2023-11-20EatonVanceFixed-IncomeETF_Pro485B
Calvert
International Responsible Index ETF
Calvert
US Large-Cap Core Responsible Index ETF
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF
Calvert
US Mid-Cap Core Responsible Index ETF
Prospectus | January
28, 2024
|
| |
Portfolio |
Ticker
Symbol |
Exchange |
Calvert
International Responsible Index ETF |
CVIE |
NYSE
Arca |
Calvert
US Large-Cap Core Responsible Index ETF |
CVLC |
NYSE
Arca |
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF |
CDEI |
NYSE
Arca |
Calvert
US Mid-Cap Core Responsible Index ETF |
CVMC |
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 a
Fund is not a bank deposit and is not insured by the Federal Deposit Insurance
Corporation or any other government
agency. An investment in a
Fund involves investment risks, and you may lose money in the
Fund.
Calvert
International Responsible Index ETF
Investment
Objective
Calvert
International Responsible Index ETF (the “Fund”) seeks to track the performance
of the Calvert International Responsible Index
(the “Index”).
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 |
0.18% |
|
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 |
|
|
$18 |
$58 |
$101 |
$230 |
|
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 13% of the average value of its
portfolio.
Principal
Investment Strategies
Under
normal circumstances, the Fund invests at least 80%
of its net assets (plus any borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any
changes.
The
Fund employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of a representative number of companies that resemble the
Index. The Fund may also lend its
securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated.
The degree to which components of the Index represent certain industries may
change over time.
The
Index is composed of common stocks of large companies in developed markets,
excluding the U.S., that operate their businesses in
a manner consistent with the Calvert Principles for Responsible Investment (the
“Calvert Principles”). Large companies in developed
markets include 1,000 large publicly traded companies, excluding real estate
investments trusts and business development companies,
in markets that Calvert Research and Management (“Calvert”), the Index provider,
determines to be developed markets based
on a set of criteria including level of economic development, existence of
capital controls, openness to foreign direct investment,
market trading and liquidity conditions, regulatory environment, treatment of
minority shareholders, and investor expectations.
When determining 1,000 large publicly traded companies, Calvert generally
includes the 500 largest publicly traded companies
located in or tied economically to Europe and the 500 largest publicly traded
companies located in or tied economically to other
non-U.S. and non-European developed markets. The Calvert Principles (a copy of
which is included as an appendix to the Fund’s
prospectus) serve as a framework for considering environmental, social and
governance (“ESG”) factors. Under this framework,
Calvert seeks to identify 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, including ESG areas such as:
Calvert
International Responsible Index ETF (Con’t)
environmental
sustainability and resource efficiency; equitable societies and respect for
human rights; and accountable governance and
transparency.
Stocks
are weighted in the Index based on their float-adjusted market capitalization,
by country and by sector, subject to certain prescribed
limits. As of September 30, 2023, the Index included 816 companies (and
typically is expected to be in the range between 700
and 800 companies), and the market capitalization ranged from approximately $2.8
billion to $420.1 billion with a weighted average
market capitalization of approximately $85.8 billion. Market capitalizations of
companies within the Index are subject to change.
The number of companies in the Index will change over time due to Calvert’s
evaluation of an issuer relative to the Calvert Principles
or corporate actions involving companies in the Index, among other things. The
Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions, and Zi Ye, Index Manager, manage the Index construction process at
Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks. The Fund may enter into foreign currency transactions,
including foreign currency forward exchange contracts,
in the course of purchasing and selling foreign currency denominated securities
in order to track, as closely as possible, the performance
of the Index.
The
Fund uses a sampling method of indexing. The sampling method involves selecting
a representative number of securities that will
resemble the Index in terms of key risk and other characteristics. The
securities selected are expected to have, in the aggregate, investment
characteristics (based on factors such as market value and industry weightings),
fundamental characteristics (such as return
variability and yield) and liquidity measures similar to those of the Index. The
Fund may or may not hold all of the securities in
the Index or hold securities in the same proportions as represented in the
Index.
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:
• |
Tracking
Error.
Tracking error risk refers to the risk that the Fund’s performance may not
match or correlate to that of the Index it attempts
to track, either on a daily or aggregate basis. Because the Fund uses a
representative sampling indexing strategy, it can be expected
to have a larger tracking error than if it used a replication indexing
strategy. Tracking error may occur because of, among other
things, transaction costs, the Fund’s holding of cash, differences in
accrual of dividends, changes to the Index or the need to meet
new or existing regulatory requirements. Factors such as Fund expenses,
imperfect correlation between the Fund’s investments
and the Index, rounding of share prices, changes to the composition of the
Index, regulatory policies, limitations on Fund
investments imposed by Fund diversification and/or concentration policies,
high portfolio turnover rate and the use of leverage
all contribute to tracking error. Unlike the Fund, the returns of the
Index are not reduced by investment and other operating
expenses, including the trading costs associated with implementing changes
to its portfolio of investments. Tracking error
risk may cause the Fund’s performance to be less than expected. Tracking
error risk may be heightened during times of market
volatility, unusual market conditions or other abnormal circumstances. The
Fund may be required to deviate its investments
from the securities and relative weightings of the Index to comply with
applicable laws and regulations or because of market
restrictions or other legal reasons, including regulatory limits or other
restrictions on securities that may be purchased by the
Adviser and its
affiliates. |
• |
Index
Related Risk.
The Fund’s return may not track the return of the Index for a number of
reasons and therefore may not achieve
its investment objective. For example, the Fund incurs a number of
operating expenses not applicable to the Index, and incurs
costs in buying and selling securities, especially when rebalancing the
Fund’s securities holdings to reflect changes in the composition
of the Index. In addition, the Fund’s return may differ from the return of
the Index because of, among other things, pricing
differences and the inability to purchase certain securities included in
the Index due to regulatory or other
restrictions. |
|
In
addition, because the Fund uses a representative sampling approach, the
Fund can be expected to be less correlated with the return
of the Index as when a fund purchases all of the securities in an index in
the proportions in which they are represented in the
index. Errors in the construction or calculation of the Index may occur
from time to time. Any such errors may not be identified
and corrected by the index provider for some period of time, which may
have an adverse impact on the Fund and its shareholders.
The risk that the Fund may not track the performance of the Index may be
heightened during times of increased market
volatility or other unusual market
conditions. |
• |
Passive
Investment.
The Fund is managed using a passive investment strategy that uses a
representative sampling indexing strategy. The
Fund does not expect to hold common stocks of each company in the Index or
in the same proportion as represented in the Index,
and Fund performance may vary from the
Index. |
Calvert
International Responsible Index ETF (Con’t)
|
In
addition, the Fund generally will not adjust its portfolio investments to
attempt to take advantage of market opportunities or lessen
the impact of a market decline or a decline in the performance of one or
more issuers or for other reasons. Maintaining investments
regardless of market conditions or the performance of individual
investments could cause the Fund’s return to be lower
than if the Fund employed an active strategy. Unusual market events or
other abnormal circumstances may increase market volatility
and may cause the characteristics of the Index components to vary from
those expected under normal
circumstances. |
• |
Concentration
Risk.
If the Index concentrates in the securities of issuers in one or more
industries or groups of industries, the Fund may
concentrate in such industries or groups of industries. By concentrating
its investments in an industry or group of industries, the
Fund may face greater risks than if it were diversified broadly over
numerous industries or groups of
industries. |
• |
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; 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. |
• |
Foreign
Securities.
Investments in foreign markets entail special risks such as currency,
political (including geopolitical), economic and
market risks. There also may be greater market volatility, less reliable
financial information, less stringent investor protections and
disclosure standards, higher transaction and custody costs, decreased
market liquidity and less government and exchange regulation
associated with investments in foreign markets. In addition, 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. Moreover, 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. 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. Investments in foreign markets may also be
adversely affected by governmental actions such as
the imposition of capital controls, nationalization of companies or
industries, expropriation of assets or the imposition of punitive
taxes. 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. 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. When the Fund holds illiquid
investments, its portfolio may be harder to value. In addition, the Fund’s
investments in foreign issuers may be denominated
in foreign currencies and therefore, to the extent unhedged, the value of
those investments will fluctuate with U.S. dollar
exchange rates. |
• |
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 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 issuer, Calvert is 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. |
• |
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. |
Calvert
International Responsible Index ETF (Con’t)
|
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 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. |
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 Index and 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 |
Thomas
C. Seto |
Managing
Director |
January
2023 |
James
Reber |
Managing
Director |
January
2023 |
Matthew
Maillet |
Executive
Director |
January
2023 |
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.
Calvert
International Responsible Index ETF (Con’t)
Payments
to Broker-Dealers and Other Financial Intermediaries
If
you purchase shares of the Fund through a 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 web site for more information.
Calvert
US Large-Cap Core Responsible Index ETF
Investment
Objective
Calvert
US Large-Cap Core Responsible Index ETF (the “Fund”) seeks to track the
performance of the Calvert US Large-Cap Core Responsible
Index (the “Index”).
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 |
0.15% |
|
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 |
|
|
$15 |
$48 |
$85 |
$192 |
|
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 6% of the average value of its
portfolio.
Principal
Investment Strategies
Under
normal circumstances, the Fund invests at least 80%
of its net assets (plus any borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any
changes.
The
Fund employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of each company in the Index in approximately the same
proportion as represented in the Index itself. The
Fund may also lend its securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated.
The degree to which components of the Index represent certain industries may
change over time. As of September
30, 2023, the Index was concentrated in, and therefore the Fund is expected to
have significant exposure to, the information
technology sector.
The
Index is composed of common stocks of large companies that operate their
businesses in a manner consistent with the Calvert Principles
for Responsible Investment (the “Calvert Principles”) (a copy of which is
included as an appendix to the Fund’s prospectus).
