UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23820
Morgan Stanley ETF Trust
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, New York 10036
(Address of principal executive offices) (Zip code)
John H. Gernon
522 Fifth Avenue, New York, New York 10036
(Name and address of agent for service)
Registrant's telephone number, including area code: 212- 762-1886
Date of fiscal year end: September 30.
Date of reporting period: September 30, 2023
Item 1 - Report to Shareholders
Morgan
Stanley
ETF
Trust
Calvert
International
Responsible
Index
ETF
NYSE
Arca:
CVIE
Annual
Report
September
30,
2023
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Table
of
Contents
(unaudited)
1
This
report
is
authorized
for
distribution
only
when
preceded
or
accompanied
by
a
prospectus
or
summary
prospectus
of
the
applicable
Fund
of
Morgan
Stanley
ETF
Trust.
To
receive
a
prospectus
and/or
statement
of
additional
information
(“SAI”),
which
contains
more
complete
information
such
as
investment
objectives,
charges,
expenses,
policies
for
voting
proxies,
risk
considerations
and
describes
in
detail
each
of
the
Fund’s
investment
policies
to
the
prospective
investor,
please
call
toll
free
1
(800)
836-2414.
Please
read
the
prospectuses
carefully
before
you
invest.
Additionally,
you
can
access
Fund
information
including
performance,
characteristics
and
investment
team
commentary,
through
Morgan
Stanley
Investment
Management’s
website:
www.calvert.com.
Market
forecasts
provided
in
this
report
may
not
necessarily
come
to
pass.
There
is
no
guarantee
that
any
sectors
mentioned
will
continue
to
perform
as
discussed
herein
or
that
securities
in
such
sectors
will
be
held
by
the
Fund
in
the
future.
There
is
no
assurance
that
a
fund
will
achieve
its
investment
objective.
Funds
are
subject
to
market
risk,
which
is
the
possibility
that
market
values
of
securities
owned
by
the
Fund
will
decline
and,
therefore,
the
value
of
the
Fund’s
shares
may
be
less
than
what
you
paid
for
them.
Accordingly,
you
can
lose
money
investing
in
this
Fund.
Please
see
the
prospectus
for
more
complete
information
on
investment
risks.
Shareholders’
Letter
........................................................................................
2
Expense
Example
...........................................................................................
3
Investment
Overview
........................................................................................
4
Portfolio
of
Investments
.....................................................................................
6
Statement
of
Assets
and
Liabilities
..........................................................................
14
Statement
of
Operations
....................................................................................
15
Statement
of
Changes
in
Net
Assets
........................................................................
16
Financial
Highlights
.........................................................................................
17
Notes
to
Financial
Statements
...............................................................................
18
Report
of
Independent
Registered
Public
Accounting
Firm
....................................................
25
Federal
Tax
Notice
..........................................................................................
26
Important
Notices
..........................................................................................
27
U.S.
Customer
Privacy
Notice
...............................................................................
28
Trustees
and
Officers
Information
...........................................................................
31
2
Annual
Report
—
September
30,
2023
Shareholders’
Letter
(unaudited)
Morgan
Stanley
ETF
Trust
Dear
Shareholders,
We
are
pleased
to
provide
this
Annual Report,
in
which
you
will
learn
how
your
investment
in Calvert
International
Responsible
Index
ETF (the
“Fund”)
performed
during
the
period
beginning
January
30,
2023
(when
the
Fund
commenced
operations)
and
ended
September
30,
2023.
Morgan
Stanley
Investment
Management,
the
Fund's
investment
adviser, is
a
client-centric,
investor-led
organization.
Our
global
presence,
intellectual
capital,
and
breadth
of
products
and
services
enable
us
to
partner
with
investors
to
meet
the
evolving
chal-
lenges
of
today’s
financial
markets.
We
aim
to
deliver
superior
investment
service
and
to
empower
our
clients
to
make
the
informed
decisions
that
help
them
reach
their
investment
goals.
As
always,
we
thank
you
for
selecting
Morgan
Stanley
Investment
Management,
and
look
forward
to
working
with
you
in
the
months
and
years
ahead.
Sincerely,
John
H.
Gernon
President
and
Principal
Executive
Officer
October
2023
3
Annual
Report
—
September
30,
2023
Expense
Example
(unaudited)
Calvert
International
Responsible
Index
ETF
Morgan
Stanley
ETF
Trust
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transactional
costs;
and
(2)
ongoing
costs,
which
may
include man-
agement
fees,
and
distribution
and
shareholder
services
fees.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
This
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
six-month
period
ended
September
30,
2023 and
held
for
the
entire
six-month
period.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
table,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
table
under
the
heading
entitled
“Actual
Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical Example
for
Comparison
Purposes
The
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
sales
charges
(loads).
Therefore,
the
information
for
each
class
in
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Beginning
Account
Value
(
4/1/23
)
Actual
Ending
Account
Value
(9/30/23)
Hypothetical
Ending
Account
Value
Actual
Expenses
Paid
During
Period
*
Hypothetical
Expenses
Paid
During
Period
*
Net
Expense
Ratio
During
Period
**
Calvert
International
Responsible
Index
ETF
$1,000.00
$986.10
$1,024.17
$0.90
$0.91
0.18%
*
Expenses
are
calculated
using
the
Fund’s
annualized
net
expense
ratio
(as
disclosed),
multiplied
by
the
average
account
value
over
the
period
and
multiplied
by
183/365
(to
reflect
the
most
recent
one-half
year
period).
**
Annualized.
4
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
Calvert
International
Responsible
Index
ETF
Morgan
Stanley
ETF
Trust
Economic
and
Market
Conditions
For
global
equity
investors,
the
8-month
period
ended
September
30,
2023,
was
a
roller-coaster
ride,
driven
largely
by
shifting
perceptions
of
whether
the
U.S.
Federal
Reserve
(the
Fed)
could
bring
the
world’s
largest
economy
in
for
a
soft
landing,
and
changing
expectations
of
how
long
interest
rates
might
remain
high.
As
the
period
opened,
global
equities
were
in
the
midst
of
a
rally
that
lasted
through
July
2023.
The
initial
tailwind
was
ChatGPT,
an
artificial
intelligence
(AI)
application
that
led
investors
to
perceive
AI
might
become
the
next
big
innovation
to
drive
the
information
technology
(IT)
sector.
As
a
result,
IT
-
one
of
the
worst-performing
sectors
in
2022
-
became
the
standout
sector
during
the
first
half
of
2023.
Earlier
recession
fears
that
had
weighed
on
stock
prices
reced-
ed,
as
many
investors
came
around
to
the
view
that
the
U.S.
and
global
economies
were
doing
surprisingly
well.
European
equities
received
an
additional
boost
as
feared
continent-wide
energy
shortages
failed
to
materialize
during
the
winter.
But
in
the
final
two
months
of
the
period,
the
bond
market
halted
the
stock
market’s
momentum.
As
it
became
clear
the
Fed
would
keep
interest
rates
higher
for
longer
than
investors
had
anticipated
just
a
few
months
earlier,
longer
term
bond
rates
rose.
Given
the
potential
for
relatively
attractive
returns
with
lower
risk
than
stocks,
many
investors
shifted
from
equity
assets
to
bonds,
and
stock
prices
ended
on
a
down
note
as
the
period
came
to
a
close.
For
the
period
as
a
whole,
the
MSCI
World
ex
USA
Index
returned
-1.58%,
as
many
overseas
markets
gave
back
earlier
gains
in
the
closing
months
of
the
period.
In
contrast,
the
Russell
1000®
Index,
a
measure
of
U.S.
large-cap
stocks
that
included
many
beneficiaries
of
the
AI
boom,
returned
7.55%.
Fund
Performance
For
the
8-month
period
from
inception
on
January
30,
2023,
through
September
30,
2023,
Calvert
International
Responsi-
ble
Index
ETF
(the
Fund)
returned
-1.66%
based
on
net
asset
value
(NAV)
and
reinvestment
of
distributions
per
share,
net
of
fees.
The
Fund
underperformed
its
primary
benchmark,
the
MSCI
World
ex
USA
Index
(the
Index),
which
returned
-1.58%
and
underperformed
its
secondary
benchmark,
the
Calvert
International
Responsible
Index
(the
Calvert
Index),
which
returned
-1.62%
during
the
period.
The
Fund’s
underperformance
versus
the
Calvert
Index
was
due
to
Fund
expenses
and
fees,
which
the
Calvert
Index
does
not
incur.
Of
the
Fund’s
11
market
sectors,
consumer
discretionary,
energy,
health
care,
and
information
technology
(IT)
delivered
positive
returns
during
the
period.
The
strongest-performing
sectors
were
energy,
IT,
and
health
care.
The
weakest-per-
forming
sectors
were
real
estate,
communication
services,
and
financials.
Detractors
from
Fund
performance
versus
the
Index
included
stock
selections
in
the
industrials
sector;
stock
selections
and
an
overweight
position
in
the
financials
sector,
which
deliv-
ered
negative
returns
during
a
period
that
included
three
of
the
largest
bank
failures
in
U.S.
history;
and
stock
selections
and
an
underweight
position
in
the
energy
sector
-
the
stron-
gest-performing
sector
within
the
Index
and
the
Fund,
as
rising
oil
prices
boosted
energy
stock
returns
during
the
period.
In
the
industrials
sector,
not
owning
Japanese
industrial
con-
glomerate
Mitsubishi
Corp.
(Mitsubishi)
and
British
aerospace
and
defense
firm
Rolls-Royce
Holdings
Plc.
(Rolls-Royce)
-
two
Index
positions
that
delivered
strong
performance
-
detracted
from
Index-relative
returns
during
the
period.
Mitsubishi’s
stock
price
was
lifted
by
pent-up
demand
for
the
company’s
small
vehicles
in
post-COVID
Asian
emerging
markets,
along
with
a
weak
yen
and
stock
buybacks.
Rolls-Royce
reported
strong
sales
and
profit
growth
resulting
from
a
multiyear
turn-
around
effort
and
strong
sales
of
its
aircraft
engines
as
travel
recovered
after
the
pandemic.
In
the
financials
sector,
the
Fund’s
out-of-Index
positions
in
South
Korean
financial
holding
companies
KB
Financial
Group,
Inc.
and
Shinhan
Financial
Group
Co.
Ltd.
both
de-
clined
in
value
and
detracted
from
Index-relative
performance
during
the
period.
In
contrast,
contributors
to
Fund
performance
versus
the
Index
included
stock
selections
in
the
materials
sector;
stock
selections
and
an
overweight
position
in
the
IT
sector;
and
stock
selections
and
an
underweight
position
in
the
real
estate
sector
-
the
worst-performing
sector
within
the
Index
and
the
Fund,
as
property
sales
were
hampered
by
rising
mortgage
rates
during
the
period
and
companies
cut
back
on
office
space
in
the
aftermath
of
the
pandemic.
In
the
materials
sector,
contributors
to
Index-relative
returns
included
the
Fund’s
out-of-Index
positions
in
South
Korean
steel
maker
POSCO
Holdings,
Inc.
-
whose
battery
materi-
als
business
benefited
from
strong
demand
for
lithium
-
and
U.K.-headquartered
Linde
Plc.
-
one
of
the
world’s
largest
suppliers
of
industrial
gases.
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
(cont’d)
Calvert
International
Responsible
Index
ETF
5
Morgan
Stanley
ETF
Trust
Performance
data
quoted
represents
past
performance,
which
is
no
guaran-
tee
of
future
results,
and
current
performance
may
be
lower
or
higher
than
the
figures
shown.
Performance
assumes
that
all
dividends
and
distributions,
if
any,
were
reinvested.
For
the
most
recent
month-end
performance
figures,
please
visit
www.calvert.com.
Investment
return
and
principal
value
will
fluctu-
ate
so
that
Fund
shares,
when
sold
or redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Total
returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
selling
or
redemption
of
Fund
shares.
Fund's
total
returns
are
calculated
as
of
the
last
business
day
of
the
period.
*
Minimum
Investment.
**
The
Fund’s
performance
shown
assumes
that
all
recurring
fees
(including
management
fees)
were
deducted
and
all
dividends
and
distributions
were
reinvested.
***
Commenced
Operations
on
January
30,
2023.
Performance
Compared
to
the
MSCI
World
ex
USA
Index
(1)
and
the
Calvert
International
Responsible
Index
(2)
Cumulative
Total
Return
for
the
period
Ended
September
30,
2023
Since
Inception
(3)
Calvert
International
Responsible
Index
ETF
-
NAV
(4)
-1.66%
Calvert
International
Responsible
Index
ETF
-
Market
Price
(4)
-1.78%
MSCI
World
ex
USA
Index
-1.58%
Calvert
International
Responsible
Index
-1.62%
(1)
The
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.
The
Index
is
unmanaged
and
its
returns
do
not
include
any
sales
charges
or
fees.
Such
costs
would
lower
performance.
It
is
not
possible
to
invest
directly
in
an
index.
(2)
Calvert
International
Responsible
Index
is
composed
of
common
stocks
of
large
companies
in
developed
markets,
excluding
the
U.S.
Large
companies
in
developed
markets
are
the
1,000
largest
publicly
traded
companies,
excluding
real
estate
investment
trusts
and
business
development
companies,
in
markets
that
Calvert
Research
and
Management
("CRM")
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.
The
Calvert
Principles
for
Responsible
Investment
serve
as
a
framework
for
considering
environmental,
social
and
governance
factors
that
may
affect
investment
performance.
Stocks
are
weighted
in
the
Calvert
Index
based
on
their
float-adjusted
market
capitalization,
by
country
and
by
sector,
subject
to
certain
prescribed
limits.
Unless
otherwise
stated,
index
returns
do
not
reflect
the
effect
of
any
applicable
sales
charges,
commissions,
expenses,
taxes
or
leverage,
as
applicable.
It
is
not
possible
to
invest
directly
in
an
index.
Historical
performance
of
the
index
illustrates
market
trends
and
does
not
represent
the
past
or
future
performance
of
the
fund.
(3)
For
comparative
purposes,
average
annual
since
inception
returns
listed
for
the
Indexes
refer
to
the
inception
date
of
the
Fund,
not
the
inception
of
the
Index.
(4)
Commenced
operations
on
January
30,
2023.
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
Calvert
International
Responsible
Index
ETF
6
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Common
Stocks
(99.3%)
Australia
(4.8%)
Allkem
Ltd.(a)
6,808
$
51,672
ANZ
Group
Holdings
Ltd.
12,595
208,585
APA
Group
5,892
31,562
ASX
Ltd.
202
7,447
Atlas
Arteria
Ltd.
3,424
12,220
BlueScope
Steel
Ltd.
4,789
60,086
Brambles
Ltd.
6,743
62,320
carsales.com
Ltd.
609
10,982
Cochlear
Ltd.
303
49,929
Coles
Group
Ltd.
7,579
76,112
Commonwealth
Bank
of
Australia
6,550
422,610
Computershare
Ltd.
2,150
36,022
Fortescue
Metals
Group
Ltd.
11,123
150,180
IGO
Ltd.
7,031
57,449
Insurance
Australia
Group
Ltd.
10,341
37,909
Macquarie
Group
Ltd.
1,606
173,854
Medibank
Pvt.
Ltd.
11,588
25,727
National
Australia
Bank
Ltd.
11,760
220,639
Pilbara
Minerals
Ltd.
27,518
76,368
Qantas
Airways
Ltd.(a)
8,296
27,735
QBE
Insurance
Group
Ltd.
6,202
62,884
REA
Group
Ltd.
63
6,275
Reece
Ltd.
933
11,218
Sonic
Healthcare
Ltd.
2,918
56,122
South32
Ltd.
42,887
93,833
Suncorp
Group
Ltd.
5,299
47,777
Telstra
Group
Ltd.
7,356
18,278
Transurban
Group
18,093
148,184
Wesfarmers
Ltd.
4,870
166,144
Westpac
Banking
Corp.
12,887
175,910
WiseTech
Global
Ltd.
407
17,087
Woolworths
Group
Ltd.
7,079
170,507
2,773,627
Austria
(0.3%)
Erste
Group
Bank
AG
919
31,933
Mondi
plc
380
6,366
OMV
AG
1,323
63,481
Verbund
AG
409
33,365
voestalpine
AG
1,033
28,261
163,406
Belgium
(0.6%)
Ackermans
&
van
Haaren
NV
62
9,393
Ageas
SA/NV
152
6,281
Anheuser-Busch
InBev
SA/NV
3,302
183,575
Azelis
Group
NV
347
6,874
D'ieteren
Group
64
10,835
Groupe
Bruxelles
Lambert
NV
625
46,691
KBC
Group
NV
503
31,495
Sofina
SA
43
8,732
Solvay
SA
229
25,421
UCB
SA
385
31,607
Umicore
SA
206
4,896
365,800
Canada
(9.1%)
Agnico
Eagle
Mines
Ltd.
3,082
140,696
Air
Canada(a)
1,157
16,585
Shares
Value
Algonquin
Power
&
Utilities
Corp.
