Morgan
Stanley
ETF
Trust
Calvert
US
Select
Equity
ETF
NYSE
Arca:
CVSE
Annual
Report
September
30,
2023
Morgan
Stanley
ETF
Trust
Annual
Report
September
30,
2023
Table
of
Contents
(unaudited)
1
This
report
is
authorized
for
distribution
only
when
preceded
or
accompanied
by
a
prospectus
or
summary
prospectus
of
the
applicable
Fund
of
Morgan
Stanley
ETF
Trust.
To
receive
a
prospectus
and/or
statement
of
additional
information
(“SAI”),
which
contains
more
complete
information
such
as
investment
objectives,
charges,
expenses,
policies
for
voting
proxies,
risk
considerations
and
describes
in
detail
each
of
the
Fund’s
investment
policies
to
the
prospective
investor,
please
call
toll
free
1
(800)
836-2414.
Please
read
the
prospectuses
carefully
before
you
invest.
Additionally,
you
can
access
Fund
information
including
performance,
characteristics
and
investment
team
commentary,
through
Morgan
Stanley
Investment
Management’s
website:
www.calvert.com.
Market
forecasts
provided
in
this
report
may
not
necessarily
come
to
pass.
There
is
no
guarantee
that
any
sectors
mentioned
will
continue
to
perform
as
discussed
herein
or
that
securities
in
such
sectors
will
be
held
by
the
Fund
in
the
future.
There
is
no
assurance
that
a
fund
will
achieve
its
investment
objective.
Funds
are
subject
to
market
risk,
which
is
the
possibility
that
market
values
of
securities
owned
by
the
Fund
will
decline
and,
therefore,
the
value
of
the
Fund’s
shares
may
be
less
than
what
you
paid
for
them.
Accordingly,
you
can
lose
money
investing
in
this
Fund.
Please
see
the
prospectus
for
more
complete
information
on
investment
risks.
Shareholders’
Letter
........................................................................................
2
Expense
Example
...........................................................................................
3
Investment
Overview
........................................................................................
4
Portfolio
of
Investments
.....................................................................................
6
Statement
of
Assets
and
Liabilities
..........................................................................
9
Statement
of
Operations
....................................................................................
10
Statement
of
Changes
in
Net
Assets
........................................................................
11
Financial
Highlights
.........................................................................................
12
Notes
to
Financial
Statements
...............................................................................
13
Report
of
Independent
Registered
Public
Accounting
Firm
....................................................
18
Federal
Tax
Notice
..........................................................................................
19
Important
Notices
..........................................................................................
20
U.S.
Customer
Privacy
Notice
...............................................................................
21
Trustees
and
Officers
Information
...........................................................................
24
2
Annual
Report
September
30,
2023
Shareholders’
Letter
(unaudited)
Morgan
Stanley
ETF
Trust
Dear
Shareholders,
We
are
pleased
to
provide
this
Annual Report,
in
which
you
will
learn
how
your
investment
in Calvert
US
Select
Equity
ETF (the
“Fund”)
performed
during
the
period
beginning
January
30,
2023
(when
the
Fund
commenced
operations)
and
ended
September
30,
2023.
Morgan
Stanley
Investment
Management,
the
Fund's
investment
adviser, is
a
client-centric,
investor-led
organization.
Our
global
presence,
intellectual
capital,
and
breadth
of
products
and
services
enable
us
to
partner
with
investors
to
meet
the
evolving
chal-
lenges
of
today’s
financial
markets.
We
aim
to
deliver
superior
investment
service
and
to
empower
our
clients
to
make
the
informed
decisions
that
help
them
reach
their
investment
goals.
As
always,
we
thank
you
for
selecting
Morgan
Stanley
Investment
Management,
and
look
forward
to
working
with
you
in
the
months
and
years
ahead.
Sincerely,
John
H.
Gernon
President
and
Principal
Executive
Officer
October
2023
3
Annual
Report
September
30,
2023
Expense
Example
(unaudited)
Calvert
US
Select
Equity
ETF
Morgan
Stanley
ETF
Trust
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transactional
costs;
and
(2)
ongoing
costs,
which
may
include man-
agement
fees,
and
distribution
and
shareholder
services
fees.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
This
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
six-month
period
ended
September
30,
2023 and
held
for
the
entire
six-month
period.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
table,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
table
under
the
heading
entitled
“Actual
Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical Example
for
Comparison
Purposes
The
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds. 
