|
PERFORMANCE
Average Annual Returns (%) for Period Ended 3/31/2013
|
| |
QTR |
YTD |
1 YEAR |
3 YEARS |
5 YEARS |
10 YEARS |
SINCE
INCEPTION |
INCEPTION
DATE |
|
I Shares
|
5.60 |
5.60 |
7.66 |
9.28 |
5.04 |
6.43 |
3.53 |
2/26/1999 |
| Russell 1000 Index |
10.96 |
10.96 |
14.43 |
12.93 |
6.15 |
8.97 |
4.04 |
|
| Balanced Composite Index |
6.51 |
6.51 |
11.46 |
10.90 |
6.70 |
7.77 |
5.02 |
|
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Index reflects no deductions for fees or expenses. An investor cannot invest directly in an index. Visit www.calvert.com to obtain performance data current to the most recent month-end. Returns for periods of less than one year are not annualized.
Equity Portfolio Performance Attribution |
Equity Managers: |
New Amsterdam Partners LLC (Sub-Advisor), Profit Investment Management (Sub-Advisor), |
| RISK MEASURES (3-Year)As of 3/31/2013 |
| |
PORTFOLIO |
BENCHMARK |
| STANDARD DEVIATION |
8.57% |
15.34% |
| ALPHA |
1.96% |
0.00% |
| BETA |
0.55 |
1.00 |
| EXCESS RETURN |
-3.65% |
0.00% |
| R-SQUARED |
96.13% |
100.00% |
| TRACKING ERROR |
7.14% |
0.00% |
| INFORMATION RATIO |
-0.51 |
0.00 |
| SHARPE RATIO |
1.07 |
0.84 |
Source: Zephyr StyleAdvisor using MorningstarTM and/or Lipper data.
| SECTOR WEIGHTS3/31/2013 |
| |
PORTFOLIO |
BENCHMARK |
+ / - |
| INFORMATION TECHNOLOGY |
21.31%
|
17.37%
|
3.93%
|
| CONSUMER DISCRETIONARY |
15.40%
|
12.42%
|
2.98%
|
| HEALTH CARE |
14.73%
|
12.28%
|
2.45%
|
| FINANCIALS |
12.87%
|
16.65%
|
-3.78%
|
| INDUSTRIALS |
11.15%
|
10.94%
|
0.21%
|
| CONSUMER STAPLES |
9.09%
|
10.05%
|
-0.96%
|
| ENERGY |
7.13%
|
10.24%
|
-3.11%
|
| MATERIALS |
3.95%
|
3.74%
|
0.21%
|
| TELECOMM SERVICES |
2.19%
|
2.79%
|
-0.60%
|
| UTILITIES |
2.19%
|
3.52%
|
-1.34%
|
| TOP HOLDINGSAs of 3/31/2013 |
| Holding |
% of Net Assets |
| CIGNA CORP |
1.49% |
| GOOGLE INC CL A |
1.49% |
| INTERCONTINENTALEXCHANGE INC |
1.47% |
| EMC CORP/MA |
1.45% |
| PIONEER NATURAL RESOURCES CO |
1.39% |
| CAMERON INTERNATIONAL CORP |
1.38% |
| EXPRESS SCRIPTS HOLDING CO |
1.37% |
| CUMMINS INC |
1.34% |
| WHITING PETROLEUM CORP |
1.32% |
| TRAVELERS COS INC/THE |
1.30% |
| Total |
14.01% |
The Fund may or may not still invest in, and no action is recommended
on, companies listed. For the most recently available information on the Fund's
holdings, visit
www.calvert.com.
| MARKET CAPITALIZATIONAs of 3/31/2013 ($ Millions) |
| |
PORTFOLIO |
BENCHMARK |
| Weighted Average |
50,418.4 |
89,037.7 |
| Median |
20,911.0 |
6,057.0 |
| Weighted Median |
21,930.4 |
45,840.3 |
Source: Analysis performed by FactSet.