3,292
$
19,577
Alimentation
Couche-Tard,
Inc.
4,132
210,818
Bank
of
Montreal
2,643
223,990
Bank
of
Nova
Scotia
(The)
4,759
214,296
BCE,
Inc.
1,389
53,269
Brookfield
Asset
Management
Ltd.,
Class
A
1,440
48,206
Brookfield
Corp.,
Class
A
3,757
118,018
CAE,
Inc.(a)
1,846
43,296
Cameco
Corp.
3,884
154,814
Canadian
Imperial
Bank
of
Commerce
3,730
144,648
Canadian
National
Railway
Co.
2,750
299,184
Canadian
Pacific
Kansas
City
Ltd.
3,855
287,870
Canadian
Tire
Corp.
Ltd.,
Class
A
228
24,630
CCL
Industries,
Inc.,
Class
B
682
28,758
CGI,
Inc.(a)
1,203
119,125
Constellation
Software,
Inc.
97
201,180
Descartes
Systems
Group,
Inc.
(The)(a)
208
15,337
Dollarama,
Inc.
1,164
80,567
Element
Fleet
Management
Corp.
529
7,626
Empire
Co.
Ltd.,
Class
A
909
24,843
FirstService
Corp.
49
7,160
Fortis,
Inc.
622
23,734
George
Weston
Ltd.
52
5,793
GFL
Environmental,
Inc.
925
29,508
Great-West
Lifeco,
Inc.
1,124
32,307
Hydro
One
Ltd.(b)
2,566
65,630
IGM
Financial,
Inc.
331
8,434
Intact
Financial
Corp.
697
102,086
Loblaw
Cos.
Ltd.
864
73,747
Magna
International,
Inc.
912
49,101
Manulife
Financial
Corp.
8,167
149,930
Metro,
Inc.,
Class
A
1,450
75,653
National
Bank
of
Canada
972
64,869
Nutrien
Ltd.
1,715
106,401
Open
Text
Corp.
1,765
62,232
Power
Corp.
of
Canada
3,202
81,897
Quebecor,
Inc.,
Class
B
303
6,524
RB
Global,
Inc.
785
49,376
Rogers
Communications,
Inc.,
Class
B
1,415
54,580
Royal
Bank
of
Canada
5,109
448,549
Saputo,
Inc.
267
5,609
Shopify,
Inc.,
Class
A(a)
4,476
245,452
Stantec,
Inc.
120
7,822
Sun
Life
Financial,
Inc.
2,346
114,992
Teck
Resources
Ltd.,
Class
B
3,951
170,840
TELUS
Corp.
2,981
48,904
TFI
International,
Inc.
420
54,190
Thomson
Reuters
Corp.
818
100,532
TMX
Group
Ltd.
1,089
23,512
Toromont
Industries
Ltd.
373
30,519
Toronto-Dominion
Bank
(The)
6,385
386,453
West
Fraser
Timber
Co.
Ltd.
377
27,497
WSP
Global,
Inc.
563
79,828
5,270,994
Chile
(0.2%)
Antofagasta
plc
3,155
55,028
Lundin
Mining
Corp.
8,666
64,931
119,959
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
International
Responsible
Index
ETF
7
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
China
(0.9%)
BOC
Hong
Kong
Holdings
Ltd.
14,000
$
38,343
Chow
Tai
Fook
Jewellery
Group
Ltd.
18,800
28,325
ESR
Group
Ltd.(b)
27,000
37,922
NXP
Semiconductors
NV
744
148,741
Prosus
NV(a)
6,953
205,533
Wharf
Holdings
Ltd.
(The)
14,000
35,108
Xinyi
Glass
Holdings
Ltd.
14,000
18,126
512,098
Denmark
(2.6%)
AP
Moller
-
Maersk
A/S,
Class
B
3
5,425
Carlsberg
A/S,
Class
B
374
47,334
Chr.
Hansen
Holding
A/S
440
27,013
Coloplast
A/S,
Class
B
421
44,687
Danske
Bank
A/S
2,304
53,763
Demant
A/S(a)
398
16,534
DSV
A/S
470
88,018
Genmab
A/S(a)
205
72,998
Jyske
Bank
A/S(a)
137
10,060
Novo
Nordisk
A/S,
Class
B
10,270
938,899
Novozymes
A/S,
Class
B
830
33,550
Orsted
A/S(b)
637
34,829
Pandora
A/S
515
53,495
ROCKWOOL
A/S,
Class
B
93
22,612
Tryg
A/S
280
5,142
Vestas
Wind
Systems
A/S(a)
3,690
79,404
1,533,763
Finland
(1.0%)
Elisa
OYJ
508
23,606
Fortum
OYJ
1,481
17,240
Kesko
OYJ,
Class
B
1,307
23,483
Kone
OYJ,
Class
B
1,021
43,153
Metso
OYJ
685
7,219
Neste
OYJ
3,781
128,621
Nokia
OYJ
22,113
83,535
Nordea
Bank
Abp
9,262
102,405
Sampo
OYJ,
Class
A
634
27,508
Stora
Enso
OYJ,
Class
R
2,651
33,372
UPM-Kymmene
OYJ
1,945
66,864
Valmet
OYJ
182
4,174
Wartsila
OYJ
Abp
621
7,071
568,251
France
(8.0%)
Accor
SA
697
23,570
Air
France-KLM(a)
468
5,895
Air
Liquide
SA
1,919
324,754
Alstom
SA
1,156
27,661
Amundi
SA(b)
106
5,987
Arkema
SA
392
38,830
AXA
SA
6,981
208,282
BioMerieux
145
14,096
BNP
Paribas
SA
3,697
236,535
Bouygues
SA
1,543
54,139
Bureau
Veritas
SA
1,188
29,571
Capgemini
SE
554
97,250
Carrefour
SA
1,643
28,328
Cie
de
Saint-Gobain
SA
3,262
196,443
Cie
Generale
des
Etablissements
Michelin
SCA
2,449
75,375
Shares
Value
Credit
Agricole
SA
3,747
$
46,384
Danone
SA
2,758
152,601
Dassault
Systemes
SE
2,329
87,031
Edenred
SE
1,006
63,139
Eiffage
SA
299
28,504
Elis
SA
762
13,441
Engie
SA
6,798
104,578
EssilorLuxottica
SA
1,070
187,104
Eurazeo
SE
142
8,487
Forvia
SE(a)
996
20,679
Getlink
SE
1,569
25,100
Hermes
International
SCA
123
225,265
Ipsen
SA
121
15,911
Kering
SA
240
109,746
Legrand
SA
960
88,732
L'Oreal
SA
830
345,529
LVMH
Moet
Hennessy
Louis
Vuitton
SE
863
654,576
Neoen
SA(b)
290
8,480
Orange
SA
6,477
74,473
Pernod
Ricard
SA
862
144,061
Publicis
Groupe
SA
921
69,974
Renault
SA
710
29,223
Rexel
SA
934
21,063
Safran
SA
1,276
200,807
Sartorius
Stedim
Biotech
84
20,099
SCOR
SE
286
8,924
SEB
SA
159
14,923
Societe
Generale
SA
1,727
42,137
Sodexo
SA
360
37,170
SOITEC(a)
196
32,736
Teleperformance
SE
113
14,285
Thales
SA
370
52,140
Valeo
SE
1,361
23,531
Veolia
Environnement
SA
2,615
75,944
Verallia
SA(b)
556
21,945
Vinci
SA
1,882
209,259
Worldline
SA(a)(b)
618
17,437
4,662,134
Germany
(6.4%)
adidas
AG
576
101,612
Allianz
SE
1,333
318,534
Bayerische
Motoren
Werke
AG
1,275
130,104
Bechtle
AG
490
22,951
Beiersdorf
AG
300
38,798
BioNTech
SE
ADR(a)
141
15,318
Brenntag
SE
600
46,678
Commerzbank
AG
4,365
49,865
Continental
AG
430
30,393
Covestro
AG(a)(b)
1,116
60,331
CTS
Eventim
AG
&
Co.
KGaA
375
21,380
Daimler
Truck
Holding
AG
1,728
60,045
Deutsche
Boerse
AG
628
108,843
Deutsche
Lufthansa
AG(a)
2,445
19,430
Deutsche
Post
AG
3,899
159,075
Deutsche
Telekom
AG
9,265
194,892
E.ON
SE
4,805
56,978
Evonik
Industries
AG
1,942
35,622
Fresenius
Medical
Care
AG
&
Co.
KGaA
813
35,154
Fresenius
SE
&
Co.
KGaA
1,018
31,752
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
International
Responsible
Index
ETF
8
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Germany
(cont’d)
GEA
Group
AG
671
$
24,836
Hannover
Rueck
SE
206
45,344
HeidelbergCement
AG
1,234
96,054
HelloFresh
SE(a)
543
16,258
Henkel
AG
&
Co.
KGaA
461
29,148
HUGO
BOSS
AG
165
10,468
Infineon
Technologies
AG
5,920
196,527
KION
Group
AG
537
20,690
Knorr-Bremse
AG
264
16,821
Mercedes-Benz
Group
AG
3,381
235,862
Merck
KGaA
336
56,260
MTU
Aero
Engines
AG
211
38,368
Muenchener
Rueckversicherungs-Gesellschaft
AG
482
188,358
Nemetschek
SE
373
22,858
Puma
SE
106
6,599
SAP
SE
3,823
497,126
Scout24
SE(b)
263
18,283
Siemens
AG
2,895
415,809
Siemens
Energy
AG(a)
1,712
22,440
Siemens
Healthineers
AG(b)
1,066
54,174
Symrise
AG,
Class
A
397
37,964
Talanx
AG
189
12,006
Telefonica
Deutschland
Holding
AG
2,270
4,074
thyssenkrupp
AG
5,550
42,460
Volkswagen
AG
121
15,975
Vonovia
SE
1,255
30,308
Zalando
SE(a)(b)
488
10,917
3,703,742
Hong
Kong
(1.6%)
AIA
Group
Ltd.
40,400
329,365
CK
Infrastructure
Holdings
Ltd.
500
2,365
CLP
Holdings
Ltd.
5,500
40,696
Hang
Seng
Bank
Ltd.
7,000
87,100
Hong
Kong
Exchanges
&
Clearing
Ltd.
4,800
179,329
Hongkong
Land
Holdings
Ltd.
1,500
5,355
MTR
Corp.
Ltd.
1,000
3,958
Prudential
plc
7,997
86,754
Sino
Land
Co.
Ltd.
30,000
33,823
Sun
Hung
Kai
Properties
Ltd.
6,000
64,199
Swire
Pacific
Ltd.,
Class
A
2,500
16,870
Swire
Properties
Ltd.
8,600
17,943
Techtronic
Industries
Co.
Ltd.
4,000
38,816
WH
Group
Ltd.(b)
17,500
9,184
915,757
Ireland
(0.4%)
AerCap
Holdings
NV(a)
409
25,632
AIB
Group
plc
2,291
10,333
Bank
of
Ireland
Group
plc
2,928
28,799
Kerry
Group
plc,
Class
A
851
71,341
Kingspan
Group
plc
1,406
105,631
Smurfit
Kappa
Group
plc
520
17,376
259,112
Israel
(0.4%)
Bank
Hapoalim
BM
4,205
37,433
Bank
Leumi
Le-Israel
BM
2,319
19,194
Check
Point
Software
Technologies
Ltd.(a)
615
81,967
Shares
Value
Mizrahi
Tefahot
Bank
Ltd.
468
$
16,977
Nice
Ltd.
ADR(a)
439
74,630
230,201
Italy
(1.9%)
A2A
SpA
7,389
13,190
Amplifon
SpA
542
16,136
Assicurazioni
Generali
SpA
4,436
90,950
Banco
BPM
SpA
2,249
10,798
Coca-Cola
HBC
AG
813
22,317
Enel
SpA
33,860
208,643
FinecoBank
Banca
Fineco
SpA
2,037
24,834
Hera
SpA
3,836
10,519
Infrastrutture
Wireless
Italiane
SpA(b)
1,345
16,042
Interpump
Group
SpA
313
14,412
Intesa
Sanpaolo
SpA
62,038
160,266
Italgas
SpA
2,203
11,317
Mediobanca
Banca
di
Credito
Finanziario
SpA
558
7,403
Moncler
SpA
788
45,953
Nexi
SpA(a)(b)
2,021
12,385
Poste
Italiane
SpA(b)
1,858
19,609
PRADA
SpA
3,200
18,836
Prysmian
SpA
1,189
48,025
Recordati
Industria
Chimica
e
Farmaceutica
SpA
434
20,544
Reply
SpA
96
9,051
Snam
SpA
9,850
46,397
Telecom
Italia
SpA(a)
70,918
22,232
Terna
-
Rete
Elettrica
Nazionale
6,751
50,948
UniCredit
SpA
7,319
176,135
1,076,942
Japan
(17.3%)
Advantest
Corp.
2,400
67,243
Aeon
Co.
Ltd.
3,200
63,528
AGC,
Inc.
2,200
77,311
Aisin
Corp.
1,000
37,862
Ajinomoto
Co.,
Inc.
2,400
92,703
ANA
Holdings,
Inc.(a)
1,700
35,692
Asahi
Group
Holdings
Ltd.
2,400
89,905
Astellas
Pharma,
Inc.
7,800
108,408
Bandai
Namco
Holdings,
Inc.
1,200
24,462
BayCurrent
Consulting,
Inc.
400
13,397
Bridgestone
Corp.
2,300
89,842
Canon,
Inc.
5,300
128,038
Central
Japan
Railway
Co.
3,500
85,257
Chugai
Pharmaceutical
Co.
Ltd.
3,300
102,256
Dai
Nippon
Printing
Co.
Ltd.
1,800
46,922
Daifuku
Co.
Ltd.
900
17,065
Dai-ichi
Life
Holdings,
Inc.
1,000
20,754
Daiichi
Sankyo
Co.
Ltd.
6,900
189,857
Daikin
Industries
Ltd.
1,200
188,775
Daito
Trust
Construction
Co.
Ltd.
100
10,555
Daiwa
House
Industry
Co.
Ltd.
3,400
91,479
Daiwa
Securities
Group,
Inc.
9,300
53,790
Denso
Corp.
6,400
102,975
Dentsu
Group,
Inc.
1,100
32,434
Disco
Corp.
300
55,446
East
Japan
Railway
Co.
1,200
68,795
Eisai
Co.
Ltd.
1,200
66,777
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
International
Responsible
Index
ETF
9
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Japan
(cont’d)
FANUC
Corp.
3,300
$
86,091
Fast
Retailing
Co.
Ltd.
600
131,037
Fuji
Electric
Co.
Ltd.
1,000
45,207
FUJIFILM
Holdings
Corp.
1,600
92,832
Fujitsu
Ltd.
400
47,177
Hankyu
Hanshin
Holdings,
Inc.
1,100
37,602
Hoya
Corp.
1,300
133,506
Hulic
Co.
Ltd.
5,200
46,729
Ibiden
Co.
Ltd.
200
10,674
Isuzu
Motors
Ltd.
4,000
50,407
Japan
Airlines
Co.
Ltd.
900
17,539
Japan
Exchange
Group,
Inc.
900
16,730
Japan
Post
Bank
Co.
Ltd.
2,800
24,411
Kao
Corp.
1,800
66,958
KDDI
Corp.
5,900
180,964
Keyence
Corp.
700
260,345
Kikkoman
Corp.
1,100
57,821
Komatsu
Ltd.
3,500
94,827
Kose
Corp.
300
21,823
Kubota
Corp.
4,500
66,463
Kyocera
Corp.
1,300
66,095
Kyowa
Kirin
Co.
Ltd.
1,800
31,410
M3,
Inc.
2,100
38,221
Makita
Corp.
1,000
24,741
MEIJI
Holdings
Co.
Ltd.
800
19,922
MinebeaMitsumi,
Inc.
2,000
32,722
MISUMI
Group,
Inc.
300
4,697
Mitsubishi
Chemical
Group
Corp.
10,100
63,805
Mitsubishi
Electric
Corp.
10,000
123,907
Mitsubishi
Estate
Co.
Ltd.
6,200
81,226
Mitsubishi
HC
Capital,
Inc.
6,600
44,052
Mitsubishi
Heavy
Industries
Ltd.
1,100
61,522
Mitsubishi
UFJ
Financial
Group,
Inc.
40,200
341,724
Mitsui
Fudosan
Co.
Ltd.
4,300
94,918
Mizuho
Financial
Group,
Inc.
9,800
166,874
MS&AD
Insurance
Group
Holdings,
Inc.
2,100
77,330
Murata
Manufacturing
Co.
Ltd.
6,900
126,417
Nidec
Corp.
2,200
102,183
Nintendo
Co.
Ltd.
3,500
146,122
Nippon
Paint
Holdings
Co.
Ltd.
5,400
36,404
Nippon
Telegraph
&
Telephone
Corp.
120,400
142,487
Nissan
Chemical
Corp.
300
12,784
Nitori
Holdings
Co.
Ltd.
100
11,198
Nitto
Denko
Corp.