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
sales
charges
(loads).
Therefore,
the
information
for
each
class
in
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Beginning
Account
Value
(
4/1/23
)
Actual
Ending
Account
Value
(9/30/23)
Hypothetical
Ending
Account
Value
Actual
Expenses
Paid
During
Period
*
Hypothetical
Expenses
Paid
During
Period
*
Net
Expense
Ratio
During
Period
**
Calvert
US
Select
Equity
ETF
$1,000.00
$1,016.60
$1,023.61
$1.47
$1.47
0.29%
*
Expenses
are
calculated
using
the
Fund’s
annualized
net
expense
ratio
(as
disclosed),
multiplied
by
the
average
account
value
over
the
period
and
multiplied
by
183/365
(to
reflect
the
most
recent
one-half
year
period).
**
Annualized.
4
Annual
Report
September
30,
2023
Investment
Overview
(unaudited)
Calvert
US
Select
Equity
ETF
Morgan
Stanley
ETF
Trust
Economic
and
Market
Conditions
For
U.S.
equity
investors,
the
8-month
period
ended
September
30,
2023,
was
a
roller-coaster
ride,
driven
largely
by
shifting
perceptions
of
whether
the
U.S.
Federal
Reserve
(the
Fed)
could
bring
the
world’s
largest
economy
in
for
a
soft
landing,
and
changing
expectations
of
how
long
interest
rates
might
remain
high.
As
the
period
opened,
U.S.
stocks
were
in
the
midst
of
a
rally
that
lasted
through
July
2023.
The
initial
tailwind
was
ChatGPT,
an
artificial
intelligence
(AI)
application
that
led
investors
to
perceive
AI
might
become
the
next
big
innovation
to
drive
the
information
technology
(IT)
sector.
As
a
result,
IT
-
one
of
the
worst-performing
sectors
in
2022
-
became
the
standout
sector
during
the
first
half
of
2023.
Earlier
recession
fears
that
had
weighed
on
stock
prices
receded
as
many
inves-
tors
came
around
to
the
view
that
the
U.S.
economy
was
doing
surprisingly
well.
But
in
the
final
two
months
of
the
period,
the
bond
market
halted
the
stock
market’s
momentum.
As
it
became
clear
the
Fed
would
keep
interest
rates
higher
for
longer
than
investors
had
anticipated
just
a
few
months
earlier,
longer
term
bond
rates
rose.
Given
the
potential
for
relatively
attractive
returns
with
lower
risk
than
stocks,
many
investors
shifted
from
equity
assets
to
bonds,
and
stock
prices
ended
on
a
down
note
as
the
period
came
to
a
close.
For
the
period
as
a
whole,
however,
the
August-September
stock
market
retreat
did
not
totally
erase
previous
gains,
and
the
Russell
1000®
Index,
a
measure
of
U.S.
large-cap
stocks,
returned
a
respectable
7.55%.
Fund
Performance
For
the
8-month
period
from
inception
on
January
30,
2023,
through
September
30,
2023,
Calvert
US
Select
Equity
ETF
(the
Fund)
returned
3.00%
for
shares
based
on
net
asset
value
(NAV)
and
reinvestment
of
distributions
per
share,
net
of
fees.
The
Fund
underperformed
its
benchmark,
the
Russell
1000®
Index
(the
Index),
which
returned
7.55%.
Security
selections
in
the
Fund
detracted
most
from
returns
rel-
ative
to
the
Index
during
the
period.
Selections
in
the
consum-
er
discretionary,
financials,
and
communication
services
sectors
particularly
weighed
on
relative
performance.
Although
sector
allocations
overall
were
beneficial,
overweight
exposures
to
the
financials
and
real
estate
sectors
-
among
the
worst-performing
sectors
within
the
Index
during
the
period
-
also
detracted
from
relative
returns
during
the
period.
