
Net investment income $4,000,958 $3,567
,253
Net realized gain (loss) (1,206,656)
2,273,322
Change in net unrealized appreciation or
(depreciation)
(2,006,821) (735,972)
Increase (Decrease) in Net Assets
Resulting From Operations 787,481
5,104,603
Distributions to shareholders from
Net investment income:
Class A Shares (3,857,771)(3,574
,287)
Class B Shares (82,794) (6,098)
Class C Shares (56,844) (4,656)
Net Realized Gain:
Class A Shares (2,196,195)(599,1
65)
Class B Shares (46,303) ----
Class C Shares (21,407) ----
Total distributions (6,261,314)
(4,184,206)
Capital share transactions:
Shares sold:
Class A Shares 18,457,88513,656,
586
Class B Shares 2,587,501 567,123
Class C Shares 1,707,478 651,468
Reinvestment of distributions:
Class A Shares 4,916,147 3,302,128
Class B Shares 106,520 3,781
Class C Shares 73,545 4,537
Shares redeemed:
Class A Shares (16,966,539)(11,7
26,163)
Class B Shares (353,418)(16,121)
Class C Shares (321,828)(257,200)
Total capital share transactions
10,207,291 6,186,139
Total Increase (Decrease) In Net Assets
4,733,458 7,106,536
Net Assets
Beginning of year 66,762,63359,656,
097
End of year (including undistributed net
investment
income of $25,363 and $69,443,
respectively)
$71,496,091 $66,762,633
<PAGE>
Bond Portfolio
Statements of Changes in Net Assets
Bond Portfolio (Cont'd)
Year EndedYear En
ded
September 30,Sept
ember 30,
Capital Share Activity 1999 1998
Shares sold:
Class A Shares 1,150,952 813,667
Class B Shares 160,849 33,817
Class C Shares 106,537 38,777
Reinvestment of distributions:
Class A Shares 307,125 197,486
Class B Shares 6,698 226
Class C Shares 4,630 272
Shares redeemed:
Class A Shares (1,060,295)(698,6
34)
Class B Shares (22,132) (962)
Class C Shares (20,165) (15,352)
Total capital share activity
634,199 369,29
See notes to financial statements.
<PAGE>
Equity Portfolio
Statements of Changes in Net Assets
Year EndedYear En
ded
September 30,Sept
ember 30,
Increase (Decrease) in Net Assets
1999 1998
Operations:
Net investment income (loss) $(618,147)
$(308,492)
Net realized gain (loss) 13,652,242
609,268
Change in net unrealized appreciation or
(depreciation)
30,148,335 (26,063,542)
Increase (Decrease) in Net Assets
Resulting From Operations 43,182,430
(25,762,766)
Distributions to shareholders from
Net realized gain:
Class A Shares (83,481)(18,421,7
31)
Class B Shares (1,579) ----
Class C Shares (4,329) (881,454)
Total distributions (89,389)
(19,303,185)
Capital share transactions:
Shares sold:
Class A Shares 31,878,104 32,530
,473
Class B Shares 6,514,656 2,076,520
Class C Shares 4,358,040 3,144,295
Reinvestment of distributions:
Class A Shares 81,223 16,511,336
Class B Shares 1,161 ----
Class C Shares 4,064 847,807
Shares redeemed:
Class A Shares (34,955,133)(24,7
40,783)
Class B Shares (512,194)(75,439)
Class C Shares (1,630,469)(2,144
,660)
Total capital share transactions
5,739,452 28,149,549
Total Increase (Decrease) in Net Assets
48,832,493 (16,916,402)
Net Assets
Beginning of year 136,334,502 153,2
50,904
End of year $185,166,995
$136,334,502
See notes to financial statements.
<PAGE>
Equity Portfolio
Statements of Changes in Net Assets
Equity Portfolio (Cont'd)
Year EndedYear En
ded
September 30,Sept
ember 30,
Capital Share Activity 1999 1998
Shares sold:
Class A Shares 1,170,174 1,437,044
Class B Shares 238,209 --
Class C Shares 169,101 122,108
Reinvestment of distributions:
Class A Shares 3,247 273,375
Class B Shares 47 ----
Class C Shares 174 10,163
Shares redeemed:
Class A Shares (1,333,181)(911,9
39) Class B Shares (18,546) --
Class C Shares (67,591) (33,306)
Total capital share activity
161,634 897,445
See notes to financial statements.