Large companies are the 1,000 largest publicly traded U.S. companies based on
market capitalization, excluding real estate
investment trusts and business development companies. The Calvert Principles
serve as a framework for considering environmental,
social and governance (“ESG”) factors. Under this framework, Calvert seeks to
identify 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, including ESG areas such as: environmental
sustainability and resource efficiency; equitable societies
and respect for human rights; and accountable governance and
transparency.
Calvert
US Large-Cap Core Responsible Index ETF (Con’t)
Stocks
are weighted in the Index based on their float-adjusted market capitalization
within the relevant sector, subject to certain prescribed
limits. As of September 30, 2023, the Index included 782 companies (and
typically is expected to be in the range between 700
and 800 companies), and the market capitalization ranged from approximately $1.6
billion to $2.7 trillion with a weighted average
market capitalization of approximately $575.6 billion. Market capitalizations of
companies within the Index are subject to change.
The number of companies in the Index will change over time due to Calvert’s
evaluation of an issuer relative to the Calvert Principles
or corporate actions involving companies in the Index, among other things. The
Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions, and Zi Ye, Index Manager manage the Index construction process at
Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks.
The
Fund uses a replication method of indexing. The replication method involves
holding every security in the Index in approximately
the same proportion as the Index. Unlike the Index, however, the Fund is subject
to certain regulatory requirements that
can limit its ability to fully replicate the Index. Under various circumstances,
it may not be possible or practicable to purchase or hold
all of, or only, the constituent securities in their respective weightings in
the Index. If Fund assets should ever decline to below $5
million, the Fund may use the sampling method. The sampling method involves
selecting a representative number of securities that
will resemble the Index in terms of key risk and other
characteristics.
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:
• |
Tracking
Error.
Tracking error risk refers to the risk that the Fund’s performance may not
match or correlate to that of the Index it attempts
to track, either on a daily or aggregate basis. Tracking error may occur
because of transaction costs, the Fund’s holding of cash,
differences in accrual of dividends, changes to the Index or the need to
meet new or existing regulatory requirements. Factors such
as Fund expenses, imperfect correlation between the Fund’s investments and
the Index, rounding of share prices, changes to the
composition of the Index, regulatory policies, limitations on Fund
investments imposed by Fund diversification and/or concentration
policies, high portfolio turnover rate and the use of leverage all
contribute to tracking error. Unlike the Fund, the returns
of the Index are not reduced by investment and other operating expenses,
including the trading costs associated with implementing
changes to its portfolio of investments. Tracking error risk may cause the
Fund’s performance to be less than expected.
Tracking error risk may be heightened during times of market volatility,
unusual market conditions or other abnormal circumstances.
The Fund may be required to deviate its investments from the securities
and relative weightings of the Index to comply
with applicable laws and regulations or because of market restrictions or
other legal reasons, including regulatory limits or other
restrictions on securities that may be purchased by the Adviser and its
affiliates. If the Fund uses a sampling method of indexing,
it may have a larger tracking error than if it used a replication method
of indexing. |
• |
Index
Related Risk.
The Fund’s return may not track the return of the Index for a number of
reasons and therefore may not achieve
its investment objective. For example, the Fund incurs a number of
operating expenses not applicable to the Index, and incurs
costs in buying and selling securities, especially when rebalancing the
Fund’s securities holdings to reflect changes in the composition
of the Index. In addition, the Fund’s return may differ from the return of
the Index because of, among other things, pricing
differences and the inability to purchase certain securities included in
the Index due to regulatory or other
restrictions. |
|
In
addition, if the Fund uses a representative sampling approach, the Fund
may not be as well correlated with the return of the Index
as when the Fund purchases all of the securities in the Index in the
proportions in which they are represented in the Index. Errors
in the construction or calculation of the Index may occur from time to
time. Any such errors may not be identified and corrected
by the index provider for some period of time, which may have an adverse
impact on the Fund and its shareholders. The risk
that the Fund may not track the performance of the Index may be heightened
during times of increased market volatility or other
unusual market
conditions. |
• |
Passive
Investment.
The Fund is managed using a passive investment strategy and expects to
hold common stocks of each company
in the Index regardless of their current or projected performance. The
Fund generally will not adjust its portfolio investments
to attempt to take advantage of market opportunities or lessen the impact
of a market decline or a decline in the performance
of one or more issuers or for other reasons. Maintaining investments
regardless of market conditions or the performance
of individual investments could cause the Fund’s return to be lower than
if the Fund employed an active strategy. Unusual
market events may increase market volatility and may cause the
characteristics of the Index components to vary from those
expected under normal
circumstances. |
Calvert
US Large-Cap Core Responsible Index ETF (Con’t)
• |
Concentration
Risk.
If the Index concentrates in the securities of issuers in one or more
industries or groups of industries, the Fund may
concentrate in such industries or groups of industries. By concentrating
its investments in an industry or group of industries, the
Fund may face greater risks than if it were diversified broadly over
numerous industries or groups of
industries. |
• |
Information
Technology Sector Risk. 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
concentrate in companies in the technology
sector. |
• |
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; 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 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 issuer, Calvert is 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. |
• |
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. |
|
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 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
|
Calvert
US Large-Cap Core Responsible Index ETF (Con’t)
|
liquidity
and may increase if the Fund’s trading volume, the spread of the Fund’s
underlying securities, or market liquidity decrease. |
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 Index and 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 |
Thomas
C. Seto |
Managing
Director |
January
2023 |
James
Reber |
Managing
Director |
January
2023 |
Matthew
Maillet |
Executive
Director |
January
2023 |
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 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 web site for more information.
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF
Investment
Objective
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF (the “Fund”) seeks to
track the performance of the Calvert US Large-Cap
Diversity Research Index (the “Index”).
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 |
0.14% |
|
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 |
|
|
$14 |
$45 |
$79 |
$179 |
|
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 19% of the average value of its
portfolio.
Principal
Investment Strategies
Under
normal circumstances, the Fund invests at least 80%
of its net assets (plus any borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any
changes.
The
Fund employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of each company in the Index in approximately the same
proportion as represented in the Index itself. The
Fund may also lend its securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated.
The degree to which components of the Index represent certain industries may
change over time. As of September
30, 2023, the Index was concentrated in, and therefore the Fund is expected to
have significant exposure to, the information
technology sector.
The
Index is composed of common stocks of large companies that operate their
businesses in a manner consistent with the Calvert Principles
for Responsible Investment (the “Calvert Principles”) (a copy of which is
included as an appendix to the Fund’s prospectus)
and are selected from the universe of the 1,000 largest publicly traded U.S.
companies based on market capitalization, excluding
real estate investment trusts and business development companies. As described
in the Index rules and methodology (available
on the Calvert website), and as determined by Calvert, Index components must
meet certain criteria relating to leadership in
having a diverse workforce and an equal and inclusive work culture, or
demonstrate significant improvement in diversity practices. Such
diversity practices include: a gender-balanced workforce among its board
members, executives, senior and middle management, and
employees; with respect to companies based in certain countries, including the
U.S., United Kingdom, Australia, Canada and South
Africa, ethnically diverse board members and, where available, executives and
management relative to demographics in these
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF (Con’t)
countries;
diversity of board members on age, cultural background, and skill sets; policies
and procedures that adequately support equal
opportunity in hiring, equal pay and fair promotion among diversity groups;
policies and programs that focus on living wages, health
and safety, career development, parental leave, flexible work locations and
schedules, child care availability, and inclusion of people
with disabilities, people who are HIV positive, as well as people who
self-identify as LGBTQ+.
The
Calvert Principles serve as a framework for considering environmental, social
and governance (“ESG”) factors. Under this framework,
Calvert seeks to identify 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, including ESG areas such as: environmental
sustainability and resource efficiency; equitable societies and respect for
human rights; and accountable governance and
transparency.
Stocks
are weighted in the Index based on their float-adjusted market capitalization.
As of September 30, 2023, the Index included 355
companies (and typically is expected to be in the range between 400 and 600
companies), and the market capitalization ranged from
approximately $2.2 billion to $2.7 trillion with a weighted average market
capitalization of approximately $808.5 billion. Market
capitalizations of companies within the Index are subject to change. The number
of companies in the Index will change over time
due to Calvert’s evaluation of an issuer relative to the Calvert Principles or
corporate actions involving companies in the Index, among
other things. The Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions, Yijia Chen, CFA, ESG Quantitative Research Analyst and Index Manager,
and Zi Ye, Index Manager, manage the
Index construction process at Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks.
The
Fund uses a replication method of indexing. The replication method involves
holding every security in the Index in approximately
the same proportion as the Index. Unlike the Index, however, the Fund is subject
to certain regulatory requirements that
can limit its ability to fully replicate the Index. Under various circumstances,
it may not be possible or practicable to purchase or hold
all of, or only, the constituent securities in their respective weightings in
the Index. If Fund assets should ever decline to below $5
million, the Fund may use the sampling method. The sampling method involves
selecting a representative number of securities that
will resemble the Index in terms of key risk and other
characteristics.
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:
• |
Tracking
Error.
Tracking error risk refers to the risk that the Fund’s performance may not
match or correlate to that of the Index it attempts
to track, either on a daily or aggregate basis. Tracking error may occur
because of transaction costs, the Fund’s holding of cash,
differences in accrual of dividends, changes to the Index or the need to
meet new or existing regulatory requirements. Factors such
as Fund expenses, imperfect correlation between the Fund’s investments and
the Index, rounding of share prices, changes to the
composition of the Index, regulatory policies, limitations on Fund
investments imposed by Fund diversification and/or concentration
policies, high portfolio turnover rate and the use of leverage all
contribute to tracking error. Unlike the Fund, the returns
of the Index are not reduced by investment and other operating expenses,
including the trading costs associated with implementing
changes to its portfolio of investments. Tracking error risk may cause the
Fund’s performance to be less than expected.
Tracking error risk may be heightened during times of market volatility,
unusual market conditions or other abnormal circumstances.