Within
the
Fund’s
sector
allocations,
an
overweight
exposure
to
the
information
technology
(IT)
sector
-
the
strongest
perform-
ing
sector
within
the
Index
during
the
period
-
was
especially
beneficial.
While
security
selections
overall
detracted,
selections
in
the
industrials
and
IT
sectors
also
contributed
to
relative
returns
during
the
period.
Annual
Report
September
30,
2023
Investment
Overview
(unaudited)
(cont’d)
Calvert
US
Select
Equity
ETF
5
Morgan
Stanley
ETF
Trust
Performance
data
quoted
represents
past
performance,
which
is
no
guaran-
tee
of
future
results,
and
current
performance
may
be
lower
or
higher
than
the
figures
shown.
Performance
assumes
that
all
dividends
and
distributions,
if
any,
were
reinvested.
For
the
most
recent
month-end
performance
figures,
please
visit
www.calvert.com.
Investment
return
and
principal
value
will
fluctu-
ate
so
that
Fund
shares,
when
sold
or redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Total
returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
selling
or
redemption
of
Fund
shares.
Fund's
total
returns
are
calculated
as
of
the
last
business
day
of
the
period.
*
Minimum
Investment.
**
The
Fund’s
performance
shown
assumes
that
all
recurring
fees
(including
management
fees)
were
deducted
and
all
dividends
and
distributions
were
reinvested.
***
Commenced
Operations
on
January
30,
2023.
Performance
Compared
to
the
Russell
1000
®
Index
(1)
Cumulative
Total
Return
for
the
period
Ended
September
30,
2023
Since
Inception
(2)
Calvert
US
Select
Equity
ETF
-
NAV
(3)
3.00%
Calvert
US
Select
Equity
ETF
-
Market
Price
(3)
2.98%
Russell
1000
®
Index
7.55%
(1)
The
Russell
1000
®
Index
is
an
unmanaged
index
of
1,000
U.S.
large-
cap
stocks.
The
Russell
1000
®
Index
is
an
index
of
approximately
1,000
of
the
largest
U.S.
companies
based
on
a
combination
of
market
capitalization
and
current
index
membership.
The
Index
is
unmanaged
and
its
returns
do
not
include
any
sales
charges
or
fees.
Such
costs
would
lower
performance.
It
is
not
possible
to
invest
directly
in
an
index.
(2)
For
comparative
purposes,
average
annual
since
inception
returns
listed
for
the
Indexes
refer
to
the
inception
date
of
the
Fund,
not
the
inception
of
the
Index.
(3)
Commenced
operations
on
January
30,
2023.
Annual
Report
September
30,
2023
Portfolio
of
Investments
Calvert
US
Select
Equity
ETF
6
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Common
Stocks
(99.8%)
Air
Freight
&
Logistics
(0.3%)
Expeditors
International
of
Washington,
Inc.
545
$
62,473
Automobiles
(0.8%)
General
Motors
Co.
5,367
176,950
Banks
(2.1%)
Citizens
Financial
Group,
Inc.
901
24,147
Fifth
Third
Bancorp
2,189
55,447
Huntington
Bancshares,
Inc.
5,268
54,787
KeyCorp
869
9,350
PNC
Financial
Services
Group,
Inc.
(The)
523
64,209
Regions
Financial
Corp.
2,124
36,533
Truist
Financial
Corp.
5,874
168,055
Webster
Financial
Corp.
1,435
57,845
470,373
Biotechnology
(2.8%)
Alnylam
Pharmaceuticals,
Inc.(a)
464
82,174
Amgen,
Inc.
1,001
269,029
Exact
Sciences
Corp.(a)
561
38,271
Gilead
Sciences,
Inc.
2,006
150,330
Moderna
,
Inc.(a)
63
6,507
Regeneron
Pharmaceuticals,
Inc.(a)
39
32,096
Vertex
Pharmaceuticals,
Inc.(a)
122
42,424
620,831
Broadline
Retail
(0.5%)
eBay,
Inc.
1,059
46,692
Etsy,
Inc.(a)
490
31,644
Macy's,
Inc.