<PAGE>
Managed Index Portfolio
StatementS of Changes in Net Assets
From Incep
tion
Year EndedApril 15,
1998
September 30,Thro
ugh
Increase (Decrease) in Net Assets
1999 September 30, 1998
Operations:
Net investment income (loss) $85,019
$42,792
Net realized gain (loss) (429,247)
(104,902)
Change in net unrealized appreciation or
(depreciation)
5,589,849 (2,066,875)
Increase (Decrease) in Net Assets
Resulting From Operations 5,245,621
(2,128,985)
Distributions to shareholders from
Net investment income:
Class A Shares (20,045) ----
Class I Shares (49,962) ----
Total distributions (70,007) ----
Capital share transactions:
Shares sold:
Class A Shares 8,471,192 5,107,452
Class B Shares 3,161,704 1,062,922
Class C Shares 2,218,849 455,574
Class I Shares 36,679 16,515,346
Reinvestment of distributions:
Class A Shares 18,852 ----
Class I Shares 49,962 ----
Shares redeemed:
Class A Shares (1,802,845)(295,5
08)
Class B Shares (325,223) (3,283)
Class C Shares (219,616)(28,837)
Class I Shares (14,552) (15,505)
Total capital share transactions
11,595,002 22,798,161
Total Increase (Decrease) in Net Assets
16,770,616 20,669,176
Net Assets
Beginning of period 20,669,176 --
End of period (including undistributed net
investment
income of $57,317 and $42,792,
respectively)
$37,439,792 $20,669,176
<PAGE>
Managed Index Portfolio
StatementS of Changes in Net Assets
Managed Index Portfolio (Cont'd)
From Incep
tion
Year EndedApril 15,
1998
September 30,Thro
ugh
Capital Share Activity
1999 September 30, 1998
Shares sold:
Class A Shares 510,134 346,063
Class B Shares 192,698 72,487
Class C Shares 131,088 31,384
Class I Shares 2,095 1,101,064
Reinvestment of distributions:
Class A Shares 1,166 ----
Class I Shares 3,084 ----
Shares redeemed:
Class A Shares (107,827)(21,145)
Class B Shares (19,076) (215)
Class C Shares (12,853) (2,021)
Class I Shares (856) (1,057)
Total capital share activity
699,653 1,526,560
See notes to financial statements.
<PAGE>
Notes to Financial Statements
Note A -- Significant Accounting Policies
General: The Calvert Social Investment Fund
(the "Fund") is registered under the
Investment Company Act of 1940 as an open-
end management investment company. The Fund
operates as a series fund with five separate
portfolios: Money Market, Balanced, Bond,
Equity and Managed Index. Money Market,
Balanced, Equity and Managed Index are
registered as diversified portfolios and
Bond as a non-diversified portfolio. Money
Market shares are sold
without sales charge. Balanced, Bond, Equity
and Managed Index have Class A, Class B and
Class C shares. Balanced and Managed Index
also have
Class I shares. Class A shares are sold with
a maximum front-end sales
charge of 4.75% (3.75% for Bond). Class B
shares are sold without a front-
end sales charge. With certain exceptions,
the Fund will impose a deferred sales charge
at the time of redemption, depending on how
long you have owned the shares. Class C
shares are sold without a front-end sales
charge. With certain exceptions, the Fund
will impose a deferred sales charge on
shares sold within one year of purchase.
Class B and Class C shares have higher level
of expenses than Class A shares. Effective
March 1, 1999, Balanced began to offer Class
I shares. Class I shares require a minimum
account balance of $1,000,000. Class I
shares have no front-end or deferred sales
charge. Each class has different: (a)
dividend rates, due to Distribution Plan
expenses and other class-specific expenses,
(b) exchange privileges and (c) class-
specific voting rights.
Security Valuation: Securities listed or
traded on a national securities exchange are
valued at the last reported sale price.
Unlisted securities and listed securities
for which the last sale price is not
available are valued at the most recent bid
price or based on a yield equivalent
obtained from the securities' market maker.
Municipal securities are valued utilizing
the average of bid prices or at bid prices
based on a matrix system (which considers
such factors as security prices, yields,
maturities and ratings) furnished by dealers
through an independent pricing service.
Foreign security prices, furnished by
quotation services in the security's local
currency, are translated using the current
U.S. dollar exchange rate. All securities
held by Money Market are valued at amortized
cost which approximates market. The Fund may
invest in securities whose resale is subject
to restrictions. Restricted securities and
other securities and assets for which market
quotations are not available or deemed
inappropriate are valued in good faith under
the direction of the
Board of Trustees.
In determining fair value, the Board
considers all relevant qualitative and
quantitative information available. These
factors are subject to change over time and
are reviewed periodically. The values
assigned to fair value investments are based
on available information and do not
necessarily represent amounts that might
ultimately be realized, since such amounts
depend on future developments inherent in
long-term investments. 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 of the investments
existed, and the differences could be
material.
The following securities were valued by the
Board of Trustees as of
September 30, 1999:
Total Investments% of Net Assets
Balanced $18,318,681
2.5%
Bond 533,633 0.7%
Equity 1,347,170
0.7%
<PAGE>
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.
Options: The Fund may write or purchase
option securities. The option premium is the
basis for recognition of unrealized or
realized gain or loss on the option. The
cost of securities acquired or the proceeds
from securities sold through the exercise of
the option is adjusted by the amount of the
premium. Risks from writing or purchasing
option securities arise from possible
illiquidity of the options market and the
movement in the value of the investment or
in interest rates. The risk associated with
purchasing options is limited to the premium
originally paid.
Futures Contracts: The Fund may enter into
futures contracts agreeing to buy or sell a
financial instrument for a set price at a
future date. The Fund maintains securities
with a value equal to its obligation under
each contract. Initial margin deposits of
either cash or securities are made upon
entering into futures contracts; thereafter,
variation margin payments are made or
received daily reflecting the change in
market value. Unrealized or realized gains
and losses are recognized based on the
change in market value. Risks
of futures contracts arise from the possible
illiquidity of the futures markets and the
movement in the value of the investment or
in interest rates.
