2023-11-20EatonVanceFixed-IncomeETF_Pro485B
Calvert
US Select Equity ETF
Prospectus | January
28, 2024
| |
Ticker
Symbol |
Exchange |
CVSE |
NYSE
Arca |
The
Securities and Exchange Commission (“SEC”) has not approved or disapproved these
securities or passed upon the adequacy
of this Prospectus. Any representation to the contrary is a criminal
offense.
An
investment in the
Fund is not a bank deposit and is not insured by the Federal Deposit Insurance
Corporation or any other
government agency. An investment in the
Fund involves investment risks, and you may lose money in the
Fund.
Calvert
US Select Equity ETF
Investment
Objective
Calvert
US Select Equity ETF (the “Fund”) seeks to provide long-term capital
appreciation.
Fees
and Expenses
The
table below describes the fees and expenses that you may pay if you buy, hold
and sell shares of the Fund. You
may pay fees other
than the fees and expenses of the Fund, such as brokerage commissions and other
fees charged by financial intermediaries,
which are not reflected in the tables and examples
below.
Annual
Fund Operating Expenses1 (expenses
that you pay each year as a percentage of the value of your
investment)
|
| |
Management
Fee1
|
% |
|
Other
Expenses |
0.00% |
|
Total
Annual Fund Operating Expenses |
0.29% |
|
1 |
The
Fund’s management agreement provides that the Fund’s “Adviser,” Morgan
Stanley Investment Management Inc., will pay substantially all expenses
of
the Fund (including expenses of Morgan Stanley ETF Trust (the “Trust”)
relating to the Fund), except for the distribution fees, if any, brokerage
expenses,
acquired fund fees and expenses, taxes, interest, litigation expenses, and
other extraordinary expenses, including the costs of proxies, not
incurred
in the ordinary course of the Fund’s
business. |
Example
The
example below is intended to help you compare the cost of investing in the Fund
with the cost of investing in other funds. The example
does not take into account brokerage commissions that you pay when purchasing or
selling shares of the Fund.
The
example assumes that you invest $10,000 in the Fund for the time periods
indicated and then sell all of your shares at the end of those
periods. The example also assumes your investment has a 5% return each year and
the Fund’s operating expenses remain the same.
Although your actual costs may be higher or lower, based on these assumptions
your costs would be:
|
|
|
|
| |
|
1
Year |
3
Years |
5
Years |
10
Years |
|
|
$30 |
$93 |
$163 |
$368 |
|
Portfolio
Turnover
The
Fund pays transaction costs, such as commissions, when it buys and sells
securities (or “turns over” its portfolio). A higher portfolio
turnover rate may indicate higher transaction costs and may result in higher
taxes when Fund shares are held in a taxable account.
These costs, which are not reflected in Total Annual Fund Operating Expenses or
in the example, affect the Fund’s performance.
During
the period from January
30, 2023 (commencement of operations) through September
30, 2023, the Fund’s portfolio
turnover rate was 18% of the average value of its
portfolio.
Principal
Investment Strategies
Under
normal circumstances, at least 80%
of the Fund’s net assets (plus any borrowings for investment purposes) will be
invested in the
equity securities of U.S. issuers. This policy may be changed without
shareholder approval; however, shareholders would be notified
upon 60 days’ notice in writing of any
changes.
The
Fund is actively managed, not designed to track a benchmark, and therefore not
constrained by the composition of a benchmark.
The
Fund primarily invests in the equity securities of large capitalization U.S.
issuers that are involved in economic activities that address
global environmental or societal challenges that relate to areas such as
environmental sustainability and resource efficiency, diversity,
equity and inclusion, respect for human rights, product responsibility, human
capital management and accountable governance
and transparent operations, or are leaders in managing financially material
environmental or social risks and opportunities,
such as carbon emission management and diversity, equity and inclusion. Economic
activities that address environmental
and/or societal challenges vary based on the respective industry a company
operates in, but examples may include: providing
access to finance to demographics that are typically excluded from traditional
financing channels, providing affordable and accessible
healthy food and other products, growing electric vehicle sales and strategy,
and efficient management of natural resources. As
described below, the Adviser utilizes a quantitative and qualitative research
process that applies the Calvert Principles for Responsible
Investment (a copy of which is included as an appendix to the Fund’s prospectus)
to define the investment universe for the
Fund. Calvert Research and Management (“Calvert”), on behalf of the
Adviser, may engage with company management regarding
financially material environmental, social and governance (“ESG”) issues in
pursuit of improving environmental and social outcomes.
The Adviser gives due consideration to the relevance and potential materiality
of sustainability risks for a particular investment
opportunity or for the portfolio as a whole in the context of the investment
objective and intended time horizon for holding
a particular security. In order to mitigate Responsible Investing risks
explained in the below section entitled “Principal Risks,”
the Adviser may (i) determine not to hold, determine to sell or otherwise
determine to underweight a security relative to the
Calvert
US Select Equity ETF (Con’t)
Fund’s
benchmark, the Russell 1000® Index; (ii) engage Calvert to discuss potential
engagement with company management on its material
ESG risks or opportunities (e.g., climate change, diversity, labor and human
rights and ESG disclosure); or (iii) make other adjustments
to the Fund’s portfolio.
Through
a qualitative and quantitative process (the “Selection Process”), the Adviser
seeks to identify companies that are performing in
the top 20-40% of their peer group with respect to environmental or social
factors determined to be financially material to the company
based on Calvert and/or the Adviser’s proprietary research (each, a “Select
Company” and collectively, the “Select Companies”).
A company may also be determined to be a Select Company based on leadership or
significant improvement of such company’s
financially material environmental or social risks or opportunities. Once the
Fund’s investment universe of Select Companies
(the “Investment Universe”) has been established, the Adviser then selects and
weights Select Companies through an optimization
process that at a portfolio level has better diversity and lower carbon risk,
while also minimizing factor risks relative to the
Russell 1000 Index (the “Optimization Process”). The Adviser seeks to ensure
that at least 90% of the companies in the Fund’s portfolio
are reviewed via the Selection Process.
In
managing the Fund, the Adviser also takes into account the long-term carbon
reduction objectives of the Paris Agreement, an international
treaty on climate change with the goal of limiting global warming to well below
2 degrees Celsius, preferably to 1.5 degrees.
The Adviser measures a company’s carbon footprint by its weighted average carbon
intensity, which is defined as metric tons of
greenhouse gas emissions per $1 million of revenue. The Fund seeks to
maintain a portfolio with an overall carbon footprint that is
substantially lower than the carbon footprint of the Russell 1000® Index.
Individual securities held by the Fund, however, may have carbon
footprints that are higher than the average carbon footprint of the Russell
1000® Index and/or the carbon footprint of certain Russell
1000® Index constituents. The long-term carbon reduction objectives of the Paris
Agreement may warrant the Adviser to revise
the targeted range of carbon reduction by companies it seeks to invest in over
time. ESG analysis is determined by Calvert, using
a combination of third party and customized ESG data as a base, and having
regard to ESG themes such as environmental sustainability
and resource efficiency, diversity, equity and inclusion, respect for human
rights, product responsibility, human capital management
and accountable governance and transparent
operations.
In
addition, the Fund will seek to maintain higher levels of diversity level than
the Russell 1000® Index as measured by weighted average
number of women at the board level. The Adviser obtains board gender diversity
data from third party vendors, which provide
data on the number of women on boards at the issuer level. The Adviser collects
this data for all names in its investment universe
for which data is available and calculates the weighted average for the Fund and
the Russell 1000® Index.
The
Fund may, but it is not required to, use derivative instruments for a variety of
purposes, including hedging, risk management, portfolio
management or to seek to earn income. The Fund’s use of derivatives may involve
the purchase and sale of derivative instruments
such as futures, options, swaps, contracts for difference (“CFDs”) and other
related instruments and techniques. Derivative
instruments used by the Fund will be counted toward the Fund’s 80% policy
discussed above to the extent they have economic
characteristics similar to the securities included within that
policy.
Although
the Fund’s ESG factors and responsible investing criteria are typically
considered with respect to each company or issuer in which
the Fund invests, other factors may be considered by the portfolio management
team. In assessing investments, Calvert generally
focuses on the ESG factors and responsible investing criteria relevant to the
issuer’s operations, and an issuer may be acceptable
for investment based primarily on such assessment. As a result, securities may
be deemed suitable for investment even if the
issuer does not operate in accordance with all elements of the Fund’s ESG
factors and responsible investing criteria. For instance, the
Fund may also invest in issuers that Calvert believes are likely to operate in a
manner consistent with the Calvert Principles pending
Calvert’s engagement activity with such issuer. Additionally, the Fund may
invest in cash, money market instruments and ETFs.
Such investments will generally not be subject to the Fund’s responsible
investment analysis and will not be required to be consistent
with the Fund’s ESG factors and responsible investment criteria otherwise
applicable to investments made by the Fund. In addition,
ETFs in which the Fund may invest may hold securities of issuers that do not
operate in accordance with the Fund’s ESG factors
and responsible investment criteria.
Principal
Risks
There
is no assurance that the Fund will achieve its investment objective, and you can
lose money investing in this Fund.
The principal
risks of investing in the Fund include:
• |
Equity
Securities.
In general, prices of equity securities are more volatile than those of
fixed-income securities. The prices of equity securities
fluctuate, and sometimes widely fluctuate, in response to activities
specific to the issuer of the security as well as factors unrelated
to the fundamental condition of the issuer, including general market,
economic and political conditions. During periods when
equity securities experience heightened volatility, such as during periods
of market, economic or financial uncertainty or distress,
the Fund’s investments in equity securities may be subject to heightened
risks. |
|
The
value of equity securities and related instruments may decline in response
to adverse changes in the economy, the economic outlook
or the financial markets; deterioration in investor sentiment; interest
rate, currency, and commodity price fluctuations;
|
Calvert
US Select Equity ETF (Con’t)
|
adverse
geopolitical, social or environmental developments; issuer- and
sector-specific considerations; unexpected trading activity among
retail investors; and other factors. Market conditions may affect certain
types of stocks to a greater extent than other types of
stocks. If the stock market declines, the value of Fund shares will also
likely decline. |
• |
Responsible
Investing.
Investing primarily in responsible investments carries the risk that,
under certain market conditions, the Fund
may underperform funds that do not utilize a responsible investment
strategy. The application of responsible investment criteria
may affect the Fund’s exposure to certain sectors or types of investments,
and may impact the Fund’s relative investment performance
depending on whether such sectors or investments are in or out of favor in
the market. An investment’s ESG performance,
or Calvert’s and/or the Adviser’s assessment of such performance may
change over time, which could cause the Fund to
temporarily hold securities that do not comply with the Fund’s responsible
investment criteria. In evaluating an investment, Calvert
and the Adviser are dependent upon information and data that may be
incomplete, inaccurate or unavailable, which could adversely
affect the analysis of the ESG factors relevant to a particular
investment. Successful application of the Fund’s responsible investment
strategy will depend on Calvert’s and/or the Adviser’s skill in properly
identifying and analyzing material ESG
issues. |
• |
Liquidity.
The Fund may make investments that are illiquid or restricted or that may
become less liquid in response to overall economic
conditions or adverse investor perceptions, and which may entail greater
risk than investments in other types of securities.
These investments may be more difficult to value or sell, particularly in
times of market turmoil, and there may be little trading
in the secondary market available for particular securities. If the Fund
is forced to sell an illiquid or restricted security to fund
redemptions or for other cash needs, it may be forced to sell the security
at a loss or for less than its fair value and may be unable
to sell the security at
all. |
• |
Market
and Geopolitical Risk.
The value of your investment in the Fund is based on the values of the
Fund’s investments, which change
due to economic and other events that affect markets generally, as well as
those that affect particular regions, countries, industries,
companies or governments. These events may be sudden and unexpected, and
could adversely affect the liquidity of the Fund’s
investments, which may in turn impact valuation, the Fund’s ability to
sell securities and/or its ability to meet redemptions.
The risks associated with these developments may be magnified if certain
social, political, economic and other conditions
and events (such as war, natural disasters, epidemics and pandemics,
terrorism, conflicts, social unrest, recessions, inflation,
interest rate changes and supply chain disruptions) adversely interrupt
the global economy and financial markets. It is difficult
to predict when events affecting the U.S. or global financial
markets may occur, the effects that such events may have and the
duration of those effects (which may last for extended periods). These
events may negatively impact broad segments of businesses
and populations and have a significant and rapid negative impact on the
performance of the Fund’s investments, adversely
affect and increase the volatility of the Fund’s share price and
exacerbate pre-existing risks to the
Fund. |
• |
Information
Technology Sector Risk.
To the extent the Fund invests a substantial portion of its assets in the
information technology sector,
the value of Fund shares may be particularly impacted by events that
adversely affect the information technology sector, such
as rapid changes in technology product cycles, product obsolescence,
government regulation, and competition, and may fluctuate
more than that of a fund that does not invest significantly in companies
in the technology
sector. |
• |
Derivatives.
Derivatives and other similar instruments that create synthetic exposure
often are subject to risks similar to those of the
underlying asset or instrument, including market risk, and may be subject
to additional risks, including imperfect correlation between
the value of the derivative and the underlying asset, risks of default by
the counterparty to certain transactions, magnification
of losses incurred due to changes in the market value of the securities,
instruments, indices or interest rates to which the
derivative instrument relates, risks that the transactions may not be
liquid, risks arising from margin and payment requirements,
risks arising from mispricing or valuation complexity and operational and
legal risks. Certain derivative transactions may
give rise to a form of leverage. Leverage magnifies the potential for gain
and the risk of
loss. |
|
Authorized
Participant Concentration Risk.