3,092
35,898
114,234
Building
Products
(0.7%)
Owens
Corning
216
29,464
Trane
Technologies
plc
614
124,587
154,051
Capital
Markets
(4.7%)
Charles
Schwab
Corp.
(The)
2,311
126,874
FactSet
Research
Systems,
Inc.
137
59,905
Franklin
Resources,
Inc.
537
13,199
Intercontinental
Exchange,
Inc.
1,603
176,362
LPL
Financial
Holdings,
Inc.
119
28,280
Morningstar,
Inc.
266
62,308
MSCI,
Inc.,
Class
 A
48
24,628
Nasdaq,
Inc.
1,523
74,003
S&P
Global,
Inc.
930
339,831
State
Street
Corp.
1,260
84,370
T
Rowe
Price
Group,
Inc.
391
41,004
1,030,764
Chemicals
(2.8%)
Ecolab,
Inc.
829
140,433
FMC
Corp.
1,446
96,839
Linde
plc
419
156,015
Mosaic
Co.
(The)
2,764
98,398
Sherwin-Williams
Co.
(The)
467
119,108
610,793
Commercial
Services
&
Supplies
(0.5%)
Cintas
Corp.
63
30,304
MSA
Safety,
Inc.
384
60,538
Shares
Value
Tetra
Tech,
Inc.
114
$
17,331
108,173
Communications
Equipment
(1.4%)
Ciena
Corp.(a)
227
10,728
Cisco
Systems,
Inc.
4,498
241,812
Lumentum
Holdings,
Inc.(a)
177
7,997
Motorola
Solutions,
Inc.
140
38,114
298,651
Consumer
Finance
(1.5%)
Ally
Financial,
Inc.
1,169
31,189
American
Express
Co.
796
118,755
Capital
One
Financial
Corp.
683
66,285
Discover
Financial
Services
938
81,259
Synchrony
Financial
1,343
41,056
338,544
Consumer
Staples
Distribution
&
Retail
(0.6%)
Target
Corp.
1,097
121,295
Containers
&
Packaging
(0.4%)
Ball
Corp.
1,913
95,229
Distributors
(0.1%)
Genuine
Parts
Co.
212
30,609
Diversified
Consumer
Services
(0.4%)
Bright
Horizons
Family
Solutions,
Inc.(a)
660
53,763
Service
Corp.
International
648
37,027
90,790
Diversified
Telecommunication
Services
(1.0%)
Verizon
Communications,
Inc.
6,554
212,415
Electric
Utilities
(1.1%)
Eversource
Energy
3,091
179,742
NextEra
Energy,
Inc.
1,056
60,498
240,240
Electrical
Equipment
(2.6%)
Eaton
Corp.
plc
1,783
380,278
Emerson
Electric
Co.
1,073
103,620
Rockwell
Automation,
Inc.
322
92,050
575,948
Entertainment
(2.1%)
Electronic
Arts,
Inc.
184
22,154
Netflix,
Inc.(a)
447
168,787
Walt
Disney
Co.
(The)(a)
3,383
274,192
465,133
Financial
Services
(3.5%)
Fidelity
National
Information
Services,
Inc.
527
29,127
Mastercard
,
Inc.,
Class
 A
876
346,817
MGIC
Investment
Corp.
1,108
18,493
PayPal
Holdings,
Inc.(a)
852
49,808
Rocket
Cos.,
Inc.,
Class
 A(a)
1,302
10,650
Visa,
Inc.,
Class
 A
1,389
319,484
774,379
Food
Products
(2.6%)
Darling
Ingredients,
Inc.(a)
1,322
69,009
General
Mills,
Inc.
4,184
267,734
J.M.
Smucker
Co.
(The)
1,076
132,251
Annual
Report
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Select
Equity
ETF
7
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Food
Products
(cont’d)
McCormick
&
Co.,
Inc.
(Non-Voting)
1,341
$
101,433
570,427
Ground
Transportation
(0.1%)
Knight-Swift
Transportation
Holdings,
Inc.,
Class
 A
335
16,800
Health
Care
Equipment
&
Supplies
(2.2%)
Boston
Scientific
Corp.(a)
822
43,401
Edwards
Lifesciences
Corp.(a)
1,312
90,895
Hologic
,
Inc.(a)
1,077
74,744
IDEXX
Laboratories,
Inc.(a)
210
91,827
ResMed
,
Inc.