Security Transactions and Investment Income:
Security transactions are accounted for on
trade date. Realized gains and losses are
recorded on an identified cost basis.
Dividend income is recorded on the ex-
dividend date or, in the case of dividends
on certain foreign securities, as soon as
the Fund is informed of the ex-dividend
date. Interest income, accretion of discount
and amortization of premium are recorded on
an accrual basis. 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.
Foreign Currency Transactions: The Fund's
accounting records are maintained in U.S.
dollars. For valuation of assets and
liabilities on each date of net asset value
determination, foreign denominations are
translated into U.S. dollars using the
current exchange rate. Security
transactions, income and expenses are
translated at the prevailing rate of
exchange on the date of the event. The
effect of changes in foreign exchange rates
on securities is included in the net
realized and unrealized gain or loss on
securities.
Distributions to Shareholders: Distributions
to shareholders are recorded by the Fund on
ex-dividend date. Dividends from net
investment income are accrued daily and paid
monthly by Money Market and Bond, quarterly
by Balanced and annually by Equity and
Managed Index. 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.
<PAGE>
Estimates: The preparation of the financial
statements in conformity with generally
accepted accounting principles requires
management to make estimates and assumptions
that affect the reported amount of assets
and liabilities and disclosure of contingent
assets and liabilities at the date of the
financial statements and the reported
amounts of income and expenses during the
reported period. Actual results could differ
from those estimates.
Expense Offset Arrangements: The Fund has an
arrangement with its custodian bank whereby
the custodian's and transfer agent's fees
are paid indirectly by credits earned on
each Portfolio's cash on deposit with the
bank. Such a deposit arrangement is an
alternative to overnight investments.
Federal Income Taxes: No provision for
federal income or excise tax is required
since the Fund intends to continue to
qualify as a regulated investment company
under the Internal Revenue Code and to
distribute substantially all of its
earnings.
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 Ameritas Acacia
Mutual Holding Company. The Advisor provides
investment advisory services and pays the
salaries and fees of officers and affiliated
Trustees of the Fund. For its services, the
Advisor receives monthly fees
based on the following annual rates of
average daily net assets:
10/1/98-2/28/9 EFFECTIVE3/1/99
Money Market .50% .30%
Bond .65% .35%
Balanced:
First $500 Million .70% .425%
Next $500 Million .675% .40%
Over $1 Billion .65% .375%
Equity .70%
.50%
Managed Index .60% .60%
Balanced paid a monthly performance fee of
plus or minus .15%, on an annual basis, of
average daily net assets of the performance
period depending on the Portfolio's
performance compared to Lipper Balanced Fund
Index. For the year ended September 30,
1999, the performance fee adjustment
decreased advisory fees by $161,637. Equity
paid a monthly performance fee of plus or
minus .20%, on an annual basis, of average
daily net assets of the performance period
depending on the Portfolio's performance
compared to Standard & Poor's 500 Index
Total Return. For the year ended September
30, 1999, the performance fee adjustment
decreased advisory fees by $109,437.
Performance fees for Balanced and Equity
were eliminated effective February 28, 1999.
The Advisor contractually reimbursed Money
Market, Bond and Index for expenses of
$17,277, $6,491 and $48,869, respectively.
Calvert Distributors, Inc., an affiliate of
the Advisor, is the distributor and
principal underwriter for the Fund.
Distribution Plans, adopted by Class A,
Class B, and Class C shares, allow the
Portfolios to pay the distributor for
expenses and services associated with
distribution of shares. The expenses of
Money Market are limited to .25% annually of
average daily net assets. The expenses paid
may not exceed .35%, 1.0%, and 1.0% annually
of average
<PAGE>
daily net assets of each Class A, Class B,
and Class C for Balanced, Bond and Equity,
respectively. The expenses paid may not
exceed .25%, 1.0%, and
1.0% annually of average daily net assets of
each Class A, Class B, and Class C for
Managed Index. Class I for Balanced and
Managed Index does not have Distribution
Plan expenses.
The Distributor received the following front-
end sales charges (net of dealer
reallowances and contingent deferred sales
charges): $267,918 for Balanced, $38,149 for
Bond, $122,535 for Equity, and $22,263 for
Managed Index.
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
$238,312, $266,598, $37,660, $135,017, and
$10,732 for the year ended September 30,
1999 for Money Market, Balanced, Bond,
Equity and
Managed Index, respectively. National
Financial Data Services, Inc., is the
transfer and dividend disbursing agent.