The Fund may be required to deviate its investments from the securities
and relative weightings of the Index to comply
with applicable laws and regulations or because of market restrictions or
other legal reasons, including regulatory limits or other
restrictions on securities that may be purchased by the Adviser and its
affiliates. If the Fund uses a sampling method of indexing,
it may have a larger tracking error than if it used a replication method
of indexing. |
• |
Index
Related Risk.
The Fund’s return may not track the return of the Index for a number of
reasons and therefore may not achieve
its investment objective. For example, the Fund incurs a number of
operating expenses not applicable to the Index, and incurs
costs in buying and selling securities, especially when rebalancing the
Fund’s securities holdings to reflect changes in the composition
of the Index. In addition, the Fund’s return may differ from the return of
the Index because of, among other things, pricing
differences and the inability to purchase certain securities included in
the underlying index due to regulatory or other restrictions. |
|
In
addition, when the Fund uses a representative sampling approach, the Fund
may not be as well correlated with the return of the
underlying index as when the Fund purchases all of the securities in the
Index in the proportions in which they are represented
|
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF (Con’t)
|
in
the Index. Errors in the construction or calculation of the Index may
occur from time to time. Any such errors may not be identified
and corrected by the index provider for some period of time, which may
have an adverse impact on the Fund and its shareholders.
The risk that the Fund may not track the performance of the Index may be
heightened during times of increased market
volatility or other unusual market
conditions. |
• |
Passive
Investment.
The Fund is managed using a passive investment strategy and expects to
hold common stocks of each company
in the Index regardless of their current or projected performance. The
Fund generally will not adjust its portfolio investments
to attempt to take advantage of market opportunities or lessen the impact
of a market decline or a decline in the performance
of one or more issuers or for other reasons. Maintaining investments
regardless of market conditions or the performance
of individual investments could cause the Fund’s return to be lower than
if the Fund employed an active strategy. Unusual
market events may increase market volatility and may cause the
characteristics of the Index components to vary from those
expected under normal
circumstances. |
• |
Concentration
Risk.
If the Index concentrates in the securities of issuers in one or more
industries or groups of industries, the Fund may
concentrate in such industries or groups of industries. By concentrating
its investments in an industry or group of industries, the
Fund may face greater risks than if it were diversified broadly over
numerous industries or groups of
industries. |
• |
Information
Technology Sector Risk.
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
concentrate in companies in the technology
sector. |
• |
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; 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. |
• |
Non-Diversification.
The Fund is non-diversified, which means that the Fund may invest a
greater percentage of its assets in a smaller
number of issuers than a diversified fund. Because the Fund is
non-diversified, it may be more susceptible to an adverse event
affecting a single issuer or portfolio investment than a diversified
portfolio and a decline in the value of that issuer’s securities
or that portfolio investment may cause the Fund’s overall value to decline
to a greater degree than a diversified
portfolio. |
• |
Responsible
Investing.
Investing primarily in responsible investments, such as the companies
which meet the Index’s criteria relating
workforce diversity and an equal and inclusive work culture or demonstrate
significant improvement in diversity practices, 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 and/or diversity, equity
and inclusion (“DEI”) performance, or Calvert’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 is dependent upon information and data
that may be incomplete, inaccurate or unavailable, which could adversely
affect the analysis of the ESG and/or DEI factors relevant
to a particular
investment. |
• |
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. |
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF (Con’t)
|
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 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. |
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 Index and 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.
The
Adviser may, in its discretion, make a contribution from its own resources,
annually after the end of each calendar year, to certain
diversity, equity and inclusion initiatives in an amount of 0.02% of the net
annualized assets under management of the Fund.
The
recipients of the contribution may include one or more organizations that focus
on diversity, equity and inclusion-related causes. The
Adviser maintains the option to increase, decrease or terminate this
contribution in amount and/or frequency in its sole discretion.
The Adviser will disclose, on an annual basis, the amount of any contributions
made and the recipients of such contributions
on the Fund’s website. An employee of the Adviser may serve on the board of
directors of, or hold another position with,
an organization that receives such contributions from the Adviser.
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 |
Thomas
C. Seto |
Managing
Director |
January
2023 |
James
Reber |
Managing
Director |
January
2023 |
Matthew
Maillet |
Executive
Director |
January
2023 |
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.
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF (Con’t)
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 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 web site for more information.
Calvert
US Mid-Cap Core Responsible Index ETF
Investment
Objective
Calvert
US Mid-Cap Core Responsible Index ETF (the “Fund”) seeks to track the
performance of the Calvert US Mid-Cap Core Responsible
Index (the “Index”).
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 |
0.15% |
|
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 |
|
|
$15 |
$48 |
$85 |
$192 |
|
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 16% of the average value of its
portfolio.
Principal
Investment Strategies
Under
normal circumstances, the Fund invests at least 80%
of its net assets (plus any borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any
changes.
The
Fund employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of each company in the Index in approximately the same
proportion as represented in the Index itself. The
Fund may also lend its securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated.
The degree to which components of the Index represent certain industries may
change over time.
The
Index is composed of common stocks of mid-size companies that operate their
businesses in a manner consistent with the Calvert
Principles for Responsible Investment (the “Calvert Principles”) (a copy of
which is included as an appendix to the Fund’s prospectus).
Mid-size companies are the 1,000 largest publicly traded U.S. companies based on
market capitalization, excluding real estate
investment trusts, business development companies and approximately the 200
largest publicly traded U.S. companies. The Calvert
Principles serve as a framework for considering environmental, social and
governance (“ESG”) factors. Under this framework, Calvert
seeks to identify 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, including ESG areas such as: environmental
sustainability and resource efficiency; equitable societies and respect for
human rights; and accountable governance and
transparency.
Stocks
are weighted in the Index based on their float-adjusted market capitalization
within the relevant sector, subject to certain prescribed
limits. As of September 30, 2023, the Index included 625 companies (and
typically is expected to be in the range between
Calvert
US Mid-Cap Core Responsible Index ETF (Con’t)
550
to 650 companies), and the market capitalization ranged from approximately $1.6
billion to $49.9 billion with a weighted average
market capitalization of approximately $18.2 billion. Market capitalizations of
companies within the Index are subject to change.
The number of companies in the Index will change over time due
to Calvert’s evaluation of an issuer relative to the Calvert Principles
or corporate actions involving companies in the Index, among other things. The
Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions, and Zi Ye, Index Manager, manage the Index construction process
at Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks.
The
Fund uses a replication method of indexing. The replication method involves
holding every security in the Index in approximately
the same proportion as the Index. Unlike the Index, however, the Fund is subject
to certain regulatory requirements that
can limit its ability to fully replicate the Index. Under various circumstances,
it may not be possible or practicable to purchase or hold
all of, or only, the constituent securities in their respective weightings in
the Index. If Fund assets should ever decline to below $5
million, the Fund may use the sampling method. The sampling method involves
selecting a representative number of securities that
will resemble the Index in terms of key risk and other
characteristics.
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:
• |
Tracking
Error.
Tracking error risk refers to the risk that the Fund’s performance may not
match or correlate to that of the Index it attempts
to track, either on a daily or aggregate basis. Tracking error may occur
because of transaction costs, the Fund’s holding of cash,
differences in accrual of dividends, changes to the Index or the need to
meet new or existing regulatory requirements. Factors such
as Fund expenses, imperfect correlation between the Fund’s investments and
the Index, rounding of share prices, changes to the
composition of the Index, regulatory policies, limitations on Fund
investments imposed by Fund diversification and/or concentration
policies, high portfolio turnover rate and the use of leverage all
contribute to tracking error. Unlike the Fund, the returns
of the Index are not reduced by investment and other operating expenses,
including the trading costs associated with implementing
changes to its portfolio of investments. Tracking error risk may cause the
Fund’s performance to be less than expected.
Tracking error risk may be heightened during times of market volatility,
unusual market conditions or other abnormal circumstances.
The Fund may be required to deviate its investments from the securities
and relative weightings of the Index to comply
with applicable laws and regulations or because of market restrictions or
other legal reasons, including regulatory limits or other
restrictions on securities that may be purchased by the Adviser and its
affiliates. If the Fund uses a sampling method of indexing,
it may have a larger tracking error than if it used a replication method
of indexing. |
• |
Index
Related Risk.
The Fund’s return may not track the return of the Index for a number of
reasons and therefore may not achieve
its investment objective. For example, the Fund incurs a number of
operating expenses not applicable to the Index, and incurs
costs in buying and selling securities, especially when rebalancing the
Fund’s securities holdings to reflect changes in the composition
of the Index. In addition, the Fund’s return may differ from the return of
the Index because of, among other things, pricing
differences and the inability to purchase certain securities included in
the underlying index due to regulatory or other restrictions. |
|
In
addition, when the Fund uses a representative sampling approach, the Fund
may not be as well correlated with the return of the
underlying index as when the Fund purchases all of the securities in the
Index in the proportions in which they are represented in
the Index. Errors in the construction or calculation of the Index may
occur from time to time. Any such errors may not be identified
and corrected by the index provider for some period of time, which may
have an adverse impact on the Fund and its shareholders.
The risk that the Fund may not track the performance of the Index may be
heightened during times of increased market
volatility or other unusual market
conditions. |
• |
Passive
Investment.
The Fund is managed using a passive investment strategy and expects to
hold common stocks of each company
in the Index regardless of their current or projected performance. The
Fund generally will not adjust its portfolio investments
to attempt to take advantage of market opportunities or lessen the impact
of a market decline or a decline in the performance
of one or more issuers or for other reasons. Maintaining investments
regardless of market conditions or the performance
of individual investments could cause the Fund’s return to be lower than
if the Fund employed an active strategy. Unusual
market events may increase market volatility and may cause the
characteristics of the Index components to vary from those
expected under normal
circumstances. |
Calvert
US Mid-Cap Core Responsible Index ETF (Con’t)
• |
Concentration
Risk.
