The impact metrics measure each portfolio’s exposure to key impact metrics in comparison to its benchmark. These impact metrics are based significantly on data self-reported by companies or estimated by data vendors based on their proprietary methodologies. Due to limitations in uniform reporting standards and inconsistent participation by companies, impact data coverage will vary, in some cases significantly.
For Carbon Emissions, Fossil Fuel Reserves, Tobacco Exposure, and Toxic Emissions impact metrics, data is sourced from MSCI. Landfill Waste and Water Usage data is sourced from TruCost. All calculations are applied to holdings information as of most recent quarter-end.
For Carbon Emissions, Landfill Waste, and Water Usage, portfolio level metrics are calculated with an assumed $1 million invested in the strategy to normalize volume of emissions between Calvert strategies and their respective benchmarks.
CARBON EMISSIONS (Source: MSCI): Carbon Emissions are the total volume of greenhouse gas emissions emitted in metric tons per financial unit invested. For each company, carbon emissions are calculated using the company’s most recently reported or estimated total Scope 1 and Scope 2 emissions from the last three years. Scope 1 emissions are those from sources controlled or owned by the company. Scope 2 emissions are those caused by the generation of electricity purchased by the company.
FOSSIL FUEL RESERVES (Source: MSCI): Exposure to Fossil Fuel Reserves reflects the total weight of the strategy companies that have ownership of fossil fuel reserves, regardless of their industries, including companies that own less than 50% of a reserves field. Fossil reserves are defined as proved and probable reserves for coal and proved reserves for oil and natural gas. Evidence of owning reserves includes companies providing the exact volume of reserves, and companies making a statement about their ownership of reserves.
LANDFILL WASTE (Source: TruCost): Landfill Waste is the total volume of waste generated in tons per financial unit invested. For each company, landfill waste is measured by the volume of waste that is generated by the company and is disposed in landfills.
TOBACCO (Source: MSCI): Exposure to Tobacco is calculated by the weighted average of assets under management and the recent-year reported or estimated company revenues from the manufacture of tobacco products.
TOXIC EMISSIONS (Source: MSCI): Exposure to Toxic Emissions represents the total volume of combined emissions from nitrogen oxides (NOx), sulfur oxides (SOx), and Volatile Organic Compounds (VOC) produced by companies. For each company, toxic emissions are calculated by the combined company-reported NOx, SOx, and VOC emissions.
WATER USAGE (Source: Trucost): Water Usage is the total volume of water consumed and purchased in cubic meters per financial unit invested. For each company, water usage is measured by the total volume of water directly abstracted and the volume of water purchased from utility companies.
ENGAGEMENT (Source: Calvert and Institutional Shareholder Services (ISS)): Derived from quarterly NPX filings (SEC-recorded proxy votes), 01/01/2017-12/31/2017. Engagement reflects the percentage of votes that are in favor of a proposed resolution on the subject of "Climate Change" and "Gender Pay Equality" as categorized by ISS. Votes of the following Calvert Funds are represented: US Large-Cap Core Responsible Index Fund, Calvert US Large-Cap Growth Responsible Index Fund, Calvert US Mid-Cap Core Responsible Index Fund, Calvert International Responsible Index Fund and Calvert US Large Cap Value Responsible Index Fund.
Portfolio and Index Coverage (as of 9/30/2022) To evaluate the coverage level in both the portfolio and the index, a coverage % is provided, where applicable. Coverage indicates how much of the portfolio or index is represented by that metric. For example, coverage of 83% means that the impact metric represents approximately 83% of the portfolio or index’s holdings.
*The fund typically invests between 50-75% of its net assets in equity securities. Due to ESG data limitations still relevant to many fixed-income securities, the impact metrics and coverage data are based only on the equity holdings of the portfolio.
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