Calvert Administrative Services Company
(CASC), and affiliate of the Advisor,
provides administrative services for the
Fund. For providing such services, CASC
receives an annual fee, payable monthly,
from Managed
Index of 0.15% (0.10% for Class I shares) of
the average daily net assets. Effective
March 1, 1999 CASC receives a monthly fee
based on the following annual rates of
average daily net assets:
Money Market .20%
Balanced (Class A, B, & C) .275%
Balanced (Class I) .125%
Bond (Class A, B, & C) .30%
Equity (Class A, B, & C) .20%
Managed Index (Class A, B, & C) .15%
Managed Index (Class I) .10%
The Calvert Social Investment Foundation
("CSI Foundation") now provides certain
administrative services to the Fund. These
services include a due diligence review for
each potential organization which is being
considered for a high social impact
investment ("HSI investment"). The services
also include an annual review thereafter,
investment monitoring, quarterly reporting
to the Fund Board, notification of any event
of information that may affect the value of
an investment, and other incidental
services. For providing such services, the
CSI Foundation receives an annual fee, paid
quarterly of 1.00% of the Fund's average
daily net assets invested in HSI
investments.
Each Trustee of the Funds who is not
affiliated with the Advisor receives an
annual fee of $15,430 plus $600 for each
Board and Committee meeting attended.
Additional fees of up to $10,000 annually
may be paid to the Chairperson of special
committees of the Board. Trustee's fees are
allocated
to each of the funds in the series served.
Fusion Capital (formerly Umbono), an
affiliate of Balanced due to a 28% ownership
of the voting securities, was purchased at a
cost of $5,488,708 for 19,872,196 shares.
Note C -- Investment Activity
During the year, purchases and sales of
investments, other than short-term
securities, were:
Managed
Balanced Bond
Equity Index
Purchases: $1,264,724,538$386,678,292$88,5
51,953 $29,136,420
Sales: 1,312,979,894378,665,15284,967
,304 17,335,758
<PAGE>
Money Market held only short-term
investments.
The cost of investments owned at September
30, 1999 was substantially the same for
federal income tax and financial reporting
purposes for each Portfolio. The following
table presents the components of net
unrealized appreciation (depreciation) as of
September 30, 1999 and the net realized
capital loss carryforwards as of September
30, 1999 with expiration dates:
Money
Managed
Market Balanced Bond Equity
Index
Unrealized appreciation --
$92,845,565 $296,162
$43,738,685 $5,801,840
Unrealized (depreciation) --
24,594,525 1,810,83710,894,6412,278,866
Capital loss carryforward
$6,959 -- -- -- 492,447
Expiration dates
2002-2004 -- -- -- 2007
Capital losses may be utilized to offset
current and future capital gains until
expiration.
As a cash management practice, Portfolios
may sell or purchase short-term variable
rate demand notes from other Portfolios
managed by the Advisor.
For the year ended September 30, 1999, the
Fund effected transactions with other
Calvert Portfolios, which resulted in net
realized losses on sales of securities of
$583,167 for Balanced and $76,012 for Bond.
The purchases
and sales transactions, executed at
independently derived prices pursuant to
Rule 17a-7 under the Investment Company Act
of 1940, were:
Balanced Bond
Purchases $58,054,707
$10,297,125
Sales 15,984,750
7,464,700
Note D -- Line of Credit
A financing agreement is in place with all
Calvert Group Funds (except for
the Calvert Social Investment Fund Managed
Index Portfolio) and State Street Bank and
Trust Company ("the Bank"). Under the
agreement, the Bank is providing an
unsecured line of credit facility, in the
aggregate amount of $50 million ($25 million
committed and $25 million uncommitted), to
be
accessed by the Funds for temporary or
emergency purposes only.
Borrowings under this facility bear interest
at the overnight Federal Funds Rate plus
.50% per annum. A commitment fee of .10% per
annum will be incurred on the unused portion
of the committed facility which will be
allocated to all participating funds. The
Fund had no loans outstanding pursuant to
this line of credit at September 30, 1999.
Note E -- Subsequent Event
Effective November 1, 1999, Equity began to
offer Class I shares.
Tax Information (Unaudited)
The Fund designates $71,049,711 and $733,316
as 20% rate capital gain dividends paid
during the fiscal year ended September 30,
1999 for Balanced and Bond, respectively.