Only an authorized participant may engage in creation or redemption
transactions directly
with the Fund. The Fund has a limited number of intermediaries that act as
authorized participants and none of these authorized
participants is or will be obligated to engage in creation or redemption
transactions. There can be no assurance that an active
trading market for the Fund’s shares will develop or be maintained. To the
extent that these intermediaries exit the business or
are unable to or choose not to proceed with creation and/or redemption
orders with respect to the Fund, such as during periods of
market stress, and no other authorized participant creates or redeems,
shares may trade at a discount to net asset value (“NAV”) and
possibly face trading halts and/or
delisting. |
|
Trading
Risk.
The market prices of shares are expected to fluctuate, in some cases
materially, in response to changes in the Fund’s NAV,
the intra-day value of the Fund’s holdings, and supply and demand for
shares. The Adviser cannot predict whether shares will
trade above, below or at their NAV. Disruptions to creations and
redemptions, the existence of significant market volatility or
potential
lack of an active trading market for the shares (including through a
trading halt), as well as other factors, may result in the
shares trading significantly above (at a premium) or below (at a discount)
to NAV or to the intraday value of the Fund’s holdings.
You may pay significantly more or receive significantly less than the
Fund’s NAV per share during periods when there is a
significant premium or discount. Buying or selling shares in the secondary
market may require paying brokerage commissions or
|
Calvert
US Select Equity ETF (Con’t)
|
other
charges imposed by brokers as determined by that broker. Brokerage
commissions are often a fixed amount and may be a significant
proportional cost when seeking to buy or sell relatively small amounts of
shares. In addition, the market price of shares, like
the price of any exchange-traded security, includes a “bid-ask spread”
charged by the market makers or other participants that trade
the particular security. The spread of the Fund’s shares varies over time
based on the Fund’s trading volume and market liquidity
and may increase if the Fund’s trading volume, the spread of the Fund’s
underlying securities, or market liquidity decrease. |
• |
Active
Management Risk.
In pursuing the Fund’s investment objective, the Adviser has considerable
leeway in deciding which investments
to buy, hold or sell on a day-to-day basis, and which trading strategies
to use. For example, the Adviser, in its discretion,
may determine to use some permitted trading strategies while not using
others. The success or failure of such decisions will
affect the Fund’s
performance. |
Shares
of the Fund are not bank deposits and are not guaranteed or insured by the
Federal Deposit Insurance Corporation or any other
government agency.
Performance
Information
As
of the date hereof, the Fund has not yet completed a full calendar year of
investment operations. Upon the completion of a full calendar
year of investment operations by the Fund, this section will include charts that
provide some indication of the risks of an investment
in the Fund, by showing the difference in annual total returns, highest and
lowest quarterly returns and average annual total
returns (before and after taxes) compared to the benchmark index selected for
the Fund. Performance information for the Fund is
available online at www.calvert.com
or by calling toll-free 800-836-2414.
Fund
Management
Adviser.
Morgan Stanley Investment Management Inc.
Portfolio
Managers.
Information about the individuals jointly and primarily responsible for the
day-to-day management of the Fund is
shown below:
|
| |
Name |
Title
with Adviser |
Date
Began Managing Fund |
Christopher
Madden |
Managing
Director |
January
2023 |
James
Reber |
Managing
Director |
January
2023 |
Thomas
C. Seto |
Managing
Director |
January
2023 |
Matthew
Maillet |
Executive
Director |
January
2023 |
Ibrahim
Kara |
Executive
Director |
February
2024 |
Yijia
Chen |
Vice
President |
February
2024 |
Purchase
and Sale of Fund Shares
Individual
shares of the Fund may only be purchased and sold in secondary market
transactions through a broker or dealer at market price.
Because shares trade at market prices, rather than NAV, shares of the Fund may
trade at a price greater than NAV (i.e., a premium)
or less than NAV (i.e., a discount).
You
may incur costs attributable to the difference between the highest price a buyer
is willing to pay for shares (bid) and the lowest price
a seller is willing to accept for shares (ask) (the “bid-ask spread”) when
buying or selling shares in the secondary market.
Recent
information, including information about the Fund’s NAV, market price, premiums
and discounts, and bid-ask spreads, is available
on the Fund’s website at www.calvert.com.
Tax
Information
The
Fund intends to make dividends and distributions that may be taxed as ordinary
income or capital gains, unless you are investing through
a tax-deferred arrangement, such as a 401(k) plan or an individual retirement
account.
Payments
to Broker-Dealers and Other Financial Intermediaries
If
you purchase shares of the Fund through a broker-dealer or financial
intermediary (such as a bank), the Adviser and/or Foreside Fund
Services, LLC (the “Distributor”) may pay the financial intermediary for the
sale of Fund shares and related services. These payments,
which may be significant in amount, may create a conflict of interest by
influencing the financial intermediary and your salesperson
to recommend the Fund over another investment. Ask your salesperson or visit
your financial intermediary’s website for more
information.
Calvert | Details
of the Fund
Calvert
US Select Equity ETF
Investment
Objective
The
Fund’s investment objective is to seek to provide long-term capital
appreciation.
The
Fund’s investment objective may be changed by the Trust’s Board of Trustees
without shareholder approval, but no change is anticipated.
If the Fund’s investment objective changes, the Fund will notify shareholders
and shareholders should consider whether the
Fund remains an appropriate investment in light of the change.
Approach
The
Fund seeks to achieve its investment objective by primarily investing in U.S.
equity securities, including common stock, and preferred
stock of companies that are involved in economic activities that address
global environmental or societal challenges that relate
to areas such as environmental sustainability and resource efficiency,
diversity, equity and inclusion, respect for human rights, product
responsibility, human capital management and accountable governance and
transparent operations, or are leaders in managing
financially material environmental or social risks and opportunities, such as
carbon emission management and diversity, equity
and inclusion.
Process
Under
normal circumstances, at least 80% of the Fund’s net assets (plus any borrowings
for investment purposes) will be invested in the
equity securities of U.S. issuers. This policy may be changed without
shareholder approval; however, shareholders would be notified
upon 60 days’ notice in writing of any changes.
The
Fund is actively managed, not designed to track a benchmark, and therefore not
constrained by the composition of a benchmark.
The
Fund primarily invests in the equity securities of large capitalization U.S.
issuers that are involved in economic activities that address
global environmental or societal challenges that relate to areas such as
environmental sustainability and resource efficiency, diversity,
equity and inclusion, respect for human rights, product responsibility, human
capital management and accountable governance
and transparent operations, or are leaders in managing financially material
environmental or social risks and opportunities,
such as carbon emission management and diversity, equity and inclusion. Economic
activities that address environmental
and/or societal challenges vary based on the respective industry a company
operates in, but examples may include: providing
access to finance to demographics that are typically excluded from traditional
financing channels, providing affordable and accessible
healthy food and other products, growing electric vehicle sales and strategy,
and efficient management of natural resources. The
Adviser incorporates company identification, portfolio optimization, and
corporate engagement in implementing the Fund’s investment
strategy. The Adviser utilizes a quantitative and qualitative research process
regarding ESG factors for each potential investment
that applies the Calvert Principles for Responsible Investment (a copy of which
is included as an appendix to this prospectus)
to define the investment universe for the Fund.
Through
a qualitative and quantitative process (the “Selection Process”), the Adviser
seeks to identify companies that are performing in
the top 20-40% of their peer group with respect to environmental or social
factors determined to be financially material to the company
based on Calvert and/or the Adviser’s proprietary research (each, a “Select
Company” and collectively, the “Select Companies”).
A company may also be determined to be a Select Company based on leadership or
significant improvement of such company’s
financially material environmental or social risks or opportunities. Once the
Fund’s investment universe of Select Companies
(the “Investment Universe”) has been established, the Adviser then selects and
weights Select Companies through an optimization
process that at a portfolio level has better diversity and lower carbon risk,
while also minimizing factor risks relative to the
Russell 1000 Index (the “Optimization Process”). The Adviser seeks to ensure
that at least 90% of the companies in the Fund’s portfolio
are reviewed via the Selection Process.
Calvert,
on behalf of the Adviser, may engage with company management regarding
financially material ESG issues in pursuit of improving
environmental and social outcomes. The Adviser gives due consideration to the
relevance and potential materiality of sustainability
risks for a particular investment opportunity or for the portfolio as a whole in
the context of the investment objective and
intended time horizon for holding a particular security. In order to mitigate
Responsible Investing risks, the Adviser may (i) determine
not to hold, determine to sell or otherwise determine to underweight a security
relative to the Fund’s benchmark, the Russell
1000® Index; (ii) engage Calvert to discuss potential engagement with company
management on its material ESG risks or opportunities
(e.g., climate change, diversity, labor and human rights and ESG disclosure); or
(iii) make other adjustments to the Fund’s
portfolio.
In
managing the Fund, the Adviser also takes into account the long-term carbon
reduction objectives of the Paris Agreement, an international
treaty on climate change with the goal of limiting global warming to well below
2 degrees Celsius, preferably to 1.5 degrees.
The Adviser measures a company’s carbon footprint by its weighted average carbon
intensity, which is defined as metric tons of
greenhouse gas emissions per $1 million of revenue. The Fund seeks to maintain a
portfolio with an overall carbon footprint that is
substantially lower than the carbon footprint of the Russell 1000® Index.
Individual securities held by the Fund, however, may have carbon
footprints that are higher than the average carbon footprint of the Russell
1000® Index and/or the carbon footprint of certain
Calvert | Details
of the Fund
Calvert
US Select Equity ETF (Con’t)
Russell
1000® Index constituents. The long-term carbon reduction objectives of the Paris
Agreement may warrant the Adviser to revise
the targeted range of carbon reduction by companies it seeks to invest in over
time. ESG analysis is determined by Calvert, using
a combination of third party and customized ESG data as a base, and having
regard to ESG themes such as environmental sustainability
and resource efficiency, diversity, equity and inclusion, respect for human
rights, product responsibility, human capital management
and accountable governance and transparent operations.
In
addition, the Fund will seek to maintain higher levels of diversity level than
the Russell 1000® Index as measured by weighted average
number of women at the board level. The Adviser obtains board gender diversity
data from third party vendors, which provide
data on the number of women on boards at the issuer level. The Adviser collects
this data for all names in its investment universe
for which data is available and calculates the weighted average for the Fund and
the Russell 1000® Index.
The
Fund may, but it is not required to, use derivative instruments for a variety of
purposes, including hedging, risk management, portfolio
management or to seek to earn income. The Fund’s use of derivatives may involve
the purchase and sale of derivative instruments
such as futures, options, swaps, contracts for difference (“CFDs”) and other
related instruments and techniques. Derivative
instruments used by the Fund will be counted toward the Fund’s 80% policy
discussed above to the extent they have economic
characteristics similar to the securities included within that
policy.
The
Fund may invest up to 20% of its net assets in the securities of non-U.S.
issuers. The Fund may invest in depositary receipts (such
as American Depository Receipts (ADRs), Global Depositary Receipts (GDRs), and
European Depository Receipts (EDRs)), which
evidence ownership of shares of a foreign issuer and are alternatives to
directly purchasing the underlying foreign securities in their
national markets and currencies.
Although
the Fund’s ESG factors and responsible investing criteria are typically
considered with respect to each company or issuer in which
the Fund invests, other factors may be considered by the portfolio management
team. In assessing investments, Calvert generally
focuses on the ESG factors and responsible investing criteria relevant to the
issuer’s operations, and an issuer may be acceptable
for investment based primarily on such assessment. As a result, securities may
be deemed suitable for investment even if the
issuer does not operate in accordance with all elements of the Fund’s ESG
factors and responsible investing criteria. For instance, the
Fund may also invest in issuers that Calvert believes are likely to operate in a
manner consistent with the Calvert Principles pending
Calvert’s engagement activity with such issuer. Additionally, the Fund may
invest in cash, money market instruments and ETFs.
Such investments will generally not be subject to the Fund’s responsible
investment analysis and will not be required to be consistent
with the Fund’s ESG factors and responsible investment criteria otherwise
applicable to investments made by the Fund. In addition,
ETFs in which the Fund may invest may hold securities of issuers that do not
operate in accordance with the Fund’s ESG factors
and responsible investment criteria.
Related
Performance Information of Composite
The
Fund has recently commenced operations and no performance history is included in
this prospectus. An affiliate of the Adviser, Calvert,
manages a composite (the “Composite”) that consists of an account and a mutual
fund managed by two of the portfolio managers
that each have a substantially similar investment objective, policies and
investment strategies as the Fund (the “Composite Accounts”)
and the table below provides supplemental performance information for the
Composite. The performance of the Composite
is net of fees and expenses (with certain exceptions), which, depending on the
account may be lower or higher than those charged
to the Fund. The Composite reflects transaction costs, but does not reflect (i)
custody fees, Rule 12b-1 fees or other expenses normally
paid by mutual funds that are unrelated to the investment management services
provided by an adviser or (ii) a deduction of
any applicable sales load(s) of the Composite Account. Since fees, commissions
and taxes may differ for the Composite and the Fund,
performance data for identical periods may differ. If these fees and expenses
were included, returns would be lower. The Composite
performance information does not represent the performance of the Fund. It is
provided to illustrate the past performance
of accounts advised by an affiliate of the Adviser. The portfolio managers for
the Composite Accounts are two of the portfolio
managers listed for the Fund. These two individuals have sole or joint
responsibility for managing the Composite Accounts. These
two individuals have ultimate decision-making authority for both the Composite
Accounts and the Fund.