100
6,573
Nomura
Holdings,
Inc.
16,200
65,039
Nomura
Research
Institute
Ltd.
1,300
33,915
Olympus
Corp.
5,300
68,956
Omron
Corp.
200
8,936
Ono
Pharmaceutical
Co.
Ltd.
2,000
38,439
Oracle
Corp.
Japan
100
7,438
Oriental
Land
Co.
Ltd.
4,100
134,876
ORIX
Corp.
4,500
84,225
Osaka
Gas
Co.
Ltd.
2,000
32,997
Otsuka
Corp.
1,000
42,433
Otsuka
Holdings
Co.
Ltd.
1,500
53,406
Pan
Pacific
International
Holdings
Corp.
2,100
44,160
Panasonic
Holdings
Corp.
9,800
110,461
Rakuten
Group,
Inc.
1,700
6,985
Shares
Value
Recruit
Holdings
Co.
Ltd.
5,700
$
176,052
Renesas
Electronics
Corp.(a)
6,300
96,490
Resona
Holdings,
Inc.
12,700
70,494
Secom
Co.
Ltd.
200
13,590
Sekisui
Chemical
Co.
Ltd.
2,400
34,627
Sekisui
House
Ltd.
3,300
65,834
SG
Holdings
Co.
Ltd.
1,900
24,383
Shin-Etsu
Chemical
Co.
Ltd.
7,200
209,547
Shionogi
&
Co.
Ltd.
1,100
49,285
Shiseido
Co.
Ltd.
1,300
45,736
SMC
Corp.
100
44,885
SoftBank
Corp.
11,900
134,810
SoftBank
Group
Corp.
4,000
169,811
Sompo
Holdings,
Inc.
1,100
47,420
Sony
Group
Corp.
4,700
385,512
Square
Enix
Holdings
Co.
Ltd.
1,000
34,344
Sumitomo
Electric
Industries
Ltd.
4,000
48,290
Sumitomo
Mitsui
Financial
Group,
Inc.
5,100
251,095
Sumitomo
Mitsui
Trust
Holdings,
Inc.
1,000
37,735
Suntory
Beverage
&
Food
Ltd.
1,000
30,491
Sysmex
Corp.
200
9,560
T&D
Holdings,
Inc.
1,300
21,500
Takeda
Pharmaceutical
Co.
Ltd.
7,000
217,705
TDK
Corp.
1,000
37,139
Terumo
Corp.
2,300
61,082
Toho
Co.
Ltd.
300
10,257
Tokio
Marine
Holdings,
Inc.
6,800
157,896
Tokyo
Electron
Ltd.
1,500
205,462
Tokyo
Gas
Co.
Ltd.
2,100
47,721
Tokyu
Corp.
2,800
32,348
TOPPAN
Holdings,
Inc.
2,100
50,310
Toray
Industries,
Inc.
9,200
47,965
TOTO
Ltd.
100
2,589
Toyota
Industries
Corp.
200
15,782
Toyota
Motor
Corp.
45,100
809,216
Trend
Micro,
Inc.
1,000
37,983
Unicharm
Corp.
1,200
42,548
West
Japan
Railway
Co.
1,000
41,447
Yakult
Honsha
Co.
Ltd.
400
9,738
Yamaha
Corp.
300
8,214
Yamaha
Motor
Co.
Ltd.
1,100
28,977
Yamato
Holdings
Co.
Ltd.
2,000
32,635
Yaskawa
Electric
Corp.
1,100
39,769
Z
Holdings
Corp.
19,300
53,739
ZOZO,
Inc.
600
11,027
10,043,311
Luxembourg
(0.0%)
Eurofins
Scientific
SE
525
29,738
Netherlands
(3.3%)
Aalberts
NV
833
30,586
ABN
AMRO
Bank
NV
CVA(b)
1,423
20,249
Adyen
NV(a)(b)
100
74,716
Aegon
NV
3,754
18,211
Akzo
Nobel
NV
704
51,042
Argenx
SE(a)
204
99,483
ASM
International
NV
170
71,545
ASML
Holding
NV
1,305
772,491
ASR
Nederland
NV
183
6,882
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
International
Responsible
Index
ETF
10
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Netherlands
(cont’d)
BE
Semiconductor
Industries
NV
285
$
28,062
DSM
BV
447
44,212
Euronext
NV(b)
294
20,544
IMCD
NV
217
27,570
ING
Groep
NV
9,662
128,382
JDE
Peet's
NV
1,242
34,741
Koninklijke
Ahold
Delhaize
NV
4,229
127,697
Koninklijke
KPN
NV
14,259
47,087
Koninklijke
Philips
NV(a)
3,376
67,791
Koninklijke
Vopak
NV
622
21,350
Universal
Music
Group
NV
3,226
84,466
Wolters
Kluwer
NV
1,066
129,397
1,906,504
New
Zealand
(0.2%)
Auckland
International
Airport
Ltd.
6,359
30,223
Fisher
&
Paykel
Healthcare
Corp.
Ltd.
976
12,655
Meridian
Energy
Ltd.
4,020
12,415
Spark
New
Zealand
Ltd.
5,517
15,945
Xero
Ltd.(a)
379
27,501
98,739
Norway
(0.7%)
AutoStore
Holdings
Ltd.(a)(b)
8,235
11,713
DNB
Bank
ASA
3,217
65,181
Gjensidige
Forsikring
ASA
960
14,209
Kongsberg
Gruppen
ASA
500
20,731
Mowi
ASA
2,924
52,087
Norsk
Hydro
ASA
14,543
91,843
Orkla
ASA
5,419
40,731
Salmar
ASA
115
5,873
Schibsted
ASA,
Class
A
842
19,062
Telenor
ASA
3,603
41,140
TOMRA
Systems
ASA
1,403
16,106
378,676
Portugal
(0.1%)
EDP
-
Energias
de
Portugal
SA
13,376
55,741
Jeronimo
Martins
SGPS
SA
1,425
32,075
87,816
Singapore
(1.1%)
DBS
Group
Holdings
Ltd.
7,500
184,849
Oversea-Chinese
Banking
Corp.
Ltd.
13,000
122,009
Singapore
Airlines
Ltd.
8,800
41,650
Singapore
Exchange
Ltd.
3,500
25,002
Singapore
Technologies
Engineering
Ltd.
8,000
22,917
Singapore
Telecommunications
Ltd.
39,700
70,389
STMicroelectronics
NV
2,240
97,200
United
Overseas
Bank
Ltd.
4,800
100,227
664,243
South
Africa
(0.3%)
Anglo
American
plc
7,042
194,722
South
Korea
(3.5%)
Delivery
Hero
SE(a)(b)
667
19,187
Doosan
Enerbility
Co.
Ltd.(a)
3,181
38,731
Hana
Financial
Group,
Inc.
1,795
56,468
HMM
Co.
Ltd.
1,537
18,521
HYBE
Co.
Ltd.(a)
157
27,691
Hyundai
Mobis
Co.
Ltd.
409
72,895
Shares
Value
Hyundai
Motor
Co.
346
$
49,000
Kakao
Corp.
2,388
77,777
KB
Financial
Group,
Inc.
1,341
54,956
Kia
Corp.
1,065
64,244
Krafton,
Inc.(a)
130
14,509
L&F
Co.
Ltd.
195
25,058
LG
Chem
Ltd.
202
74,324
LG
Electronics,
Inc.
453
33,873
LG
H&H
Co.
Ltd.
99
32,758
LG
Innotek
Co.
Ltd.
28
5,073
NAVER
Corp.
467
69,735
NCSoft
Corp.
61
10,058
POSCO
Holdings,
Inc.
461
182,774
Samsung
Electro-Mechanics
Co.
Ltd.
68
6,924
Samsung
Electronics
Co.
Ltd.
17,590
891,623
Shinhan
Financial
Group
Co.
Ltd.
1,856
48,965
SK
Hynix,
Inc.
1,906
162,011
2,037,155
Spain
(2.1%)
Acciona
SA
85
10,862
Aena
SME
SA(b)
287
43,331
Amadeus
IT
Group
SA
1,498
90,846
Banco
Bilbao
Vizcaya
Argentaria
SA
17,321
141,391
Banco
de
Sabadell
SA
8,773
10,222
Banco
Santander
SA
52,098
199,592
Bankinter
SA
4,033
25,808
CaixaBank
SA
13,578
54,426
Cellnex
Telecom
SA(b)
1,860
64,927
EDP
Renovaveis
SA
898
14,751
Enagas
SA
3,397
56,394
Iberdrola
SA
21,295
238,876
Industria
de
Diseno
Textil
SA
3,560
133,013
Naturgy
Energy
Group
SA
688
18,764
Redeia
Corp.
SA
1,510
23,813
Telefonica
SA
21,271
87,110
1,214,126
Sweden
(2.4%)
Alfa
Laval
AB
1,066
36,874
Assa
Abloy
AB,
Class
B
3,632
79,632
Atlas
Copco
AB,
Class
A
12,516
169,638
Beijer
Ref
AB,
Class
B
1,020
10,844
Boliden
AB
1,597
46,223
Castellum
AB
2,806
28,759
Epiroc
AB,
Class
A
3,513
67,258
EQT
AB
1,377
27,491
Essity
AB,
Class
B
1,312
28,488
Getinge
AB,
Class
B
791
14,030
H
&
M
Hennes
&
Mauritz
AB,
Class
B
2,205
31,552
Hexagon
AB,
Class
B
8,113
69,733
Holmen
AB,
Class
B
396
15,520
Husqvarna
AB,
Class
B
1,622
12,502
Industrivarden
AB,
Class
A
938
24,935
Indutrade
AB
997
18,602
Investment
AB
Latour,
Class
B
348
6,174
Investor
AB,
Class
B
6,698
129,346
Kinnevik
AB,
Class
B(a)
1,986
19,962
L
E
Lundbergforetagen
AB,
Class
B
288
12,115
Lifco
AB,
Class
B
816
14,417
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
International
Responsible
Index
ETF
11
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Sweden
(cont’d)
Nibe
Industrier
AB,
Class
B
6,145
$
40,612
Saab
AB,
Class
B
205
10,506
Sagax
AB,
Class
B
722
13,856
Sandvik
AB
3,920
72,741
Skandinaviska
Enskilda
Banken
AB,
Class
A
5,212
62,678
SKF
AB,
Class
B
1,450
24,311
SSAB
AB,
Class
A
7,722
43,855
Svenska
Cellulosa
AB
SCA,
Class
B
2,690
37,128
Svenska
Handelsbanken
AB,
Class
A
732
6,573
Sweco
AB,
Class
B
622
5,851
Swedbank
AB,
Class
A
2,243
41,560
Swedish
Orphan
Biovitrum
AB(a)
683
14,045
Tele2
AB,
Class
B
1,159
8,927
Trelleborg
AB,
Class
B
854
21,397
Volvo
AB,
Class
B
6,333
131,508
1,399,643
Switzerland
(5.2%)
ABB
Ltd.
5,626
201,719
Adecco
Group
AG
1,143
47,179
Alcon,
Inc.
1,669
129,426
Bachem
Holding
AG
121
8,994
Baloise
Holding
AG
304
44,164
Barry
Callebaut
AG
5
7,969
Belimo
Holding
AG
76
36,205
BKW
AG
79
13,947
Cie
Financiere
Richemont
SA
1,537
188,177
DKSH
Holding
AG
445
30,184
DSM-Firmenich
AG
598
50,733
Dufry
AG(a)
227
8,663
Emmi
AG
2
1,889
Flughafen
Zurich
AG
115
21,974
Galenica
AG(b)
166
12,294
Geberit
AG
221
110,887
Georg
Fischer
AG
578
32,634
Givaudan
SA
28
91,640
Helvetia
Holding
AG
113
15,860
Julius
Baer
Group
Ltd.
633
40,728
Kuehne
+
Nagel
International
AG
167
47,646
Logitech
International
SA
384
26,563
Lonza
Group
AG
241
112,122
Novartis
AG
6,386
655,284
On
Holding
AG,
Class
A(a)
867
24,120
Partners
Group
Holding
AG
61
68,982
PSP
Swiss
Property
AG
181
21,408
Schindler
Holding
AG
214
41,359
SFS
Group
AG
66
7,229
SGS
SA
612
51,526
SIG
Group
AG
1,102
27,273
Sika
AG
502
127,914
Sonova
Holding
AG
165
39,266
Straumann
Holding
AG
360
46,122
Swiss
Life
Holding
AG
84
52,486
Swiss
Prime
Site
AG
309
28,357
Swisscom
AG
83
49,375
Tecan
Group
AG
21
7,098
Temenos
AG
316
22,253
UBS
Group
AG
8,327
206,537
VAT
Group
AG(b)
110
39,561
Shares
Value
Zurich
Insurance
Group
AG
432
$
198,386
2,996,133
Taiwan
(4.4%)
Accton
Technology
Corp.
1,000
15,272
Advantech
Co.
Ltd.
1,099
11,746
ASE
Technology
Holding
Co.
Ltd.
13,000
44,098
Cathay
Financial
Holding
Co.
Ltd.
50,000
69,005
Chailease
Holding
Co.
Ltd.
1,000
5,607
Chang
Hwa
Commercial
Bank
Ltd.
48,000
25,650
Chunghwa
Telecom
Co.
Ltd.
13,000
46,716
CTBC
Financial
Holding
Co.
Ltd.
62,000
47,056
Delta
Electronics,
Inc.
6,000
60,315
E
Ink
Holdings,
Inc.
2,000
11,121
Eva
Airways
Corp.
25,000
23,040
Evergreen
Marine
Corp.
Taiwan
Ltd.
10,000
35,935
Far
EasTone
Telecommunications
Co.
Ltd.
10,000
22,521
Feng
TAY
Enterprise
Co.
Ltd.
1,120
6,349
Fubon
Financial
Holding
Co.
Ltd.
41,400
77,848
Hotai
Motor
Co.
Ltd.
1,020
20,697
Largan
Precision
Co.
Ltd.
1,000
66,139
Lite-On
Technology
Corp.
5,000
18,819
MediaTek,
Inc.
4,000
91,077
Mega
Financial
Holding
Co.
Ltd.
53,376
62,337
Nanya
Technology
Corp.
9,000
18,290
Novatek
Microelectronics
Corp.
2,000
26,208
Quanta
Computer,
Inc.
13,000
96,451
Realtek
Semiconductor
Corp.
1,000
12,236
Taishin
Financial
Holding
Co.
Ltd.
54,890
30,437
Taiwan
Cement
Corp.
68,000
70,042
Taiwan
Mobile
Co.
Ltd.
10,000
29,306
Taiwan
Semiconductor
Manufacturing
Co.
Ltd.
76,000
1,231,332
Unimicron
Technology
Corp.
8,000
42,998
Uni-President
Enterprises
Corp.
27,000
58,633
United
Microelectronics
Corp.
61,000
85,414
Walsin
Lihwa
Corp.
11,000
12,540
Wan
Hai
Lines
Ltd.
16,000
23,940
Yang
Ming
Marine
Transport
Corp.
15,000
21,120
Yuanta
Financial
Holding
Co.
Ltd.
71,050
55,136
2,575,431
United
Kingdom
(10.3%)
3i
Group
plc
3,403
86,103
abrdn
plc
8,125
15,446
Admiral
Group
plc
704
20,425
Ashtead
Group
plc
2,012
122,836
Associated
British
Foods
plc
1,816
45,838
AstraZeneca
plc
5,134
695,685
Auto
Trader
Group
plc(b)
3,969
29,919
Aviva
plc
10,495
49,932
B&M
European
Value
Retail
SA
3,896
27,885
BAE
Systems
plc
14,313
174,313
Barratt
Developments
plc
4,811
25,902
Beazley
plc
1,028
6,945
Berkeley
Group
Holdings
plc
495
24,813
BP
plc
57,953
375,883
BT
Group
plc
29,697
42,300
Bunzl
plc
1,392
49,713
Burberry
Group
plc
1,574
36,665
Centrica
plc
12,103
22,816
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
International
Responsible
Index
ETF
12
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
United
Kingdom
(cont’d)
Coca-Cola
Europacific
Partners
plc
1,150
$
71,852
Compass
Group
plc
8,507
207,664
ConvaTec
Group
plc(b)
7,430
19,752
Croda
International
plc
173
10,378
DCC
plc
901
50,686
Dechra
Pharmaceuticals
plc
504
23,302
Diageo
plc
8,579
317,693
Diploma
plc
437
16,023
DS
Smith
plc
5,706
19,995
Halma
plc
3,030
71,691
Hargreaves
Lansdown
plc
1,412
13,325
Howden
Joinery
Group
plc
2,253
20,250
HSBC
Holdings
plc
66,661
524,711
IMI
plc
351
6,718
Inchcape
plc
1,407
13,026
Informa
plc
7,268
66,568
InterContinental
Hotels
Group
plc
950
70,429
Intermediate
Capital
Group
plc
1,136
19,176
Intertek
Group
plc
812
40,754
J
Sainsbury
plc
8,409
25,946
JD
Sports
Fashion
plc
6,443
11,772
Johnson
Matthey
plc
1,543
30,660
Kingfisher
plc
9,317
25,393
Legal
&
General
Group
plc
23,872
64,830
Liberty
Global
plc,
Class
A(a)
368
6,300
Lloyds
Banking
Group
plc
250,724
135,782
London
Stock
Exchange
Group
plc
1,382
138,891
M&G
plc
10,500
25,286
Melrose
Industries
plc
6,168
35,323
National
Grid
plc
16,185
193,595
Next
plc
540
48,088
Pearson
plc
2,169
22,990
Phoenix
Group
Holdings
plc
3,447
20,287
Reckitt
Benckiser
Group
plc
2,903
205,296
RELX
plc
8,778
297,313
Rentokil
Initial
plc
12,729
94,803
Rightmove
plc
3,235
22,198
RS
GROUP
plc
608
5,457
Sage
Group
plc
(The)
4,400
53,113
Schroders
plc
3,055
15,184
Severn
Trent
plc
1,129
32,590
Smith
&
Nephew
plc
3,887
48,534
Smiths
Group
plc
1,653
32,675
Spirax-Sarco
Engineering
plc
336
39,067
SSE
plc
4,241
83,339
St.