<PAGE>
Money Market Portfolio
Financial Highlights
Years Ended
September 30,September 30,Sept
ember 30,
1999 1998 1997
Net asset value, beginning $1.00 $1.00
$1.00
Income from investment operations
Net investment income.045 .049 .048
Distributions from
Net investment income(.045)(.049) (.048)
Net asset value, ending$1.00$1.00 $1.00
Total return* 4.54% 5.02%
4.89%
Ratios to average net assets:
Net investment income4.43%4.92% 4.79%
Total expenses .90% .94% 1.00%
Expenses before offsets .89% .89%
.89%
Net expenses .87% .87% .87%
Net assets, ending (in thousands) $193,941
$172,701 $166,111
Number of shares outstanding,
ending (in thousands)194,031172,739166,163
Years Ended
September 30,Sept
ember 30,
1996 1995
Net asset value, beginning $1.00
$1.00
Income from investment operations
Net investment income .048 .050
Distributions from
Net investment income (.048) (.050)
Net asset value, ending $1.00 $1.00
Total return* 4.88%
5.13%
Ratios to average net assets:
Net investment income 4.77% 5.03%
Total expenses 1.10% 1.07%
Expenses before offsets .89%
.89%
Net expenses .87% .87%
Net assets, ending (in thousands)
$166,516 $153,996
Number of shares outstanding,
ending (in thousands) 166,569 154,044
<PAGE>
Balanced Portfolio
Financial Highlights
Years Ended
September 30,September 30,Sept
ember 30,
Class A Shares 1999 1998 1997
Net asset value, beginning$32.45 $34.88
$31.35
Income from investment operations
Net investment income.68 .77 .83
Net realized and unrealized gain (loss)
3.03 .92 5.61
Total from investment operations
3.71 1.69 6.44
Distributions from
Net investment income(.66)(.76) (.81)
Net realized gain (3.36)(3.36) (2.10)
Total distributions(4.02)(4.12)(2.91)
Total increase (decrease) in net asset value
(.31) (2.43) 3.53
Net asset value, ending$32.14$32.45 $34.88
Total return* 11.52% 5.50%
21.94%
Ratios to average net assets:
Net investment income2.05%2.27% 2.57%
Total expenses 1.17% 1.13% 1.14%
Expenses before offsets 1.17% 1.13%
1.14%
Net expenses 1.15% 1.11% 1.12%
Portfolio turnover 175% 185% 215%
Net assets, ending (in thousands) $708,655
$673,907 $675,306
Number of shares outstanding,
ending (in thousands)22,04920,768 19,362
Years Ended
September 30,Sept
ember 30,
Class A Shares 1996 1995
Net asset value, beginning $32.81
$28.77
Income from investment operations
Net investment income .78 .87
Net realized and unrealized gain (loss)
2.28 4.25
Total from investment operations
3.06 5.12
Distributions from
Net investment income (.77) (.87)
Net realized gain (3.75) (.21)
Total distributions (4.52) (1.08)
Total increase (decrease) in net asset value
(1.46) 4.04
Net asset value, ending $31.35 $32.81
Total return* 10.27%
18.21%
Ratios to average net assets:
Net investment income 2.58% 2.89%
Total expenses 1.29% 1.30%
Expenses before offsets 1.28%
1.28%
Net expenses 1.26% 1.26%
Portfolio turnover 111% 114%
Net assets, ending (in thousands)
$594,482 $560,981
Number of shares outstanding,
ending (in thousands) 18,964 17,099
<PAGE>
Balanced Portfolio
Financial Highlights
Periods Ended
September 30,Sept
ember 30,
Class B Shares 1999 1998 #
Net asset value, beginning $32.38
$34.37
Income from investment operations
Net investment income .35 0.15
Net realized and unrealized gain (loss)
2.94 (1.90)
Total from investment operations
3.29 (1.75)
Distributions from
Net investment income (.34) (0.24)
Net realized gain (3.36) --
Total distributions (3.70) (0.24)
Total increase (decrease) in net asset value
(.41) (1.99)
Net asset value, ending $31.97 $32.38
Total return* 10.15%
(5.10%)
Ratios to average net assets:
Net investment income .85% 1.22% (a)
Total expenses 2.40% 3.59% (a)
Expenses before offsets 2.40%
2.43% (a)
Net expenses 2.38% 2.41% (a)
Portfolio turnover 175% 185%
Net assets, ending (in thousands)
$9,910 $2,540
Number of shares outstanding,
ending (in thousands) 310 78
<PAGE>
Balanced Portfolio
Financial Highlights
Years Ended
September 30,September 30,Sept
ember 30,
Class C Shares 1999 1998 1997
Net asset value, beginning$32.05 $34.52
$31.05
Income from investment operations
Net investment income.36 .41 .47
Net realized and unrealized gain (loss)
2.98 .89 5.54
Total from investment operations
3.34 1.30 6.01
Distributions from
Net investment income(.33)(.41) (.44)
Net realized gain(3.36) (3.36) (2.10)
Total distributions(3.69)(3.77)(2.54)
Total increase (decrease) in net asset value
(.35) (2.47) 3.47
Net asset value, ending$31.70$32.05 $34.52
Total return* 10.43% 4.35%