487
72,013
STERIS
plc
488
107,077
479,957
Health
Care
Providers
&
Services
(1.4%)
DaVita,
Inc.(a)
211
19,946
Humana,
Inc.
472
229,637
Laboratory
Corp.
of
America
Holdings
274
55,088
Quest
Diagnostics,
Inc.
101
12,308
316,979
Health
Care
REITs
(0.1%)
Ventas,
Inc.
637
26,837
Hotel
&
Resort
REITs
(0.1%)
Host
Hotels
&
Resorts,
Inc.
815
13,097
Hotels,
Restaurants
&
Leisure
(0.9%)
Darden
Restaurants,
Inc.
535
76,623
Planet
Fitness,
Inc.,
Class
 A(a)
271
13,328
Vail
Resorts,
Inc.
462
102,513
192,464
Household
Products
(0.4%)
Church
&
Dwight
Co.,
Inc.
281
25,748
Clorox
Co.
(The)
536
70,248
95,996
Industrial
REITs
(0.8%)
Prologis,
Inc.
1,629
182,790
Insurance
(4.1%)
Allstate
Corp.
(The)
188
20,945
Hartford
Financial
Services
Group,
Inc.
(The)
550
39,001
MetLife,
Inc.
4,470
281,208
Primerica,
Inc.
243
47,144
Progressive
Corp.
(The)
1,663
231,656
Prudential
Financial,
Inc.
1,449
137,496
Travelers
Cos.,
Inc.
(The)
837
136,690
894,140
IT
Services
(2.7%)
Accenture
plc,
Class
 A
1,436
441,010
Akamai
Technologies,
Inc.(a)
461
49,115
Okta
,
Inc.,
Class
 A(a)
462
37,658
Snowflake,
Inc.,
Class
 A(a)
125
19,096
Twilio
,
Inc.,
Class
 A(a)
282
16,505
VeriSign,
Inc.(a)
122
24,709
588,093
Leisure
Products
(0.5%)
Hasbro,
Inc.
1,074
71,034
Shares
Value
Mattel,
Inc.(a)
1,301
$
28,661
99,695
Life
Sciences
Tools
&
Services
(1.6%)
Agilent
Technologies,
Inc.
833
93,146
Danaher
Corp.
439
108,916
Fortrea
Holdings,
Inc.(a)
274
7,834
Waters
Corp.(a)
170
46,616
West
Pharmaceutical
Services,
Inc.
230
86,298
342,810
Machinery
(4.1%)
Caterpillar,
Inc.
721
196,833
Cummins,
Inc.
776
177,285
Deere
&
Co.
395
149,065
Illinois
Tool
Works,
Inc.
737
169,738
Parker-Hannifin
Corp.
249
96,991
Pentair
plc
712
46,102
Stanley
Black
&
Decker,
Inc.
319
26,662
Xylem,
Inc.
336
30,586
893,262
Media
(0.8%)
Interpublic
Group
of
Cos.,
Inc.
(The)
2,575
73,800
Omnicom
Group,
Inc.
1,473
109,709
183,509
Metals
&
Mining
(0.9%)
Nucor
Corp.
1,244
194,499
Multi-Utilities
(0.6%)
Consolidated
Edison,
Inc.
729
62,352
Sempra
1,078
73,336
135,688
Office
REITs
(0.0%)(b)
Boston
Properties,
Inc.
172
10,231
Personal
Care
Products
(0.7%)
Estee
Lauder
Cos.,
Inc.
(The),
Class
 A
996
143,972
Pharmaceuticals
(5.3%)
Bristol-Myers
Squibb
Co.
2,459
142,720
Eli
Lilly
&
Co.
707
379,751
Merck
&
Co.,
Inc.
5,246
540,076
Pfizer,
Inc.
3,009
99,809
1,162,356
Professional
Services
(1.7%)
Automatic
Data
Processing,
Inc.
484
116,441
FTI
Consulting,
Inc.(a)
288
51,382
Genpact
Ltd.