| VALUATIONKey Portfolio Statistics as of 3/31/2013 |
| |
1 YEAR P/E |
3 YEAR EPS GROWTH |
RETURN ON
EQUITY |
PRICE TO
CASH FLOW |
PRICE TO
BOOK |
Dividend
Yield |
| PROJECTED |
TRAILING |
PROJECTED |
TRAILING |
| Calvert Balanced Portfolio |
14.8 |
17.1 |
12.8% |
25.4% |
22.8% |
11.0 |
3.0 |
1.2 |
| Russell 1000 Index |
14.5 |
15.9 |
10.9% |
27.3% |
18.2% |
10.0 |
2.4 |
2.1 |
Source: Analysis performed by FactSet.
| PERFORMANCE ATTRIBUTIONRelative to the Russell 1000 Index for the quarter ending 3/31/2013 |
|
| TOP CONTRIBUTORS BY SECTORQuarter ended 3/31/2013 |
| Sector |
Average Weight |
Return |
Contribution |
| Health Care |
14.25% |
13.58% |
1.87% |
| Financials |
12.62% |
12.98% |
1.60% |
| Consumer Staples |
8.66% |
18.00% |
1.49% |
| Consumer Discretionary |
15.15% |
7.82% |
1.21% |
| Industrials |
11.39% |
9.69% |
1.11% |
| BOTTOM CONTRIBUTORS BY SECTORQuarter ended 3/31/2013 |
| Sector |
Average Weight |
Return |
Contribution |
| Telecomm Services |
2.34% |
-4.07% |
-0.09% |
| Utilities |
2.17% |
12.35% |
0.26% |
| Materials |
3.84% |
9.28% |
0.36% |
| Information Technology |
22.50% |
3.53% |
0.84% |
| Energy |
7.06% |
14.90% |
1.00% |
| TOP CONTRIBUTORS BY HOLDINGQuarter ended 3/31/2013 |
| Holding |
Average Weight |
Return |
Contribution |
| IntercontinentalExchange Inc. |
2.35% |
31.71% |
0.66% |
| Walgreen Co. |
1.82% |
29.68% |
0.50% |
| Church & Dwight Co. |
2.11% |
21.21% |
0.42% |
| Cigna Corporation |
2.52% |
16.74% |
0.40% |
| Google Inc. Cl A |
3.03% |
11.93% |
0.40% |
| BOTTOM CONTRIBUTORS BY HOLDINGQuarter ended 3/31/2013 |
| Holding |
Average Weight |
Return |
Contribution |
| Apple Inc. |
2.34% |
-16.49% |
-0.50% |
| Ulta Salon Cosmetics & Frg Inc. |
1.73% |
-17.39% |
-0.32% |
| EMC Corp. |
2.65% |
-5.57% |
-0.17% |
| CenturyLink Inc. |
1.72% |
-8.80% |
-0.15% |
| F5 Networks Inc. |
1.58% |
-8.31% |
-0.13% |
Source: Analysis performed by FactSet.
Equity holdings only.
Return calculation is based on daily holding periods and excludes all fund expenses and trading costs.
Portfolio weight is calculated as the average weight over the quarter.
The performance data quoted represents past
performance, which does not guarantee future results. Current performance may
differ from that shown. The statistical information above is taken from sources
believed to be reliable but cannot be guaranteed as to accuracy.