The
historical performance data for the Composite should not be considered a
substitute for the Fund’s performance and should not be
considered an indication of the Fund’s future performance. You should not assume
that the Fund will have the same performance as
the Composite. An investment in the Fund can lose value. Although the Fund and
the Composite Accounts have a substantially similar
investment objective, policies and investment strategies, differences in asset
size and cash flows, among other things, may result
in differences in security selection, relative weightings or differences in the
price paid for certain securities. As such, the investments
held by the Fund may not be identical to the investments held by the Composite
Accounts and the future performance of
the Fund will differ from the performance of the Composite.
One
of the Composite Accounts in the Composite is not subject to certain investment
limitations, diversification requirements and other
restrictions imposed on registered investment companies, such as the Fund, by
the 1940 Act and the Internal Revenue Code of 1986,
as amended, which, if applicable, may have adversely affected the performance of
the Composite.
Performance
of the Composite
Average
Annual Total Returns
|
|
| |
For
Periods Ended December 31, 2023 |
|
|
|
|
1
Year |
3
Years |
Since Inception1
|
Composite |
22.23% |
7.66% |
13.87% |
Russell
1000® Index2
|
26.53% |
8.97% |
14.92% |
1 |
The
inception date of the oldest account in the Composite is June 1,
2020. |
2 |
Russell
1000® Index is an unmanaged index of U.S. large-cap stocks. The Russell
1000® Index measures the performance of the large-cap segment of
the
US equity universe. It is a subset of the Russell 3000® Index and includes
approximately 1,000 of the largest securities based on a combination of
their
market cap and current index membership. It is not possible to invest
directly in an index. |
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks
|
| |
This
section discusses additional information relating to Fund investment
strategies, other types of investments that the Fund
may make and related risk factors. Fund investment practices and
limitations are also described in more detail in the Statement
of Additional Information (“SAI”), which is incorporated by reference and
legally is a part of this Prospectus. For details
on how to obtain a copy of the SAI and other reports and information, see
the back cover of this Prospectus. |
Economies
and financial markets worldwide have recently experienced periods of increased
volatility, uncertainty, distress, government
spending, inflation and disruption to consumer demand, economic output and
supply chains. To the extent these conditions
continue, the risks associated with an investment in the Fund, including those
described below, could be heightened and the
Fund’s investments (and thus a shareholder’s investment in the Fund) may be
particularly susceptible to sudden and substantial losses,
reduced yield or income or other adverse developments. The occurrence, duration
and extent of these or other types of adverse economic
and market conditions and uncertainty over the long term cannot be reasonably
projected or estimated at this time.
The
name, investment objective and policies of the Fund
are similar to other funds advised by the Adviser or its affiliates. However,
the
investment results of the Fund may be higher or lower than, and there is no
guarantee that the investment results of the Fund will be
comparable to, any such other funds for any period of time. The
Fund may be more significantly affected by purchases and redemptions
of its Creation Units (as defined below) than a fund with relatively greater
assets under management would be affected by
purchases and redemptions of its shares. As compared to a larger fund, the Fund
is more likely to sell a comparatively large portion of
its portfolio to meet significant Creation Unit redemptions or invest a
comparatively large amount of cash to facilitate Creation Unit
purchases, in each case when the Fund otherwise would not seek to do so. Such
transactions may cause the Fund to make investment
decisions at inopportune times or prices or miss attractive investment
opportunities. Such transactions may also accelerate the
realization of taxable income if sales of securities resulted in gains and the
Fund redeems Creation Units for cash, or otherwise cause
a fund to perform differently than intended. While such risks may apply to funds
of any size, such risks are heightened in funds with
fewer assets under management.
Depositary
Receipts
A
depositary receipt is generally issued by a bank or financial institution and
represents the common stock or other equity securities of
a foreign company. Depositary receipts involve many of the same risks as those
associated with direct investment in foreign securities.
In addition, the underlying issuers of certain depositary receipts, particularly
unsponsored or unregistered depositary receipts,
are under no obligation to distribute shareholder communications to the holders
of such receipts, or to pass through to them any
voting rights with respect to the deposited securities.
Equity
Securities
Equity
securities may include common and preferred stocks, convertible securities and
equity-linked securities, rights and warrants to purchase
common stocks, depositary receipts, shares of investment companies, limited
partnership interests and other specialty securities
having equity features. The
Fund may invest in equity securities that are publicly traded on
securities exchanges or over-the-counter
(“OTC”) or in equity securities that are not publicly traded. Securities that
are not publicly traded may be more difficult to value
or sell and their value may fluctuate more dramatically than other securities.
The prices of convertible securities are affected by changes
similar to those of equity and fixed-income securities.
The
value of equity securities and related instruments may decline in response to
adverse changes in the economy or the economic outlook;
deterioration in investor sentiment; interest rate, currency, and commodity
price fluctuations; adverse geopolitical, social or environmental
developments; issuer- and sector-specific considerations; unexpected trading
activity among retail investors; and other factors.
Market conditions may affect certain types of stocks to a greater extent than
other types of stocks. If the stock market declines,
the value of Fund shares will also likely decline. Although stock prices can
rebound, there is no assurance that values will return
to previous levels.
During
periods when equity securities experience heightened volatility, such as during
periods of market, economic or financial uncertainty
or distress, the Fund’s investments in equity securities may be subject to
heightened risks.
Market
and Geopolitical Risk
The
value of your investment in the Fund is based on the values of the Fund’s
investments, which change due to economic and other events
that affect markets generally, as well as those that affect particular regions,
countries, industries, companies or governments. Price
movements, sometimes called volatility, may be greater or less depending on the
types of securities the Fund owns and the markets
in which the securities trade. Volatility and disruption in financial markets
and economies may be sudden and unexpected, expose
the Fund to greater risk, including risks associated with reduced market
liquidity and fair valuation, and adversely affect the Fund’s
operations. For example, the Adviser potentially will be prevented from
executing investment decisions at an advantageous time
or price as a result of any domestic or global market disruptions and reduced
market liquidity may impact the Fund’s ability to sell
securities to meet redemptions.
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
The
increasing interconnectivity between global economies and markets increases the
likelihood that events or conditions in one region
or market may adversely impact other companies and issuers in a different
country, region, sector, industry, market or with respect
to one company may adversely impact issuers in a different country, region,
sector, industry, or market. For example, adverse developments
in the banking or financial services sector could impact companies operating in
various sectors or industries and adversely
impact the Fund’s investments. Securities in the Fund’s portfolio may
underperform due to inflation (or expectations for inflation),
interest rates, global demand for particular products or resources, natural
disasters and extreme weather events, health emergencies
(such as epidemics and pandemics), terrorism, regulatory events and governmental
or quasi-governmental actions. The occurrence
of global events, such as terrorist attacks around the world, natural disasters,
health emergencies, social and political (including
geopolitical) discord and tensions or debt crises and downgrades, among others,
may result in market volatility and may have
long term effects on both the U.S. and global financial markets. Inflation rates
may change frequently and significantly because of
various factors, including unexpected shifts in the domestic or global economy
and changes in monetary or economic policies (or expectations
that these policies may change). Changes in expected inflation rates may
adversely affect market and economic conditions,
the Fund’s investments and an investment in the Fund. The market price of
debt securities generally falls as inflation increases
because the purchasing power of the future income and repaid principal is
expected to be worth less when received by the Fund.
The risk of inflation is greater for debt instruments with longer maturities and
especially those that pay a fixed rather than variable
interest rate. Other financial, economic and other global market and
social developments or disruptions may result in similar adverse
circumstances, and it is difficult to predict when similar events affecting the
U.S. or global financial markets may occur, the effects
that such events may have and the duration of those effects (which may last for
extended periods). In general, the securities or other
instruments that the Adviser believes represent an attractive investment
opportunity or in which the Fund seeks to invest may be
unavailable entirely or in the specific quantities sought by the Fund. As a
result, the Fund may need to obtain the desired exposure through
a less advantageous investment, forgo the investment at the time or seek to
replicate the desired exposure through a derivative
transaction or investment in another investment vehicle. Any such event(s) could
have a significant adverse impact on the value
and risk profile of the Fund’s portfolio. There is a risk that you may lose
money by investing in the Fund.
Social,
political, economic and other conditions and events, such as war, natural
disasters, health emergencies (e.g., the novel coronavirus
outbreak, epidemics and other pandemics), terrorism, conflicts, social unrest,
recessions, inflation, interest rate changes and
supply chain disruptions could reduce consumer demand or economic output, result
in market closures, travel restrictions or quarantines,
and generally have a significant impact on the economies and financial markets
and the Adviser’s investment advisory activities
and services of other service providers, which in turn could adversely affect
the Fund’s investments and other operations.
Government
and other public debt, including municipal obligations in which the Fund may
invest, can be adversely affected by changes
in local and global economic conditions that result in increased debt levels.
Although high levels of government and other public
debt do not necessarily indicate or cause economic problems, high levels of debt
may create certain systemic risks if sound debt management
practices are not implemented. A high debt level may increase market pressures
to meet an issuer’s funding needs, which
may increase borrowing costs and cause a government or public or municipal
entity to issue additional debt, thereby increasing the
risk of refinancing. A high debt level also raises concerns that the issuer may
be unable or unwilling to repay the principal or interest
on its debt, which may adversely impact instruments held by the Fund that rely
on such payments.
Governmental
and quasi-governmental responses to certain economic or other conditions may
lead to increasing government and other
public debt, which heighten these risks. Unsustainable debt levels can lead to
declines in the value of currency, and can prevent a
government from implementing effective counter-cyclical fiscal policy during
economic downturns, can generate or contribute to an
economic downturn or cause other adverse economic or market developments, such
as increases in inflation or volatility. Increasing
government and other public debt may adversely affect issuers, obligors,
guarantors or instruments across a variety of asset classes.
Global
events may negatively impact broad segments of businesses and populations, cause
a significant negative impact on the performance
of the Fund’s investments, adversely affect and increase the volatility of the
Fund’s share price, exacerbate pre-existing political,
social and economic risks to the Fund. The Fund’s operations may be interrupted
as a result, which may contribute to the negative
impact on investment performance. In addition, governments, their regulatory
agencies, or self-regulatory organizations may take
actions that affect the instruments in which the Fund invests, or the issuers of
such instruments, in ways that could have a significant
negative impact on the Fund’s investment performance. In addition, government
actions (such as changes to interest rates) could
have unintended economic and market consequences that adversely affect the
Fund’s investments.
Responsible
Investing
Investing
primarily in responsible investments carries the risk that, under certain market
conditions, the Fund may underperform funds
that do not utilize a responsible investment strategy. The application of
responsible investment criteria may affect the Fund’s exposure
to certain sectors or types of investments, and may impact the Fund’s relative
investment performance depending on whether
such sectors or investments are in or out of favor in the market. An
investment’s ESG performance, or Calvert’s and/or the Adviser’s
assessment of such performance may change over time, which could cause the Fund
to temporarily hold securities that do not
comply with the Fund’s responsible investment criteria. In evaluating an
investment, Calvert and the Adviser are dependent upon information
and data that may be incomplete, inaccurate or unavailable, which could
adversely affect the analysis of the ESG factors
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
relevant
to a particular investment. Successful application of the Fund’s responsible
investment strategy will depend on Calvert’s and/or
the Adviser’s skill in properly identifying and analyzing material ESG issues.
Regulatory changes or interpretations regarding the definitions
and/or use of ESG criteria could have a material adverse effect on the Fund’s
ability to invest in accordance with its ESG strategy.
Socially responsible norms differ by country and region, and a company’s ESG
practices or Calvert and/or the Adviser’s assessment
of such may change over time and there is a risk that the Adviser may
incorrectly assess a company’s ESG practices. The Fund
may invest in companies that do not reflect the beliefs and values of any
particular investor.
Foreign
Investing
To
the extent that the Fund invests in foreign issuers, there is the risk that news
and events unique to a country or region will affect those
markets and their issuers. These same events will not necessarily have an effect
on the U.S. economy or similar issuers located in the
United States. In addition, some of the Fund’s
securities, including underlying securities represented by depositary receipts,
may be
denominated in foreign currencies. As a result, changes in the value of a
country’s currency compared to the U.S. dollar may affect the
value of the Fund’s investments. These changes may happen separately from, and
in response to, events that do not otherwise affect
the value of the security in the issuer’s home country. These risks may be
intensified for the Fund’s investments in securities of issuers
located in emerging market or developing countries.