If the Index concentrates in the securities of issuers in one or more
industries or groups of industries, the Fund may
concentrate in such industries or groups of industries. By concentrating
its investments in an industry or group of industries, the
Fund may face greater risks than if it were diversified broadly over
numerous industries or groups of
industries. |
• |
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; 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. |
• |
Mid
Cap Companies.
Investments in mid cap companies may involve greater risks than
investments in larger, more established companies.
The securities issued by mid cap companies may be less liquid and such
companies may have more limited markets, financial
resources and product lines and may lack the depth of management of larger
companies. |
• |
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 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 issuer, Calvert is 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. |
• |
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. |
|
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 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
|
Calvert
US Mid-Cap Core Responsible Index ETF (Con’t)
|
liquidity
and may increase if the Fund’s trading volume, the spread of the Fund’s
underlying securities, or market liquidity decrease. |
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 Index and 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 |
Thomas
C. Seto |
Managing
Director |
January
2023 |
James
Reber |
Managing
Director |
January
2023 |
Matthew
Maillet |
Executive
Director |
January
2023 |
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 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 web site for more information.
Calvert | Details
of the Funds
Calvert
International Responsible Index ETF
Investment
Objective
The
Fund’s investment objective is to seek to track the performance of the Calvert
International Responsible Index (the “Index”).
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 employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of a representative number of companies that resemble the
Index. The Fund may also lend its securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated. The degree to which components of the Index represent
certain industries may change over time.
Process
Under
normal circumstances, the Fund invests at least 80% of its net assets (plus any
borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any changes.
The
Index is composed of common stocks of large companies in developed markets,
excluding the U.S., that operate their businesses in
a manner consistent with the Calvert Principles. Large companies in developed
markets include 1,000 large publicly traded companies,
excluding real estate investments trusts and business development companies, in
markets that Calvert, the Index provider, determines
to be developed markets based on a set of criteria including level of economic
development, existence of capital controls, openness
to foreign direct investment, market trading and liquidity conditions,
regulatory environment, treatment of minority shareholders,
and investor expectations. When determining 1,000 large publicly traded
companies, Calvert generally includes the 500 largest
publicly traded companies located in or tied economically to Europe and the 500
largest publicly traded companies located in or
tied economically to other non-U.S. and non-European developed markets. The
Calvert Principles (a copy of which is included as an
appendix to the Fund’s prospectus) serve as a framework for considering ESG
factors. Under this framework, Calvert seeks to identify
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, including ESG
areas such as: environmental sustainability and
resource efficiency; equitable societies and respect for human rights; and
accountable governance and transparency.
Stocks
are weighted in the Index based on their float-adjusted market capitalization,
by country and by sector, subject to certain prescribed
limits. As of September 30, 2023, the Index included 816 companies (and
typically is expected to be in the range between 700
and 800 companies), and the market capitalization ranged from approximately $2.8
billion to $ 420.1 billion with a weighted average
market capitalization of approximately $85.8 billion. Market capitalizations of
companies within the Index are subject to change.
The number of companies in the Index will change over time due to Calvert’s
evaluation of an issuer relative to the Calvert Principles
or corporate actions involving companies in the Index, among other things. The
Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions and Zi Ye, Index Manager manage the Index construction process at
Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks. The Fund may enter into foreign currency transactions,
including foreign currency forward exchange contracts,
in the course of purchasing and selling foreign currency denominated securities
in order to track, as closely as possible, the performance
of the Index.
The
Fund uses a sampling method of indexing. The sampling method involves selecting
a representative number of securities that will
resemble the Index in terms of key risk and other characteristics. The
securities selected are expected to have, in the aggregate, investment
characteristics (based on factors such as market value and industry weightings),
fundamental characteristics (such as return
variability and yield) and liquidity measures similar to those of the Index. The
Fund may or may not hold all of the securities in
the Index or hold securities in the same proportions as represented in the
Index.
The
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. For example, Calvert may seek to engage
directly with company management to gain insights
on sustainability alignment and material ESG criteria that may affect long-term
financial performance. Although Calvert may
reference third-party ESG data during its research process, it generally does
not rely on third-party ESG data for the purposes of constructing
the Index. Calvert also does not use screens in connection with constructing the
Index. Instead, Calvert relies on its own
Calvert | Details
of the Funds
Calvert
International Responsible Index ETF (Con’t)
proprietary
analysis described further below to determine whether a company operates its
business in a manner consistent with the Calvert
Principles.
The
Calvert ESG research process focuses on identifying the financially material ESG
risks to which companies and other issuers (together,
“issuers”) are exposed, evaluating management teams’ ability to navigate those
risks, and recognizing opportunities for companies
to improve their ESG performance. Calvert reviews data points to differentiate
issuers based on such risks. Then, Calvert quantifies
these risks using a proprietary scoring model that rates and ranks issuers
within their peer groups. The end result is a customized
scoring model that rates and ranks companies, including a proprietary assessment
relative to both peer and absolute performance.
In some cases, and at its discretion, Calvert performs a qualitative review in
lieu of scoring a particular issuer.
The
Fund seeks to track the performance of the Index and seeks to hold a
representative sample of Index component companies so that
it will resemble the Index in terms of key risk and other characteristics,
subject to certain regulatory requirements. Thus, the Fund
does not perform diligence on companies held in its portfolio and does not have
its own ESG criteria. The Index’s rules and methodology
(available on the Calvert website) describes the relevant eligibility criteria
and selection methodology for Index components,
which include, as described above, that each Index component must operate its
business in a manner consistent with the
Calvert Principles, among other factors, such as market capitalization and
liquidity thresholds.
Related
Performance Information of Composite and Index
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 solely of a mutual fund
managed by one of the portfolio managers that has
a substantially similar investment objective, policies and investment strategies
as the Fund (the “Composite Fund”) and the table below
provides supplemental performance information for the Composite and the Index.
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 Fund. 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 and
Index’s performance information does not represent the performance of the Fund.
It is provided to illustrate the past performance
of an account advised by an affiliate of the Adviser and past performance of the
Index. The portfolio manager for the Composite
Fund is one of the portfolio managers listed for the Fund. This individual has
sole responsibility for managing the Composite
Fund and has ultimate decision-making authority for both the Composite Fund and
the Fund. The Composite Fund’s investment
objective is to track the performance of same Index as the Fund.
The
Composite and Index’s historical performance data 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 or the Index. An investment in the Fund can lose value.
Although the Fund and the Composite Fund 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 Fund and the future performance
of the Fund will differ from the performance of the Composite.
Performance
of the Composite and Index
Average
Annual Total Returns
|
|
|
| |
For
Periods Ended December 31, 2023 |
|
|
|
|
|
1
Year |
3
Year |
5
Year |
Since
Inception1
|
Composite |
20.16% |
3.09% |
9.55% |
6.59% |
Calvert
International Responsible Index2
|
20.34% |
3.05% |
9.58% |
6.49% |
MSCI
World ex USA Index3
|
17.94% |
4.42% |
8.45% |
5.84% |
1 |
The
inception date of the Composite Fund is November 1,
2015. |
2 |
The
Calvert International Responsible Index is composed of companies that
operate their businesses in a manner that is consistent with the Calvert
Principles
and are selected from the universe of the 1,000 largest companies in
international developed markets. It is not possible to invest directly in
an
index. |
3 |
MSCI
World ex USA Index is an unmanaged index of equity securities in the
developed markets, excluding the United States. MSCI indexes are net of
foreign
withholding taxes. MSCI World ex USA Index is a free float adjusted market
capitalization weighted index that is designed to measure the global
equity
market performance of developed markets excluding the United States. The
term “free float” represents the portion of shares outstanding that
are
deemed to be available for purchase in the public equity markets by
investors. The performance of the index is listed in U.S. dollars and
assumes reinvestment
of net dividends. It is not possible to invest directly in an
index. |
Calvert | Details
of the Funds
Calvert
US Large-Cap Core Responsible Index ETF
Investment
Objective
The
Fund’s investment objective is to seek to track the performance of the Calvert
US Large-Cap Core Responsible Index (the “Index”).
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 employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of each company in the Index in approximately the same
proportion as represented in the Index itself. The
Fund may also lend its securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated. The degree to which components of the Index represent
certain industries may change over time. As of September
30, 2023, the Index is concentrated in, and therefore the Fund is expected to
have significant exposure to, the information technology
sector.
Process
Under
normal circumstances, the Fund invests at least 80% of its net assets (plus any
borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any changes.
The
Index is composed of common stocks of large companies that operate their
businesses in a manner consistent with the Calvert (a copy
of which is included as an appendix to the Fund’s prospectus). Large companies
are the 1,000 largest publicly traded U.S. companies
based on market capitalization, excluding real estate investment trusts and
business development companies. The Calvert Principles
serve as a framework for considering ESG factors. Under this framework, Calvert
seeks to identify 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, including ESG areas such as: environmental
sustainability and resource efficiency; equitable societies
and respect for human rights; and accountable governance and
transparency.
Stocks
are weighted in the Index based on their float-adjusted market capitalization
within the relevant sector, subject to certain prescribed
limits. As of September 30, 2023, the Index included 782 companies (and
typically is expected to be in the range between 700
and 800 companies), and the market capitalization ranged from approximately $1.6
billion to $2.7 trillion with a weighted average
market capitalization of approximately $575.6 billion. Market capitalizations of
companies within the Index are subject to change.
The number of companies in the Index will change over time due to Calvert’s
evaluation of an issuer relative to the Calvert Principles
or corporate actions involving companies in the Index, among other things. The
Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions, and Zi Ye, Index Manager, manage the Index construction process at
Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks.
The
Fund uses a replication method of indexing. The replication method involves
holding every security in the Index in approximately
the same proportion as the Index. Unlike the Index, however, the Fund is subject
to certain regulatory requirements that
can limit its ability to fully replicate the Index. Under various circumstances,
it may not be possible or practicable to purchase or hold
all of, or only, the constituent securities in their respective weightings in
the Index. If Fund assets should ever decline to below $5
million, the Fund may use the sampling method. The sampling method involves
selecting a representative number of securities that
will resemble the Index in terms of key risk and other
characteristics.
