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Are You Missing the Benefits of Mid-Caps?

Are You Missing the Benefits of Mid-Caps?. Take a Closer Look at Calvert Capital Accumulation Fund. Michelle Clayman, CFA New Amsterdam Partners LLC Presentation to: SRI in the Rockies. October 3, 2011. CALVERT INVESTMENTS ® | 2011. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

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Are You Missing the Benefits of Mid-Caps?

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  1. Are You Missing the Benefits of Mid-Caps? Take a Closer Look at Calvert Capital Accumulation Fund • Michelle Clayman, CFA • New Amsterdam Partners LLC • Presentation to: • SRI in the Rockies • October 3, 2011 CALVERT INVESTMENTS®| 2011 FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  2. Agenda • Why Mid-Caps • A Closer Look at Calvert Capital Accumulation Fund • Questions and Answers Calvert Investments® and the Calvert Investments logo are registered trademarks of Calvert Investments, Inc. Calvert Investments is a trade name representing Calvert Investments, Inc. and its subsidiaries, including Calvert Investment Management, Inc. and Calvert Investment Distributors, Inc. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (CAE #2)

  3. Why Mid-Caps FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  4. Mid Cap versus Small Cap • Compared to small cap companies, mid cap companies typically have: • More stable business models • More solid market positions and performance records • Fewer risks and lower stock price volatility • Transitioned from entrepreneurial to professional management • Good liquidity, which frequently attracts institutional money • Better risk vs. return characteristics FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  5. Mid Cap versus Large Cap • Compared to large cap companies, mid cap companies typically: • Are in the earlier stages of their business cycle • Produce higher sales and earnings growth rates • Operate in niche markets • Are mispriced by the market • Have more transparent financial statements FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  6. Advantages of Mid Cap Stocks Using Russell Midcap®to represent mid cap stocks, the Russell 1000®to represent large cap stocks and Russell 2000® to represent small cap stocks, mid cap stocks can have several advantages: • Mid caps have proven to consistently outperform Large Caps and Small Caps in the short-term (1 year), middle-term (5 year) and long-term (10 years) – for the period ending June 30, 2011 • Mid caps can have a better risk/reward relationship • Mid caps typically show relatively strong performance around periods of recession – tend to outperform small caps heading into recession & outperform large caps coming out of recession • Top 25 stocks in the Russell 1000 have a greater market cap than the entire Russell Midcap Index • Mid caps make attractive acquisition candidates FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  7. Development Stages of a Mid Cap Company • Mid cap companies have demonstrated the ability to succeed and expand beyond the start-up phase, but still may have plenty of room to grow. Large Cap Mid Cap Micro/ Small Cap Start-up Mature FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  8. Best Worst PERFORMANCE HISTORY (Annual Returns - %) Large Cap Growth Mid Cap Small Cap Large Cap Value International S&P 500 Fixed Income • Large Cap Growth = Russell 1000 Growth Index; Large Cap Value = Russell 1000 Value Index; Mid Cap = Russell MidCap Index; International = MSCI EAFE Index; Small Cap = Russell 2000 Index; Fixed Income = Barclays Capital Aggregate Bond Index. 2Q11 represents just 2nd quarter 2011 returns, not first six months of the year. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  9. TAKING THE LEAD IN RECOVERY • POST-RECESSION PERFORMANCE (Period Total Returns - %) Aug. 1980 – July 1981 Dec. 1982 – Nov. 1983 Apr. 1991 – March 1992 Jan. 2002 – Dec. 2003 June 2009 – June 2011 35.0 31.6 30.0 28.0 25.0 23.3 23.0 21.3 20.0 19.3 17.4 15.0 13.5 13.0 10.0 5.0 1.8 0.0 Russell 1000 Index Russell MidCap Index FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  10. Small: Russell 2000® Mid: Russell Midcap® Large: Russell 1000® RISK & RETURN COMPARISONS KEY • Rolling Periods Ending June 30, 2011 • Risk measured by standard deviation; Risk and Return numbers are annualized. Large, Mid, Small refer to market capitalizations represented by the Russell indexes (Russell 1000, Russell MidCap, and Russell 2000, respectively) FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  11. RISK & RETURN COMPARISONS CCAFX: Calvert Capital Accumulation Fund KEY • Rolling Periods Ending June 30, 2011 FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  12. A CLOSER LOOK AT CALVERT CAPITAL ACCUMULATION FUND FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  13. Calvert Capital Accumulation Fund Portfolio Management: New Amsterdam Partners LLC Michelle Clayman, CFA, Managing Partner, Chief Investment Officer Nathaniel Paull, CFA, Partner, Senior Portfolio Manager SRI Approach:Signature Benchmark:Russell Midcap Growth Index Lipper Category:Lipper Mid-Cap Growth Funds Average Morningstar Category:Mid-Cap Growth FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #2)