James's
Place
plc
1,466
14,891
Standard
Chartered
plc
8,076
74,717
Taylor
Wimpey
plc
12,641
18,098
Tesco
plc
35,259
113,699
Unilever
plc
8,567
424,741
United
Utilities
Group
plc
3,240
37,497
Vodafone
Group
plc
41,249
38,676
Weir
Group
plc
(The)
1,197
27,781
Whitbread
plc
962
40,673
Wise
plc,
Class
A(a)
1,893
15,841
WPP
plc
5,458
48,831
6,007,569
Shares
Value
United
States
(10.2%)
Amcor
plc
3,206
$
29,367
Aon
plc,
Class
A
728
236,032
BRP,
Inc.
292
22,205
Chubb
Ltd.
949
197,563
Clarivate
plc(a)
3,807
25,545
CRH
plc
4,987
272,938
CSL
Ltd.
1,874
303,337
CyberArk
Software
Ltd.(a)
125
20,471
Ferguson
plc
865
142,267
Ferrovial
SE
1,805
55,363
Flex
Ltd.(a)
1,852
49,967
Garmin
Ltd.
481
50,601
GSK
plc
16,870
307,213
Haleon
plc
23,153
96,322
Holcim
AG
2,443
156,974
ICON
plc(a)
254
62,548
James
Hardie
Industries
plc
CDI(a)
4,568
120,257
Janus
Henderson
Group
plc
394
10,173
Linde
plc
1,777
661,666
Nestle
SA
9,072
1,028,781
QIAGEN
NV(a)
851
34,465
Roche
Holding
AG
2,212
605,592
Sanofi
4,267
458,455
Schneider
Electric
SE
1,951
324,261
Spotify
Technology
SA(a)
456
70,516
Stellantis
NV
7,697
148,397
Swiss
Re
AG
857
88,361
TE
Connectivity
Ltd.
1,293
159,724
Waste
Connections,
Inc.
1,227
165,509
5,904,870
Total
Common
Stocks
(Cost
$59,876,132)
57,694,462
No.
of
Warrants
Warrants
(0.0%)
(c)
Canada
(
0.0%
)(c)
Constellation
Software,
Inc.
Expires
03/31/2040
(a)
(Cost
$0
)
97
498
Shares
Short-Term
Investment
(0.3%)
Investment
Company
(0.3%
)
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
(See
Note
G)
(Cost
$155,858)
155,858
155,858
Total
Investments
(
99.6%
)
(Cost
$60,031,990
)
(d)
57,850,818
Other
Assets
in
Excess
of
Liabilities
(0.4%)
239,409
NET
ASSETS
(100.0%)
$58,090,227
The
country
classifications
used
for
financial
reporting
purposes
may
differ
from
the
classifications
determined
by
Calvert
Research
and
Management.
(a)
Non-income
producing
security.
(b)
144A
security
—
Certain
conditions
for
public
sale
may
exist.
Unless
otherwise
noted,
these
securities
are
deemed
to
be
liquid.
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
International
Responsible
Index
ETF
13
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
(c)
Amount
is
less
than
0.05%.
(d)
At
September
30,
2023,
the
aggregate
cost
for
federal
income
tax
purposes
is
$60,104,671
.
The
aggregate
gross
unrealized
appreciation
is
$1,611,203
and
the
aggregate
gross
unrealized
depreciation
is
$3,866,130,
resulting
in
net
unrealized
depreciation
of
$2,254,927.
ADR
American
Depositary
Receipt
CDI
CREST
Depository
Interest
CVA
Dutch
Certification
Portfolio
Composition
Classification
Percentage
of
Total
Investments
Other*
68.0
%
Banks
11.8
Pharmaceuticals
8.1
Insurance
6.1
Semiconductors
&
Semiconductor
Equipment
6.0
Total
Investments
100.0
%
*
Industries
and/or
investment
types
representing
less
than
5%
of
total
investments.
Annual
Report
—
September
30,
2023
Calvert
International
Responsible
Index
ETF
14
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Assets
and
Liabilities
September
30,
2023
Assets:
Investments
in
Securities
of
Unaffiliated
Issuers,
at
Value
(Cost
$59,876,132)
$
57,694,960
Investment
in
Security
of
Affiliated
Issuer,
at
Value
(Cost
$155,858)
155,858
Total
Investments
in
Securities,
at
Value
(Cost
$60,031,990)
57,850,818
Foreign
Currency,
at
Value
(Cost
$81,241)
81,239
Cash
197
Dividends
Receivable
166,757
Total
Assets
58,099,011
Liabilities:
Payable
for
Management
Fee
8,784
Total
Liabilities
8,784
Net
Assets
$
58,090,227
Net
Assets
Consist
of:
Paid-in-Capital
$
60,590,350
Total
Accumulated
Loss
(
2,500,123
)
Net
Assets
$
58,090,227
Shares
Outstanding
$0.001
Par
Value
(unlimited
shares
authorized)
1,200,000
Net
Asset
Value
Per
Share
$
48
.41
Annual
Report
—
September
30,
2023
Calvert
International
Responsible
Index
ETF
15
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Operations
Period
from
January
30,
2023
^
to
September
30,
2023
Investment
Income:
Dividends
from
Securities
of
Unaffiliated
Issuers
(Net
of
$122,361
of
Foreign
Taxes
Withheld)
$
839,218
Dividends
from
Security
of
Affiliated
Issuer
(Note
G)
5,339
Total
Investment
Income
844,557
Expenses:
Management
Fee
(Note
B)
47,506
Total
Expenses
47,506
Rebate
from
Morgan
Stanley
Affiliate
(Note
G)
(
137
)
Net
Expenses
47,369
Net
Investment
Income
797,188
Realized
Gain
(Loss):
Investments
Sold
(
490,220
)
Foreign
Currency
Translation
52,566
Net
Realized
Loss
(
437,654
)
Change
in
Unrealized
Appreciation
(Depreciation):
Investments
(
2,181,172
)
Foreign
Currency
Translation
(
1,074
)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
(
2,182,246
)
Net
Realized
Loss
and
Change
in
Unrealized
Appreciation
(Depreciation)
(
2,619,900
)
Net
Decrease
in
Net
Assets
Resulting
from
Operations
$
(
1,822,712
)
^
Commencement
of
Operations.
Annual
Report
—
September
30,
2023
Calvert
International
Responsible
Index
ETF
16
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Changes
in
Net
Assets
Period
from
January
30,
2023
^
to
September
30,
2023
Increase
(Decrease)
in
Net
Assets:
Operations:
Net
Investment
Income
$
797,188
Net
Realized
Loss
(
437,654
)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
(
2,182,246
)
Net
Decrease
in
Net
Assets
Resulting
from
Operations
(
1,822,712
)
Dividends
and
Distributions
to
Shareholders:
Dividends
and
Distributions
(
677,411
)
Total
Dividends
and
Distributions
to
Shareholders
(
677,411
)
Capital
Share
Transactions:
Subscribed
(1)
20,000,000
Subscribed
In-Kind
40,590,350
Net
Increase
in
Net
Assets
Resulting
from
Capital
Share
Transactions
60,590,350
Total
Increase
in
Net
Assets
58,090,227
Net
Assets:
Beginning
of
Period
–
End
of
Period
$
58,090,227
Capital
Share
Transactions:
Beginning
of
Period
–
Shares
Subscribed
400,000
Shares
Subscribed
In-Kind
800,000
Shares
Outstanding,
End
of
Period
Net
Increase
in
1,200,000
^
Commencement
of
Operations.
(1)
Includes
$11,134,300
of
subscriptions
for
seed
capital
by
the
Adviser
and
other
related
parties
of
the
Fund.
Annual
Report
—
September
30,
2023
Financial
Highlights
Calvert
International
Responsible
Index
ETF
17
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Selected
Per
Share
Data
and
Ratios
Period
from
January
30,
2023
(1)
to
September
30,
2023
Net
Asset
Value,
Beginning
of
Period
$
50
.00
Income
(Loss)
from
Investment
Operations:
—
Net
Investment
Income
(2)
1
.02
Net
Realized
and
Unrealized
Loss
(
1
.82
)
Total
from
Investment
Operations
(
0
.80
)
Distributions
from
and/or
in
Excess
of:
—
Net
Investment
Income
(
0
.79
)
Net
Asset
Value,
End
of
Period
$
48
.41
Total
Return
(3)
(
1
.66
)
%
(4)
Ratios
to
Average
Net
Assets
and
Supplemental
Data:
$58,090
Net
Assets,
End
of
Period
(Thousands)
$
58,090
Ratio
of
Expenses
0
.18
%
(5)
(6)
Ratio
of
Net
Investment
Income
3
.01
%
(5)
(6)
Ratio
of
Rebate
from
Morgan
Stanley
Affiliates
0
.00
%
(5)
(7)
Portfolio
Turnover
Rate
13
%
(4)
(8)
(1)
Commencement
of
Operations.
(2)
Per
share
amount
is
based
on
average
shares
outstanding.
(3)
Calculated
based
on
the
net
asset
value
as
of
the
last
business
day
of
the
period.
(4)
Not
annualized.
(5)
Annualized.
(6)
The
Ratio
of
Expenses
and
Ratio
of
Net
Investment
Income
reflect
the
rebate
of
certain
Fund
expenses
in
connection
with
the
investments
in
Morgan
Stanley
affiliates
during
the
period.
The
effect
of
the
rebate
on
the
ratios
is
disclosed
in
the
above
table
as
“Ratio
of
Rebate
from
Morgan
Stanley
Affiliates.”
(7)
Amount
is
less
than
0.005%.
(8)
In-kind
transactions
are
not
included
in
portfolio
turnover
calculations.
18
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
Morgan
Stanley
ETF
Trust
Morgan
Stanley
ETF
Trust
(the
“Trust”)
is
an
open-end,
management
investment
company
established
under
Delaware
law
as
a
Delaware
statutory
trust.
Pursuant
to
its
Declaration
of
Trust dated
May
31,
2016,
and
Amended
and
Restated
on
September
28,
2022
(the
“Declaration
of
Trust”),
the
Trust
is
authorized
to establish
multiple
series.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”).
The
Trust
applies
investment
company
accounting
and
report-
ing
guidance
Accounting
Standard
Codification
("ASC")
Topic
946.
In
the
preparation
of
these
financial
statements,
manage-
ment
has
evaluated
subsequent
events
occurring
after
the
date
of
the
Fund's
Statement
of
Assets
and
Liabilities
through
the
date
that
the
financial
statements
were
issued.
The
accompanying
financial
statements
relate
to
the
Calvert
In-
ternational
Responsible
Index
ETF (the
"Fund"),
which
seeks
to
track
the
performance
of
the
Calvert
International
Responsi-
ble
Index.
The
Fund
is
diversified.
A.
Significant
Accounting
Policies:
The
following
signifi-
cant
accounting
policies
are
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“GAAP”).
Such
policies
are
consistently
followed
by
the Trust
in
the
preparation
of
its
financial
statements.
GAAP
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
and
disclosures
in
the
financial
statements.
Actual
results
may
differ
from
those
estimates.
1.
Security
Valuation:
(1)
An
equity
portfolio
security
list-
ed
or
traded
on
an
exchange
is
valued
at
its
latest
reported
sales
price
(or
at
the
exchange
official
closing
price
if
such
exchange
reports
an
official
closing
price),
and
if
there
were
no
sales
on
a
given
day
and
if
there
is
no
official
ex-
change
closing
price
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
relevant
exchanges.
If
only
bid
prices
are
available
then
the
latest
bid
price
may
be
used.
Listed
equity
securities
not
traded
on
the
valuation
date
with
no
reported
bid
and
asked
prices
available
on
the
exchange
are
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers.
In
cases
where
a
security
is
traded
on
more
than
one
exchange,
the
secu-
rity
is
valued
on
the
exchange
designated
as
the
primary
market;
(2)
all
other
equity
portfolio
securities
for
which
over-the-counter
(“OTC”)
market
quotations
are
readily
available
are
valued
at
the
latest
reported
sales
price
(or
at
the
market
official
closing
price
if
such
market
reports
an
official
closing
price),
and
if
there
was
no
trading
in
the
security
on
a
given
day
and
if
there
is
no
official
closing
price
from
relevant
markets
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
relevant
markets.
An
unlisted
equity
security
that
does
not
trade
on
the
valuation
date
and
for
which
bid
and
asked
prices
from
the
relevant
markets
are
unavailable
is
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/deal-
ers;
(3)
fixed
income
securities
may
be
valued
by
an
out-
side
pricing
service/vendor
approved
by
the
Trust’s
Board
of
Trustees
(the
“Trustees”).
The
pricing
service/vendor
may
employ
a
pricing
model
that
takes
into
account,
among
other
things,
bids,
yield
spreads
and/or
other
mar-
ket
data
and
specific
security
characteristics.
If
Morgan
Stanley
Investment
Management
Inc.
(the
“Adviser”)
a
wholly-owned
subsidiary
of
Morgan
Stanley,
determines
that
the
price
provided
by
the
outside
pricing
service/ven-
dor
or
exchange
does
not
reflect
the
security’s
fair
value
or
is
unable
to
provide
a
price,
prices
from
brokers
or
dealers
may
also
be
utilized.
In
these
circumstances,
the
value
of
the
security
will
be
the
mean
of
bid
and
asked
prices
obtained
from
reputable brokers/dealers;
(4)
when
market
quotations
are
not
readily
available,
as
defined
by
Rule
2a-5
under
the
Act,
including
circumstances
under
which
the
Adviser
determines
that
the
closing
price,
last
sale
price
or
the
mean
between
the
last
reported
bid
and
asked
prices
are
not
reflective
of
a
security’s
market
value,
portfolio
securities
are
valued
at
their
fair
value
as
determined
in
good
faith
under
procedures
established
by
and
under
the
general
supervision
of
the
Trustees;
(5)
foreign
exchange
transactions
("spot
contracts")
and
foreign
exchange
forward
contracts ("forward
contracts")
are
valued
daily
using
an
independent
pricing
vendor
at
the
spot
and
forward
rates,
respectively,
as
of
the
close
of
the
NYSE; and
(6)
investments
in
mutual
funds,
includ-
ing
the
Morgan
Stanley
Institutional
Liquidity
Funds,
are
valued
at
the
net
asset
value
(“NAV”)
as
of
the
close
of
each
business
day.
In
connection
with
Rule
2a-5
of
the
Act,
the
Trust-
ees
have
designated
the
Trust's
Adviser
as
its
valuation
designee.
The
valuation
designee
has
responsibility
for
determining
fair
value
and
to
make
the
actual
calculations
pursuant
to
the
fair
valuation
methodologies
previously
approved
by
the
Trustees.
Under
procedures
approved
by
the
Trustees,
the
Trust’s
Adviser
has
formed
a
Valuation
Committee
whose
members
are
approved
by
the
Trustees.
The
Valuation
Committee
provides
administration
and
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
19
Morgan
Stanley
ETF
Trust
oversight
of
the
Trust’s
valuation
policies
and
procedures,
which
are
reviewed
at
least
annually
by
the
Trustees.
These
procedures
allow
the Trust
to
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers
and
other
market
sources
to
determine
fair
value.
2.
Fair
Value
Measurement:
Financial
Accounting
Stan-
dards
Board
(“FASB”)
Accounting
Standards
Codifica-
tion
TM
("ASC"),
“Fair
Value
Measurement”
(“ASC
820”),
defines
fair
value
as
the
price
that
would
be
received
to
sell
an
asset
or
pay to
transfer
a
liability
in
an orderly
transaction
between
market
participants
at
the
measure-
ment
date. ASC
820
establishes
a
three tier
hierarchy
to
distinguish
between
(1)
inputs
that
reflect
the
assump-
tions
market
participants
would
use
in
valuing
an
asset
or
liability
developed
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity
(observable
inputs)
and
(2)
inputs
that
reflect
the
reporting
entity’s
own
assumptions
about
the
assumptions
market
partici-
pants
would
use
in
valuing
an
asset
or
liability
developed
based
on
the
best
information
available
in
the
circum-
stances
(unobservable
inputs)
and
to
establish
classifica-
tion
of
fair
value
measurements
for
disclosure
purposes.