| 10 BEST PERFORMERS FOR THE QUARTER as of 3/31/2013 |
| Rank |
Company |
Industry |
Return |
| 1 |
HCA Holdings Inc. |
Health Care |
34.67% |
| 2 |
ManpowerGroup |
Industrials |
33.65% |
| 3 |
IntercontinentalExchange Inc. |
Financials |
31.71% |
| 4 |
Symantec Corp. |
Information Technology |
31.21% |
| 5 |
Walgreen Co. |
Consumer Staples |
29.68% |
| 6 |
Genuine Parts Co. |
Consumer Discretionary |
23.59% |
| 7 |
CareFusion Corp. |
Health Care |
22.43% |
| 8 |
B/E Aerospace Inc. |
Industrials |
22.04% |
| 9 |
Hershey Co. |
Consumer Staples |
21.83% |
| 10 |
Church & Dwight Co. |
Consumer Staples |
21.21% |
| 10 WORST PERFORMERS FOR THE QUARTER as of 3/31/2013 |
| Rank |
Company |
Industry |
Return |
| 1 |
Ulta Salon Cosmetics & Frg Inc. |
Consumer Discretionary |
-17.39% |
| 2 |
Apple Inc. |
Information Technology |
-16.49% |
| 3 |
Akamai Technologies Inc. |
Information Technology |
-13.74% |
| 4 |
CenturyLink Inc. |
Telecomm Services |
-8.80% |
| 5 |
F5 Networks Inc. |
Information Technology |
-8.31% |
| 6 |
Monster Beverage Corp. |
Consumer Staples |
-7.79% |
| 7 |
EMC Corp. |
Information Technology |
-5.57% |
| 8 |
Capital One Financial Corp. |
Financials |
-5.06% |
| 9 |
Jabil Circuit Inc. |
Information Technology |
-3.81% |
| 10 |
Green Mountain Coffee Roasters Inc. |
Consumer Staples |
-2.83% |
Fixed Income Portfolio Performance Attribution |
Fixed Income Manager: |
Calvert Investment Management, Inc. (Advisor), |
| TOP HOLDINGSAs of 3/31/2013 |
| Holding |
% of Net Assets |
| US TREASURY N/B |
2.16% |
| FREDDIE MAC |
1.40% |
| US TREASURY N/B |
1.07% |
| CALVERT SOCIAL FOUNDATION NOTE |
0.78% |
| JPMORGAN CHASE + CO |
0.64% |
| FNMA TBA 3PCT APR 30YR |
0.49% |
| US TREASURY N/B |
0.46% |
| AMERICAN EXPR CENTURION |
0.44% |
| ROYAL BANK OF CANADA |
0.42% |
| SAFEWAY INC |
0.42% |
| Total |
8.28% |
The Fund may or may not still invest in, and no action is recommended
on, companies listed. For the most recently available information on the Fund's
holdings, visit
www.calvert.com.
| PORTFOLIO STATISTICSAs of 3/31/2013 |
| |
PORTFOLIO |
BENCHMARK |
| EFFECTIVE DURATION |
6.06 YRS |
6.97 YRS |
WEIGHTED AVERAGE
EFFECTIVE MATURITY |
8.15 YRS |
10.16 YRS |
| WEIGHTED AVERAGE PRICE |
102.56 |
113.17 |
| # OF FIXED INCOME HOLDINGS |
244 |
5294 |
| SECTOR WEIGHTSAs of 3/31/2013 |
| |
PORTFOLIO |
BENCHMARK |
| CORPORATE |
68.26%
|
79.73%
|
| GOVERNMENT RELATED |
8.32%
|
20.24%
|
| SECURITIZED |
8.11%
|
-
|
| TREASURY |
10.12%
|
-
|
| CASH AND CASH EQUIVALENTS |
4.43%
|
-
|
| OTHER |
0.78%
|
-
|
| TOTAL |
100%
|
100%
|
| EFFECTIVE DURATIONAs of 3/31/2013 |
| Years |
Percentage |
| 0-1 |
20.90% |
| 1-2 |
4.89% |
| 2-3 |
3.67% |
| 3-5 |
14.06% |
| 5-7 |
9.67% |
| 7-9 |
30.08% |
| 9+ |
16.71% |
| TOTAL |
100% |
| EFFECTIVE MATURITY DISTRIBUTIONAs of 3/31/2013 |
| Years |
Percentage |
|
0-1 |
15.60% |
|
1-3 |
10.65% |
|
3-5 |
13.98% |
|
5-7 |
9.93% |
|
7-10 |
35.50% |
|
10-20 |
5.15% |
|
20-30 |
7.86% |
|
30+ |
1.30% |
| TOTAL |
100% |
Source: Analysis performed by FactSet.
ANALYSIS
By
Calvert Investment Management, Inc. (Advisor)
New Amsterdam Partners LLC (Sub-Advisor)
Profit Investment Management (Sub-Advisor)
|
|
Equities:
In the first quarter of 2013, the Portfolio’s stock holdings had a strong absolute gain but underperformed the Russell 1000 Index. Both stock selection and sector positioning detracted somewhat from relative results, particularly an underweight to the surging Consumer Staples sector.
Among the Portfolio’s major stock contributors were holdings in the Energy and Consumer Staples sectors. Energy holding Pioneer Natural Resources (up 16.6% for the quarter) rose in concert with improving commodity prices. In Consumer Staples, Walgreen (up 29.7%) advanced on robust earnings and recent successful partnerships. Also within Consumer Staples, Church & Dwight (up 21.2%) benefited from solid volume growth. Another key contributor was Financials holding IntercontinentalExchange (up 31.7%), which was buoyed by optimism surrounding its proposed acquisition of New York Stock Exchange operator NYSE Euronext.