  14. Calvert Capital Accumulation Fund New Amsterdam Partners LLC (NAP) • Founded in 1986 • NAP had approximately $3.0 Billion in AUM as of June 30, 2011 • 100% employee-owned Success begins with NAP’s philosophy We believe that the stock market sometimes misprices information. Quantitative analysis allows us to systematically identify opportunities arising from that mispricing. Fundamental research allows us to understand why that mispricing occurs. We believe that the integration of both techniques – quantitative and fundamental – should lead to consistently superior investment results. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  15. 6. Portfolio Construction 1. Initial Universe 3. Expected Return Analysis 5. Investment Committee 2. Eligibility Screens 4. Fundamental Research 7. Sell Discipline Calvert Capital Accumulation Fund • 10,000+ Companies • Client Guidelines • 2,000+ Companies • Companies ranked high-to-low • Top 100 Companies • Drop in expected return • Sharp negative change in analyst sentiment • Transaction cost analysis • Turnover • 40 to 45 stock portfolio • Highly transparent and disciplined “Bottom-Up” investment process FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #4)

  16. Investment Process Universe: 10,000+ Companies • All securities must pass a series of screens before proceeding to the quantitative phase • of the process. Look to identify companies with: • Complete accounting data • Adequate trading liquidity • Sufficient Wall Street analyst coverage • Market capitalization range of $1 billion to $9 billion for Mid-Cap 2,000+ companies remain for further evaluation FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #5)

  17. ROE - G PB’ - PB T = G + + * (1 + G) PB nPB Investment Process 2,000+ Companies • Model looks for stocks selling at low prices relative to their forecast growth and profitability. • Expected return = forecast growth + cash flow yield + valuation change (price to book) • Mathematically • Model ranks stocks by expected return. The top 100 are then selected for additional • analysis and fundamental research. 100 Companies remain for further evaluation T = Total Return G = Earnings Growth ROE = Return on Equity PB = Current Price/Book Ratio PB' = Equilibrium PB nPB = number of years to reach equilibrium PB (PB') FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #6)

  18. Investment Process Prioritizing Buy Universe - Opportunities • NAP estimates (EPS Growth) > Consensus • Low Zacks Score • High Corporate Innovation Score • Favorable Gradient Ranking • Short Interest Analysis • Debt Analysis 100 Companies remain for further evaluation FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #7)

  19. Investment Process 100 Companies • Economic Outlook • GDP, inflation, interest rates • Currency exchange rates, employment, consumer confidence • Industry Analysis • Industry trends, life cycles, and growth • Competition • Company Analysis • Internal Research Report • Valuation Template • Fundamental Checklist • Detailed Accounting Analysis • Market Share & Competitive Analysis • Corporate Governance, ESG, and Litigation Analysis • Counter Arguments 40 to 45 Companies FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #8)

  20. Investment Process • The investment team holds committee meetings twice a month to review and discuss: • Current holdings and price targets • Quantitative and fundamental research updates • Sell decisions • Buy candidates • Candidates previously rejected • Performance review FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #9)

  21. Investment Process • Cash • No more than 5% of the portfolio • Change in fundamentals • Stock Weightings • Normal weight 2 - 2.5% of portfolio • Trimmed back at 5% • Sector Diversification • Tilt towards model suggested weights • Minimum relative weight of 50% and maximum relative weight of 200% in major sectors • Discretion used in amount of tilt (macro analysis, industry outlook, and available investment candidates) • The Fund is non-diversified and may be more volatile than a diversified fund. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #10)

  22. Sell Discipline • Drop in expected return • Price reaches target price • Change in fundamentals • Sharp negative change in analyst sentiment • If temporary phenomenon, may be used as buying opportunity • If research results in unacceptable expected return, stock will be sold • New opportunity analysis • Significant pick up in expected return after transaction costs • Violation of ESG criteria FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (IPCA #11)