Foreign
Securities
Foreign
issuers generally are subject to different accounting, auditing and financial
reporting standards than U.S. issuers. There may be
less information available to the public about foreign issuers. Securities of
foreign issuers can be less liquid and experience greater price
movements. In addition, the prices of such securities may be susceptible to
influence by large traders, due to the limited size of many
foreign securities markets. Moreover, investments in certain foreign markets
that have historically been considered stable may become
more volatile and subject to increased risk due to developments and changing
conditions in such markets. Also, the growing interconnectivity
of global economies and financial markets has increased the probability that
adverse developments and conditions
in one country or region will affect the stability of economies and financial
markets in other countries or regions. In some foreign
countries, there is also the risk of government expropriation, excessive
taxation, political or social instability, the imposition of currency
controls or diplomatic developments that could affect the Fund’s investment.
There also can be difficulty obtaining and enforcing
judgments against issuers in foreign countries. Foreign stock exchanges,
broker-dealers and listed issuers may be subject to less
government regulation and oversight. The cost of investing in foreign
securities, including brokerage commissions and custodial expenses,
can be higher than the cost of investing in domestic securities.
Certain
foreign markets may rely heavily on particular industries or foreign capital and
are more vulnerable to diplomatic developments,
the imposition of economic sanctions against a particular country or countries,
organizations, companies, entities and/or
individuals, changes in international trading patterns, trade barriers and other
protectionist or retaliatory measures. International trade
barriers or economic sanctions against foreign countries, organizations,
companies, entities and/or individuals may adversely affect
the Fund’s foreign holdings or exposures. Investments in foreign markets may
also be adversely affected by less stringent investor
protections and disclosure standards, and governmental actions such as the
imposition of capital controls, nationalization of companies
or industries, expropriation of assets or the imposition of punitive taxes.
Governmental actions can have a significant effect
on the economic conditions in foreign countries, which also may adversely affect
the value and liquidity of the Fund’s investments.
Foreign investment in the securities markets of certain foreign countries is
restricted or controlled to varying degrees. For
example, the governments of certain countries may prohibit or impose substantial
restrictions on foreign investing in their capital markets
or in certain sectors or industries. In addition, a foreign government may limit
or cause delay in the convertibility or repatriation
of its currency which would adversely affect the U.S. dollar value and/or
liquidity of investments denominated in that currency.
Moreover, if a deterioration occurs in a country’s balance of payments, the
country could impose temporary restrictions on foreign
capital remittances. The Fund could also be adversely affected by delays in, or
a refusal to grant, any required governmental approval
for repatriation, as well as by the application to it of other restrictions on
investment. Any of these actions could severely affect
security prices, which could result in losses to the Fund and increased
transaction costs, impair the Fund’s ability to purchase or sell
foreign securities or transfer the Fund’s assets back into the United States, or
otherwise adversely affect the Fund’s operations. Certain
foreign investments may become less liquid in response to market developments or
adverse investor perceptions, or become illiquid
after purchase by the Fund, particularly during periods of market turmoil.
Certain foreign investments may become illiquid when,
for instance, there are few, if any, interested buyers and sellers or when
dealers are unwilling to make a market for certain securities.
When the Fund holds illiquid investments, its portfolio may be harder to
value.
Economic
sanctions or other similar measures may be, and have been, imposed against
certain countries, organizations, companies, entities
and/or individuals. The Fund’s investments in foreign securities are subject to
trade laws and potential economic sanctions in the
United States and other jurisdictions. These laws and related governmental
actions, including counter-sanctions and other retaliatory
measures, can, from time to time, prevent or prohibit the Fund from investing in
certain foreign securities. In addition, economic
sanctions could prohibit the Fund from transacting with particular countries,
organizations, companies, entities and/or individuals
by banning them from global payment systems that facilitate cross-border
payments, restricting their ability to settle securities
transactions, and freezing their assets. The imposition of sanctions and other
similar measures could, among other things, cause
a decline in the value of securities issued by the sanctioned country or
companies located in, or economically linked to, the
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
sanctioned
country, downgrades in the credit ratings of the sanctioned country or companies
located in, or economically linked to, the
sanctioned country, devaluation of the sanctioned country’s currency, and
increased market volatility and disruption in the sanctioned
country and throughout the world. Economic sanctions or other similar measures
could, among other things, effectively restrict
or eliminate the Fund’s ability to purchase or sell securities, negatively
impact the value or liquidity of the Fund’s investments, significantly
delay or prevent the settlement of the Fund’s securities transactions, force the
Fund to sell or otherwise dispose of investments
at inopportune times or prices, increase the Fund’s transaction costs, make the
Fund’s investments more difficult to value
or impair the Fund’s ability to meet its investment objective or invest in
accordance with its investment strategies. These conditions
may be in place for a substantial period of time and enacted with limited
advance notice to the Fund. Even if the Fund does
not have significant investments in securities affected by sanctions, sanctions
or the threat of sanctions may cause volatility in regional
and global markets and may negatively impact the performance of various sectors
and industries, as well as companies in other
countries, including through global supply chain disruptions, increased
inflationary pressures, and reduced economic activity, which
could have a negative effect on the Fund’s performance. In addition, trade
disputes may affect investor and consumer confidence
and adversely affect financial markets and the broader economy, perhaps suddenly
and to a significant degree. Events such as
these and their impact on the Fund are difficult to predict.
In
addition, the Holding Foreign Companies Accountable Act (the “HFCAA”) could
cause securities of a foreign (non-U.S.) company,
including American Depositary Receipts, to be delisted from U.S. stock exchanges
if the company does not allow the U.S. government
to oversee the auditing of its financial information. Although the requirements
of the HFCAA apply to securities of all foreign
(non-U.S.) issuers, the SEC has thus far limited its enforcement efforts to
securities of Chinese companies. If securities are delisted,
the Fund’s ability to transact in such securities will be impaired, and the
liquidity and market price of the securities may decline.
The Fund may also need to seek other markets in which to transact in such
securities, which could increase the Fund’s costs.
Liquidity
The
Fund may make investments that are illiquid or restricted or that may become
illiquid or less liquid in response to, among other developments,
overall economic conditions or adverse investor perceptions, and which may
entail greater risk than investments in other
types of securities. Illiquidity can also be caused by, among other things, a
drop in overall market trading volume, an inability to
find a willing buyer, or legal restrictions on the securities’
resale. These investments may be more difficult to value or sell,
particularly
in times of market turmoil, and there may be little trading in the secondary
market available for particular securities. Liquidity
risk may be magnified in a market where credit spread and interest rate
volatility is rising and where investor redemptions from
fixed-income funds may be higher than normal. If the Fund is forced to sell an
illiquid or restricted security to fund redemptions
or for other cash needs, it may be forced to sell the security at a loss or for
less than its fair value and may be unable to sell
the security at all.
Foreign
Currency
Investments
in foreign securities may be denominated in foreign currencies. The value of
foreign currencies may fluctuate relative to the
value of the U.S. dollar or other applicable foreign currency. Since the
Fund
may invest in non-U.S. dollar-denominated securities,
and therefore may convert the value of such securities into U.S. dollars,
changes in currency exchange rates can increase or decrease
the U.S. dollar value of the Fund’s
assets. Currency exchange rates may fluctuate significantly over short periods
of time for a number
of reasons, including changes in interest rates and the overall economic health
of the issuer. Devaluation of a currency by a country’s
government or banking authority also will have a significant impact on the value
of any investments denominated in that currency.
The Adviser may use derivatives to seek to reduce this risk. The Adviser may in
its discretion choose not to hedge against currency
risk. In addition, certain market conditions may make it impossible or
uneconomical to hedge against currency risk.
Information
Technology Sector Risk
To
the extent the Fund invests a substantial portion of its assets in the
information technology sector, the value of Fund shares may be
particularly impacted by events that adversely affect the information technology
sector, such as rapid changes in technology product
cycles, competition for the services of qualified personnel and government
regulation. The products of information technology
companies may face product obsolescence due to rapid technological developments
and frequent new product introduction
and unpredictable changes in growth rates. Companies in the information
technology sector also can be heavily dependent
on patent protection and the expiration of patents may adversely affect the
profitability of these companies. As a result, the
value of shares may fluctuate more than that of a fund that does not invest
significantly in companies in the technology sector.
Derivatives
The Fund may,
but is not required to, use derivatives and other similar instruments for a
variety of purposes, including hedging, risk management,
portfolio management or to seek to earn income. Derivative instruments used by
the Fund will be counted towards the Fund’s
exposure in the types of securities listed herein to the extent they have
economic characteristics similar to such securities. A derivative
is a financial instrument whose value is based, in part, on the value of an
underlying asset, interest rate, index or financial instrument.
Prevailing interest rates and volatility levels, among other things, also affect
the value of derivative instruments. Derivatives
and other similar instruments that create synthetic exposure often are subject
to risks similar to those of the underlying asset
or instrument and may be subject to additional risks, including imperfect
correlation between the value of the derivative and the underlying
asset, risks of default by the counterparty to certain transactions,
magnification of losses incurred due to changes in the
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
market
value of the securities, instruments, indices or interest rates to which the
derivative instrument relates, risks that the transactions
may not be liquid, risks arising from margin and payment requirements, risks
arising from mispricing or valuation complexity
and operational and legal risks. The use of derivatives involves risks that are
different from, and possibly greater than, the risks
associated with other portfolio investments. Derivatives may involve the use of
highly specialized instruments that require investment
techniques and risk analyses different from those associated with other
portfolio investments.
Certain
derivative transactions may give rise to a form of leverage. Leverage magnifies
the potential for gain and the risk of loss. Leverage
associated with derivative transactions may cause the Fund to liquidate
portfolio positions when it may not be advantageous to
do so, or may cause the Fund to be more volatile than if the Fund had not been
leveraged. Although the Adviser seeks to use derivatives
to further the Fund’s investment objective, there is no assurance that the use
of derivatives will achieve this result.
The
derivative instruments and techniques that the Fund may use
include:
Futures.
A futures contract is a standardized, exchange-traded agreement to buy or sell a
specific quantity of an underlying asset, reference
rate or index at a specific price at a specific future time. While the value of
a futures contract tends to increase or decrease in tandem
with the value of the underlying instrument, differences between the futures
market and the market for the underlying asset may
result in an imperfect correlation. Depending on the terms of the particular
contract, futures contracts are settled through either physical
delivery of the underlying instrument on the settlement date or by payment of a
cash settlement amount on the settlement date.
A decision as to whether, when and how to use futures contracts involves the
exercise of skill and judgment and even a well-conceived
futures transaction may be unsuccessful because of market behavior or unexpected
events. In addition to the derivatives risks
discussed above, the prices of futures contracts can be highly volatile, using
futures contracts can lower total return, and the potential
loss from futures contracts can exceed the Fund’s initial investment in such
contracts. No assurance can be given that a liquid
market will exist for any particular futures contract at any particular time.
There is also the risk of loss by the Fund of margin deposits
in the event of bankruptcy of a broker with which the Fund has open
positions in the futures contract.
Exchange-Traded
Funds
The
Fund may invest in exchange-traded funds (“ETFs”). ETFs seek to track the
performance of various portions or segments of the equity
and fixed-income markets. Shares of ETFs have many of the same risks as direct
investments in common stocks or bonds. In addition,
the market value of ETF shares may differ from their NAV because the supply and
demand in the market for ETF shares at any
point in time is not always identical to the supply and demand in the market for
the underlying securities. Also, ETFs that track particular
indices typically will be unable to match the performance of the index exactly
due to, among other things, the ETF’s operating
expenses and transaction costs. ETFs typically incur fees that are separate from
those fees incurred directly by the Fund. Therefore,
as a shareholder in an ETF, the Fund would bear its ratable share of that
entity’s expenses. At the same time, the Fund would
continue to pay its own investment management fees and other expenses. As a
result, shareholders will directly bear the expenses
of their investment in the Fund and indirectly bear the expenses of the Fund’s
investments in ETFs with respect to investments
in ETFs.
Large
Shareholder Transactions Risk
The Fund
may experience adverse effects when certain shareholders, or shareholders
collectively, purchase or redeem large amounts of shares
of the Fund. In addition, a third party investor, the Adviser, or an affiliate
of the Adviser, an authorized participant, a lead market
maker, or another entity (i.e., a seed investor) may invest in the Fund and hold
its investment solely to facilitate commencement
of the Fund or to facilitate the Fund’s achieving a specified size or scale. Any
such investment may be held for a limited
period of time. There can be no assurance that any large shareholder would not
redeem its investment, that the size of the Fund
would be maintained at such levels or that the Fund would continue to meet
applicable listing requirements. Such larger than normal
redemptions may cause the Fund to sell portfolio securities at times when it
would not otherwise do so, which may negatively impact
the Fund’s NAV and liquidity. Similarly, large Fund share purchases may
adversely affect the Fund’s performance to the extent
that the Fund is delayed in investing new cash and is required to maintain a
larger cash position than it ordinarily would. Large
shareholder transactions may also accelerate the realization of taxable income
to shareholders if such sales of investments resulted
in gains, and may also increase transaction costs. In addition, a large
redemption could result in the Fund’s current expenses being
allocated over a smaller asset base, leading to an increase in the Fund’s
expense ratio. Although large shareholder transactions may
be more frequent under certain circumstances, the Fund is generally subject to
the risk that shareholders can purchase or redeem a
significant percentage of Fund shares at any time. In addition, transactions by
large shareholders may account for a large percentage of
the trading volume on NYSE Arca and may, therefore, have a material upward or
downward effect on the market price of the shares.