718
25,992
ManpowerGroup
,
Inc.
370
27,128
Paylocity
Holding
Corp.(a)
59
10,720
Robert
Half,
Inc.
174
12,751
Verisk
Analytics,
Inc.,
Class
 A
518
122,372
366,786
Real
Estate
Management
&
Development
(0.4%)
CBRE
Group,
Inc.,
Class
 A(a)
168
12,409
Howard
Hughes
Holdings,
Inc.(a)
279
20,682
Jones
Lang
LaSalle,
Inc.(a)
451
63,672
96,763
Annual
Report
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Select
Equity
ETF
8
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Residential
REITs
(0.2%)
Equity
Residential
731
$
42,917
Retail
REITs
(0.4%)
Brixmor
Property
Group,
Inc.
606
12,593
Kimco
Realty
Corp.
882
15,514
Simon
Property
Group,
Inc.
607
65,574
93,681
Semiconductors
&
Semiconductor
Equipment
(6.8%)
Advanced
Micro
Devices,
Inc.(a)
1,364
140,247
Applied
Materials,
Inc.
843
116,713
First
Solar,
Inc.(a)
154
24,885
Intel
Corp.
3,840
136,512
KLA
Corp.
121
55,498
Lam
Research
Corp.
110
68,945
Micron
Technology,
Inc.
1,040
70,751
NVIDIA
Corp.
1,707
742,528
ON
Semiconductor
Corp.(a)
234
21,750
Texas
Instruments,
Inc.
693
110,194
1,488,023
Software
(13.8%)
Adobe,
Inc.(a)
376
191,722
Atlassian
Corp.,
Class
 A(a)
151
30,428
Autodesk,
Inc.(a)
351
72,625
Cadence
Design
Systems,
Inc.(a)
421
98,640
Gen
Digital,
Inc.
1,663
29,402
HubSpot
,
Inc.(a)
134
65,995
Intuit,
Inc.
536
273,864
Microsoft
Corp.
5,353
1,690,210
Salesforce,
Inc.(a)
934
189,397
ServiceNow
,
Inc.(a)
319
178,308
Splunk
,
Inc.(a)
339
49,579
Synopsys,
Inc.(a)
122
55,994
VMware,
Inc.,
Class
 A(a)
231
38,457
Workday,
Inc.,
Class
 A(a)
306
65,744
3,030,365
Specialized
REITs
(1.3%)
American
Tower
Corp.
968
159,188
Equinix
,
Inc.
25
18,156
Extra
Space
Storage,
Inc.
71
8,632
Iron
Mountain,
Inc.
1,811
107,664
293,640
Specialty
Retail
(3.9%)
Best
Buy
Co.,
Inc.
784
54,465
Dick's
Sporting
Goods,
Inc.
88
9,555
Gap,
Inc.
(The)
1,521
16,168
Home
Depot,
Inc.
(The)
974
294,304
Lowe's
Cos.,
Inc.
829
172,300
O'Reilly
Automotive,
Inc.(a)
48
43,625
TJX
Cos.,
Inc.
(The)
924
82,125
Tractor
Supply
Co.
303
61,524
Ulta
Beauty,
Inc.(a)
260
103,857
Williams-Sonoma,
Inc.
98
15,229
853,152
Technology
Hardware,
Storage
&
Peripherals
(8.4%)
Apple,
Inc.
9,503
1,627,008
Dell
Technologies,
Inc.,
Class
 C
301
20,739
Hewlett
Packard
Enterprise
Co.
7,643
132,759
Shares
Value
HP,
Inc.
2,437
$
62,631
1,843,137
Textiles,
Apparel
&
Luxury
Goods
(1.3%)
Capri
Holdings
Ltd.(a)
495
26,042
Lululemon
Athletica
,
Inc.(a)
326
125,709
NIKE,
Inc.,
Class
 B
986
94,281
Ralph
Lauren
Corp.,
Class
 A
117
13,582
Tapestry,
Inc.
777
22,339
281,953
Trading
Companies
&
Distributors
(0.5%)
United
Rentals,
Inc.
239
106,252
Water
Utilities
(1.3%)
American
Water
Works
Co.,
Inc.