Various
inputs
are
used
in
determining
the
value
of
the
Fund’s
investments.
The
inputs
are
summarized
in
the
three
broad
levels
listed
below:
Level
1
–
unadjusted
quoted
prices
in
active
markets
for
identical
investments.
Level
2
-
other
significant
observable
inputs
(includ-
ing
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
Level
3
-
significant
unobservable
inputs
including
the
Fund’s
own
assumptions
in
determin-
ing
the
fair
value
of
investments.
Factors
considered
in
making
this
determination
may
include,
but
are
not
limited
to,
infor-
mation
obtained
by
contacting
the
issuer,
analysts,
or
the
appropriate
stock
exchange
(for
exchange-traded
securities),
analysis
of
the
issuer’s
financial
statements
or
other
available
documents
and,
if
necessary,
available
information
concerning
other
securities
in
similar
circumstances.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
mea-
surement
in
its
entirety
requires
judgment
and
considers
factors
specific
to
each
security.
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's
investments
as
of
September
30,
2023:
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Assets:
Common
Stocks
Aerospace
&
Defense
$
598
$
—
$
—
$
598
Air
Freight
&
Logistics
304
—
—
304
Automobile
Components
551
—
—
551
Automobiles
1,561
—
—
1,561
Banks
6,849
—
—
6,849
Beverages
907
—
—
907
Biotechnology
505
—
—
505
Broadline
Retail
604
—
—
604
Building
Products
879
—
—
879
Capital
Markets
1,512
—
—
1,512
Chemicals
2,170
44
—
2,214
Commercial
Services
&
Supplies
526
—
—
526
Communications
Equipment
99
—
—
99
Construction
&
Engineering
450
—
—
450
Construction
Materials
443
273
—
716
Consumer
Staples
Distribution
&
Retail
1,068
—
—
1,068
Containers
&
Packaging
145
—
—
145
Distributors
24
—
—
24
Diversified
Consumer
Services
23
—
—
23
Diversified
Telecommunication
Services
1,076
—
—
1,076
Electric
Utilities
904
—
—
904
Electrical
Equipment
1,087
—
—
1,087
Electronic
Equipment,
Instruments
&
Components
1,078
—
—
1,078
Entertainment
419
—
—
419
Financial
Services
656
—
—
656
Food
Products
1,695
—
—
1,695
Gas
Utilities
245
—
—
245
Ground
Transportation
911
—
—
911
Health
Care
Equipment
&
Supplies
1,017
—
—
1,017
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
20
Morgan
Stanley
ETF
Trust
Transfers
between
investment
levels
may
occur
as
the
markets
fluctuate
and/or
the
availability
of
data
used
in
an
investment’s
valuation
changes.
3.
Foreign
Currency
Translation
and
Foreign
Invest-
ments:
The
books
and
records
of
the
Fund
are
main-
tained
in
U.S.
dollars.
Foreign
currency
amounts
are
translated
into
U.S.
dollars
as
follows:
investments,
other
assets
and
liabilities
at
the
prevail-
ing
rate
of
exchange
on
the
valuation
date;
investment
transactions
and
investment
income
at
the
prevailing
rates
of
exchange
on
the
dates
of
such
transactions.
Although
the
net
assets
of
the
Fund
are
presented
at
the
foreign
exchange
rates
and
market
values
at
the
close
of
the
period,
the
Fund
does
not
isolate
that
portion
of
the
results
of
operations
arising
as
a
result
of
changes
in
the
foreign
exchange
rates
from
the
fluctuations
arising
from
changes
in
the
market
prices
of
securities
held
at
period
end.
Similarly,
the
Fund
does
not
isolate
the
effect
of
changes
in
foreign
exchange
rates
from
the
fluctuations
arising
from
changes
in
the
market
prices
of
securities
sold
during
the
period.
Accordingly,
realized
and
unre-
alized
foreign
currency
gains
(losses)
on
investments
in
securities
are
included
in
the
reported
net
realized
and
unrealized
gains
(losses)
on
investment
transactions
and
balances.
However,
pursuant
to
U.S.
federal
income
tax
regulations,
gains
and
losses
from
certain
foreign
currency
transactions
and
the
foreign
currency
portion
of
gains
and
losses
realized
on
sales
and
maturities
of
foreign
de-
nominated
debt
securities
are
treated
as
ordinary
income
for
U.S.
federal
income
tax
purposes.
Net
realized
gains
(losses)
on
foreign
currency
transac-
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Common
Stocks
(cont’d)
Health
Care
Providers
&
Services
$
151
$
—
$
—
$
151
Health
Care
Technology
38
—
—
38
Hotels,
Restaurants
&
Leisure
624
—
—
624
Household
Durables
765
—
—
765
Household
Products
306
—
—
306
Independent
Power
and
Renewable
Electricity
Producers
36
—
—
36
Industrial
Conglomerates
520
—
—
520
Insurance
3,509
—
—
3,509
Interactive
Media
&
Services
289
—
—
289
IT
Services
617
—
—
617
Leisure
Products
55
—
—
55
Life
Sciences
Tools
&
Services
275
—
—
275
Machinery
1,561
—
—
1,561
Marine
Transportation
153
—
—
153
Media
237
—
—
237
Metals
&
Mining
1,551
—
—
1,551
Multi-Utilities
497
—
—
497
Oil,
Gas
&
Consumable
Fuels
744
—
—
744
Paper
&
Forest
Products
187
—
—
187
Passenger
Airlines
188
—
—
188
Personal
Care
Products
1,073
—
—
1,073
Pharmaceuticals
4,666
—
—
4,666
Professional
Services
992
—
—
992
Real
Estate
Management
&
Development
666
—
—
666
Semiconductors
&
Semiconductor
Equipment
3,443
—
—
3,443
Software
1,228
—
—
1,228
Specialty
Retail
424
—
—
424
Technology
Hardware,
Storage
&
Peripherals
1,266
—
—
1,266
Textiles,
Apparel
&
Luxury
Goods
1,482
—
—
1,482
Trading
Companies
&
Distributors
537
—
—
537
Transportation
Infrastructure
281
—
—
281
Water
Utilities
70
—
—
70
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Common
Stocks
(cont’d)
Wireless
Telecommunication
Services
$
640
$
—
$
—
$
640
Total
Common
Stocks
57,377
317
—
57,694
Warrants
Software
—
1
—
1
Short-Term
Investment
Investment
Company
156
—
—
156
Total
Assets
$57,533
$318
$—
$57,851
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
21
Morgan
Stanley
ETF
Trust
tions
represent
net
foreign
exchange
gains
(losses)
from
foreign
currency
forward
exchange
contracts,
disposition
of
foreign
currencies,
currency
gains
(losses)
realized
be-
tween
the
trade
and
settlement
dates
on
securities
transac-
tions,
and
the
difference
between
the
amount
of
invest-
ment
income
and
foreign
withholding
taxes
recorded
on
the
Fund’s
books
and
the
U.S.
dollar
equivalent
amounts
actually
received
or
paid.
The
change
in
unrealized
cur-
rency
gains
(losses)
on
foreign
currency
transactions
for
the
period
is
reflected
in
the
Statement
of
Operations.
4.
Indemnifications:
The Trust
enters
into
contracts
that
contain
a
variety
of
indemnification
clauses.
The
Trust’s
maximum
exposure
under
these
arrangements
is
un-
known
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund
that
have
not yet
occurred.
5.
Dividends
and
Distributions
to
Shareholders:
Divi-
dends
and
distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Dividends
from
net
investment
in-
come,
if
any,
are
declared
and
paid
quarterly.
Net
realized
capital
gains,
if
any,
are
distributed
at
least
annually.
6.
Security
Transactions,
Income
and
Expenses:
Se-
curity
transactions
are
accounted
for
on
the
trade
date
(date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
the
sale
of
investment
securities
are
deter-
mined
on
the
specific
identified
cost
method.
Dividend
income
and
other
distributions
are
recorded
on
the
ex-dividend
date
(except
for
certain
foreign
dividends
which
may
be
recorded
as
soon
as
the
Fund
is
informed
of
such
dividends)
net
of
applicable
withholding
taxes.
Non-cash
dividends
received
in
the
form
of
stock,
if
any,
are
recognized
on
the
ex-dividend
date
and
recorded
as
non-cash
dividend
income
at
fair
value.
B.
Management Fees:
The
Adviser
provides
investment
advice
and
portfolio
management
services
pursuant
to
a
Management
Agreement
(the
“Agreement”)
and,
subject
to
the
supervision
of
the
Trust’s
Trustees,
makes
or
oversees
the
Fund’s
day-to-day
investment
decisions,
arranges
for
the
execution
of
portfolio
transactions
and
generally
manages
the
Fund’s
invest-
ments.
As
compensation
for
its
services,
the
Adviser
is paid
monthly
at
the
annual
rate
of
0.18% of
the
average
daily
net
assets
of
the
Fund.
Under
the
Agreement,
the
Adviser pays sub-
stantially
all
the
expenses
of
the
Fund
(including
expenses
of
the
Trust
relating
to
the
Fund),
except
for
the
distribution
fees,
if
any,
brokerage
expenses,
acquired
fund
fees
and
expenses,
taxes,
interest,
litigation
expenses,
and
other
extraordinary
expenses,
including
the
costs
of
proxies,
not
incurred
in
the
ordinary
course
of
the
Fund’s
business.
C.
Distribution
and
Shareholder Services
Plan:
The
Trustees
have
adopted
a
distribution
and
services
plan
("Plan")
pursuant
Rule
12b-1
under the
Act.
Under the
Plan,
the
Fund
is
authorized
to
pay
distribution
fees
in
connection
with
the
sale
of
its
shares
and
pay
service
fees
in
connection
with
the
provision
of
ongoing
services
to
shareholders
of
the
Fund
and
the
maintenance
of
shareholder
accounts
in
an
amount
up
to
0.25%
of
its
average
daily
net
assets.
No
Rule
12b-1
fees
are
currently
paid
by
the
Fund
and
there
are
no
current
plans
to
impose
these
fees.
D.
Dividend
Disbursing
and
Transfer
Agent:
The
Trust’s
dividend
disbursing
and
transfer
agent
is
JPMorgan
Chase
Bank,
N.A.
("JPMorgan").
E.
Custodian
and
Administrator:
JPMorgan also
serves
as
Custodian
and
Administrator for
the
Trust in
accordance
with
a
Custodian
and
Administration Agreement.
F.
Issuance
and
Redemption
of
Fund
Shares:
The
Fund
is
an
exchange-traded
fund
or
ETF.
Individual
Fund
shares
may
only
be
purchased
and
sold
on
a
national
securi-
ties
exchange
through
a
broker-dealer
and
investors
may
pay
a
commission
to
such
broker-dealers
in
connection
with
their
purchase
or
sale.
The
price
of
Fund
shares
is
based
on
market
price,
and
because
ETF
shares
trade
at
market
prices
rather
than
NAV,
shares
may
trade
at
a
price
greater
than
NAV
(a
premium)
or
less
than
NAV
(a
discount).
The
Fund
will
only
issue
or
redeem
shares
aggregated
into
blocks
of 100,000
shares
or
multiples
thereof
(“Creation
Units”)
to
Authorized
Participants
who
have
entered
into
agreements
with
the
Funds’
Distributor.
An
Authorized
Partici-
pant
is
either
(1)
a
“Participating
Party,”
(i.e.,
a
broker-dealer
or
other
participant
in
the
clearing
process
of
the
Continuous
Net
Settlement
System
of
the
National
Securities
Clearing
Corpo-
ration)
(“Clearing
Process”),
or
(2)
a
participant
of
Depository
Trust
Company (“DTC
Participant”),
and,
in
each
case,
must
have
executed
an
agreement
(“Participation
Agreement”)
with
the
Distributor
with
respect
to
creations
and
redemptions
of
Creation
Units.
The
Fund
will
issue
or
redeem
Creation
Units
in
return
for
a
basket
of
assets
that
the
Fund
specifies
each
day.
Shares
are
listed
on
the
New
York
Stock
Exchange Arca
("NYSE
Arca") and
are
publicly
traded.
If an
investor buys
or
sells
Fund
shares
on
the
secondary
market, the
investor will
pay
or
receive
the
market
price,
which
may
be
higher
or
lower
than
NAV. The
investor's transaction
will
be
priced
at
NAV
if the
investor purchases
or
redeems
Fund
shares
in
Creation
Units.
Authorized
Participants
purchasing
and
redeeming
Creation
Units
may
pay
a
purchase
transaction
fee
and
a
redemption
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
22
Morgan
Stanley
ETF
Trust
transaction
fee
directly
to
the
Fund's
Administrator
to
offset
transfer
and
other
transaction
costs
associated
with
the
issuance
and
redemption
of
Creation
Units,
including
Creation
Units
for
cash.
Additionally,
a
portion
of
the
transaction
fee
is
used
to
offset
transactional
costs
typically
accrued
in
the
Fund's
cus-
tody
expenses
directly
related
to
the
issuance
and
redemption
of
Creation
Units.
An
additional
variable
fee
may
be
charged
for
certain
transactions.
Such
fees
would
be
included
in
the
re-
ceivable
for
capital
shares
issued
on
the
Statement
of
Assets
and
Liabilities
if
they
are
outstanding
as
of
year-
end. Transaction
fees
assessed
during
the
period
are
included
in
the
proceeds
from
shares
issued
on
the
Statements
of
Changes
in
Net
Assets.
G.
Security
Transactions
and
Transactions
with
Af-
filiates:
For
the
year ended
September
30,
2023 purchases
and
sales
of
investment
securities
for
the
Fund,
other
than
long-term
U.S.
Government
securities,
short-term
investments
and
In-Kind transactions were $28,564,399
and
$4,631,650,
respectively.
There
were
no
purchases
and
sales
of
long-term
U.S.
Government
securities
for
the
year
ended
September
30,
2023. Purchase
and
Sales
related
to
In-Kind
transactions
were
$36,372,927 and
$0 for
year end.
The
Fund
invests
in
the
Institutional
Class
of
the
Morgan
Stanley
Institutional
Liquidity
Funds
—
Government
Portfolio
(the
“Liquidity
Fund”),
an
open-end
management
investment
company
managed
by
the
Adviser. Management fees
paid
by
the
Fund
are
reduced
by
an
amount
equal
to
its
pro-rata
share
of
the management
fees
paid
by
the
Fund
due
to
its
invest-
ment
in
the
Liquidity
Fund.
For
the
year ended
September
30,
2023, management
fees
paid
were
reduced
by $137 relating
to
the
Fund’s
investment
in
the
Liquidity
Fund.
A
summary
of
the
Fund’s
transactions
in
shares
of
affiliated
investments
during
the
year ended
September
30,
2023 is
as
follows:
H.
Federal
Income
Taxes:
It
is
the
Fund’s
intention
to
continue
to
qualify
as
a
regulated
investment
company
and
distribute
all
of
its
taxable
and
tax
exempt income.
Accordingly,
no
provision
for
federal
income
taxes
is
required
in
the
finan-
cial
statements.
The
Fund
may
be
subject
to
taxes
imposed
by
countries
in
which
it
invests.
Such
taxes
are
generally
based
on
income
and/
or
capital
gains
earned
or
repatriated.
Taxes
are
accrued
based
on
net
investment
income,
net
realized
gains
and
net
unreal-
ized
appreciation
as
such
income
and/or
gains
are
earned.
Taxes
may
also
be
based
on
transactions
in
foreign
currency
and
are
accrued
based
on
the
value
of
investments
denominated
in
such
currency.
FASB
ASC
740-10,
“Income
Taxes—Overall”,
sets
forth
a
minimum
threshold
for
financial
statement
recognition
of
the
benefit
of
a
tax
position
taken
or
expected
to
be
taken
in
a
tax
return.
Management
has
concluded
there
are
no
significant
uncertain
tax
positions
that
would
require
recognition
in
the
financial
statements.
If
applicable,
the
Fund
recognizes
inter-
est
accrued
related
to
unrecognized
tax
benefits
in
“Interest
Expense”
and
penalties
in
“Other
Expenses”
in
the
Statement
of
Operations.
The
Fund
files
tax
returns
with
the
U.S.
Internal
Revenue
Service,
New
York
and
various
states.
The
tax
year
ended
September
30,
2023 remains
subject
to
examination
by
taxing
authorities.
The
tax
character
of
distributions
paid
may
differ
from
the
character
of
distributions
shown
for
GAAP
purposes
due
to
short-term
capital
gains
being
treated
as
ordinary
income
for
tax
purposes.
The
tax
character
of
distributions
paid
during
fiscal
year 2023
was
as
follows:
The
amount
and
character
of
income
and
gains
to
be
distrib-
uted
are
determined
in
accordance
with
income
tax
regulations
which
may
differ
from
GAAP.