Counterparty
Risk
A
financial institution or other counterparty with whom the Fund does business
(such as trading, securities lending or as a derivatives counterparty),
or that underwrites, distributes or guarantees any instruments that the Fund
owns or is otherwise exposed to, may decline
in financial condition and become unable to honor its commitments. This could
cause the value of Fund shares to decline or could
delay the return or delivery of collateral or other assets to the Fund.
Counterparty risk is increased for contracts with longer maturities.
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
Securities
Lending
The
Fund may lend its portfolio securities to broker-dealers and other institutional
borrowers. During the existence of a loan, the Fund
will continue to receive the equivalent of the interest paid by the issuer on
the securities loaned, or all or a portion of the interest
on investment of the collateral, if any. The Fund may pay lending fees to such
borrowers. Loans will only be made to firms that
have been approved by the Adviser, and the Adviser or the securities lending
agent will periodically monitor the financial condition
of such firms while such loans are outstanding. Securities loans will only be
made when the Adviser believes that the expected
returns, net of expenses, justify the attendant risks. Securities loans
currently are required to be secured continuously by collateral
in cash, cash equivalents (such as money market instruments) or other liquid
securities held by the custodian and maintained
in an amount at least equal to the market value of the securities loaned. The
Fund may engage in securities lending to seek
to generate income. Upon return of the loaned securities, the Fund would be
required to return the related collateral to the borrower
and may be required to liquidate portfolio securities in order to do so. The
Fund may lend up to one-third of the value of its
total assets or such other amount as may be permitted by law.
As
with other extensions of credit, there are risks of delay in recovery or even
loss of rights in the securities loaned if the borrower of the
securities fails financially. To the extent that the portfolio securities
acquired with such collateral have decreased in value, it may result
in the Fund realizing a loss at a time when it would not otherwise do so. As
such, securities lending may introduce leverage into the
Fund. The Fund also may incur losses if the returns on securities that it
acquires with cash collateral are less than the applicable rebate
rates paid to borrowers and related administrative costs.
ETF
Structure Risks
Authorized
Participant Concentration Risk
Only
an authorized participant may engage in creation or redemption transactions
directly with the Fund. The Fund has a limited number
of intermediaries that act as authorized participants and none of these
authorized participants is or will be obligated to engage
in creation or redemption transactions. There can be no assurance that an active
trading market for the Fund’s shares will develop
or be maintained. To the extent that these intermediaries exit the business or
are unable to or choose not to proceed with creation
and/or redemption orders with respect to the Fund, such as during periods of
market stress, and no other authorized participant
creates or redeems, shares may trade at a discount to net asset value (“NAV”)
and possibly face trading halts and/or delisting.
Trading
Risk
Shares
are listed for trading on NYSE Arca and are bought and sold in the secondary
market at market prices. The market prices of shares
are expected to fluctuate, in some cases materially, in response to changes in
the Fund’s NAV, the intra-day value of the Fund’s holdings,
and supply and demand for shares. The Adviser cannot predict whether shares will
trade above, below or at their NAV. Disruptions
to creations and redemptions, the existence of significant market volatility or
potential lack of an active trading market for
the shares (including through a trading halt), as well as other factors, may
result in the shares trading significantly above (at a premium)
or below (at a discount) to NAV or to the intraday value of the Fund’s holdings.
You may pay significantly more or receive significantly
less than the Fund’s NAV per share during periods when there is a significant
premium or discount. During such periods,
you may incur significant losses if you sell your shares.
Buying
or selling shares in the secondary market may require paying brokerage
commissions or other charges imposed by brokers as determined
by that broker. Brokerage commissions are often a fixed amount and may be a
significant proportional cost when seeking to
buy or sell relatively small amounts of shares. In addition, the market price of
shares, like the price of any exchange-traded security, includes
a “bid-ask spread” charged by the market makers or other participants that trade
the particular security. The spread of the Fund’s
shares varies over time based on the Fund’s trading volume and market liquidity
and may increase if the Fund’s trading volume,
the spread of the Fund’s underlying securities, or market liquidity
decrease.
Trading
in shares on NYSE Arca may be halted due to market conditions or for reasons
that, in the view of NYSE Arca, make trading
in shares inadvisable. In addition, trading in shares on NYSE Arca is subject to
trading halts caused by extraordinary market volatility
pursuant to NYSE Arca “circuit breaker” rules. If a trading halt or
unanticipated closing of the exchange occurs, a shareholder
may be unable to purchase or sell shares. There can be no assurance that the
requirements of NYSE Arca necessary to maintain
the listing of the Fund will continue to be met or will remain
unchanged.
Cybersecurity
Risk
With
the increased use of technologies such as the internet to conduct business, the
Fund, the Adviser, authorized participants, service
providers and the relevant listing exchange are susceptible to operational,
information security and related “cyber” risks both directly
and through the service providers. Similar types of cybersecurity risks
are also present for issuers of securities in which the Fund
invests, which could result in material adverse consequences for such issuers
and may cause the Fund’s investment in such issuers
to lose value. In general, cyber incidents can result from deliberate attacks or
unintentional events. Cyber incidents include, but
are not limited to, gaining unauthorized access to digital systems (e.g.,
through “hacking” or malicious software coding) for purposes
of misappropriating assets or sensitive information, corrupting data, or causing
operational disruption. Cyberattacks may also
be carried out in a manner that does not require gaining unauthorized access,
such as causing denial-of-service attacks on
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
websites
(i.e., efforts to make network services unavailable to intended users).
Recently, geopolitical tensions may have increased the scale
and sophistication of deliberate attacks, particularly those from nation-states
or from entities with nation-state backing.
Cybersecurity
failures by, or breaches of, the systems of the Adviser, distributor and other
service providers (including, but not limited
to, index and benchmark providers, fund accountants, custodians, transfer agents
and administrators), exchanges, market participants,
market makers, authorized participants or the issuers of securities in which the
Fund invests have the ability to cause disruptions
and impact business operations, potentially resulting in: financial losses,
interference with the Fund’s ability to calculate its NAV,
disclosure of confidential trading information, impediments to trading,
submission of erroneous trades or erroneous creation
or redemption orders, the inability of the Fund or its service providers to
transact business, violations of applicable privacy and
other laws, regulatory fines, penalties, reputational damage, reimbursement or
other compensation costs, or additional compliance
costs. In addition, cyberattacks may render records of Fund assets and
transactions, shareholder ownership of Fund shares,
and other data integral to the functioning of the Fund inaccessible, inaccurate
or incomplete. Substantial costs may be incurred
by the Fund in order to resolve or prevent cyber incidents in the future. While
the Fund has established business continuity plans
in the event of, and risk management systems to prevent, such cyber incidents,
there are inherent limitations in such plans and systems,
including the possibility that certain risks have not been identified, that
prevention and remediation efforts will not be successful
or that cyberattacks will go undetected. Furthermore, the Fund cannot control
the cybersecurity plans and systems put in place
by service providers to the Fund, issuers in which the Fund invests, market
makers or authorized participants. The Fund and its shareholders
could be negatively impacted as a result.
Active
Management Risk
In
pursuing the Fund’s investment objective, the Adviser has considerable leeway in
deciding which investments to buy, hold or sell on
a day-to-day basis, and which trading strategies to use. For example, the
Adviser, in its discretion, may determine to use some permitted
trading strategies while not using others. The success or failure of such
decisions will affect the Fund’s performance. In addition,
it is expected that confidential or material non-public information regarding an
investment or potential investment opportunity
may become available to the Adviser. If such information becomes available, the
Adviser may be precluded (including by applicable
law or internal policies or procedures) from pursuing an investment or
disposition opportunity with respect to such investment
or investment opportunity and the Adviser may be restricted in its ability to
cause the Fund to buy or sell securities of an issuer
for substantial periods of time when the Fund otherwise could realize profit or
avoid loss. This may adversely affect the Fund’s flexibility
with respect to buying or selling securities and may impair the Fund’s
liquidity.
Temporary
Investments
Under
adverse or unstable market conditions or abnormal circumstances or when the
Adviser believes that changes in market, economic,
political or other conditions warrant, the Fund may, in the discretion of the
Adviser, take temporary positions that are inconsistent
with the Fund’s principal investment strategies in attempting to respond to such
conditions or circumstances. For example,
the Fund may invest without limit in cash, cash equivalents or other
fixed-income instruments, derivatives, repurchase agreements
or securities of other investment companies, including money market funds, for
temporary purposes. If the Adviser incorrectly
predicts the effects of these changes, such temporary investments may adversely
affect the Fund’s performance and the Fund
may not achieve its investment objective.
Regulatory
and Legal Risk
U.S.
and non-U.S. governmental agencies and other regulators regularly implement
additional regulations and legislators pass new laws
that affect the investments held by the Fund, the strategies used by the Fund or
the level of regulation or taxation applying to the
Fund (such as regulations related to investments in derivatives and other
transactions). These regulations and laws impact the investment
strategies, performance, costs and operations of the Fund or taxation of
shareholders.
The
SEC has recently proposed amendments to Rule 22e-4 of the 1940 Act that, if
adopted, would result in changes to the Fund’s liquidity
classification framework and could potentially increase the percentage of the
Fund’s investments classified as illiquid. In addition,
the Fund’s operations and investment strategies may be adversely impacted if the
proposed amendments are adopted.
Calvert | About
Responsible Investing
About
Responsible Investing
Investment
Selection Process
The
Fund may also invest in issuers that manage ESG risk exposures adequately and
that are not exposed to excessive ESG risk through
their principal business activities. Issuers are analyzed using The Calvert
Principles for Responsible Investment (included as Appendix
A to this Prospectus), a framework for considering ESG factors. Each issuer is
evaluated relative to an appropriate peer group
based on financially material ESG factors as determined by Calvert. Calvert’s
evaluation of a particular security’s responsible investing
characteristics generally involves both quantitative and qualitative analysis.
In assessing investments, Calvert generally focuses
on the ESG factors relevant to the issuer’s operations, and an issuer may be
acceptable for investment based primarily on such assessment.
Securities may be deemed suitable for investment even if the issuer does not
operate in accordance with all elements of the
Fund’s responsible investing criteria. The Fund may also invest in issuers that
Calvert believes are likely to operate in accordance with
the Principles pending Calvert’s engagement activity with such issuer. In
assessing issuers for which quantitative data is limited, subjective
judgments may serve as the primary basis for Calvert’s evaluation. The
responsible investing criteria of the Fund may be changed
by the Board without shareholder approval.
As
described above, and in the SAI, the Fund may invest in cash, money market
instruments and ETFs. Such investments will generally
not be subject to responsible investment analysis and will not be required to be
consistent with the responsible investment criteria
otherwise applicable to investments made by the Fund. In addition, ETFs in which
the Fund may invest may hold securities of
issuers that do not operate in accordance with the Fund’s responsible investment
criteria.
Shareholder
Advocacy and Corporate Responsibility
The
Adviser has engaged Calvert to vote proxies consistent with Calvert’s Proxy
Voting Policies and Procedures (“Proxy Policy”) and Global
Proxy Voting Guidelines. The Adviser has also engaged Calvert to seek to
actively engage with issuers. Calvert uses strategic engagement
and shareholder advocacy to encourage positive change in companies. Calvert’s
activities may include, but are not limited
to:
Direct
Dialogue with Company Management.
Calvert, or its agent, may initiate dialogue with management through phone
calls, letters
and in-person meetings. Through its interaction, Calvert seeks to learn about
management’s successes and challenges and to press
for improvement on issues of concern.
Proxy
Voting.
As a shareholder of the companies in its portfolio, the Fund typically has an
opportunity each year to express its views on
issues of corporate governance and sustainability at annual stockholder
meetings. Calvert votes proxies consistent with the Proxy Voting
Policies attached to the SAI.
Shareholder
Resolutions.
Calvert may propose that companies submit resolutions to their shareholders on a
variety of ESG issues. Calvert
believes that submitting shareholder resolutions may help establish dialogue
with management and encourage companies to take
action.
Calvert | Fund
Management
Adviser
Morgan
Stanley Investment Management Inc., with principal offices at 1585 Broadway, New
York, NY 10036, conducts a worldwide
portfolio management business and provides a broad range of portfolio management
services to customers in the United States
and abroad. Morgan Stanley (NYSE: “MS”) is the parent of the Adviser. Morgan
Stanley is a preeminent global financial services
firm engaged in securities trading and brokerage activities, as well as
providing investment banking, research and analysis, financing
and financial advisory services. As of December 31, 2023, the Adviser, together
with its affiliated asset management companies,
had approximately $1.5 trillion in assets under management or
supervision.
A
discussion regarding the Board of Trustees’ approval of the Management Agreement
is available in the Fund’s semi-annual report to
shareholders for the period ending March 31, 2023.
Management
Fees
The
Adviser receives a fee for management services equal to 0.29% of the Fund’s
average daily net assets.
Under
the Management Agreement, the Adviser will pay substantially all the expenses of
the Fund (including expenses of the Trust relating
to the Fund), except for the distribution fees, if any, brokerage expenses,
acquired fund fees and expenses, taxes, interest, litigation
expenses, and other extraordinary expenses, including the costs of proxies, not
incurred in the ordinary course of the Fund’s business.
Portfolio
Management
The
Fund is managed by Christopher Madden, James Reber, Thomas C. Seto,
Matthew Maillet, Ibrahim Kara, and Yijia Chen, who are
jointly and primarily responsible for the day-to-day management of the Funds.