The
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. For example, Calvert may seek to engage
directly with company management to gain insights
on sustainability alignment and material ESG criteria that may affect long-term
financial performance. Although Calvert may
reference third-party ESG data during its research process, it generally does
not rely on third-party ESG data for the purposes of constructing
the Index. Calvert also does not use screens in connection with constructing the
Index. Instead, Calvert relies on its own proprietary
analysis described further below to determine whether a company operates its
business in a manner consistent with the Calvert
Principles.
Calvert | Details
of the Funds
Calvert
US Large-Cap Core Responsible Index ETF (Con’t)
The
Calvert ESG research process focuses on identifying the financially material ESG
risks to which companies and other issuers (together,
“issuers”) are exposed, evaluating management teams’ ability to navigate those
risks, and recognizing opportunities for companies
to improve their ESG performance. Calvert reviews data points to differentiate
issuers based on such risks. Then, Calvert quantifies
these risks using a proprietary scoring model that rates and ranks issuers
within their peer groups. The end result is a customized
scoring model that rates and ranks companies, including a proprietary assessment
relative to both peer and absolute performance.
In some cases and at its discretion, Calvert performs a qualitative review in
lieu of scoring a particular issuer.
The
Fund seeks to replicate the performance of the Index and seeks to hold Index
component companies in approximately the same proportion
as the Index, subject to certain regulatory requirements. Thus, the Fund does
not perform diligence on companies held in its
portfolio and does not have its own ESG criteria. The Index’s rules and
methodology (available on the Calvert website) describes the
relevant eligibility criteria and selection methodology for Index components,
which include, as described above, that each Index component
must operate its business in a manner consistent with the Calvert Principles,
among other factors, such as market capitalization
and liquidity thresholds.
Related
Performance Information of Composite and Index
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 solely of a mutual fund
managed by one of the portfolio managers that has
a substantially similar investment objective, policies and investment strategies
as the Fund (the “Composite Fund”) and the table below
provides supplemental performance information for the Composite and the Index.
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 Fund. 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 and
Index’s performance information does not represent the performance of the Fund.
It is provided to illustrate the past performance
of an account advised by an affiliate of the Adviser and past performance of the
Index. The portfolio manager for the Composite
Fund is one of the portfolio managers listed for the Fund. This individual has
sole responsibility for managing the Composite
Fund and has ultimate decision-making authority for both the Composite Fund and
the Fund. The Composite Fund’s investment
objective is to track the performance of same Index as the Fund.
The
Composite and Index’s historical performance data 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 or the Index. An investment in the Fund can lose value.
Although the Fund and the Composite Fund 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 Fund and the future performance
of the Fund will differ from the performance of the Composite.
Performance
of the Composite and Index
Average
Annual Total Returns
|
|
|
|
| |
For
Periods Ended December 31, 2023 |
|
1
Year |
3
Year |
5
Year |
10
Year |
Since
Inception1
|
Composite |
27.36% |
7.89% |
16.08% |
12.17% |
6.68% |
Calvert
US Large-Cap Core Responsible
Index2
|
27.63% |
8.05% |
16.32% |
12.38% |
6.96% |
Russell
1000® Index3
|
26.53% |
8.97% |
15.52% |
11.80% |
7.37% |
1 |
The
inception date of the Composite Fund is October 1,
2000. |
2 |
The
Calvert US Large-Cap Core Responsible Index is composed of companies that
operate their businesses in a manner that is consistent with the
Calvert
Principles and are selected from the universe of the 1,000 largest
US-based companies by market capitalization. It is not possible to invest
directly
in an index. |
3 |
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 | Details
of the Funds
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF
Investment
Objective
The
Fund’s investment objective is to seek to track the performance of the Calvert
US Large-Cap Diversity Research Index (the “Index”).
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 employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of each company in the Index in approximately the same
proportion as represented in the Index itself. The
Fund may also lend its securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated. The degree to which components of the Index represent
certain industries may change over time. As of September
30, 2023, the Index is concentrated in, and therefore the Fund is expected to
have significant exposure to, the information technology
sector.
Process
Under
normal circumstances, the Fund invests at least 80% of its net assets (plus any
borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any changes.
The
Index is composed of common stocks of large companies that operate their
businesses in a manner consistent with the Calvert Principles
(a copy of which is included as an appendix to the Fund’s prospectus) and are
selected from the universe of the 1,000 largest
publicly traded U.S. companies based on market capitalization, excluding real
estate investment trusts and business development
companies. As described in the Index rules and methodology (available on the
Calvert website), and as determined by Calvert,
Index components must meet certain criteria relating to leadership in having a
diverse workforce and an equal and inclusive work
culture, or demonstrate significant improvement in diversity
practices.
Such
diversity practices include: a gender-balanced workforce among its board
members, executives, senior and middle management, and
employees; with respect to companies based in certain countries, including the
U.S., United Kingdom, Australia, Canada and South
Africa, ethnically diverse board members and, where available, executives and
management relative to demographics in these countries;
diversity of board members on age, cultural background, and skill sets; policies
and procedures that adequately support equal
opportunity in hiring, equal pay and fair promotion among diversity groups;
policies and programs that focus on living wages, health
and safety, career development, parental leave, flexible work locations and
schedules, child care availability, and inclusion of people
with disabilities, people who are HIV positive, as well as people who
self-identify as LGBTQ+.
The
Calvert Principles serve as a framework for considering ESG factors. Under
this framework, Calvert seeks to identify 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, including ESG areas such as:
environmental sustainability and resource efficiency; equitable
societies and respect for human rights; and accountable governance and
transparency.
Stocks are
weighted in the Index based on their float-adjusted market capitalization. As of
September 30, 2023, the Index included 355 companies (and typically is expected
to be in the range between 400 and 600 companies), and the market capitalization
ranged from approximately $2.2 billion to $2.7 trillion with a weighted average
market capitalization of approximately $808.5 billion. Market capitalizations of
companies within the Index are subject to change. The number of companies in the
Index will change over time due to Calvert’s evaluation of an issuer relative to
the Calvert Principles or corporate actions involving companies in the Index,
among other things. The Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions, Yijia Chen, CFA, ESG Quantitative Research Analyst and Index
Manager, and Zi Ye, Index Manager, manage the
Index construction process at Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks.
The
Fund uses a replication method of indexing. The replication method involves
holding every security in the Index in approximately
the same proportion as the Index. Unlike the Index, however, the Fund is subject
to certain regulatory requirements that
can limit its ability to fully replicate the Index. Under various circumstances,
it may not be possible or practicable to purchase or
Calvert | Details
of the Funds
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF (Con’t)
hold
all of, or only, the constituent securities in their respective weightings in
the Index. If Fund assets should ever decline to below $5
million, the Fund may use the sampling method. The sampling method involves
selecting a representative number of securities that
will resemble the Index in terms of key risk and other
characteristics.
The
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. For example, Calvert may seek to engage
directly with company management to gain insights
on sustainability alignment and material ESG criteria that may affect long-term
financial performance. Although Calvert may
reference third-party ESG data during its research process, it generally does
not rely on third-party ESG data for the purposes of constructing
the Index. Calvert also does not use screens in connection with constructing the
Index. Instead, Calvert relies on its own proprietary
analysis described further below to determine whether a company operates its
business in a manner consistent with the Calvert
Principles.
The
Calvert ESG research process focuses on identifying the financially material ESG
risks to which companies and other issuers (together,
“issuers”) are exposed, evaluating management teams’ ability to navigate those
risks, and recognizing opportunities for companies
to improve their ESG performance. Calvert reviews data points to differentiate
issuers based on such risks. Then, Calvert quantifies
these risks using a proprietary scoring model that rates and ranks issuers
within their peer groups. The end result is a customized
scoring model that rates and ranks companies, including a proprietary assessment
relative to both peer and absolute performance.
In some cases and at its discretion, Calvert performs a qualitative review in
lieu of scoring a particular issuer.
The
Fund seeks to replicate the performance of the Index and seeks to hold Index
component companies in approximately the same proportion
as the Index, subject to certain regulatory requirements. Thus, the Fund does
not perform diligence on companies held in its
portfolio and does not have its own ESG criteria. The Index’s rules and
methodology (available on the Calvert website) describes the
relevant eligibility criteria and selection methodology for Index components,
which include, as described above, that each Index component
must operate its business in a manner consistent with the Calvert Principles,
among other factors, such as market capitalization
and liquidity thresholds.
Performance
of the Index
The
Fund has recently commenced operations and no performance history is included in
this prospectus. The table below provides supplemental
performance information for the Index. The Fund’s investment objective is to
seek to track the performance of the Index.
The Index performance information does not represent the performance of the
Fund. It is provided to illustrate the past performance
of the Index.
The
historical performance data for the Index 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
Index. An investment in the Fund can lose value. Although the Fund’s investment
objective is to seek to track the performance of the
Index, there is no assurance that the Fund will achieve its investment
objective. As such, the Fund’s performance may not track that
of the Index and the future performance of the Fund will differ from the
performance of the Index.
Performance
of the Index
Average
Annual Total Returns
|
| |
For
Periods Ended December 31, 2023 |
|
|
|
1
Year |
Since
Inception1
|
Calvert
US Large-Cap Diversity Research Index2
|
31.04% |
14.97% |
1 |
The
inception date of the Calvert US Large-Cap Diversity Research Index is
June 19, 2020. |
2 |
The
Calvert US Large-Cap Diversity Research Index is composed of companies
that operate their businesses in a manner that is consistent with the
Calvert
Principles and are selected from the universe of the 1,000 largest
publicly traded US companies by market capitalization. As described in the
Index
Methodology and as determined by Calvert, Index components must meet
certain criteria relating to leadership in having a diverse workforce and
an
equal and inclusive work culture, or demonstrate significant improvement
in diversity practices. It is not possible to invest directly in an
index. |
Calvert | Details
of the Funds
Calvert
US Mid-Cap Core Responsible Index ETF
Investment
Objective
The
Fund’s investment objective is to seek to track the performance of the Calvert
US Mid-Cap Core Responsible Index (the “Index”).