20.56%
Ratios to average net assets:
Net investment income1.04%1.16% 1.42%
Total expenses 2.19% 2.25% 2.29%
Expenses before offsets 2.19% 2.25%
2.29%
Net expenses 2.17% 2.23% 2.27%
Portfolio turnover 175% 185% 215%
Net assets, ending (in thousands) $13,646
$11,483 $8,898
Number of shares outstanding,
ending (in thousands)430 358 258
Years Ended
September 30,Sept
ember 30,
Class C Shares 1996 1995
Net asset value, beginning $32.60
$28.65
Income from investment operations
Net investment income .46 .54
Net realized and unrealized gain (loss)
2.17 4.20
Total from investment operations
2.63 4.74
Distributions from
Net investment income (.43) (.58)
Net realized gain (3.75) (.21)
Total distributions (4.18) (.79)
Total increase (decrease) in net asset value
(1.55) 3.95
Net asset value, ending $31.05 $32.60
Total return* 8.85%
16.85%
Ratios to average net assets:
Net investment income 1.34% 1.61%
Total expenses 2.66% 2.93%
Expenses before offsets 2.52%
2.51%
Net expenses 2.50% 2.50%
Portfolio turnover 111% 114%
Net assets, ending (in thousands)
$6,715 $4,065
Number of shares outstanding,
ending (in thousands) 216 125
<PAGE>
Balanced Portfolio
Financial Highlights
Period Ended
September 30,
Class I Shares 1999###
Net asset value, beginning $32.52
Income from investment operations
Net investment income .52
Net realized and unrealized gain (loss)
(.35)
Total from investment operations
.17
Distributions from
Net investment income (.56)
Total distributions (.56)
Total increase (decrease) in net asset value
(.39)
Net asset value, ending $32.13
Total return* .52%
Ratios to average net assets:
Net investment income 2.54% (a)
Total expenses .74% (a)
Expenses before offsets .74% (a)
Net expenses .73% (a)
Portfolio turnover 175%
Net assets, ending (in thousands)
$13,458
Number of shares outstanding,
ending (in thousands) 419
<PAGE>
Bond Portfolio
Financial Highlights
Years Ended
September 30,September 30,Sept
ember 30,
Class A Shares 1999 1998 1997
Net asset value, beginning$16.88 $16.64
$16.06
Income from investment operations
Net investment income.93 .95 .96
Net realized and unrealized gain (loss)
(.74) .41 .58
Total from investment operations
.19 1.36 1.54
Distributions from
Net investment income(.93)(.96) (.96)
Net realized gain (.55) (.16) --
Total distributions(1.48)(1.12) (.96)
Total increase (decrease) in net asset value
(1.29) .24 .58
Net asset value, ending$15.59$16.88 $16.64
Total return* 1.18% 8.46%
9.89%
Ratios to average net assets:
Net investment income5.79%5.69% 5.85%
Total expenses 1.13% 1.14% 1.23%
Expenses before offsets 1.13% 1.14%
1.23%
Net expenses 1.09% 1.07% 1.19%
Portfolio turnover 570% 620% 319%
Net assets, ending (in thousands) $66,944
$65,807 $59,656
Number of shares outstanding,
ending (in thousands)4,2953,897 3,585
Years Ended
September 30,Sept
ember 30,
Class A Shares 1996 1995
Net asset value, beginning $16.34
$15.49
Income from investment operations
Net investment income .92 .96
Net realized and unrealized gain (loss)
(.29) .91
Total from investment operations
.63 1.87
Distributions from
Net investment income (.91) (.93)
Net realized gain -- (.06)
Tax return of capital -- (.03)
Total distributions (.91) (1.02)
Total increase (decrease) in net asset value
(.28) .85
Net asset value, ending $16.06 $16.34
Total return* 3.96%
12.57%
Ratios to average net assets:
Net investment income 5.60% 6.04%
Total expenses 1.29% 1.24%
Expenses before offsets 1.29%
1.24%
Net expenses 1.26% 1.22%
Portfolio turnover 22% 29%
Net assets, ending (in thousands)
$62,259 $62,929
Number of shares outstanding,
ending (in thousands) 3,876 3,850
<PAGE>
Bond Portfolio
Financial Highlights
Periods Ended
September 30,Sept
ember 30
Class B Shares 1999 1998#
Net asset value, beginning $16.84
$16.69
Income from investment operations
Net investment income .74 .36
Net realized and unrealized gain (loss)
(.79) .19
Total from investment operations
(.05) .55
Distributions from
Net investment income (.71) (.40)
Net realized gain (.55)
Total distributions (1.26)
Total increase (decrease) in net asset value
(1.31) .15
Net asset value, ending $15.53 $16.84
Total return* (.29%)
3.36%
Ratios to average net assets:
Net investment income 4.43% 4.14% (a)
Total expenses 2.72% 8.08% (a)
Expenses before offsets 2.56%
2.55% (a)
Net expenses 2.50% 2.50% (a)
Portfolio turnover 570% 620%
Net assets, ending (in thousands)
$2,773 $557
Number of shares outstanding,
ending (in thousands) 179 33
Periods Ended