Messrs. Madden, Seto and Reber are Managing Directors
of the Adviser and have been associated with the Morgan Stanley organization for
more than five years. Mr. Maillet has been
an Executive Director of the Adviser since 2022 and was associated with Goldman
Sachs Asset Management, L.P. from 2014 until
he joined Morgan Stanley. Mr. Kara is Executive Director of the Adviser and has
been associated with the Morgan Stanley organization
for about five years and was associated with OppnheimerFunds, Inc. from 2018
until he joined Morgan Stanley. Ms. Chen
is Vice President of the Adviser and has been associated with the Morgan Stanley
organization for more than five years.
The
Fund’s SAI provides additional information about the portfolio managers’
compensation structure, other accounts managed by the
portfolio managers and the portfolio managers’ ownership of securities in the
Fund.
Calvert | Shareholder
Information
Distribution
of Fund Shares
The
Distributor is the exclusive distributor of Creation Units of the Fund. The
Distributor or its agent distributes Creation Units for the
Fund on an agency basis. The Distributor does not maintain a secondary market in
shares of the Fund. The Distributor has no role
in determining the investment policies of the Fund or the securities that are
purchased or sold by the Fund. The Distributor’s principal
address is 3 Canal Plaza Suite 100, Portland, ME 04101.
The
Board of Trustees of the Trust has adopted a distribution and service plan
(“Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under
the Plan, the Fund is authorized to pay distribution fees in connection with the
sale and distribution of its shares and pay service
fees in connection with the provision of ongoing services to shareholders of the
Fund and the maintenance of shareholder accounts
in an amount up to 0.25% of its average daily net assets each year.
No
Rule 12b-1 fees are currently paid by the Fund, and there are no current plans
to impose these fees. However, in the event Rule 12b-1
fees are charged in the future, because these fees are paid out of the Fund’s
assets on an ongoing basis, these fees will increase the
cost of your investment in the Fund. By purchasing shares subject to
distribution fees and service fees, you may pay more over time
than you would by purchasing shares with other types of sales charge
arrangements. Long-term shareholders may pay more than the
economic equivalent of the maximum front-end sales charge permitted by the rules
of FINRA. The net income attributable to shares
will be reduced by the amount of distribution fees and service fees and other
expenses of the Fund.
About
Net Asset Value
The
Fund’s NAV per share is determined by dividing the total of the value of the
Fund’s investments and other assets, less any liabilities
attributable to the Fund, by the total number of outstanding shares of the Fund.
In making this calculation, the Fund generally
values its portfolio securities and other assets at market price.
When
no market quotations are readily available for a security or other asset,
including circumstances under which the Adviser determines
that a market quotation is not accurate, fair value for the security or other
asset will be determined in good faith using methods
approved by the Board of Trustees. The Adviser, consistent with its procedures
and applicable regulatory guidance, may (but
need not) determine to make an adjustment to the previous closing prices of
either domestic or foreign securities in light of significant
events, to reflect what it believes to be the fair value of the securities at
the time of determining the Fund’s NAV. In these cases,
the Fund’s NAV will reflect certain portfolio securities’ fair value rather than
their market price. In addition, the securities held by
the Fund may be traded in markets that close at a different time than the
exchange on which the Fund’s shares are listed. Accordingly,
during the time when the Fund’s listing exchange is open but after the
applicable market closes, bid-ask spreads may widen
and Fund shares may trade at a premium or discount to NAV. To the extent the
Fund invests in open-end management companies
(other than ETFs) that are registered under the 1940 Act, the Fund’s NAV is
calculated based in relevant part upon the NAV
of such funds. The prospectuses for such funds explain the circumstances under
which they will use fair value pricing and its effects.
Fair
value pricing involves subjective judgments and it is possible that the fair
value determined for a security or other asset is materially
different than the value that could be realized upon the sale of that security
or other asset. With respect to securities that are
primarily listed on foreign exchanges, the values of the Fund’s portfolio
securities may change on days when you will not be able to
purchase or sell your shares. The NAV of the Fund is based on the value of the
Fund’s portfolio securities or other assets.
The
Fund relies on various sources to calculate its NAV. The ability of the Fund’s
provider of administrative services to calculate the NAV
per share of the Fund is subject to operational risks associated with processing
or human errors, systems or technology failures, cyber
attacks and errors caused by third party service providers, data sources, or
trading counterparties. Such failures may result in delays
in the calculation of the Fund’s NAV and/or the inability to calculate NAV over
extended time periods. The Fund may be unable
to recover any losses associated with such failures. In addition, if the third
party service providers and/or data sources upon which
the Fund directly or indirectly relies to calculate its NAV or price individual
securities are unavailable or otherwise unable to calculate
the NAV correctly, it may be necessary for alternative procedures to be utilized
to price the securities at the time of determining
the Fund’s NAV.
The
Fund’s NAV per share is subject to various investment and other risks. Please
refer to the “Additional Information About Fund Investment
Strategies and Related Risks” and “Investment Strategies and Techniques”
sections of the Prospectus and SAI, respectively,
for more information regarding risks associated with an investment in the
Fund.
Book
Entry
The
Depository Trust Company (“DTC”) serves as securities depository for the shares.
The shares may be held only in book-entry form;
stock certificates will not be issued. DTC, or its nominee, is the record or
registered owner of all outstanding shares. Beneficial ownership
of shares will be shown on the records of DTC or its participants (described
below). Beneficial owners of shares are not entitled
to have shares registered in their names, will not receive or be entitled to
receive physical delivery of certificates in definitive form
and are not considered the registered holder thereof. Accordingly, to exercise
any rights of a holder of shares, each beneficial owner
must rely on the procedures of: (i) DTC; (ii) “DTC Participants,” i.e.,
securities brokers and dealers, banks, trust companies,
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
clearing
corporations and certain other organizations, some of whom (and/or their
representatives) own DTC; and (iii) “Indirect Participants,”
i.e., brokers, dealers, banks and trust companies that clear through or maintain
a custodial relationship with a DTC Participant,
either directly or indirectly, through which such beneficial owner holds its
interests. The Trust understands that under existing
industry practice, in the event the Trust requests any action of holders of
shares, or a beneficial owner desires to take any action
that DTC, as the record owner of all outstanding shares, is entitled to take,
DTC would authorize the DTC Participants to take
such action and that the DTC Participants would authorize the Indirect
Participants and beneficial owners acting through such DTC
Participants to take such action and would otherwise act upon the instructions
of beneficial owners owning through them. As described
above, the Trust recognizes DTC or its nominee as the owner of all shares for
all purposes.
Buying
and Selling Shares
Shares
of the Fund may be acquired or redeemed directly from the Fund at NAV only in
Creation Units or multiples thereof, as discussed
in the “Creations and Redemptions” section of the Prospectus. Only an Authorized
Participant (as defined in the “Creations
and Redemptions” section below) may engage in creation or redemption
transactions directly with the Fund. Once created,
shares of the Fund generally trade in the secondary market in amounts less than
a Creation Unit.
Shares
of the Fund are listed for trading on a national securities exchange during the
trading day. Shares can be bought and sold throughout
the trading day at market price like shares of other publicly traded companies.
However, there can be no guarantee that an
active trading market will develop or be maintained, or that the Fund shares
listing will continue or remain unchanged. The Trust does
not impose any minimum investment for shares of the Fund purchased on an
exchange. Buying or selling the Fund’s shares involves
certain costs that apply to all securities transactions. When buying or selling
shares of the Fund through a financial intermediary,
you may incur a brokerage commission or other charges determined by your
financial intermediary. Due to these brokerage
costs, if any, frequent trading may detract significantly from investment
returns. In addition, you may also incur the cost of the
spread (the difference between the bid price and the ask price). The commission
is frequently a fixed amount and may be a significant
cost for investors seeking to buy or sell small amounts of shares. The spread
varies over time for shares of the Fund based on
its trading volume and market liquidity, and is generally less if the Fund has
more trading volume and market liquidity and more if
the Fund has less trading volume and market liquidity.
The
Fund’s primary listing exchange is NYSE Arca. NYSE Arca is open for trading
Monday through Friday and is closed on the following
holidays: New Year’s Day, Martin Luther King, Jr. Day, Presidents’ Day, Good
Friday, Memorial Day, Juneteenth National
Independence Day, Independence Day, Labor Day, Thanksgiving Day and Christmas
Day.
A
“business day” with respect to the Fund is each day the New York Stock Exchange,
NYSE Arca, and the Trust are open and includes
any day that the Fund is required to be open under Section 22(e) of the 1940
Act. Orders from authorized participants to create
or redeem Creation Units will only be accepted on a business day. On days when
NYSE Arca closes earlier than normal, the Fund
may require orders to create or redeem Creation Units to be placed earlier in
the day. See the SAI for more information.
The
Trust’s Board of Trustees has not adopted a policy of monitoring for frequent
purchases and redemptions of Fund shares (“frequent
trading”) that appear to attempt to take advantage of potential arbitrage
opportunities presented by a lag between a change in
the value of the Fund’s portfolio securities after the close of the primary
markets for the Fund’s portfolio securities and the reflection
of that change in the Fund’s NAV (“market timing”). The Trust believes this is
appropriate because ETFs, such as the Fund,
are intended to be attractive to arbitrageurs, as trading activity is critical
to ensuring that the market price of Fund shares remains
at or close to NAV. Since the Fund issues and redeems Creation Units at NAV plus
applicable transaction fees, and the Fund’s
shares may be purchased and sold on NYSE Arca at prevailing market prices, the
risks of frequent trading are limited.
Section
12(d)(1) of the 1940 Act generally restricts investments by investment
companies, including foreign and unregistered investment
companies, in the securities of other investment companies. For example, a
registered investment company (the “Acquired
Fund”), such as the Fund, may not knowingly sell or otherwise dispose of any
security issued by the Acquired Fund to any investment
company (the “Acquiring Fund”) or any company or companies controlled by the
Acquiring Fund if, immediately after such
sale or disposition: (i) more than 3% of the total outstanding voting stock of
the Acquired Fund is owned by the Acquiring Fund
and any company or companies controlled by the Acquiring Fund, or (ii) more than
10% of the total outstanding voting stock of
the Acquired Fund is owned by the Acquiring Fund and other investment companies
and companies controlled by them. However,
registered investment companies are permitted to invest in the Fund beyond the
limits set forth in Section 12(d)(1), subject
to certain terms and conditions set forth in SEC rules. In order for a
registered investment company to invest in shares of the Fund
beyond the limitations of Section 12(d)(1) in reliance on Rule 12d1-4 under the
1940 Act, the registered investment company must,
among other things, enter into an agreement with the Trust. Foreign investment
companies are permitted to invest in the Fund
only up to the limits set forth in Section 12(d)(1), subject to any applicable
SEC Staff no-action relief.
The
Fund and the Distributor will have the sole right to accept orders to purchase
shares and reserve the right to reject any purchase order
in whole or in part.
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
Creations
and Redemptions
Prior
to trading in the secondary market, shares of the Fund are “created” at NAV by
market makers, large investors and institutions only
in block-size Creation Units or multiples thereof. Each “creator” or authorized
participant (an “Authorized Participant”) enters into
an authorized participant agreement with the Fund’s Distributor. An Authorized
Participant is a member or participant of a clearing
agency registered with the SEC, which has a written agreement with the Fund or
one of its service providers that allows such member
or participant to place orders for the purchase and redemption of Creation
Units.
A
creation transaction, which is subject to acceptance by JPMorgan Chase Bank
N.A., as the Trust’s transfer agent, generally takes place
when an Authorized Participant deposits into the Fund a designated portfolio of
securities (including any portion of such securities
for which cash may be substituted) and a specified amount of cash in exchange
for a specified number of Creation Units.
Similarly,
shares can be redeemed only in Creation Units, generally for a designated
portfolio of securities (including any portion of such
securities for which cash may be substituted) held by the Fund and a specified
amount of cash. Except when aggregated in Creation
Units, shares are not redeemable by the Fund.
The
prices at which creations and redemptions occur are based on the next
calculation of NAV after a creation or redemption order is received
in an acceptable form under the authorized participant agreement.
Only
an Authorized Participant may create or redeem Creation Units directly with the
Fund.
In
the event of a system failure or other interruption, including disruptions at
market makers or authorized participants, orders to purchase
or redeem Creation Units either may not be executed according to the Fund’s
instructions or may not be executed at all, or the
Fund may not be able to place or change orders.
To
the extent the Fund engages in in-kind transactions, the Fund intends to comply
with the U.S. federal securities laws in accepting securities
for deposit and satisfying redemptions with redemption securities by, among
other means, assuring that any securities accepted
for deposit and any securities used to satisfy redemption requests will be sold
in transactions that would be exempt from registration
under the Securities Act of 1933, as amended (the “Securities Act”). Further, an
Authorized Participant that is not a “qualified
institutional buyer,” as such term is defined under Rule 144A of the Securities
Act, will not be able to receive restricted securities
eligible for resale under Rule 144A.
The
in-kind arrangements are intended to protect ongoing shareholders from adverse
effects on the
Fund’s portfolio that could arise from
frequent cash creation and redemption transactions and generally will not lead
to a tax event for the Fund or its ongoing shareholders.