  23. Questions? FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  24. APPENDIX – Performance History and Attribution All data is for the period ended June 30, 2011 unless otherwise indicated. Comparable data for the period ended September 30, 2011 is available at www.calvert.com. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  25. Calvert Capital Accumulation Fund The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Index reflects no deductions for fees or expenses. An investor cannot invest directly in an index. Visit www.calvert.com to obtain performance data current to the most recent month-end. Source: Calvert Investments, Inc. and International Data Corporation (IDC)

  26. Portfolio Characteristics • *Excluding the number of holdings, the analysis was performed by FACTset Performance Analytic software. **All share classes. ***Equity only holdings which include special equities. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  27. Portfolio Return and Characteristics • Source: Zephyr Associates Inc.'s Style Advisor Using Morningstar™ data • 3-Years Ended 6/30/11: Summary Statistics FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  28. Portfolio Characteristics • *Source: MSCI.  MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein.  The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products.  This report is not approved, reviewed or produced by MSCI. • The analysis was performed by FACTset Performance Analytic software. • GICS Sector* Weights • (Percentage of Holdings as of 6/30/11) FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  29. Portfolio Analysis by Sector (Second Quarter ended 6/30/2011) • Source: FACTset Based on equity securities only. Gross return differs from actual due to exclusions (e.g. Cash, Fixed Income) and holding period calculation. *Portfolio Weight is calculated as the average weight over the quarter. FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  30. Portfolio Attribution (Second Quarter ended 6/30/2011) (Second Quarter ended 6/30/2011) • Source: FACTset Performance Analytic software Gross return differs from actual due to exclusions (e.g., Cash, Fixed Income) and holding period calculation. * Portfolio Weight is calculated as the average weight over the quarter. • Top Contributors by Company • Bottom Contributors by Company FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  31. Portfolio Attribution (Second Quarter ended 6/30/2011) (Second Quarter ended 6/30/2011) • Source: FACTset Performance Analytic software • Gross return differs from actual due to exclusions (e.g., Cash, Fixed Income) and holding period calculation. • Top Contributors by Sector • Bottom Contributors by Sector FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION.

  32. Contact Information and Disclosures • For more information on Calvert funds for institutional investors or on other institutional products, please call Calvert at 800.327.2109 or visit www.calvert.com for a free summary prospectus and/or prospectus. An investor should consider the investment objectives, risks, charges and expenses of an investment carefully before investing. The summary prospectus and prospectus contain this and other information. Read them carefully before you invest or send money. • Investment in mutual funds involves risk, including possible loss of principal invested.  Equity funds are subject to the following risks: the stock market may fall in value, causing prices of stocks held by a fund to fall; individual stocks in a fund may not perform as expected; and a fund’s portfolio management practices may not achieve the desired result.  Large-cap companies may be unable to respond quickly to new competitive challenges such as changes in technology, and also may not be able to attain the high growth rate of successful smaller companies, especially during extended periods of economic expansion.  Prices of small- and mid-cap stocks can be more volatile than those of larger, more established companies. Small- and mid-cap companies are more likely to have more limited product lines, fewer capital resources and less depth of management than larger companies. • Funds that employ a value strategy are subject to the risks that the market may not recognize a security’s intrinsic value for a long time, and that a stock judged to be undervalued by the Fund’s Advisor or Subadvisormay actually be appropriately priced and may not appreciate as anticipated.  Funds that employ a growth strategy are subject to the risks that the prices of growth company securities may fall due to changing economic, political or market conditions or disappointing earnings results, and that growth stocks generally lack the dividends of some value stocks that can cushion stock prices in a falling market.  Foreign investments involve greater risks than U.S. investments, including political and economic risks and the risk of currency fluctuations. An index fund has operating expenses; a market index does not.  Although expected to track its target index as closely as possible while satisfying its investment criteria, an index fund will not be able to match the performance of the index exactly. • Calvert mutual funds are underwritten and distributed by Calvert Investment Distributors, Inc., member FINRA and subsidiary of Calvert Investments, Inc. www.calvert.com FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. Reviewed as of 6/30/11. (DE #1)

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