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 employs a passive management strategy designed to track, as closely as
possible, the performance of the Index. The Fund invests
in the common stock of each company in the Index in approximately the same
proportion as represented in the Index itself. The
Fund may also lend its securities.
The
Fund may concentrate its investments (i.e., invest 25% or more of its total
assets) in a particular industry or group of industries if
the Index is concentrated. The degree to which components of the Index represent
certain industries may change over time.
Process
Under
normal circumstances, the Fund invests at least 80% of its net assets (plus any
borrowings for investment purposes) in securities
included in the underlying index. This policy may be changed without shareholder
approval; however, shareholders would be
notified upon 60 days’ notice in writing of any changes.
The
Index is composed of common stocks of mid-size companies that operate their
businesses in a manner consistent with The Calvert
Principles (a copy of which is included as an appendix to the Fund’s
prospectus). Mid-size companies are the 1,000 largest publicly
traded U.S. companies based on market capitalization, excluding real estate
investment trusts, business development companies
and approximately the 200 largest publicly traded U.S. companies. The Calvert
Principles serve as a framework for considering
ESG factors. Under this framework, Calvert seeks to identify 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,
including ESG areas such as: environmental sustainability and resource
efficiency; equitable societies and respect for human
rights; and accountable governance and transparency.
Stocks
are weighted in the Index based on their float-adjusted market capitalization
within the relevant sector, subject to certain prescribed
limits. As of September 30, 2023, the Index included 625 companies (and
typically is expected to be in the range between 550
to 650 companies), and the market capitalization ranged from approximately $1.6
billion to $49.9 billion with a weighted average
market capitalization of approximately $18.2 billion. Market capitalizations of
companies within the Index are subject to change.
The number of companies in the Index will change over time due to Calvert’s
evaluation of an issuer relative to the Calvert Principles
or corporate actions involving companies in the Index, among other things. The
Index is reconstituted annually and is rebalanced
quarterly.
The
Index is owned by Calvert, which is an affiliate of the
Adviser. Christopher Madden, CFA, Co-Head of Applied Responsible
Investment
Solutions, and Zi Ye, Index Manager, manage the Index construction process
at Calvert.
An
index is a group of securities whose overall performance is used as a standard
to measure investment performance. An index or passively
managed fund tries to match, as closely as possible, the performance of an
established target index. An index fund’s goal is to
mirror the target index whether the index is going up or down. To track the
Index as closely as possible, the Fund attempts to remain
fully invested in stocks.
The
Fund uses a replication method of indexing. The replication method involves
holding every security in the Index in approximately
the same proportion as the Index. Unlike the Index, however, the Fund is subject
to certain regulatory requirements that
can limit its ability to fully replicate the Index. Under various circumstances,
it may not be possible or practicable to purchase or hold
all of, or only, the constituent securities in their respective weightings in
the Index. If Fund assets should ever decline to below $5
million, the Fund may use the sampling method. The sampling method involves
selecting a representative number of securities that
will resemble the Index in terms of key risk and other
characteristics.
The
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. For example, Calvert may seek to engage
directly with company management to gain insights
on sustainability alignment and material ESG criteria that may affect long-term
financial performance. Although Calvert may
reference third-party ESG data during its research process, it generally does
not rely on third-party ESG data for the purposes of constructing
the Index. Calvert also does not use screens in connection with constructing the
Index. Instead, Calvert relies on its own proprietary
analysis described further below to determine whether a company operates its
business in a manner consistent with the Calvert
Principles.
Calvert | Details
of the Funds
Calvert
US Mid-Cap Core Responsible Index ETF (Con’t)
The
Calvert ESG research process focuses on identifying the financially material ESG
risks to which companies and other issuers (together,
“issuers”) are exposed, evaluating management teams’ ability to navigate those
risks, and recognizing opportunities for companies
to improve their ESG performance. Calvert reviews data points to differentiate
issuers based on such risks. Then, Calvert quantifies
these risks using a proprietary scoring model that rates and ranks issuers
within their peer groups. The end result is a customized
scoring model that rates and ranks companies, including a proprietary assessment
relative to both peer and absolute performance.
In some cases and at its discretion, Calvert performs a qualitative review in
lieu of scoring a particular issuer.
The
Fund seeks to replicate the performance of the Index and seeks to hold Index
component companies in approximately the same proportion
as the Index, subject to certain regulatory requirements. Thus, the Fund does
not perform diligence on companies held in its
portfolio and does not have its own ESG criteria. The Index’s rules and
methodology (available on the Calvert website) describes the
relevant eligibility criteria and selection methodology for Index components,
which include, as described above, that each Index component
must operate its business in a manner consistent with the Calvert Principles,
among other factors, such as market capitalization
and liquidity thresholds.
Related
Performance Information of Composite and Index
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 solely of a mutual fund
managed by one of the portfolio managers that has
a substantially similar investment objective, policies and investment strategies
as the Fund (the “Composite Fund”) and the table below
provides supplemental performance information for the Composite and the Index.
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 Fund. 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 and
Index’s performance information does not represent the performance of the Fund.
It is provided to illustrate the past performance
of an account advised by an affiliate of the Adviser and past performance of the
Index. The portfolio manager for the Composite
Fund is one of the portfolio managers listed for the Fund. This individual has
sole responsibility for managing the Composite
Fund and has ultimate decision-making authority for both the Composite Fund and
the Fund. The Composite Fund’s investment
objective is to track the performance of same Index as the Fund.
The
Composite and Index’s historical performance data 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 or the Index. An investment in the Fund can lose value.
Although the Fund and the Composite Fund 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 Fund and the future performance
of the Fund will differ from the performance of the Composite.
Performance
of the Composite and Index
Average
Annual Total Returns
|
|
|
| |
For
Periods Ended December 31, 2023 |
|
|
|
|
|
1
Year |
3
Year |
5
Year |
Since
Inception1
|
Composite |
15.37% |
4.27% |
13.05% |
10.37% |
Calvert
US Mid-Cap Core Responsible Index2
|
15.41% |
4.35% |
13.13% |
10.55% |
Russell
Midcap® Index3
|
17.23% |
5.92% |
12.68% |
9.97% |
1 |
The
inception date of the Composite Fund is November 1,
2015. |
2 |
The
Calvert US Mid-Cap Core Responsible Index is composed of companies that
operate their businesses in a manner that is consistent with the Calvert
Principles
and are selected from a universe of the 200th to 1,000th largest US
companies by market capitalization. It is not possible to invest directly
in
an index. |
3 |
Russell
Midcap® Index is an unmanaged index of U.S. mid-cap stocks. The Russell
Midcap® Index measures the performance of the mid-cap segment of
the
US equity universe. The Russell Midcap Index is a subset of the Russell
1000® Index. It includes approximately 800 of the smallest 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. “Fund”
as
used herein and under “Additional Information About Fund Investment
Strategies and Related Risks” refers to each Fund listed
on the cover page of this Prospectus (unless otherwise
noted). |
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 Funds
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.
Mid
Cap Companies Risk
Investments
in mid cap companies may involve greater risks than investments in larger, more
established companies. The securities issued
by mid cap companies may be less liquid and such companies may have more limited
markets, financial resources and product lines
and may lack the depth of management of larger companies.
Market
and Geopolitical Risk
The
value of your investment in the Fund is based on the values of the Fund’s
investments, which may change due to economic and other
events that affect markets generally, as well as those that affect particular
regions, countries, industries, companies or
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
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.
The
increasing interconnectivity between global economies and markets increases the
likelihood that events or conditions in one region,
sector, industry, market or with respect to one company may adversely impact
other companies and 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 inflation rates may
adversely affect market and economic conditions, the Fund’s investments and an
investment in the Fund. 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.
Concentration
Risk
If
an Index concentrates in the securities of issuers in one or more industries or
groups of industries, the Fund may concentrate in such
industries or groups of industries. By concentrating its investments in an
industry or group of industries, the Fund may face greater
risks than if it were diversified broadly over numerous industries or groups of
industries.
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
Information
Technology Sector Risk
If
an Index concentrates 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 concentrate in companies in the technology sector.
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 the
respective Index’s 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 or DEI performance, or Calvert’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
is dependent upon information and data that may
be incomplete, inaccurate or unavailable, which could adversely affect the
analysis of the ESG or DEI factors relevant to a particular
investment. The Fund is also subject to the risk that the companies identified
by the index provider do not operate as expected
when addressing ESG or DEI issues. Additionally, the index provider’s
proprietary valuation model may not perform as intended,
which may adversely affect an investment in the Fund. Regulatory changes or
interpretations regarding the definitions and/or
use of ESG or DEI 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 or DEI
practices 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 or DEI 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
Calvert | Additional
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Additional
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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 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.
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.
Foreign
Currency Forward Exchange Contracts
In
connection with its investments in foreign securities, the Fund also may enter
into contracts with banks, brokers or dealers to purchase
or sell securities or foreign currencies at a future date. A foreign currency
forward exchange contract is a negotiated agreement
between the contracting parties to exchange a specified amount of currency at a
specified future time at a specified rate. The
rate can be higher or lower than the spot rate between the currencies that are
the subject of the contract. Foreign currency forward
exchange contracts may be used to seek to protect against uncertainty in the
level of future foreign currency exchange rates or to
gain or modify exposure to a particular currency. In addition, the Fund may use
cross currency hedging or proxy hedging with respect
to currencies in which the Fund has or expects to have portfolio or currency
exposure. Cross currency and proxy hedges involve
the sale of one currency against the positive exposure to a different currency
and may be used for hedging purposes or to establish
an active exposure to the exchange rate between any two
currencies.