September 30,Sept
ember 30,
Class C Shares 1999 1998^^
Net asset value, beginning $16.84
$16.81
Income from investment operations
Net investment income .74 .21
Net realized and unrealized gain (loss)
(.80) .08
Total from investment operations
(.06) .29
Distributions from
Net investment income (.72) (.26)
Net realized gain (.55)
Total distributions (1.27)
Total increase (decrease) in net asset value
(1.33) .03
Net asset value, ending $15.51 $16.84
Total return* (.40%)
1.75%
Ratios to average net assets:
Net investment income 4.41% 4.06% (a)
Total expenses 2.85% 7.09% (a)
Expenses before offsets 2.55%
2.74% (a)
Net expenses 2.50% 2.50% (a)
Portfolio turnover 570% 620%
Net assets, ending (in thousands)
$1,779 $399
Number of shares outstanding,
ending (in thousands) 115 24
<PAGE>
Equity Portfolio
Financial Highlights
Years Ended
September 30,September 30,Sept
ember 30,
Class A Shares 1999 1998 1997
Net asset value, beginning$20.36 $27.77
$22.54
Income from investment operations
Net investment income(.07)(.04) --
Net realized and unrealized gain (loss)
6.78 (4.01) 6.73
Total from investment operations
6.71 (4.05) 6.73
Distributions from
Net investment income-- -- (.01)
Net realized gain (.01) (3.36) (1.49)
Total distributions(.01)(3.36) (1.50)
Total increase (decrease) in net asset value
6.70 (7.41) $5.23
Net asset value, ending$27.06$20.36 $27.77
Total return* 32.98% (15.70%)
31.34%
Ratios to average net assets:
Net investment income(.28%)(.14%) .03%
Total expenses 1.22% 1.16% 1.21%
Expenses before offsets 1.22% 1.16%
1.21%
Net expenses 1.10% 1.07% 1.20%
Portfolio turnover 51% 110% 93%
Net assets, ending (in thousands) $166,716
$128,683 $147,002
Number of shares outstanding,
ending (in thousands)6,1606,320 5,294
Years Ended
September 30,Sept
ember 30,
Class A Shares 1996 1995
Net asset value, beginning $21.12
$20.13
Income from investment operations
Net investment income .03 .06
Net realized and unrealized gain (loss)
3.26 2.22
Total from investment operations
3.29 2.28
Distributions from
Net investment income (.06) (.04)
Net realized gain (1.81) (1.25)
Total distributions (1.87) (1.29)
Total increase (decrease) in net asset value
1.42 .99
Net asset value, ending $22.54 $21.12
Total return* 16.62%
12.43%
Ratios to average net assets:
Net investment income .15% .32%
Total expenses 1.29% 1.38%
Expenses before offsets 1.29%
1.38%
Net expenses 1.27% 1.36%
Portfolio turnover 118% 35%
Net assets, ending (in thousands)
$101,344 $90,951
Number of shares outstanding,
ending (in thousands) 4,496 4,307
<PAGE>
Equity Portfolio
Financial Highlights
Periods Ended
September 30,Sept
ember 30,
Class B Shares 1999 1998 #
Net asset value, beginning $20.26
$26.01
Income from investment operations
Net investment income (.15) (.09)
Net realized and unrealized gain (loss)
6.50 (5.66)
Total from investment operations
6.35 (5.75)
Distributions from
Net realized gain (.01) ----
Total increase (decrease) in net asset value
6.34 (5.75)
Net asset value, ending $26.60 $20.26
Total return* 31.37%
(22.11%)
Ratios to average net assets:
Net investment income (1.41%)(1.55%) (a)
Total expenses 2.43% 4.12% (a)
Expenses before offsets 2.43%
3.19% (a)
Net expenses 2.21% 2.56% (a)
Portfolio turnover 51% 110%
Net assets, ending (in thousands)
$8,038 $1,670
Number of shares outstanding,
ending (in thousands) 302 82
<PAGE>
Equity Portfolio
Financial Highlights
Years Ended
September 30,September 30,Sept
ember 30,
Class C Shares 1999 1998 1997
Net asset value, beginning$19.00 $26.37
$21.71
Income from investment operations.
Net investment income (loss)(.11) (.16)
(.05)
Net realized and unrealized gain (loss)
6.12 (3.85) 6.21
Total from investment operations
6.01 (4.01) 6.16
Distributions from
Net investment income-- -- (.01)
Net realized gain (.01) (3.36) (1.49)
Total distributions(.01)(3.36) (1.50)
Total increase (decrease) in net asset value
6.00 (7.37) 4.66
Net asset value, ending$25.00$19.00 $26.37
Total return* 31.66% (16.47%)
29.84%
Ratios to average net assets:
Net investment income (loss)(1.21%)(1.17%)
(1.08%)
Total expenses 2.22% 2.21% 2.31%
Expenses before offsets 2.22% 2.21%
2.31%
Net expenses 2.01% 2.09% 2.30%
Portfolio turnover 51% 110% 93%
Net assets, ending (in thousands) $10,413
$5,981 $6,249
Number of shares outstanding,
ending (in thousands)417 315 237
Years Ended
September 30,Sept
ember 30,
Class C Shares 1996 1995
Net asset value, beginning $20.66
$19.98
Income from investment operations.