Creations
and redemptions must be made through a firm that is either a member of the
Continuous Net Settlement System of the National
Securities Clearing Corporation or a DTC Participant and has executed an
agreement with the Distributor with respect to creations
and redemptions of Creation Unit aggregations. Information about the procedures
regarding creation and redemption of Creation
Units (including the cut-off times for receipt of creation and redemption
orders) and the applicable transaction fees is included
in the Fund’s SAI.
Portfolio
Holdings
A
description of the Trust’s policies and procedures with respect to the
disclosure of the Fund’s portfolio securities is available in the Trust’s
SAI.
Inactive
Accounts and Risk of Escheatment
In
accordance with state “unclaimed property” laws, your Fund shares may legally be
considered abandoned and required to be transferred
to the relevant state (also known as “escheatment”) under various circumstances.
These circumstances, which vary by state,
can include inactivity (e.g., no owner-initiated contact for a certain period),
returned mail (e.g., when mail sent to a shareholder is
returned by the post office as undeliverable), uncashed checks or a combination
of these. An incorrect address may cause a shareholder’s
account statements and other mailings to be returned to the Fund or your
Financial Intermediary. Since states’ statutory
requirements regarding inactivity differ, it is important to regularly contact
your Financial Intermediary or the Fund’s transfer
agent. The process described above, and the application of state escheatment
laws, may vary by state and/or depending on how
shareholders hold their shares in the Fund.
It
is your responsibility to ensure that you maintain a valid mailing address for
your account, keep your account active by contacting your
Financial Intermediary or the Fund’s transfer agent (e.g., by mail or
telephone), and promptly cash all checks for dividends, capital
gains and redemptions. Neither the Fund nor the Adviser will be liable to
shareholders or their representatives for good faith compliance
with escheatment laws.
For
more information, please contact us at 800-836-2414.
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
Dividends
and Distributions
General
Policies
Dividends
from net investment income, if any, generally are declared and paid quarterly by
the Fund. Distributions of net realized securities
gains, if any, generally are declared and paid once a year, but the Trust may
make distributions on a more frequent basis for the
Fund. The Trust reserves the right to declare special distributions if, in its
reasonable discretion, such action is necessary or advisable
to preserve its status as a regulated investment company or to avoid imposition
of income or excise taxes on undistributed income
or realized gains. Dividends and other distributions on shares of the Fund are
distributed on a pro rata basis to beneficial owners
of such shares. Dividend payments are made through DTC participants and indirect
participants to beneficial owners then of record
with proceeds received from the Fund.
Dividend
Reinvestment Service
No
dividend reinvestment service is provided by the Trust. Broker-dealers may make
available the DTC book-entry dividend reinvestment
service for use by beneficial owners of the Fund for reinvestment of their
dividend distributions. Beneficial owners should
contact their broker to determine the availability and costs of the service and
the details of participation therein. Brokers may require
beneficial owners to adhere to specific procedures and timetables. If this
service is available and used, dividend distributions of both
income and realized gains will be automatically reinvested in additional whole
shares of the Fund purchased in the secondary market.
Taxes
As
with any investment, you should consider how your Fund investment will be taxed.
The tax information in this Prospectus is provided
as general information. You should consult your own tax professional about the
tax consequences of an investment in the Fund.
Unless your investment in the Fund is through a tax deferred retirement account,
such as a 401(k) plan or IRA, you need to be aware
of the possible tax consequences when the Fund makes distributions and when you
sell shares.
Taxation
of Distributions.
Your distributions normally are subject to federal and state income tax when
they are paid, whether you take
them in cash or reinvest them in Fund shares. A distribution also may be subject
to local income tax. Any income dividend distributions
and any short-term capital gain distributions are taxable to you as ordinary
income. Any long-term capital gain distributions
are taxable as long-term capital gains, no matter how long you have owned shares
in the Fund.
If
certain holding period requirements are met with respect to your shares, a
portion of the income dividends you receive may be taxed
at the same rates as long-term capital gains. However, even if income received
in the form of income dividends is taxed at the same
rates as long-term capital gains, such income will not be considered long-term
capital gains for other federal income tax purposes.
For example, you will not be permitted to offset income dividends with capital
losses. Short term capital gain distributions will
continue to be taxed as ordinary income taxes.
If
certain holding period requirements are met, corporate shareholders may be
entitled to a dividends-received deduction for the portion
of dividends they receive which are attributable to dividends received by the
Fund from U.S. corporations.
If
you buy shares of the Fund before a distribution, you may be subject to tax on
the entire amount of the taxable distribution you receive.
Distributions are taxable to you even if they are paid from income or gain
earned by the Fund before your investment (and thus
were included in the price you paid for your Fund shares).
Investment
income received by the Fund from sources within foreign countries may be subject
to foreign income, withholding, and other
taxes. Tax conventions between certain countries and the U.S. may reduce or
eliminate such taxes.
You
will be sent a statement (Internal Revenue Service (“IRS”) Form 1099-DIV) by
February of each year showing the taxable distributions
paid to you in the previous year. The statement provides information on your
dividends and any capital gains for tax purposes.
Taxation
of Sales.
Your sale of Fund shares normally is subject to federal and state income tax and
may result in a taxable gain or loss to
you. A sale also may be subject to local income tax. When you sell your shares,
you will generally recognize a capital gain or loss in an
amount equal to the difference between your adjusted tax basis in the shares and
the amount received. Generally, this capital gain or
loss is long-term or short-term depending on whether your holding period exceeds
one year, except that any loss realized on shares held
for six months or less will be treated as a long-term capital loss to the extent
of any long-term capital gain dividends that were received
on the shares. Additionally, any loss realized on a sale of Shares of the Fund
may be disallowed under “wash sale” rules to the extent
the shares disposed of are replaced with other shares of the Fund within a
period of 61 days beginning 30 days before and ending
30 days after the date of disposition, such as pursuant to a dividend
reinvestment in Fund shares. If disallowed, the loss will be
reflected in an adjustment to the basis of the shares
acquired.
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
Creations
and Redemptions.
A person who exchanges securities for Creation Units generally will recognize a
gain or loss. The gain or loss
will be equal to the difference between the market value of the Creation Units
at the time of exchange and the sum of the exchanger’s
aggregate basis in the securities surrendered and the amount of any cash paid
for such Creation Units. A person who exchanges
Creation Units for securities will generally recognize a gain or loss equal to
the difference between the exchanger’s basis in the
Creation Units and the sum of the aggregate market value of the securities
received. The IRS, however, may assert that a loss realized
upon an exchange of primarily securities for Creation Units cannot be deducted
currently under the rules governing “wash sales,”
or on the basis that there has been no significant change in economic position.
Persons exchanging securities for Creation Units
or redeeming Creation Units should consult their own tax adviser with respect to
whether wash sale rules apply and when a loss might
be deductible and the tax treatment of any creation or redemption
transaction.
Under
current U.S. federal income tax laws, any capital gain or loss realized upon a
redemption (or creation) of Creation Units is generally
treated as long-term capital gain or loss if the Fund shares (or securities
surrendered) have been held for more than one year and
as a short-term capital gain or loss if the Fund shares (or securities
surrendered) have been held for one year or less.
Other
Information.
An additional 3.8% Medicare tax is imposed on certain net investment income
(including ordinary dividends and capital
gain distributions received from the Fund and net gains from redemptions or
other taxable dispositions of Fund shares) of U.S.
individuals, estates and trusts to the extent that such person’s “modified
adjusted gross income” (in the case of an individual) or “adjusted
gross income” (in the case of an estate or trust) exceeds certain threshold
amounts.
You
may be subject to backup withholding at a rate of 24% with respect to taxable
distributions if you do not provide your correct taxpayer
identification number, or certify that it is correct, or if you have been
notified by the IRS that you are subject to backup withholding.
Shareholders who are not citizens or residents of the United States and certain
foreign entities will generally be subject to
withholding of U.S. tax of 30% on distributions made by the Fund of investment
income and short-term capital gains.
Withholding
of U.S. tax is required (at a 30% rate) on payments of taxable dividends made to
certain non-U.S. entities that fail to comply
(or be deemed compliant) with extensive reporting and withholding requirements
designed to inform the U.S. Department of
the Treasury of U.S.-owned foreign investment accounts. Shareholders may be
requested to provide additional information to the Fund
to enable the Fund to determine whether withholding is required.
Reporting
to you and the IRS is required annually on Form 1099-B with respect to not only
the gross proceeds of Fund shares you sell
or redeem but also their cost basis. Shareholders should contact their
intermediaries with respect to reporting of cost basis and available
elections with respect to their accounts. You should carefully review the cost
basis information provided by the applicable intermediary
and make any additional basis, holding period or other adjustments that are
required when reporting these amounts on your
federal income tax returns.
Because
each investor’s tax circumstances are unique and the tax laws may change, you
should consult your tax advisor about your investment.
Tax-Advantaged
Product Structure
Unlike
interests in many conventional mutual funds, the shares are traded throughout
the day on a national securities exchange, whereas
mutual fund interests are typically only bought and sold at closing NAVs. The
shares have been designed to be tradable in the
secondary market on a national securities exchange on an intra-day basis, and to
be created and redeemed in Creation Units at each
day’s next calculated NAV. Shares are created and redeemed principally in kind.
The in-kind arrangements are designed to protect
ongoing shareholders from adverse effects on the Fund’s portfolio that could
arise from frequent cash creation and redemption
transactions. In a conventional mutual fund, redemptions can have an adverse tax
impact on taxable shareholders because the
mutual fund may need to sell portfolio securities to obtain cash to meet fund
redemptions. These sales may generate taxable gains for
the shareholders of the mutual fund, whereas the shares’ in-kind redemption
mechanism generally will not lead to a tax event for the
Fund or its ongoing shareholders. There is no guarantee that these tax
advantages will be realized or will materially reduce the amount
of taxable capital gains distributed by the Fund to shareholders. To the extent
the Fund substitutes cash in lieu of certain portfolio
securities for redemption transactions, the Fund may be required to sell
portfolio securities and subsequently recognize gains on
such sales that the Fund might not have recognized if it were to distribute such
portfolio securities in-kind.
Potential
Conflicts of Interest
As
a diversified global financial services firm, Morgan Stanley, the parent company
of the Adviser, engages in a broad spectrum of activities,
including financial advisory services, investment management activities,
lending, commercial banking, sponsoring and managing
private investment funds, engaging in broker-dealer transactions and principal
securities, commodities and foreign exchange
transactions, research publication and other activities. In the ordinary course
of its business, Morgan Stanley is a full-service investment
banking and financial services firm and therefore engages in activities where
Morgan Stanley’s interests or the interests of its
clients may conflict with the interests of the Fund. Morgan Stanley advises
clients and sponsors, manages or advises other investment
funds and investment programs, accounts and businesses (collectively, together
with any new or successor funds, programs,
accounts or businesses, the ‘‘Affiliated Investment Accounts’’) with a wide
variety of investment objectives that in some
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
instances
may overlap or conflict with the Fund’s investment objectives and present
conflicts of interest. In addition, Morgan Stanley may
also from time to time create new or successor Affiliated Investment Accounts
that may compete with the Fund and present similar
conflicts of interest. The discussion below enumerates certain actual, apparent
and potential conflicts of interest. There is no assurance
that conflicts of interest will be resolved in favor of Fund shareholders and,
in fact, they may not be. Conflicts of interest not
described below may also exist.
For
more information about conflicts of interest, see the section entitled
“Potential Conflicts of Interest” in the SAI.
Material
Nonpublic Information.
It is expected that confidential or material nonpublic information regarding an
investment or potential
investment opportunity may become available to the Adviser. If such information
becomes available, the Adviser may be precluded
(including by applicable law or internal policies or procedures) from pursuing
an investment or disposition opportunity with
respect to such investment or investment opportunity. Morgan Stanley has
established certain information barriers and other policies
to address the sharing of information between different businesses within Morgan
Stanley. In limited circumstances, however,
including for purposes of managing business and reputational risk, and subject
to policies and procedures and any applicable
regulations, personnel, including personnel of the Adviser, on one side of an
information barrier may have access to information
and personnel on the other side of the information barrier through “wall
crossings.” The Adviser faces conflicts of interest
in determining whether to engage in such wall crossings. Information obtained in
connection with such wall crossings may limit
or restrict the ability of the Adviser to engage in or otherwise effect
transactions on behalf of the Fund (including purchasing or selling
securities that the Adviser may otherwise have purchased or sold for the Fund in
the absence of a wall crossing).
Investments
by Morgan Stanley and its Affiliated Investment Accounts.
In serving in multiple capacities to Affiliated Investment Accounts,
Morgan Stanley, including the Adviser and the Investment team, may have
obligations to other clients or investors in Affiliated
Investment Accounts, the fulfillment of which may not be in the best interests
of the Fund or its shareholders. The Fund’s investment
objectives may overlap with the investment objectives of certain Affiliated
Investment Accounts. As a result, the members of
an Investment team may face conflicts in the allocation of investment
opportunities among the Fund and other investment funds, programs,
accounts and businesses advised by or affiliated with the Adviser. Certain
Affiliated Investment Accounts may provide for higher
management or incentive fees or greater expense reimbursements or overhead
allocations, all of which may contribute to this conflict
of interest and create an incentive for the Adviser to favor such other
accounts. To seek to reduce potential conflicts of interest
and to attempt to allocate such investment opportunities in a fair and equitable
manner, the Adviser has implemented allocation
policies and procedures. These policies and procedures are intended to give all
clients of the Adviser, including the Fund, fair
access to investment opportunities consistent with the requirements of
organizational documents, investment strategies, applicable
laws and regulations, and the fiduciary duties of the Adviser.