Calvert | Additional
Information About Fund Investment Strategies and Related Risks
Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
Investments
in foreign currency forward exchange contracts may substantially change the
Fund’s exposure to currency exchange rates and
could result in losses to the Fund if currencies do not perform as the Adviser
expects. The Adviser’s success in these transactions will
depend principally on its ability to predict accurately the future exchange
rates between foreign currencies and the U.S. dollar. Foreign
currency forward exchange contracts may be used for non-hedging purposes in
seeking to meet the Fund’s investment objectives,
such as when the Adviser anticipates that particular non-U.S. currencies will
appreciate or depreciate in value, even though securities
denominated in those currencies are not then held in the Fund’s investment
portfolios. Investing in foreign currency forward
exchange contracts for purposes of gaining from projected changes in exchange
rates, as opposed to hedging currency risks applicable
to the Fund’s holdings, further increases the Fund’s exposure to foreign
securities losses. There is no assurance that the Adviser’s
use of currency derivatives will benefit the Fund or that they will be, or can
be, used at appropriate times.
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 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. The Fund and its shareholders will be subject to the risks of the
purchased investment company and its portfolio
of securities.
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
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Additional
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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.
Mid
Cap Companies
Investments
in mid cap companies may involve greater risks than investments in larger, more
established companies. The securities issued
by mid cap companies may be less liquid and such companies may have more limited
markets, financial resources and product lines,
and may lack the depth of management of larger companies.
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.
Tracking
Error Risk
Tracking
error is the divergence of the Fund’s performance from that of its Index. The
performance of the Fund may diverge from that
of its Index for a number of reasons. When a Fund uses a representative sampling
indexing strategy, it can be expected to have a larger
tracking error than if it used a replication indexing strategy. Tracking error
may occur because of transaction costs, the Fund’s holding
of cash, differences in accrual of dividends, changes to its Index or the need
to meet new or existing regulatory requirements. Unlike
the Fund, the returns of an Index are not reduced by investment and other
operating expenses, including the trading costs associated
with implementing changes to its portfolio of investments. The frequency at
which each Index is rebalanced may result in higher
trading costs for the Fund and, as a result, greater tracking error. Tracking
error risk may be heightened during times of market
volatility, unusual market conditions or other abnormal circumstances. To the
extent that the Fund calculates its NAV based on
fair value prices and the value of its Index is based on securities’ closing
prices (i.e., the value of the Index is not based on fair value prices),
the Fund’s ability to track the Index may be adversely affected. The Fund may be
required to deviate its investments from the securities
and relative weightings of its Index to comply with the Investment Company Act
of 1940, as amended (the “1940 Act”), to meet
the issuer diversification requirements of the Code applicable to regulated
investment companies, or as a result of local market restrictions
or other legal reasons. The Fund’s investments may vary from the securities of
its Index due to the Fund’s inability to invest
in certain securities as a result of legal and compliance restrictions
applicable to the Fund and/or the Adviser and regulatory
Calvert | Additional
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Additional
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limits
or other restrictions on securities that may be purchased by the Adviser and its
affiliates. For tax efficiency purposes, the Fund may
sell certain securities to realize losses, which will result in a deviation from
its Index.
Index
Related Risk
The
Fund’s return may not track the return of the underlying index for a number of
reasons and, therefore, may not achieve its investment
objective. The Fund’s return may differ from the return of its Index as a result
of, among other things, pricing differences and
the inability to purchase certain securities included in the Index due to
regulatory or other restrictions. Corporate actions affecting
securities held by the Fund (such as mergers and spin-offs) or the Fund’s
ability to purchase round lots of securities may also cause
a deviation between the performance of the Fund and its Index.
In
addition, if the Fund uses a representative sampling approach, the Fund may not
be as well correlated with the return of the Index as
when the Fund purchases all of the securities in the Index in the proportions in
which they are represented in the Index.
Errors
in the construction or calculation of the Index may occur from time to time. Any
such errors may not be identified and corrected
for some period of time, which may negatively impact the Fund and its
shareholders. If the Fund uses a sampling method of
indexing, it may have a larger tracking error than if it used a replication
method of indexing.
Calvert
relies on third party data it believes to be reliable in constructing the Index,
but it does not guarantee the accuracy or availability
of any such third party data, and there is no guarantee with respect to the
accuracy, availability or timeliness of the production
of the Index.
Unusual
market conditions may cause Calvert to postpone a scheduled rebalance, which
could cause an Index to vary from its normal or
expected composition. The postponement of a scheduled rebalance in a time of
market volatility could mean that constituents that would
otherwise be removed at rebalance due to changes in market capitalizations or
other reasons may remain, causing the performance
and components of the Index to vary from those expected under normal conditions
and potentially increasing transaction
costs to the Fund. Apart from scheduled rebalances, Calvert or its agents may
carry out additional ad hoc rebalances to the
Index in order, for example, to correct an error in the selection of index
components. When an Index is rebalanced and the Fund in
turn rebalances its portfolio to attempt to increase the correlation between the
Fund’s portfolio and its Index, any transaction costs and
market exposure arising from such portfolio rebalancing may be borne directly by
the Fund and its shareholders. Therefore, errors
and additional ad hoc rebalances carried out by Calvert or its agents to the
Index may increase the costs to and the tracking error
risk of the Fund.
It
is also possible that the composition of the Fund may not exactly replicate the
composition of its Index if the Fund has to adjust its portfolio
holdings in order to continue to qualify as a “regulated investment company”
under the U.S. Internal Revenue Code of 1986,
as amended (the Internal Revenue Code).
The
risk that the Fund may not track the performance of the Index may be heightened
during times of increased market volatility, unusual
market conditions or other abnormal circumstances.
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 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
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Additional
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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, the Index
Provider, market makers or authorized participants.
The Fund and its shareholders could be negatively impacted as a
result.
Non-Diversification
Risk
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF is non-diversified, which
means that the Fund may invest a greater percentage
of their assets in a smaller number of issuers than diversified funds. A fund
that is classified as non-diversified may be more
susceptible to an adverse event affecting a single issuer or portfolio
investment than a diversified portfolio and a decline in the value
of that issuer’s securities or that portfolio investment may cause the Fund’s
overall value to decline to a greater degree than a diversified
portfolio.
Passive
Investment
Certain
Funds are managed using a passive investment strategy that uses a representative
sampling indexing strategy. Certain Funds are
managed using a passive investment strategy and expect to hold common stocks of
each company in the Index regardless of their current
or projected performance. The Funds do not expect to hold common stocks of each
company in the Index or in the same proportion
as represented in the Index, and Fund performance may vary from the
Index.
In
addition, a Fund generally will not adjust its portfolio investments to attempt
to take advantage of market opportunities or lessen the
impact of a market decline or a decline in the performance of one or more
issuers or for other reasons. Maintaining investments regardless
of market conditions or the performance of individual investments could cause
the Fund’s return to be lower than if a Fund
employed an active strategy. Unusual market events or other abnormal
circumstances may increase market volatility and may cause
the characteristics of the Index components to vary from those expected under
normal circumstances.
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.
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
Calvert | Additional
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Additional
Information About Fund Investment Strategies and Related Risks (Con’t)
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
As
described above, each Fund seeks to replicate a specific Calvert Responsible
Index (each, an “Index’ and collectively, the “Indexes”).
Calvert seeks to include in the Index issuers that manage ESG risk exposures
adequately and that are not exposed to excessive
ESG risk through their principal business activities. Companies included in an
Index 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. An Index may also include 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. Calvert’s
Index Committee may, in its discretion, remove an Index component before the
next reconstitution if it has been determined
that such Index component no longer meets the Calvert Principles. Calvert’s
Index Committee may also, in its discretion,
add a company that was previously excluded from the Index universe of the next
rebalance, if it has been determined that such
company meets the Calvert Principles.
As
described above, or in the SAI, each 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
a Fund may invest may hold securities of issuers
that do not operate in accordance with the Fund’s responsible investment
criteria.
High
Social Impact Investments.
Up to 3% of a Fund’s net assets may be invested in High Social Impact
Investments. High Social Impact
Investments are investments that, in Calvert’s opinion, offer the opportunity
for significant sustainability and social impact and
are consistent with the applicable Fund’s investment strategy, because Calvert
believes these investments are consistent with the Calvert
Principles. Investments in High Social Impact Investments are not included in an
Index, and a Fund’s performance may deviate
from the Index it seeks to track as a result.
High
Social Impact Investment debt obligations are unrated and of below-investment
grade quality, and involve a greater risk of default
and price decline than investment grade investments. High Social Impact
Investments are illiquid, and a Fund may be unable to
dispose of them at current carrying values.
Any
Fund investment in High Social Impact Investments is fair valued pursuant to
valuation procedures adopted by a Fund’s Board and
implemented by the Adviser. High Social Impact Investments by a Fund may be
direct investments in an issuer or investments in an
intermediate entity that then makes High Social Impact Investments, such as
Calvert Impact Capital, Inc. (“CIC”) (as discussed below).
Pursuant
to an exemptive order issued by the SEC, a Fund may invest in Community
Investment Notes (“Notes”) issued by CIC as part
of a Fund’s High Social Impact Investments. CIC is a nonstock corporation
organized under the laws of the State of Maryland and
designed to operate as a non-profit organization within the meaning of the
Internal Revenue Code of 1986, as amended. CIC focuses
its work on offering investors the ability to support organizations that
strengthen communities and sustain our planet. CIC issues
Notes with fixed-rates of interest to domestic individuals and institutional
investors and the proceeds from the Notes primarily are
used to provide financing to community development organizations, projects,
funds and other social enterprises across a variety of impact
sectors, including community development, microfinance, affordable housing,
small business, renewable energy, environmental
sustainability, education, health, and sustainable agriculture (collectively,
the “Participating Borrowers”) with missions that
may include addressing climate change, supporting quality education, promoting
financial inclusion, strengthening women’s empowerment,
and increasing access to quality affordable housing. CIC issues Notes with fixed
interest rates determined at the time of
issuance and terms currently ranging from six months to 20 years, and in turn
makes loans to Participating Borrowers at rates determined
through consideration of the general current market, the Participating
Borrower’s positive social and/or environmental impact
and the Participating Borrower’s risk level.