2,215
274,283
Total
Common
Stocks
(Cost
$21,511,374)
21,906,429
Short-Term
Investment
(0.1%)
Investment
Company
(0.1%
)
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
(See
Note
G)
(Cost
$29,012)
29,012
29,012
Total
Investments
(99.9%)
(Cost
$21,540,386)
(c)
21,935,441
Other
Assets
in
Excess
of
Liabilities
(0.1%)
14,396
NET
ASSETS
(100.0%)
$21,949,837
(a)
Non-income
producing
security.
(b)
Amount
is
less
than
0.05%.
(c)
At
September
30,
2023,
the
aggregate
cost
for
federal
income
tax
purposes
is
$21,540,386.
The
aggregate
gross
unrealized
appreciation
is
$2,119,90
3
and
the
aggregate
gross
unrealized
depreciation
is
$1,724,864,
resulting
in
net
unrealized
appreciation
of
$395,039.
REIT
Real
Estate
Investment
Trust
Portfolio
Composition
Classification  
Percentage
of
Total
Investments
Other*
65.7
%
Software
13.8
Technology
Hardware,
Storage
&
Peripherals
8.4
Semiconductors
&
Semiconductor
Equipment
6.8
Pharmaceuticals
5.3
Total
Investments
100.0%
*
Industries
and/or
investment
types
representing
less
than
5%
of
total
investments.
Annual
Report
September
30,
2023
Calvert
US
Select
Equity
ETF
9
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Assets
and
Liabilities
September
30,
2023
Assets:
Investments
in
Securities
of
Unaffiliated
Issuers,
at
Value
(Cost
$21,511,374)
$
21,906,429
Investment
in
Security
of
Affiliated
Issuer,
at
Value
(Cost
$29,012)
29,012
Total
Investments
in
Securities,
at
Value
(Cost
$21,540,386)
21,935,441
Dividends
Receivable
19,827
Total
Assets
21,955,268
Liabilities:
Payable
for
Management
Fee
5,431
Total
Liabilities
5,431
Net
Assets
$
21,949,837
Net
Assets
Consist
of:
Paid-in-Capital
$
21,833,025
Total
Distributable
Earnings
116,812
Net
Assets
$
21,949,837
Shares
Outstanding
$0.001
Par
Value
(unlimited
shares
authorized)
430,000
Net
Asset
Value
Per
Share
$
51
.05
Annual
Report
September
30,
2023
Calvert
US
Select
Equity
ETF
10
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Operations
Period
from
January
30,
2023
^
to
September
30,
2023
Investment
Income:
Dividends
from
Securities
of
Unaffiliated
Issuers
(Net
of
$42
of
Foreign
Taxes
Withheld)
$
257,947
Dividends
from
Security
of
Affiliated
Issuer
(Note
G)
1,706
Total
Investment
Income
259,653
Expenses:
Management
Fee
(Note
B)
43,102
Total
Expenses
43,102
Rebate
from
Morgan
Stanley
Affiliate
(Note
G)
(
49
)
Net
Expenses
43,053
Net
Investment
Income
216,600
Realized
Gain
(Loss):
Investments
Sold
(
297,876
)
In-kind
Redemptions
on
Investments
330,001
Net
Realized
Gain
32,125
Change
in
Unrealized
Appreciation
(Depreciation):
Investments
395,055
Net
Change
in
Unrealized
Appreciation
(Depreciation)
395,055
Net
Realized
Gain
and
Change
in
Unrealized
Appreciation
(Depreciation)
427,180
Net
Increase
in
Net
Assets
Resulting
from
Operations
$
643,780
^
Commencement
of
Operations.