Leading detractors included stock selections in the Consumer Discretionary, Industrials, and Information Technology sectors. In Consumer Discretionary, Ulta Beauty (down 17.3%) traded lower on disappointing earnings and the resignation of its CEO. Industrials holding Deere (up 0.1%) moved sideways on slumping grain prices. In the Information Technology sector, F5 Networks (down 8.3%) slipped as its security initiatives failed to impress and a senior sales executive resigned.
Fixed Income:
An allocation to high-yield bonds during a quarter when high-yield securities outperformed investment-grade debt helped the fixed-income portion of the Portfolio outpace its bond market benchmark, the Barclays U.S. Credit Index (which does not include high-yield bonds). The Portfolio’s high-yield holdings generally tend to be on the higher end of the high-yield credit quality range. As of December 31, 2012, high-yield bonds accounted for 5.78% (not including non-rated bonds) of the net assets of the Portfolio’s fixed-income allocation.
A short duration2 relative to the Barclays U.S. Credit Index also helped the relative performance of the Portfolio’s bond allocation. This conservative interest-rate positioning helped cushion the negative effects of a slight increase in interest rates during the quarter. As of the beginning of the first quarter, the Portfolio’s duration was 5.82 years while the duration of the Barclays U.S. Credit Index was 7.05 years.
During the quarter, the portfolio managers continued to selectively add asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) to the Portfolio. These structured bonds should increase the diversification level of the Portfolio and potentially help offset the negative impact of a sustained sell-off in the corporate bond market, should one occur.
High-yield, high risk bonds, which are rated below investment grade, can involve a substantial risk of loss because they have a greater risk of issuer default and are subject to greater price volatility than investment-grade bonds.
|
As of March 31, 2013, Calvert Balanced Portfolio’s holdings included Pioneer Natural Resources (1.39% of the Portfolio’s net assets), Walgreen (1.25%), Church & Dwight (1.29%), IntercontinentalExchange (1.47%), NYSE Euronext (0%), Ulta Beauty (0.86%), Deere (1.25%), and F5 Networks (0.80%). Calvert may or may not still invest in, and is not recommending any action on, companies listed. For the most recently available
information on individual holdings in each Calvert fund, visit www.calvert.com/fundHoldings.html. Current and future portfolio holdings are subject to
market risk.
Investment in mutual funds involves risk, including possible loss of principal invested. You could lose money on your investment in the Fund or the Fund could underperform because of the following risks: the market prices of stocks or bonds held by the Fund may fall; individual investments of the Fund may not perform as expected; and/or the Fund’s portfolio management practices may not achieve the desired result.
* Negative Cash positions may occur as the result of varying settlement schedules for securities.
From June 30, 2003 to December 27, 2004, there were no Class I shareholders in Calvert Balanced Portfolio. Performance results for the Fund during this period reflect the performance of Class A shares at NAV (i.e., without deduction of any front-end sales charge). Actual Class I share performance would have been higher than Class A share performance because Class I, unlike Class A, has no Rule 12b-1 fees.
Holdings are subject to change.
Ratings are determined by using S&P, Moody's and Fitch rating services, whose rating categories are reflected above respectively. The letter ratings generally range from AAA (judged to be of the highest quality, with minimal credit risk) to D (the lowest rated class of bonds, typically in default with respect to timely payment of principal or interest). Bonds rated by all three services are assigned the median rating; if a bond is rated by only two agencies, it is assigned the lowest rating; if it is only rated by one agency, it is assigned that rating. Government securities may be rated lower than AAA/Aaa/AAA or may not be rated, and may include foreign government securities. If a bond is not rated by any of the aforementioned rating services, it appears in the "Not Rated" category. Ratings are subject to change.
Net assets include all share classes.
Calvert funds are available at NAV for RIAs and Wrap Programs. Not all funds available at all firms.
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I800ATT
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FOR INSTITUTIONAL INVESTOR AND BROKER/DEALER USE ONLY. NOT FOR PUBLIC DISTRIBUTION. |