These
book/tax
differences
are
either
considered
temporary
or
permanent
in
nature.
Temporary
differences
are
attributable
to
differing
book
and
tax
treatments
for
the
timing
of
the
recognition
of
gains
(loss-
es)
on
certain
investment
transactions
and
the
timing
of
the
deductibility
of
certain
expenses.
The
Fund
had
no
permanent
differences
causing
reclassifica-
tions
among
the
components
of
net
assets
for
the
year ended
September
30,
2023.
At
September
30,
2023,
the
components
of
distributable
earn-
ings
for
the
Fund
on
a
tax
basis
were
as
follows:
Affiliated
Investment
Company
Value
January
30,
2023
Purchases
at
Cost
Proceeds
from
Sales
Dividend
Income
Liquidity
Fund
$
–
$
5,468,929
$
5,313,071
$
5,339
Affiliated
Investment
Company
(cont'd)
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
September
30,
2023
Liquidity
Fund
$
–
$
–
$
155,858
2023
Distributions
Paid
From:
Ordinary
Long-Term
Income
Capital
Gain
$677,411
$–
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
23
Morgan
Stanley
ETF
Trust
At
September
30,
2023,
the
Fund
had
available
for
fed-
eral
income
tax
purposes
unused
short-term
capital
losses
of $418,624 that
do
not
have
an
expiration
date.
To
the
extent
that
capital
loss
carryforwards
are
used
to
offset
any
future
capital
gains
realized,
no
capital
gains
tax
liability
will
be
incurred
by
the
Fund
for
gains
realized
and
not
distrib-
uted.
To
the
extent
that
capital
gains
are
offset,
such
gains
will
not
be
distributed
to
the
shareholders.
I.
Principal
Risks:
Market
Risk:
An
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
governments.
The
risks
associated
with
these
developments
may
be
magnified
if
social,
political,
economic
and
other
conditions
and
events
(such
as
war,
natural
disasters,
health
emergencies
(e.g.,
epidemics
and
pandemics),
terrorism,
conflicts,
social
unrest,
recessions,
inflation,
rapid
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. The
occurrence,
duration
and
extent
of
these
or
other
types
of
adverse
econom-
ic
and
market
conditions
and
uncertainty
over
the
long
term
cannot
be
reasonably
projected
or
estimated
at
this
time.
The
ultimate
impact
of
public
health
emergencies
or
other
adverse
economic
or
market
developments
and
the
extent
to
which
the
associated
conditions
impact
the
Fund
and
its
investments
will
also
depend
on
other
future
developments,
which
are
highly
uncertain,
difficult
to
accurately
predict
and
subject
to
change
at
any
time.
The
financial
performance
of
the
Fund’s
invest-
ments
(and,
in
turn,
the
Fund’s
investment
results)
as
well
as
their
liquidity
may
be
adversely
affected
because
of
these
and
similar
types
of
factors
and
developments.
Tracking
Error
Risk:
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
index-
ing
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
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
diversifica-
tion
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
invest-
ment
and
other
operating
expenses,
including
the
trading
costs
associated
with
implementing
changes
to
its
portfolio
of
invest-
ments.
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
weight-
ings
of
the
index
to
comply
with
applicable
laws
and
regula-
tions
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,
espe-
cially
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
regu-
latory
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
rep-
resented
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
Undistributed
Undistributed
Ordinary
Long-Term
Income
Capital
Gain
$173,428
$–
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
24
Morgan
Stanley
ETF
Trust
performance
of
the
index
may
be
heightened
during
times
of
increased
market
volatility
or
other
unusual
market
conditions.
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.
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
and
no
other
authorized
participant
creates
or
redeems,
shares
may
trade
at
a
discount
to 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.
Disrup-
tions
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
(and,
as
a
result,
an
investor
may
pay
more
for,
or
receive
less
than,
the
underlying
value
of
the
shares,
respectively).
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
trad-
ing
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.
Large
Shareholder
Transaction
Risk:
The
Fund
may
experience
adverse
effects
when
certain
shareholders
purchase
or
redeem
large
amounts
of
shares
of the
Fund.
In
addition,
a
third
party
investor,
the
Adviser
or
an
affiliate
of
the
Adviser,
an
authorized
participant,
a
lead
market
maker,
or
another
entity
(i.e.,
a
seed
investor)
may
invest
in
the
Fund
and
hold
its
investment
solely
to
facilitate
commencement
of
the
Fund
or
to
facilitate
the
Fund’s
achieving
a
specified
size
or
scale.
Any
such
investment
may
be
held
for
a
limited
period
of
time.
There
can
be
no
assurance
that
any
large
shareholder
would
not
redeem
its
investment,
that
the
size
of
the
Fund
would
be
maintained
at
such
levels
or
that
the
Fund
would
continue
to
meet
applicable
listing
requirements.
Such
larger
than
normal
redemptions
may
cause
the
Fund
to
sell
portfolio
securities
at
times
when
it
would
not
otherwise
do
so,
which
may
negative-
ly
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.
These
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
circumstanc-
es, 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.
J.
Other:
At
September
30,
2023,
the
Fund
had
record
own-
ers
of
10%
or
greater,
which
are
related
parties
of
the
Fund.
In-
vestment
activities
of
these
shareholders
could
have
a
material
impact
on
the
Fund.
The
aggregate
percentage
of
such
owners
was
19.2%.
25
Annual
Report
—
September
30,
2023
Report
of
Independent
Registered
Public
Accounting
Firm
Morgan
Stanley
ETF
Trust
To
the
Shareholders
and
Board
of
Trustees
of
Morgan
Stanley
ETF
Trust
–
Calvert
International
Responsible
Index
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
Calvert
International
Responsible
Index
ETF
(the
“Fund”)
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust
(the
“Trust”)),
including
the
portfolio
of
investments,
as
of
September
30,
2023,
and
the
related
statements
of
operations
and
changes
in
net
assets
and
the
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust)
at
September
30,
2023,
and
the
results
of
its
operations,
the
changes
in
its
net
assets
and
its
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Trust’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
financial
statements
based
on
our
audit.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Trust
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audit
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Trust
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Trust’s
internal
control
over
financial
reporting.
As
part
of
our
audit,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting,
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Trust’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audit
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
September
30,
2023,
by
correspondence
with
the
custodian,
brokers
and
others;
when
replies
were
not
received
from
brokers
and
others,
we
performed
other
auditing
procedures.
Our
audit
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audit
provides
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Morgan
Stanley
investment
companies
since
2000.
Boston,
Massachusetts
November
27,
2023
26
Annual
Report
—
September
30,
2023
Federal
Tax
Notice
(unaudited)
Morgan
Stanley
ETF
Trust
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
Fund’s
earnings
for
its
taxable
year
ended
September
30,
2023.
When
distributed,
certain
earnings
may
be
subject
to
a
maximum
tax
rate
of
15%
as
provided
for
by
the
Jobs
and
Growth
Tax
Relief
Reconciliation
Act
of
2003.
The
Fund
designated
up
to
a
maximum
of $521,492
as
taxable
at
this
lower
rate.
In
January,
the
Fund
provides
tax
information
to
shareholders
for
the
preceding
calendar
year.
27
Annual
Report
—
September
30,
2023
Important
Notices
(unaudited)
Morgan
Stanley
ETF
Trust
Reporting
to
Shareholders
The
Fund’s
portfolio
holdings
are
publicly
disseminated
each
day
the
Fund
is
open
for
business
through
financial
reporting
and
news
services,
including
publicly
accessible
Internet
web
sites.
In
addition,
a
basket
composition
file,
which
includes
the
securi-
ty
names
and
share
quantities
to
deliver
in
exchange
for
Creation
Units,
together
with
estimates
and
actual
cash
components
is
publicly
disseminated
daily
prior
to
the
opening
of
the
Exchange
via
the
National
Securities
Clearing
Corporation
(the
“NSCC”),
a
clearing
agency
that
is
registered
with
the
SEC.
The
basket
represents
one
Creation
Unit
of
the
Fund.
The
Trust,
Adviser,
Custo-
dian
and
Distributor
will
not
disseminate
non-public
information
concerning
the
Trust.
The
Trust
provides
a
complete
schedule
of
portfolio
holdings
for
the
second
and
fourth
fiscal
quarters
in
its
Semi-Annual
and
Annual
reports,
and
for
the
first
and
third
fiscal
quarters
in
its
filings
with
the
SEC
as
an
exhibit
to
Form
N-PORT.
The
Fund's
portfolio
holdings
will
be
available
on
the
Fund’s
public
website,
www.calvert.com.
Proxy
Voting
Policy
and
Proxy
Voting
Record
The
Board
of
Trustees
believes
that
the
voting
of
proxies
on
securities
held
by
the
Trust
is
an
important
element
of
the
overall
invest-
ment
process.
As
such,
the
Trustees
have
delegated
the
responsibility
to
vote
such
proxies
to
the
Adviser.
The
Adviser
has
engaged
Calvert
to
provide
proxy
voting
services
with
respect
to
the
Trust.
The
Adviser’s
Proxy
Voting
Policy
speci-
fies
that
each
Fund
will
follow
Calvert’s
Proxy
Voting
Policies
and
Procedures
and
Global
Proxy
Voting
Guidelines.
When
available,
the
Trust’s
proxy
voting
record
for
the
most
recent
12-month
period
ending
June
30,
as
filed
with
the
SEC,
will
be
available
without
charge
on
our
web
site
at
www.calvert.com.
The
Trust’s
proxy
voting
record
will
also
be
available
without
charge
on
the
SEC’s
web
site
at
http://www.sec.gov.
Tailored
Shareholder
Reports
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end
mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
on-
line,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Morgan
Stanley
Funds.
28
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
April
2021
Morgan
Stanley
ETF
Trust
FACTS
WHAT
DOES
MSIM
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
Social
Security
number
and
income
investment
experience
and
risk
tolerance
checking
account
number
and
wire
transfer
instructions
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
MSIM
chooses
to
share;
and
whether
you
can
limit
this
sharing.
Reasons
we
can
share
your
personal
information
Does
MSIM
share?
Can
you
limit
this
sharing?
For
our
everyday
business
purposes
—
such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—
to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
investment
management
affiliates’
everyday
business
purposes
—
information
about
your
transactions,
experiences,
and
creditworthiness
Yes
Yes
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
our
investment
management
affiliates
to
market
to
you
Yes
Yes
For
our
affiliates
to
market
to
you
No
We
don’t
share
For
non-affiliates
to
market
to
you
No
We
don’t
share
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
29
April
2021
Morgan
Stanley
ETF
Trust
To
limit
our
sharing
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Please
note:
If
you
are
a
new
customer,
we
can
begin
sharing
your
information
30
days
from
the
date
we
sent
this
notice.
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice.
However,
you
can
contact
us
at
any
time
to
limit
our
sharing.
Questions?
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Who
we
are
Who
is
providing
this
notice?
Morgan
Stanley
Investment
Management
Inc.
and
its
investment
management
affiliates
(“MSIM”)
(see
Investment
Management
Affiliates
definition
below)
What
we
do
How
does
MSIM
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
We
have
policies
governing
the
proper
handling
of
customer
information
by
personnel
and
requiring
third
parties
that
provide
support
to
adhere
to
appropriate
security
standards
with
respect
to
such
information.
How
does
MSIM
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
open
an
account
or
make
deposits
or
withdrawals
from
your
account
buy
securities
from
us
or
make
a
wire
transfer
give
us
your
contact
information
We
also
collect
your
personal
information
from
others,
such
as
credit
bureaus,
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
sharing
for
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
affiliates
from
using
your
information
to
market
to
you
sharing
for
non-affiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
See
below
for
more
on
your
rights
under
state
law.
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
30
April
2021
Morgan
Stanley
ETF
Trust
Definitions
Investment
Management
Affiliates
MSIM
Investment
Management
Affiliates
include
registered
investment
advisers,
registered
broker-dealers,
and
registered
and
unregistered
funds
in
the
Investment
Management
Division.
Investment
Management
Affiliates
does
not
include
entities
associated
with
Morgan
Stanley
Wealth
Management,
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
Our
affiliates
include
companies
with
a
Morgan
Stanley
name
and
financial
companies
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Non-affiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
MSIM
does
not
share
with
non-affiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
non-affiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
MSIM
doesn’t
jointly
market
Other
Important
Information
Vermont:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
Vermont
residents
with
Non-affiliates
unless
you
provide
us
with
your
written
consent
to
share
such
information.
California:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
California
residents
with
Non-affiliates
and
we
will
limit
sharing
such
personal
information
with
our
Affiliates
to
comply
with
California
privacy
laws
that
apply
to
us.
31
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
Morgan
Stanley
ETF
Trust
Independent
Trustees:
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Frank
L.
Bowman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1944
Trustee
Since
August
2006
President,
Strategic
Decisions,
LLC
(consulting)
(since
February
2009);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
Chairperson
of
the
Compliance
and
Insurance
Committee
(since
October
2015);
formerly,
Chairperson
of
the
Insurance
Sub-
Committee
of
the
Compliance
and
Insurance
Committee
(2007-2015);
served
as
President
and
Chief
Executive
Officer
of
the
Nuclear
Energy
Institute
(policy
organization)
(February
2005-November
2008);
retired
as
Admiral,
U.S.
Navy
after
serving
over
38
years
on
active
duty
including
8
years
as
Director
of
the
Naval
Nuclear
Propulsion
Program
in
the
Department
of
the
Navy
and
the
U.S.
Department
of
Energy
(1996-2004);
served
as
Chief
of
Naval
Personnel
(July
1994-September
1996)
and
on
the
Joint
Staff
as
Director
of
Political
Military
Affairs
(June
1992-July
1994);
knighted
as
Honorary
Knight
Commander
of
the
Most
Excellent
Order
of
the
British
Empire;
awarded
the
Officier
de
l’Orde
National
du
Mérite
by
the
French
Government;
elected
to
the
National
Academy
of
Engineering
(2009).
86
Director
of
Naval
and
Nuclear
Technologies
LLP;
Director
Emeritus
of
the
Armed
Services
YMCA;
Member
of
the
National
Security
Advisory
Council
of
the
Center
for
U.S.
Global
Engagement
and
a
member
of
the
CNA
Military
Advisory
Board;
Chairman
of
Fairhaven
United
Methodist
Church;
Member
of
the
Board
of
Advisors
of
the
Dolphin
Scholarship
Foundation;
Director
of
other
various
nonprofit
organizations;
formerly,
Director
of
BP,
plc
(November
2010-
May
2019).
Frances.
L
Cashman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1961
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Chief
Executive
Officer,
Asset
Management
Division,
Euromoney
Institutional
Investor
PLC
(financial
information)
(May
2021-Present);
Executive
Vice
President
and
various
other
roles,
Legg
Mason
&
Co.
(asset
management)
(2010-2020);
Managing
Director,
Stifel
Nicolaus
(2005-2010).
87
Trustee
and
Investment
Committee
Member,
Georgia
Tech
Foundation
(Since
June
2019);
Trustee
and
Chair
of
Marketing
Committee,
Loyola
Blakefield
(Since
September
2017);
Trustee,
MMI
Gateway
Foundation
(since
September
2017);
Director
and
Investment
Committee
Member,
Catholic
Community
Foundation
Board
(2012–2018);
Director
and
Investment
Committee
Member,
St.
Ignatius
Loyola
Academy
(2011-
2017).
Kathleen
A.
Dennis
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1953
Trustee
Since
August
2006
Chairperson
of
the
Governance
Committee
(since
January
2021),
Chairperson
of
the
Liquidity
and
Alternatives
Sub-
Committee
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
President,
Cedarwood
Associates
(mutual
fund
and
investment
management
consulting)
(since
July
2006);
formerly,
Senior
Managing
Director
of
Victory
Capital
Management
(1993-2006).
86
Board
Member,
University
of
Albany
Foundation
(2012-present);
Board
Member,
Mutual
Funds
Directors
Forum
(2014-present);
Director
of
various
non-profit
organizations.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
32
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Nancy
C.
Everett
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
January
2015
Chairperson
of
the
Equity
Investment
Committee
(since
January
2021);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chief
Executive
Officer,
Virginia
Commonwealth
University
Investment
Company
(since
November
2015);
Owner,
OBIR,
LLC
(institutional
investment
management
consulting)
(since
June
2014);
formerly,
Managing
Director,
BlackRock,
Inc.
(February
2011-December
2013)
and
Chief
Executive
Officer,
General
Motors
Asset
Management
(a/k/a
Promark
Global
Advisors,
Inc.)
(June
2005-May
2010).
87
Formerly,
Member
of
Virginia
Commonwealth
University
School
of
Business
Foundation
(2005-2016);
Member
of
Virginia
Commonwealth
University
Board
of
Visitors
(2013-2015);
Member
of
Committee
on
Directors
for
Emerging
Markets
Growth
Fund,
Inc.