Annual
Report
September
30,
2023
Calvert
US
Select
Equity
ETF
11
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Changes
in
Net
Assets
Period
from
January
30,
2023
^
to
September
30,
2023
Increase
(Decrease)
in
Net
Assets:
Operations:
Net
Investment
Income
$
216,600
Net
Realized
Gain
32,125
Net
Change
in
Unrealized
Appreciation
(Depreciation)
395,055
Net
Increase
in
Net
Assets
Resulting
from
Operations
643,780
Dividends
and
Distributions
to
Shareholders:
Dividends
and
Distributions
(
196,967
)
Total
Dividends
and
Distributions
to
Shareholders
(
196,967
)
Capital
Share
Transactions:
Subscribed
(1)
20,000,000
Subscribed
In-Kind
3,042,264
Redeemed
In-Kind
(
1,539,240
)
Net
Increase
in
Net
Assets
Resulting
from
Capital
Share
Transactions
21,503,024
Total
Increase
in
Net
Assets
21,949,837
Net
Assets:
Beginning
of
Period
End
of
Period
$
21,949,837
Capital
Share
Transactions:
Beginning
of
Period
Shares
Subscribed
400,000
Shares
Subscribed
In-Kind
60,000
Shares
Redeemed
In-Kind
(
30,000
)
Shares
Outstanding,
End
of
Period
Net
Increase
in
430,000
^
Commencement
of
Operations.
(1)
Total
consists
of
subscriptions
for
seed
capital
by
the
Adviser
and
other
related
parties
of
the
Fund.
Annual
Report
September
30,
2023
Financial
Highlights
Calvert
US
Select
Equity
ETF
12
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Selected
Per
Share
Data
and
Ratios
Period
from
January
30,
2023
(1)
to
September
30,
2023
Net
Asset
Value,
Beginning
of
Period
$
50
.00‌
Income
(Loss)
from
Investment
Operations:
Net
Investment
Income
(2)
0
.50‌
Net
Realized
and
Unrealized
Gain
1
.01‌
Total
from
Investment
Operations
1
.51‌
Distributions
from
and/or
in
Excess
of:
Net
Investment
Income
(
0
.46‌
)
Net
Asset
Value,
End
of
Period
$
51
.05‌
Total
Return
(3)
3
.00‌
%
(4)
Ratios
to
Average
Net
Assets
and
Supplemental
Data:
$21,950
Net
Assets,
End
of
Period
(Thousands)
$
21,950‌
Ratio
of
Expenses
0
.29‌
%
(5)
(6)
Ratio
of
Net
Investment
Income
1
.45‌
%
(5)
(6)
Ratio
of
Rebate
from
Morgan
Stanley
Affiliates
0
.00‌
%
(5)
(7)
Portfolio
Turnover
Rate
18‌
%
(4)
(8)
(1)
Commencement
of
Operations.
(2)
Per
share
amount
is
based
on
average
shares
outstanding.
(3)
Calculated
based
on
the
net
asset
value
as
of
the
last
business
day
of
the
period.
(4)
Not
annualized.
(5)
Annualized.
(6)
The
Ratio
of
Expenses
and
Ratio
of
Net
Investment
Income
reflect
the
rebate
of
certain
Fund
expenses
in
connection
with
the
investments
in
Morgan
Stanley
affiliates
during
the
period.
The
effect
of
the
rebate
on
the
ratios
is
disclosed
in
the
above
table
as
“Ratio
of
Rebate
from
Morgan
Stanley
Affiliates.”
(7)
Amount
is
less
than
0.005%.
(8)
In-kind
transactions
are
not
included
in
portfolio
turnover
calculations.
13
Annual
Report
September
30,
2023
Notes
to
Financial
Statements
Morgan
Stanley
ETF
Trust
Morgan
Stanley
ETF
Trust
(the
“Trust”)
is
an
open-end,
management
investment
company
established
under
Delaware
law
as
a
Delaware
statutory
trust.
Pursuant
to
its
Declaration
of
Trust dated
May
31,
2016,
and
Amended
and
Restated
on
September
28,
2022
(the
“Declaration
of
Trust”),
the
Trust is
authorized
to establish
multiple
series.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”).
The
Trust
applies
investment
company
accounting
and
report-
ing
guidance
Accounting
Standard
Codification
("ASC")
Topic
946.
In
the
preparation
of
these
financial
statements,
manage-
ment
has
evaluated
subsequent
events
occurring
after
the
date
of
the
Fund's
Statement
of
Assets
and
Liabilities
through
the
date
that
the
financial
statements
were
issued.
The
accompanying
financial
statements
relate
to
the
Calvert
US
Select
Equity