Net investment income (.16) (.03)
Net realized and unrealized gain (loss)
3.04 2.05
Total from investment operations
2.88 2.02
Distributions from
Net investment income (.02) (.09)
Net realized gain (1.81) (1.25)
Total distributions (1.83) (1.34)
Total increase (decrease) in net asset value
1.05 .68
Net asset value, ending $21.71 $20.66
Total return* 14.85%
11.16%
Ratios to average net assets:
Net investment income (loss) (1.42%)
(.84%)
Total expenses 2.86% 3.58%
Expenses before offsets 2.86%
2.51%
Net expenses 2.85% 2.50%
Portfolio turnover 118% 35%
Net assets, ending (in thousands)
$2,996 $1,802
Number of shares outstanding,
ending (in thousands) 138 87
<PAGE>
Managed Index Portfolio
Financial Highlights
Periods Ended
September 30,Sept
ember 30,
Class A Shares 1999 1998 ##
Net asset value, beginning $13.54
$15.00
Income from investment operations
Net investment income .03 .02
Net realized and unrealized gain (loss)
3.31 (1.48)
Total from investment operations
3.34 (1.46)
Distributions from
Net investment income (.05) ----
Total increase (decrease) in net asset value
3.29 (1.46)
Net asset value, ending $16.83 $13.54
Total return* 24.68%
(9.73%)
Ratios to average net assets:
Net investment income .14% .42% (a)
Total expenses 1.59% 1.86% (a)
Expenses before offsets 1.31%
1.01% (a)
Net expenses 1.25% .95% (a)
Portfolio turnover 56% 27%
Net assets, ending (in thousands)
$12,257 $4,401
Number of shares outstanding,
ending (in thousands) 728 325
Periods Ended
September 30,Sept
ember 30,
Class B Shares 1999 1998 ##
Net asset value, beginning $13.48
$15.00
Income from investment operations
Net investment income (.11) (.03)
Net realized and unrealized gain (loss)
3.21 (1.49)
Total from investment operations
3.10 (1.52)
Total increase (decrease) in net asset value
3.10 (1.52)
Net asset value, ending $16.58 $13.48
Total return* 23.00%
(10.13%)
Ratios to average net assets:
Net investment income (1.11%)(.98%) (a)
Total expenses 2.67% 5.61% (a)
Expenses before offsets 2.56%
2.56% (a)
Net expenses 2.50% 2.50% (a)
Portfolio turnover 56% 27%
Net assets, ending (in thousands)
$4,078 $975
Number of shares outstanding,
ending (in thousands) 246 72
<PAGE>
Managed Index Portfolio
Financial Highlights
Periods Ended
September 30,Sept
ember 30,
Class C Shares 1999 1998 ^^
Net asset value, beginning $13.52
$14.52
Income from investment operations
Net investment income (.09) (.02)
Net realized and unrealized gain (loss)
3.19 (.98)
Total from investment operations
3.10 (1.00)
Total increase (decrease) in net asset value
3.10 (1.00)
Net asset value, ending $16.62 $13.52
Total return* 22.93%
(6.89%)
Ratios to average net assets:
Net investment income (1.12%)(.96%) (a)
Total expenses 2.68% 4.82% (a)
Expenses before offsets 2.56%
2.56% (a)
Net expenses 2.50% 2.50% (a)
Portfolio turnover 56% 27%
Net assets, ending (in thousands)
$2,454 $397
Number of shares outstanding,
ending (in thousands) 148 29
Periods Ended
September 30,Sept
ember 30,
Class I Shares 1999 1998 ##
Net asset value, beginning $13.54
$15.00
Income from investment operations
Net investment income .11 .04
Net realized and unrealized gain (loss)
3.29 (1.50)
Total from investment operations
3.40 (1.46)
Distributions from
Net investment income (.05) ----
Total increase (decrease) in net asset value
3.35 (1.46)
Net asset value, ending $16.89 $13.54
Total return* 25.09%
(9.73%)
Ratios to average net assets:
Net investment income .65% .54% (a)
Total expenses .91% 1.03% (a)
Expenses before offsets .81%
.81% (a)
Net expenses .75% .75% (a)
Portfolio turnover 56% 27%
Net assets, ending (in thousands)
$18,652 $14,897
Number of shares outstanding,
ending (in thousands) 1,104 1,100
(a) Annualized
* Total return is not annualized for periods
less than one year and does not reflect
deduction of any front-end or deferred sa
les charge.
# From April 1, 1998 inception.
^ From March 1, 1994 inception.
^^ From June 1, 1998 inception.
## From April 15, 1998 inception.
### From March 1, 1999 inception.
<PAGE>
Calvert Group and the Year 2000
Three years ago, Calvert Group recruited a
task force to address the Y2K compliance
problem. Headed by our Vice President of
Information Technology, the task force
developed a comprehensive Year 2000
Initiative that addressed all software and
hardware systems that could possibly be
susceptible to year-2000 problems.
Today we can report that we have completed
100 percent of our year-2000 Initiative and
are currently monitoring our systems to
ensure that they will remain compliant.
These are just some of the steps Calvert
Group has taken over the past 36 months:
Inventory. To safeguard our inventory
systems we documented all hardware and sof
tware systems used by Calvert Group.
Assessment. Our system engineers made
an extensive
evaluation of the readiness of each system
and its susceptibility to year-2000
problems.
Remediation. We have modified
software codes, upgraded hardware, improved
data interfaces and applied upgrades.
Testing. We have deployed year-2000
test environments and executed test plans
with dates from 1999 through 2000 and
beyond.
Implementation. We have released our
modified software, deployed upgraded
hardware and coordinated with business
partners where data interfaces have changed.
Vendor Compliance. All significant
third-party vendors, including subadvisors,
have been contacted and reported Y2K
compliance.
Finally, Calvert Group will re-test
continuously through the remainder of
1999 and into 2000 to ensure that operating
platforms, third-party software, and
interfaces to other systems remain stable
throughout the rollover to the year 2000.
If you have any questions regarding the Year
2000 issue, please send e-mail
to [email protected] or call
1.800.368.2748.
Calvert Group's Web site, www.calvert.com
and our Voice Response Unit (800.368.2745)
will be operational Saturday, January 1,
2000 and completely updated to include all
account activity through year-end 1999. We
encourage you to use either system to verify
the status of your account. A customer
service representative will be available to
assist you Monday, January 3, 2000.
<PAGE>