(2007-2010);
Chairperson
of
Performance
Equity
Management,
LLC
(2006-2010);
and
Chairperson,
GMAM
Absolute
Return
Strategies
Fund,
LLC
(2006-2010).
Eddie
A.
Grier
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Dean
Santa
Clara
University
Leavey
School
of
Business
(since
April
2021);
Dean,
Virginia
Commonwealth
University
School
of
Business
(2010-2021);
President
and
various
other
roles,
Walt
Disney
Company
(entertainment
and
media)
(1981-2010).
87
Director,
Witt/Kieffer,
Inc.
(executive
search)
(since
2016);
Director,
NuStar
GP,
LLC
(energy)
(since
August
2021);
Director,
Sonida
Senior
Living,
Inc.
(residential
community
operator)
(2016-2021);
Director,
NVR,
Inc.
(home
building)
(2013-2020);
Director,
Middleburg
Trust
Company
(wealth
management)
(2014-
2019);
Director,
Colonial
Williamsburg
Company
(since2012);
Regent,
University
of
Massachusetts
Global
(since
2021);
Director
and
Chair,
Child
Fund
International
(2012-2021);
Trustee,
Brandman
University
(2010-2021);
Director,
Richmond
Forum
(2012-2019).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
33
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Jakki
L.
Hassler
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1957
Trustee
Since
January
2015
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chairperson
of
the
Audit
Committee
(since
January
2023)
Chairman,
Opus
Capital
Group
(since
1996);
formerly,
Chief
Executive
Officer,
Opus
Capital
Group
(1996-2019);
Director,
Capvest
Venture
Fund,
LP
(May
2000-December
2011);
Partner,
Adena
Ventures,
LP
(July
1999
December
2010);
Director,
The
Victory
Funds
(February
2005-
July
2008).
87
Director
of
Cincinnati
Bell
Inc.
and
Member,
Audit
Committee
and
Chairman,
Governance
and
Nominating
Committee;
Director
of
Service
Corporation
International
and
Member,
Audit
Committee
and
Investment
Committee;
Director,
Barnes
Group
Inc.
(since
July
2021);
Director
of
Northern
Kentucky
University
Foundation
and
Member,
Investment
Committee;
Member
of
Chase
College
of
Law
Transactional
Law
Practice
Center
Board
of
Advisors;
Director
of
Best
Transport;
Director
of
Chase
College
of
Law
Board
of
Visitors;
formerly,
Member,
University
of
Cincinnati
Foundation
Investment
Committee.
Dr.
Manuel
H.
Johnson
c/o
Johnson
Smick
International,
Inc.
2201
I
Street,
NE
Suite
200
Washington,
D.C.
20002
Birth
Year:
1949
Trustee
Since
July
1991
Senior
Partner,
Johnson
Smick
International,
Inc.
(consulting
firm);
Chairperson
of
the
Fixed
Income,
Liquidity
and
Alternatives
Investment
Committee
(since
January
2021),
Chairperson
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
July
1991);
Co-Chairman
and
a
founder
of
the
Group
of
Seven
Council
(G7C)
(international
economic
commission);
formerly,
Chairperson
of
the
Audit
Committee
(July
1991-
September
2006);
Vice
Chairman
of
the
Board
of
Governors
of
the
Federal
Reserve
System
and
Assistant
Secretary
of
the
U.S.
Treasury.
86
Director
of
NVR,
Inc.
(home
construction).
Joseph
J.
Kearns
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1942
Trustee
Since
August
1994
Senior
Adviser,
Kearns
&
Associates
LLC
(investment
consulting);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(August
1994
December
2022);
formerly,
Deputy
Chairperson
of
the
Audit
Committee
(July
2003-September
2006)
and
Chairperson
of
the
Audit
Committee
of
various
Morgan
Stanley
Funds
(since
August
1994);
CFO
of
the
J.
Paul
Getty
Trust
(1982-1999).
87
Director,
Rubicon
Investments
(since
February
2019);
Prior
to
August
2016,
Director
of
Electro
Rent
Corporation
(equipment
leasing).
Prior
to
December
31,
2013,
Director
of
The
Ford
Family
Foundation.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
34
Morgan
Stanley
ETF
Trust
*
This
is
the
earliest
date
the Trustee
began
serving
the
Morgan
Stanley
Funds.
Each Trustee
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
**
The
Fund
Complex
includes
(as
of
December
31,
2022)
all
open-end
and
closed-end
funds
(including
all
of
their
portfolios)
advised
by
Morgan
Stanly
Investment
Management
Inc.
(the
"Adviser")
and
any
funds
that
have
an
adviser
that
is
an
affiliated
person
of
the
Adviser
(including,
but
not
limited
to,
Morgan
Stanley
AIP
GP
LP).
***
This
includes
any
directorships
at
public
companies
and
registered
investment
companies
held
by
the
Trustee
at
any
time
during
the
past
five
years.
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Michael
F.
Klein
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1958
Trustee
Since
August
2006
Chairperson
of
the
Risk
Committee
(since
January
2021);
Managing
Director,
Aetos
Alternatives
Management,
LP
(since
March
2000);
Co-President,
Aetos
Alternatives
Management,
LP
(since
January
2004)
and
Co-Chief
Executive
Officer
of
Aetos
Alternatives
Management,
LP
(since
August
2013);
Chairperson
of
the
Fixed
Income
Sub-Committee
of
the
Investment
Committee
(2006-
2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Managing
Director,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Stanley
Dean
Witter
Investment
Management
and
President,
various
Morgan
Stanley
Funds
(June
1998-March
2000);
Principal,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Dean
Witter
Investment
Management
(August
1997-December
1999).
86
Director
of
certain
investment
funds
managed
or
sponsored
by
Aetos
Alternatives
Management,
LP;
Director
of
Sanitized
AG
and
Sanitized
Marketing
AG
(specialty
chemicals).
Patricia
A.
Maleski
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1960
Trustee
Since
January
2017
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2017);
Managing
Director,
JPMorgan
Asset
Management
(2004-2016);
Oversight
and
Control
Head
of
Fiduciary
and
Conflicts
of
Interest
Program
(2015-2016);
Chief
Control
Officer—Global
Asset
Management
(2013-
2015);
President,
JPMorgan
Funds
(2010-
2013);
Chief
Administrative
Officer
(2004-2013);
various
other
positions
including
Treasurer
and
Board
Liaison
(since
2001).
87
Trustee,
Nutley
Family
Service
Bureau,
Inc.
(since
January
2022).
W.
Allen
Reed
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1947
Chair
of
the
Board
and
Trustee
Chair
of
the
Board
since
August
2020
and
Director
since
August
2006
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(since
August
2020);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Vice
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(January
2020-August
2020);
President
and
Chief
Executive
Officer
of
General
Motors
Asset
Management;
Chairman
and
Chief
Executive
Officer
of
the
GM
Trust
Bank
and
Corporate
Vice
President
of
General
Motors
Corporation
(August
1994-December
2005).
86
Formerly,
Director
of
Legg
Mason,
Inc.
(2006-2019);
and
Director
of
the
Auburn
University
Foundation
(2010-
2015).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
35
Morgan
Stanley
ETF
Trust
Executive
Officers:
The
Fund’s
statement
of
additional
information
incudes
further
information
about
the
Fund’s
Trustees
and
Officers,
and
is
available
without
charge
by
visiting
www.calvert.com
or
upon
request
by
calling
1
(800)
836-2414.
*This
is
the
earliest
date
the
officer
began
serving
the
Morgan
Stanley
Funds.
Each
officer
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
Name,
Address
and
Birth
Year
of
Executive
Officer
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
John
H.
Gernon
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1963
President
and
Principal
Executive
Officer
Since
September
2013
President
and
Principal
Executive
Officer
of
the
Equity
and
Fixed
Income
Funds
and
the
Morgan
Stanley
AIP
Funds
(since
September
2013)
and
the
Liquidity
Funds
and
various
money
market
funds
(since
May
2014)
in
the
Fund
Complex;
Managing
Director
of
the
Adviser.
Deidre
A.
Downes
1633
Broadway
New
York,
NY
10019
Birth
Year:
1977
Chief
Compliance
Officer
Since
November
2021
Executive
Director
of
the
Adviser
(since
January
2021)
and
Chief
Compliance
Officer
of
various
Morgan
Stanley
Funds
(since
November
2021).
Formerly,
Vice
President
and
Corporate
Counsel
at
PGIM
and
Prudential
Financial
(October
2016-December
2020).
Francis
J.
Smith
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1965
Treasurer
and
Principal
Financial
Officer
Treasurer
since
July
2003
and
Principal
Financial
Officer
since
September
2002
Managing
Director
of
the
Adviser
and
various
entities
affiliated
with
the
Adviser;
Treasurer
(since
July
2003)
and
Principal
Financial
Officer
of
various
Morgan
Stanley
Funds
(since
September
2002).
Mary
E.
Mullin
1633
Broadway
New
York,
NY
10019
Birth
Year:
1967
Secretary
Since
June
1999
Managing
Director
of
the
Adviser;
Secretary
of
various
Morgan
Stanley
Funds
(since
June
1999).
Michael
J.
Key
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1979
Vice
President
Since
June
2017
Vice
President
of
the
Equity
and
Fixed
Income
Funds,
Liquidity
Funds,
various
money
market
funds
and
the
Morgan
Stanley
AIP
Funds
in
the
Fund
Complex
(since
June
2017);
Executive
Director
of
the
Adviser;
Head
of
Product
Development
for
Equity
and
Fixed
Income
Funds
(since
August
2013).
Anthony
R.
Rochte
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1968
Vice
President,
Morgan
Stanley
ETF
Trust
Since
September
2022
Managing
Director
and
Global
Head
of
Exchange-Traded
Funds
at
Morgan
Stanley
Investment
Management
(since
March
2022);
Co-Head
of
Goldman
Sachs
Private
Bank
Select
(January
2020
–
March
2022);
Head
of
Fidelity
Institutional
Investments
&
Technology
Solutions
(August
2017
–
January
2020).
36
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Adviser
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
Distributor
Foreside
Fund
Services,
LLC
3
Canal
Plaza
Suite
100
Portland,
Maine
04101
Dividend
Disbursing
and
Transfer
Agent
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Custodian
and
Administrator
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Legal
Counsel
Dechert
LLP
1095
Avenue
of
the
Americas
New
York,
New
York
10036
Counsel
to
the
Independent
Trustees
Perkins
Coie
LLP
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
New
York
10036
Independent
Registered
Public
Accounting
Firm
Ernst
&
Young
LLP
200
Clarendon
Street
Boston,
MA
02116
ETFCALINTLRIANN
6057885
EXP
11.30.24
Printed
in
U.S.A.
This
Report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
a
current
prospectus.
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
©
2023
Morgan
Stanley.
Morgan
Stanley
Distribution,
Inc.
Morgan
Stanley
ETF
Trust
Calvert
Ultra-Short
Investment
Grade
ETF
NYSE
Arca:
CVSB
Annual
Report
September
30,
2023
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Table
of
Contents
(unaudited)
1
This
report
is
authorized
for
distribution
only
when
preceded
or
accompanied
by
a
prospectus
or
summary
prospectus
of
the
applicable
Fund
of
Morgan
Stanley
ETF
Trust.
To
receive
a
prospectus
and/or
statement
of
additional
information
(“SAI”),
which
contains
more
complete
information
such
as
investment
objectives,
charges,
expenses,
policies
for
voting
proxies,
risk
considerations
and
describes
in
detail
each
of
the
Fund’s
investment
policies
to
the
prospective
investor,
please
call
toll
free
1
(800)
836-2414.
Please
read
the
prospectuses
carefully
before
you
invest.
Additionally,
you
can
access
Fund
information
including
performance,
characteristics
and
investment
team
commentary,
through
Morgan
Stanley
Investment
Management’s
website:
www.calvert.com.
Market
forecasts
provided
in
this
report
may
not
necessarily
come
to
pass.
There
is
no
guarantee
that
any
sectors
mentioned
will
continue
to
perform
as
discussed
herein
or
that
securities
in
such
sectors
will
be
held
by
the
Fund
in
the
future.
There
is
no
assurance
that
a
fund
will
achieve
its
investment
objective.
Funds
are
subject
to
market
risk,
which
is
the
possibility
that
market
values
of
securities
owned
by
the
Fund
will
decline
and,
therefore,
the
value
of
the
Fund’s
shares
may
be
less
than
what
you
paid
for
them.
Accordingly,
you
can
lose
money
investing
in
this
Fund.
Please
see
the
prospectus
for
more
complete
information
on
investment
risks.
Shareholders’
Letter
........................................................................................
2
Expense
Example
...........................................................................................
3
Investment
Overview
........................................................................................
4
Portfolio
of
Investments
.....................................................................................
6
Statement
of
Assets
and
Liabilities
..........................................................................
11
Statement
of
Operations
....................................................................................
12
Statement
of
Changes
in
Net
Assets
........................................................................
13
Financial
Highlights
.........................................................................................
14
Notes
to
Financial
Statements
...............................................................................
15
Report
of
Independent
Registered
Public
Accounting
Firm
....................................................
22
Important
Notices
..........................................................................................
23
U.S.
Customer
Privacy
Notice
...............................................................................
24
Trustees
and
Officers
Information
...........................................................................
27
2
Annual
Report
—
September
30,
2023
Shareholders’
Letter
(unaudited)
Morgan
Stanley
ETF
Trust
Dear
Shareholders,
We
are
pleased
to
provide
this
Annual Report,
in
which
you
will
learn
how
your
investment
in Calvert
Ultra-Short
Investment
Grade
ETF (the
“Fund”)
performed
during
the
period
beginning
January
30,
2023
(when
the
Fund
commenced
operations)
and
ended
September
30,
2023.
Morgan
Stanley
Investment
Management,
the
Fund's
investment
adviser, is
a
client-centric,
investor-led
organization.
Our
global
presence,
intellectual
capital,
and
breadth
of
products
and
services
enable
us
to
partner
with
investors
to
meet
the
evolving
chal-
lenges
of
today’s
financial
markets.
We
aim
to
deliver
superior
investment
service
and
to
empower
our
clients
to
make
the
informed
decisions
that
help
them
reach
their
investment
goals.
As
always,
we
thank
you
for
selecting
Morgan
Stanley
Investment
Management,
and
look
forward
to
working
with
you
in
the
months
and
years
ahead.
Sincerely,
John
H.
Gernon
President
and
Principal
Executive
Officer
October
2023
3
Annual
Report
—
September
30,
2023
Expense
Example
(unaudited)
Calvert
Ultra-Short
Investment
Grade
ETF
Morgan
Stanley
ETF
Trust
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transactional
costs;
and
(2)
ongoing
costs,
which
may
include man-
agement
fees,
and
distribution
and
shareholder
services
fees.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
This
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
six-month
period
ended
September
30,
2023 and
held
for
the
entire
six-month
period.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
table,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
table
under
the
heading
entitled
“Actual
Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical Example
for
Comparison
Purposes
The
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
sales
charges
(loads).
Therefore,
the
information
for
each
class
in
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Beginning
Account
Value
(
4/1/23
)
Actual
Ending
Account
Value
(9/30/23)
Hypothetical
Ending
Account
Value
Actual
Expenses
Paid
During
Period
*
Hypothetical
Expenses
Paid
During
Period
*
Net
Expense
Ratio
During
Period
**
Calvert
Ultra-Short
Investment
Grade
ETF
$1,000.00
$1,029.40
$1,023.87
$1.22
$1.22
0.24%
*
Expenses
are
calculated
using
the
Fund’s
annualized
net
expense
ratio
(as
disclosed),
multiplied
by
the
average
account
value
over
the
period
and
multiplied
by
183/365
(to
reflect
the
most
recent
one-half
year
period).
**
Annualized.
4
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
Calvert
Ultra-Short
Investment
Grade
ETF
Morgan
Stanley
ETF
Trust
Economic
and
Market
Conditions
During
the
8-month
period
ended
September
30,
2023,
the
U.S.
Federal
Reserve
(the
Fed)
raised
the
federal
funds
rate
a
full
percentage
point
to
a
range
of
5.25%-5.50%,
part
of
a
series
of
11
rate
hikes
since
March
2022.
As
interest
rates
rose,
bond
prices
fell,
with
the
largest
changes
occurring
at
the
long
and
short
ends
of
the
yield
curve.
Performance
by
U.S.
Treasurys
was
hampered
by
the
Fed’s
rate
hikes,
while
investment-grade
securities
and
high
yield
corpo-
rate
bonds
did
relatively
better.
This
reflected
a
growing
appe-
tite
for
investment
risk,
driven
in
part
by
hopes
that
the
Fed
might
guide
the
world’s
largest
economy
in
for
a
soft
landing
and
avoid
a
possible
recession.
A
continuing
irony
throughout
the
period
was
that
good
U.S.
economic
news
–
low
unemployment
and
robust
consumer
spending
–
was
viewed
as
fuel
for
inflation
and
sparked
fears
that
additional
Fed
rate
hikes
intended
to
slow
consumer
de-
mand
would
further
weigh
on
stock
prices.