Payments
to Broker-Dealers and Other Financial Intermediaries.
The Adviser and/or the Distributor may pay compensation, out of their
own funds and not as an expense of the Fund, to certain Financial Intermediaries
(which may include affiliates of the Adviser and
Distributor), including recordkeepers and administrators of various deferred
compensation plans, in connection with the sale, distribution,
marketing and retention of shares of the Fund and/or shareholder servicing. The
prospect of receiving, or the receipt of, additional
compensation, as described above, by Financial Intermediaries may provide such
Financial Intermediaries and their financial
advisors and other salespersons with an incentive to favor sales of shares of
the Fund over other investment options with respect
to which these Financial Intermediaries do not receive additional compensation
(or receives lower levels of additional compensation).
These payment arrangements, however, will not change the price that an investor
pays for shares of the Fund or the amount
that the Fund receives to invest on behalf of an investor. Investors may wish to
take such payment arrangements into account when
considering and evaluating any recommendations relating to Fund shares and
should review carefully any disclosures provided by
Financial Intermediaries as to their compensation. In addition, in certain
circumstances, the Adviser restricts, limits or reduces the amount
of the Fund’s investment, or restricts the type of governance or voting rights
it acquires or exercises, where the Fund (potentially
together with Morgan Stanley) exceeds a certain ownership interest, or possesses
certain degrees of voting or control or has
other interests.
Morgan
Stanley Trading and Principal Investing Activities.
Notwithstanding anything to the contrary herein, Morgan Stanley will
generally
conduct its sales and trading businesses, publish research and analysis, and
render investment advice without regard for the Fund’s
holdings, although these activities could have an adverse impact on the value of
one or more of the Fund’s investments, or could
cause Morgan Stanley to have an interest in one or more portfolio investments
that is different from, and potentially adverse to,
that of the Fund.
Morgan
Stanley’s Investment Banking and Other Commercial Activities.
Morgan Stanley advises clients on a variety of mergers, acquisitions,
restructuring, bankruptcy and financing transactions. Morgan Stanley may act as
an advisor to clients, including other investment
funds that may compete with the Fund and with respect to investments that the
Fund may hold. Morgan Stanley may give
advice and take action with respect to any of its clients or proprietary
accounts that may differ from the advice given, or may involve
an action of a different timing or nature than the action taken, by the Fund.
Morgan Stanley may give advice and provide recommendations
to persons competing with the Fund and/or any of the Fund’s investments that are
contrary to the Fund’s best interests
and/or the best interests of any of its investments. Morgan Stanley’s activities
on behalf of its clients (such as engagements as
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
an
underwriter or placement agent) may restrict or otherwise limit investment
opportunities that may otherwise be available to the Fund.
Morgan
Stanley may be engaged to act as a financial advisor to a company in connection
with the sale of such company, or subsidiaries
or divisions thereof, may represent potential buyers of businesses through its
mergers and acquisition activities and may provide
lending and other related financing services in connection with such
transactions. Morgan Stanley’s compensation for such activities
is usually based upon realized consideration and is usually contingent, in
substantial part, upon the closing of the transaction.
Under these circumstances, the Fund may be precluded from participating in a
transaction with or relating to the company
being sold or participating in any financing activity related to a merger or an
acquisition.
Calvert | Financial
Highlights
The
financial highlights table that follows is intended to help you understand the
financial performance of the shares of the Fund since
inception. Certain information reflects financial results for a single Fund
share. The total returns in the tables represent the
rate that an investor would have earned (or lost) on an investment in
the Fund
(assuming reinvestment of all dividends and distributions).
The
information below has been derived from the financial statements audited
by Ernst & Young LLP, the Fund’s independent
registered
public accounting firm. Ernst & Young LLP’s report, along with the
Fund’s
financial statements, are incorporated by reference
into the Fund’s SAI.
The Annual Report to Shareholders (which includes the Fund’s
financial statements) and SAI are available
at no cost from the Trust at the toll-free number noted on the back cover to
this Prospectus.
Calvert | Shareholder
Information
Calvert
US Select Equity ETF
|
| |
|
|
|
Selected
Per Share Data and Ratios |
Period
from January 30, 2023(1) to
September 30, 2023 |
Net
Asset Value, Beginning of Period |
$ |
|
Income
(Loss) from Investment Operations: |
|
|
Net
Investment Income(2)
|
|
|
Net
Realized and Unrealized Gain |
|
|
Total
from Investment Operations |
|
|
Distributions
from and/or in Excess of: |
|
|
Net
Investment Income |
|
|
Net
Asset Value, End of Period |
$ |
|
Total
Return(3)
|
|
|
Ratios
to Average Net Assets and Supplemental Data: |
|
|
Net
Assets, End of Period (Thousands) |
$ |
|
Ratio
of Expenses |
|
|
Ratio
of Net Investment Income |
|
|
Ratio
of Rebate from Morgan Stanley Affiliates |
|
|
Portfolio
Turnover Rate |
|
|
| |
(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. |
Calvert | Premium/Discount
Information
Premium/Discount
Information
Information
regarding how often the closing trading price of the shares of the
Fund was above (i.e., at a premium) or below (i.e., at a discount)
the NAV of the shares of the Fund for the most recently completed calendar year
and the most recently completed calendar quarter(s)
since that year (or the life of the Fund, if shorter) can be found at
www.calvert.com.
Calvert |
Continuous
Offering Information
Continuous
Offering Information
The
method by which Creation Units are created and traded may raise certain issues
under applicable securities laws. Because new Creation
Units are issued and sold by the Trust on an ongoing basis, a “distribution,” as
such term is used in the Securities Act may occur
at any point. Broker dealers and other persons are cautioned that some
activities on their part may, depending on the circumstances,
result in their being deemed participants in a distribution in a manner which
could render them statutory underwriters
and subject them to the prospectus delivery and liability provisions of the
Securities Act.
For
example, a broker dealer firm or its client may be deemed a statutory
underwriter if it takes Creation Units after placing an order with
the Distributor, breaks them down into constituent shares, and sells such shares
directly to customers, or if it chooses to couple the
creation of a supply of new shares with an active selling effort involving
solicitation of secondary market demand for shares. A determination
of whether one is an underwriter for purposes of the Securities Act must take
into account all the facts and circumstances
pertaining to the activities of the broker dealer or its client in the
particular case, and the examples mentioned above should
not be considered a complete description of all the activities that could lead
to a categorization as an underwriter.
Broker
dealers who are not “underwriters” but are participating in a distribution (as
contrasted to ordinary secondary trading transactions),
and thus dealing with shares that are part of an “unsold allotment” within the
meaning of Section 4(a)(3)(C) of the Securities
Act, would be unable to take advantage of the prospectus delivery exemption
provided by Section 4(a)(3) of the Securities Act.
This is because the prospectus delivery exemption in Section 4(a)(3) of the
Securities Act is not available in respect of such transactions
as a result of Section 24(d) of the 1940 Act. As a result, broker dealer firms
should note that dealers who are not underwriters
but are participating in a distribution (as contrasted with ordinary secondary
market transactions) and thus dealing with the
shares that are part of an overallotment within the meaning of Section
4(a)(3)(A) of the Securities Act would be unable to take advantage
of the prospectus delivery exemption provided by Section 4(a)(3) of the
Securities Act. Firms that incur a prospectus delivery
obligation with respect to shares are reminded that, under Rule 153 of the
Securities Act, a prospectus delivery obligation under
Section 5(b)(2) of the Securities Act owed to an exchange member in connection
with a sale on the Exchange is satisfied by the fact
that the prospectus is available at the Exchange upon request. The prospectus
delivery mechanism provided in Rule 153 is only available
with respect to transactions on an exchange.
In
addition, certain affiliates of the Fund and the Adviser may purchase and resell
Fund shares pursuant to this Prospectus.
The
Calvert Principles for Responsible Investment
We
believe that most corporations deliver benefits to society, through their
products and services, creation of jobs, payment of taxes and
the sum of their behaviors. As a responsible investor, Calvert Research and
Management seeks to invest in companies and other issuers
that provide positive leadership in the areas of their operations and overall
activities that are material to improving long-term shareholder
value and societal outcomes.
Calvert
seeks to invest in issuers that balance the needs of financial and nonfinancial
stakeholders and demonstrate a commitment to the
global commons, as well as to the rights of individuals and
communities.
The
Calvert Principles for Responsible Investment (Calvert Principles) provide a
framework for Calvert’s evaluation of investments and
guide Calvert’s stewardship on behalf of clients through active engagement with
issuers. The Calvert Principles seek to identify companies
and other issuers that operate in a manner that is consistent with or
promote:
Environmental
Sustainability and Resource Efficiency
• |
Reduce
the negative impact of operations and practices on the
environment |
• |
Manage
water scarcity and ensure efficient and equitable access to clean
sources |
• |
Mitigate
impact on all types of natural capital |
• |
Diminish
climate-related risks and reduce carbon
emissions |
• |
Drive
sustainability innovation and resource efficiency through business
operations or other activities, products and
services |
Equitable
Societies and Respect for Human Rights
• |
Respect
consumers by marketing products and services in a fair and ethical manner,
maintaining integrity in customer relations and
ensuring the security of sensitive consumer
data |
• |
Respect
human rights, respect culture and tradition in local communities and
economies, and respect Indigenous Peoples’
Rights |
• |
Promote
diversity and gender equity across workplaces, marketplaces and
communities |
• |
Demonstrate
a commitment to employees by promoting development, communication,
appropriate economic opportunity and decent
workplace standards |
• |
Respect
the health and well-being of consumers and other users of products and
services by promoting product safety |
Accountable
Governance and Transparency
• |
Provide
responsible stewardship of capital in the best interests of shareholders
and debtholders |
• |
Exhibit
accountable governance and develop effective boards or other governing
bodies that reflect expertise and diversity of perspective
and provide oversight of sustainability risk and
opportunity |
• |
Include
environmental and social risks, impacts and performance in material
financial disclosures to inform shareholders and debtholders,
benefit stakeholders and contribute to
strategy |
• |
Lift
ethical standards in all operations, including in dealings with customers,
regulators and business partners |
• |
Demonstrate
transparency and accountability in addressing adverse events and
controversies while minimizing risks and building trust |
Through
the application of the Calvert Principles, Calvert could have no or limited
exposure to issuers that:
• |
Demonstrate
poor management of environmental risks or contribute significantly to
local or global environmental problems. |
• |
Demonstrate
a pattern of employing forced, compulsory or child
labor. |
• |
Exhibit
a pattern and practice directly or through the company’s supply chain of
human rights violations or are complicit in human
rights violations committed by governments or security forces, including
those that are under U.S. or international sanction
for human rights abuses. |
• |
Exhibit
a pattern and practice of violating the rights and protections of
Indigenous Peoples. |
• |
Demonstrate
poor governance or engage in harmful or unethical
practices. |
• |
Manufacture
tobacco products. |
• |
Have
significant and direct involvement in the manufacture of alcoholic
beverages without taking significant steps to reduce the harmful
impact of these products. |
• |
Have
significant and direct involvement in gambling or gaming operations
without taking significant steps to reduce the harmful impact
of these businesses. |
• |
Have
significant and direct involvement in the manufacture of civilian handguns
and/or automatic weapons marketed to
civilians. |
• |
Have
significant and direct involvement in the manufacture of military weapons
that violate international humanitarian law, including
cluster bombs, landmines, biochemical weapons, nuclear weapons, blinding
laser weapons, or incendiary weapons. |
• |
Use
animals in product testing without countervailing social benefits such as
the development of medical treatments to ease human
suffering and disease |
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Where
to Find Additional Information
In
addition to this Prospectus, the Fund has an SAI, dated January 28, 2024 (as may
be supplemented from time to time), which contains
additional, more detailed information about the Trust and the Fund. The SAI is
incorporated by reference into this Prospectus
and, therefore, legally forms a part of this Prospectus. Certain affiliates of
the Fund and the Adviser may purchase and resell
Fund shares pursuant to this Prospectus.
The
Trust publishes Annual and Semi-Annual Reports (“Shareholder Reports”) that
contain additional information about the Fund’s investments.
In the Fund’s Annual Report to Shareholders, you will find a discussion of the
market conditions and the investment strategies
that significantly affected such Fund’s performance during the last fiscal year.
For additional Trust information, including information
regarding the investments comprising the Fund, please call the toll-free number
below.
You
may obtain the SAI and Shareholder Reports without charge by contacting the
Trust at the toll-free number below or on its website
at: www.calvert.com. If you purchased shares through a Financial Intermediary,
you may also obtain these documents, without
charge, by contacting your Financial Intermediary.
Shareholder
Reports and other information about the Fund are available on the EDGAR Database
on the SEC’s website at http://www.sec.gov,
and copies of this information may be obtained, after paying a duplicating fee,
by electronic request at the following e-mail
address: [email protected].
Morgan
Stanley ETF Trust
c/o
Morgan Stanley Investment Management Inc.
1585
Broadway
New
York, New York 10036
For
Shareholder Inquiries,
call
toll-free 800-836-2414.
Prices
and Investment Results are available at www.calvert.com.
The
Trust’s 1940 Act registration number is 811-23820.
©
2024 Calvert Research and Management