The
Adviser has licensed use of the Calvert name to CIC and provides other types of
support. An officer of the Adviser serves on the CIC
Board and an independent director/trustee on the Fund Board serves as a
director emeritus on the CIC Board.
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:
Calvert | Additional
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Additional
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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, each
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 Policy
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 each Fund’s semi-annual report to
shareholders for the period ending March 31, 2023.
The
Adviser and/or its affiliates may make payments to one or more investors that
contribute seed capital to one or more of the Funds.
Such payments may continue for a specified period of time and/or until a
specified dollar amount is reached. Those payments will
be made from the assets of the Adviser and/or such affiliates (and not the
Funds). Seed investors may contribute all or a majority of
the assets in one or more of the Funds. There is a risk that such seed investors
may redeem their investments in one or more of the Funds.
As with redemptions by other large shareholders, such redemptions could have a
significant negative impact on one or more of
the Funds.
The
Adviser will make a contribution from its own resources, annually after the end
of each calendar year, to certain diversity, equity and
inclusion initiatives in an amount of 0.02% of the net annualized assets under
management of Calvert US Large-Cap Diversity, Equity
and Inclusion Index ETF.
The
recipients of the contribution may include one or more organizations that focus
on diversity, equity and inclusion-related causes. The
Adviser maintains the option to increase, decrease or terminate this
contribution in amount and/or frequency in its sole discretion.
The Adviser will disclose, on an annual basis, the amount of any contributions
made and the recipients of such contributions
on the Fund’s website. An employee of the Adviser may serve on the board of
directors of, or hold another position with,
an organization that receives such contributions from the
Adviser.
Management
Fees
The
Adviser receives a fee for management services equal to the portion of the
average daily net assets as set forth in the table below.
|
| |
Fund
(as a percentage of average daily net assets) |
|
Calvert
International Responsible Index ETF |
0.18% |
|
Calvert
US Large-Cap Core Responsible Index ETF |
0.15% |
|
Calvert
US Large-Cap Diversity, Equity and Inclusion Index ETF |
0.14% |
|
Calvert
US Mid-Cap Core Responsible Index ETF |
0.15% |
|
Under
the Management Agreement, the Adviser will pay substantially all the expenses of
each Fund (including expenses of the Trust relating
to each 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 each Fund’s
business.
Portfolio
Management
The
Funds are managed by Thomas C. Seto, James Reber and Matthew Maillet, who are
jointly and primarily responsible for the day-to-day
management of the Funds.
Messrs.
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.
The
Funds’
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
Funds.
Calvert | Shareholder
Information
Distribution
of Fund Shares
The
Distributor is the exclusive distributor of Creation Units of each Fund. The
Distributor or its agent distributes Creation Units for
each Fund on an agency basis. The Distributor does not maintain a secondary
market in shares of the Funds.
The Distributor has no
role in determining the investment policies of a Fund or the securities that are
purchased or sold by a
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, each 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
a
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 Funds,
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 a Fund’s
assets on an ongoing basis, these fees will increase the cost
of your investment in a
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 a
Fund.
About
Net Asset Value
A
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, each 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,
a 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 close, bid-ask spreads may widen
and Fund shares may trade at a premium or discount to NAV. To the extent a 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 a Fund’s portfolio
securities may change on days when you will not be able to purchase
or sell your shares. The NAV of a Fund is based on the value of the Fund’s
portfolio securities or other assets.
The
Funds rely on various sources to calculate their NAVs. The ability of a 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. A 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
a 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.
A
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 a
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 a 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 a Fund. Once created, shares of a Fund
generally trade in the secondary market in amounts less than a Creation
Unit.
Shares
of a 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 a 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 a 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 a 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 a 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 Funds’ 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 a Fund and a specified
amount of cash. Except when aggregated in Creation
Units, shares are not redeemable by a 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 each
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
a 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 a
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 a 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 a 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 a 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 a 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 a Fund.
Unless your investment in a 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 a 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 a 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. If
more than 50% of the total
assets of the Calvert International Responsible Index ETF at the close of a year
consists of non-U.S. stocks or securities (generally,
for this purpose, depositary receipts, no matter where traded, of non-U.S.
companies are treated as “non-U.S.”), generally the
Fund may “pass through” to you certain non-U.S. income taxes (including
withholding taxes) paid by the Fund. This means that you
would be considered to have received as an additional dividend your share of
such non-U.S. taxes, but you may be entitled to either
a corresponding tax deduction in calculating your taxable income, or, subject to
certain limitations, a credit in calculating your U.S.
federal income tax.
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 a Fund may
be disallowed under “wash sale” rules to the
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
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.
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 a 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 a 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 a 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.
It
is not expected that shareholders of Calvert US Large-Cap Diversity, Equity and
Inclusion Index ETF would receive a charitable contribution
or other tax benefit in respect of the Adviser’s contributions.
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. For each of the
Funds, shares are created and redeemed principally in kind. The in-kind
arrangements
are designed to protect ongoing shareholders from adverse effects on
a
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 a
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 a Fund to
shareholders. To the extent a 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.
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
Description
of Underlying Indices
The
Calvert Diversity Research Indices and Calvert US Responsible Indices
(collectively, the “Indices” and each, an “Index”) are proprietary
indices owned by Calvert. Each Index is composed of companies that meet
Calvert’s requirements for Index inclusion as described
in this document and in each Index’s rules and methodology. The Indices are as
follows:
• |
Calvert
US Large-Cap Diversity Research Index (Ticker:
CALDEI) |
• |
Calvert
International Responsible Index (Ticker:
CALDMI) |
• |
Calvert
US Large-Cap Core Responsible Index (Ticker:
CALCOR) |
• |
Calvert
US Mid-Cap Core Responsible Index (Ticker:
CALMID) |
The
Calvert Index Committee (the “Committee”) is composed of at least two members
who are appointed by and may include Calvert’s
Chief Executive Officer. The Committee oversees each Index and will be
responsible for approving any changes in the Index
rules and methodology, as described herein, and for overseeing construction of
each Index and the activities of the calculation agent,
Solactive AG (the “Calculation Agent”). Calvert will derive the universe for
each Index on an annual basis. As described above, each
Fund seeks to track the performance of a specific Index. Calvert seeks to
include in the Indices issuers that manage ESG risk exposures
adequately and that are not exposed to excessive ESG risk through their
principal business activities. Companies included in
an Index are analyzed using The Calvert Principles (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. In assessing issuers for which quantitative
data is limited, subjective judgments may serve as the primary basis for
Calvert’s evaluation. Calvert’s Index Committee may,
in its discretion, remove an Index component before the next reconstitution if
it has been determined that such Index component
no longer meets the Calvert Principles or, if Calvert’s Index Committee
determines, based on information available to Calvert,
that such Index component has exposure to a product and/or environmental factor
that is believed to present significant health
or environmental risks. Calvert’s Index Committee may also, in its discretion,
add to an Index at its next rebalance (i) a company
that was previously excluded from an Index Universe if it had been determined
that such company meets the Calvert Principles;
or (ii) a company that was previously excluded by Calvert’s Index Committee if
Calvert’s Index Committee has determined
that such company no longer presents significant health or environmental
risks.
Index
Disclaimers
Calvert
and each Fund make no representation or warranty, express or implied, to the
owners of shares of a Fund or any member of the
public regarding the advisability of investing in securities generally or in a
Fund particularly or the ability of the Index to track general
stock market performance. Calvert is the owner of each Index. Calvert has no
obligation to take the needs of a Fund or the owners
of shares of a Fund, or the requirements of the 1940 Act, into consideration in
determining, composing, or calculating each Index.
Calvert and each Fund do not guarantee the accuracy, completeness, or
performance of each Index or the data included therein
and shall have no liability in connection with each Index or Index calculation.
An Index’s past performance is not necessarily an
indication of how the Index will perform in the future. It is not possible to
invest directly in an Index. Calvert has contracted with an
independent calculation agent to calculate each Index. The method for
calculating and constructing each Index may change over time.
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 a 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 instances may overlap or
conflict with a 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 a
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.
Calvert | Shareholder
Information
Shareholder
Information (Con’t)
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 Funds (including purchasing or selling
securities that the Adviser may otherwise have purchased or sold for a 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 a Fund or its shareholders. A 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 a 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 Funds, 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 a 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 a
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 a 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 a 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 a 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 a 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 a Fund and with respect to investments that a 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 a Fund. Morgan
Stanley may give advice and provide recommendations
to persons competing with a Fund and/or any of a 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 an underwriter
or placement agent) may restrict or otherwise limit investment opportunities
that may otherwise be available to a 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 tables that follow are intended to help you understand the
financial performance of the shares of the Funds 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 Funds
(assuming reinvestment of all dividends and distributions).
The
information below has been derived from the financial statements audited
by Ernst & Young LLP, the Funds’ independent
registered
public accounting firm. Ernst & Young LLP’s report, along with the
Funds’
financial statements, are incorporated by reference
into the Funds’ SAI.
The Annual Report to Shareholders (which includes the Funds’
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 | Financial
Highlights
Calvert
International Responsible Index 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 Loss |
|
|
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 | Financial
Highlights
Calvert
US Large-Cap Core Responsible Index 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 | Financial
Highlights
Calvert
US Large-Cap Diversity, Equity and Inclusion Index 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 | Financial
Highlights
Calvert
US Mid-Cap Core Responsible Index 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 Loss |
|
|
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 each
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 Funds have 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 Funds. The SAI is
incorporated by reference into this Prospectus
and, therefore, legally forms a part of this Prospectus. Certain affiliates of
the Funds 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 respective
Fund’s investments. In each 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 each of the Funds,
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