As
the
period
came
to
a
close,
long-term
bond
interest
rates
increased
and
bond
prices
dropped,
making
bond
yields
more
attractive
relative
to
stocks.
This
occurred
largely
at
the
long
end
of
the
yield
curve,
so
that
shorter
term
bonds
outper-
formed
longer
term
bonds
during
the
period.
For
the
period
as
a
whole,
the
Bloomberg
9-12
Months
Short
Treasury
Index
returned
2.81%.
Fund
Performance
For
the
8-month
period
from
inception
on
January
30,
2023,
through
September
30,
2023,
Calvert
Ultra-Short
Investment
Grade
ETF
(the
Fund)
returned
3.54%
based
on
net
asset
value
(NAV)
and
reinvestment
of
distributions
per
share,
net
of
fees.
The
Fund
outperformed
its
benchmark,
the
Bloomberg
9-12
Months
Short
Treasury
Index
(the
Index),
which
returned
2.81%.
On
the
up
side,
the
Fund’s
sector
allocation
contributed
most
to
performance
relative
to
the
Index
during
the
period.
Out-of-
Index
allocations
to
investment-grade
corporate
bonds,
com-
mercial
mortgage-backed
securities,
and
asset-backed
securities
were
especially
beneficial
to
Index-relative
returns.
The
Fund’s
short
interest
rate
duration
further
contributed
to
Index-rela-
tive
returns
during
the
period.
On
the
down
side,
yield-curve
positioning
in
the
Fund
detract-
ed
from
Index-relative
returns
during
the
period.
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
(cont’d)
Calvert
Ultra-Short
Investment
Grade
ETF
5
Morgan
Stanley
ETF
Trust
Performance
data
quoted
represents
past
performance,
which
is
no
guaran-
tee
of
future
results,
and
current
performance
may
be
lower
or
higher
than
the
figures
shown.
Performance
assumes
that
all
dividends
and
distributions,
if
any,
were
reinvested.
For
the
most
recent
month-end
performance
figures,
please
visit
www.calvert.com.
Investment
return
and
principal
value
will
fluctu-
ate
so
that
Fund
shares,
when
sold
or redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Total
returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
selling
or
redemption
of
Fund
shares.
Fund's
total
returns
are
calculated
as
of
the
last
business
day
of
the
period.
*
Minimum
Investment.
**
The
Fund’s
performance
shown
assumes
that
all
recurring
fees
(including
management
fees)
were
deducted
and
all
dividends
and
distributions
were
reinvested.
***
Commenced
Operations
on
January
30,
2023.
Performance
Compared
to
the
Bloomberg
9-12
Months
Short
Treasury
Index
(1)
Cumulative
Total
Return
for
the
period
Ended
September
30,
2023
Since
Inception
(2)
Calvert
Ultra-Short
Investment
Grade
ETF
-
NAV
(3)
3.54%
Calvert
Ultra-Short
Investment
Grade
ETF
-
Market
Price
(3)
3.52%
Bloomberg
9-12
Months
Short
Treasury
Index
2.81%
(1)
The
Bloomberg
9-12
Months
Short
Treasury
Index
measures
the
performance
of
U.S
Treasury
bills,
notes,
and
bonds
with
a
maturity
between
nine
and
twelve
months.
The
Index
is
unmanaged
and
its
returns
do
not
include
any
sales
charges
or
fees.
Such
costs
would
lower
performance.
It
is
not
possible
to
invest
directly
in
an
index.
(2)
For
comparative
purposes,
average
annual
since
inception
returns
listed
for
the
Indexes
refer
to
the
inception
date
of
the
Fund,
not
the
inception
of
the
Index.
(3)
Commenced
operations
on
January
30,
2023.
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
Calvert
Ultra-Short
Investment
Grade
ETF
6
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Face
Amount
Value
Fixed
Income
Securities
(91.4%)
Asset-Backed
Securities
(11.9%)
Amur
Equipment
Finance
Receivables
XII
LLC,
2023-1A
6.09%,
12/20/29(a)
$
220,000
$
220,290
Avant
Loans
Funding
Trust,
2021-REV1
1.64%,
7/15/30(a)
440,000
426,062
Conn's
Receivables
Funding
LLC,
2023-A
8.01%,
1/17/28(a)
452,816
453,497
Dell
Equipment
Finance
Trust,
2023-2
5.84%,
1/22/29(a)
100,000
99,927
Driven
Brands
Funding
LLC,
2018-1A
4.74%,
4/20/48(a)
236,875
228,804
GM
Financial
Automobile
Leasing
Trust,
2023-2
5.44%,
10/20/25
50,000
49,823
Hyundai
Auto
Lease
Securitization
Trust,
2023-B
5.47%,
9/15/25(a)
155,000
154,545
LAD
Auto
Receivables
Trust,
2023-1A
5.68%,
10/15/26(a)
126,553
126,262
2023-2A
5.93%,
6/15/27(a)
164,465
164,071
2023-3A
6.09%,
6/15/26(a)
192,000
191,937
Marlette
Funding
Trust,
2020-1A
3.54%,
3/15/30(a)
130,977
129,062
2023-1A
6.07%,
4/15/33(a)
133,441
133,215
2023-3A
6.49%,
9/15/33(a)
525,833
526,101
Newtek
Small
Business
Loan
Trust,
2023-1
US
Prime
Rate
-
0.50%,
8.00%,
7/25/50(a)(b)
140,588
140,420
Octane
Receivables
Trust,
2023-1A
5.87%,
5/21/29(a)
91,411
91,096
Oscar
US
Funding
XIII
LLC,
2021-2A
0.86%,
9/10/25(a)
100,188
98,224
Oscar
US
Funding
XV
LLC,
2023-1A
6.07%,
9/10/26(a)
450,000
448,815
Prodigy
Finance
DAC,
2021-1A
CME
Term
SOFR
1
Month
+
2.61%,
7.93%,
7/25/51(a)(b)
151,369
150,763
Prosper
Marketplace
Issuance
Trust,
2023-1A
7.06%,
7/16/29(a)
250,000
250,212
Reach
ABS
Trust,
2023-1A
Face
Amount
Value
7.05%,
2/18/31(a)
$
162,016
$
162,428
SoFi
Consumer
Loan
Program
Trust,
2023-1S
5.81%,
5/15/31(a)
65,146
64,999
Stack
Infrastructure
Issuer
LLC,
2019-1A
4.54%,
2/25/44(a)
260,030
257,533
Theorem
Funding
Trust,
2023-1A
7.58%,
4/15/29(a)
81,043
81,376
Upstart
Securitization
Trust,
2021-5
1.31%,
11/20/31(a)
185,611
182,807
Vantage
Data
Centers
Issuer
LLC,
2019-1A
3.19%,
7/15/44(a)
700,192
680,224
5,512,493
Commercial
Mortgage-Backed
Securities
(13.5%)
BX
Commercial
Mortgage
Trust
CME
Term
SOFR
1
Month
+
1.03%,
6.37%,
10/15/36(a)(b)
481,191
480,443
CME
Term
SOFR
1
Month
+
1.06%,
6.40%,
9/15/36(a)(b)
425,000
411,518
CAMB
Commercial
Mortgage
Trust
CME
Term
SOFR
1
Month
+
1.30%,
6.63%,
12/15/37(a)(b)
186,543
185,505
CME
Term
SOFR
1
Month
+
1.80%,
7.13%,
12/15/37(a)(b)
288,000
285,310
Connecticut
Avenue
Securities
Trust
SOFR30A
+
2.95%,
8.26%,
6/25/42(a)(b)
398,757
410,525
CSMC
Trust
CME
Term
SOFR
1
Month
+
3.14%,
8.48%,
9/9/24(a)(b)
500,000
505,314
Extended
Stay
America
Trust
CME
Term
SOFR
1
Month
+
1.19%,
6.53%,
7/15/38(a)(b)
522,768
522,650
CME
Term
SOFR
1
Month
+
1.49%,
6.83%,
7/15/38(a)(b)
285,146
282,574
FHLMC,
REMIC
SOFR30A
+
0.66%,
5.98%,
4/15/36(b)
248,215
242,250
SOFR30A
+
0.51%,
5.83%,
1/15/42(b)
314,516
307,763
FNMA,
REMIC
SOFR30A
+
0.65%,
5.97%,
2/25/38(b)
243,345
238,761
Hawaii
Hotel
Trust
CME
Term
SOFR
1
Month
+
1.20%,
6.53%,
5/15/38(a)(b)
250,000
248,799
J.P.
Morgan
Chase
Commercial
Mortgage
Securities
Trust
CME
Term
SOFR
1
Month
+
1.16%,
6.50%,
4/15/38(a)(b)
100,000
98,790
J.P.
Morgan
Mortgage
Trust
SOFR30A
+
1.70%,
7.02%,
3/25/54(a)(b)
134,000
134,000
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
Ultra-Short
Investment
Grade
ETF
7
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Face
Amount
Value
Commercial
Mortgage-Backed
Securities
(cont’d)
Med
Trust
CME
Term
SOFR
1
Month
+
1.56%,
6.90%,
11/15/38(a)(b)
$
233,878
$
228,253
MHC
Commercial
Mortgage
Trust
CME
Term
SOFR
1
Month
+
0.92%,
6.25%,
4/15/38(a)(b)
507,370
501,876
PNMAC
GMSR
Issuer
Trust
ICE
LIBOR
USD
1
Month
+
3.85%,
9.28%,
2/25/25(a)(b)
500,000
499,950
Radnor
RE
Ltd.
SOFR30A
+
1.85%,
7.16%,
11/25/31(a)(b)
238,743
239,142
VMC
Finance
LLC
CME
Term
SOFR
1
Month
+
1.76%,
7.10%,
1/18/37(a)(b)
425,149
415,968
6,239,391
Corporate
Bonds
(56.6%)
Automobiles
(1.0%)
General
Motors
Co.
6.13%,
10/1/25
225,000
224,853
Hyundai
Capital
America
5.80%,
6/26/25(a)
246,000
245,062
469,915
Banks
(22.1%)
Banco
Bilbao
Vizcaya
Argentaria
SA
5.86%,
9/14/26(b)
200,000
197,950
Banco
Santander
SA
5.15%,
8/18/25
200,000
195,862
Bank
of
America
Corp.
1.84%,
2/4/25(b)
1,300,000
1,278,821
6.09%,
10/24/24(b)
200,000
200,086
Bank
of
Ireland
Group
plc
6.25%,
9/16/26(a)(b)
600,000
596,726
Bank
of
Montreal
3.30%,
2/5/24
225,000
222,898
5.68%,
12/8/23(b)
100,000
100,002
6.04%,
3/8/24(b)
100,000
100,135
BPCE
SA
5.94%,
1/14/25(a)(b)
500,000
498,036
Citigroup,
Inc.
3.35%,
4/24/25(b)
450,000
442,063
6.02%,
5/1/25(b)
625,000
624,204
6.06%,
1/25/26(b)
200,000
199,259
Discover
Bank
2.45%,
9/12/24
250,000
240,354
Fifth
Third
Bancorp
3.65%,
1/25/24
140,000
138,669
4.30%,
1/16/24
100,000
99,393
HSBC
Holdings
plc
0.98%,
5/24/25(b)
470,000
452,893
ING
Groep
NV
3.55%,
4/9/24
450,000
444,085
Intesa
Sanpaolo
SpA
5.25%,
1/12/24
400,000
398,536
JPMorgan
Chase
&
Co.
3.63%,
5/13/24
225,000
222,119
3.85%,
6/14/25(b)
1,075,000
1,056,233
Face
Amount
Value
KeyBank
NA
5.64%,
6/14/24(b)
$
250,000
$
246,018
National
Bank
of
Canada
0.55%,
11/15/24(b)
250,000
248,155
5.25%,
1/17/25
250,000
248,150
Royal
Bank
of
Canada
4.95%,
4/25/25
140,000
138,003
Standard
Chartered
plc
0.99%,
1/12/25(a)(b)
310,000
304,945
Swedbank
AB
6.14%,
9/12/26(a)
218,000
217,231
Toronto-Dominion
Bank
(The)
5.53%,
7/17/26
328,000
325,711
Truist
Financial
Corp.
5.72%,
6/9/25(b)
460,000
449,920
UniCredit
SpA
7.83%,
12/4/23(a)
350,000
350,440
10,236,897
Biotechnology
(0.2%)
Amgen,
Inc.
5.25%,
3/2/25
80,000
79,420
Capital
Markets
(4.8%)
Affiliated
Managers
Group,
Inc.
4.25%,
2/15/24
200,000
198,257
Charles
Schwab
Corp.
(The)
5.82%,
3/18/24(b)
480,000
479,462
Goldman
Sachs
Group,
Inc.
(The)
4.00%,
3/3/24
350,000
347,067
5.86%,
10/21/24(b)
250,000
249,372
6.06%,
1/24/25(b)
150,000
149,515
Stifel
Financial
Corp.
4.25%,
7/18/24
350,000
344,437
UBS
Group
AG
2.59%,
9/11/25(a)(b)
475,000
457,346
2,225,456
Consumer
Finance
(6.4%)
AerCap
Ireland
Capital
DAC/
AerCap
Global
Aviation
Trust
1.65%,
10/29/24
500,000
475,801
Ally
Financial,
Inc.
3.88%,
5/21/24
384,000
376,929
Avolon
Holdings
Funding
Ltd.
5.25%,
5/15/24(a)
240,000
237,752
Capital
One
Financial
Corp.
1.34%,
12/6/24(b)
105,000
103,737
6.02%,
12/6/24(b)
650,000
642,804
General
Motors
Financial
Co.,
Inc.
3.95%,
4/13/24
200,000
197,355
6.68%,
4/7/25(b)
350,000
350,819
Park
Aerospace
Holdings
Ltd.
5.50%,
2/15/24(a)
100,000
99,519
Toyota
Motor
Credit
Corp.
0.50%,
6/14/24
500,000
482,130
2,966,846
Diversified
REITs
(0.4%)
HAT
Holdings
I
LLC/HAT
Holdings
II
LLC
6.00%,
4/15/25(a)
175,000
170,474
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
Ultra-Short
Investment
Grade
ETF
8
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Face
Amount
Value
Corporate
Bonds
(cont’d)
Diversified
Telecommunication
Services
(2.0%)
AT&T,
Inc.
6.85%,
6/12/24(b)
$
925,000
$
930,481
Electric
Utilities
(2.8%)
Enel
Finance
International
NV
2.65%,
9/10/24(a)
400,000
387,100
NextEra
Energy
Capital
Holdings,
Inc.
2.94%,
3/21/24
200,000
197,208
5.75%,
9/1/25
700,000
698,263
1,282,571
Electronic
Equipment,
Instruments
&
Components
(0.9%)
Amphenol
Corp.
4.75%,
3/30/26
40,000
39,301
TD
SYNNEX
Corp.
1.25%,
8/9/24
400,000
382,264
421,565
Entertainment
(1.3%)
Take-Two
Interactive
Software,
Inc.
3.30%,
3/28/24
9,000
8,879
Warnermedia
Holdings,
Inc.
6.41%,
3/15/26
589,000
589,147
598,026
Financial
Services
(2.5%)
Fidelity
National
Information
Services,
Inc.
0.60%,
3/1/24
425,000
415,384
Radian
Group,
Inc.
6.63%,
3/15/25
275,000
273,628
Synchrony
Bank
5.40%,
8/22/25
500,000
482,102
1,171,114
Food
Products
(1.1%)
JDE
Peet's
NV
0.80%,
9/24/24(a)
525,000
498,444
Ground
Transportation
(0.7%)
Penske
Truck
Leasing
Co.
LP
5.75%,
5/24/26(a)
120,000
118,295
SMBC
Aviation
Capital
Finance
DAC
3.55%,
4/15/24(a)
200,000
197,221
315,516
Health
Care
Providers
&
Services
(0.2%)
Centene
Corp.
4.25%,
12/15/27
100,000
92,276
Hotels,
Restaurants
&
Leisure
(0.7%)
Hyatt
Hotels
Corp.
1.80%,
10/1/24
325,000
311,909
Insurance
(1.8%)
Assurant,
Inc.
6.10%,
2/27/26
186,000
185,202
GA
Global
Funding
Trust
0.80%,
9/13/24(a)
200,000
188,897
5.82%,
9/13/24(a)(b)
475,000
468,580
842,679
Face
Amount
Value
IT
Services
(0.4%)
Kyndryl
Holdings,
Inc.
2.05%,
10/15/26
$
200,000
$
174,666
Leisure
Products
(0.7%)
Brunswick
Corp.
0.85%,
8/18/24
325,000
310,040
Machinery
(0.6%)
Daimler
Truck
Finance
North
America
LLC
5.92%,
12/14/23(a)(b)
300,000
300,113
Media
(0.3%)
Charter
Communications
Operating
LLC
4.91%,
7/23/25
150,000
146,622
Oil,
Gas
&
Consumable
Fuels
(0.5%)
Occidental
Petroleum
Corp.
6.95%,
7/1/24
225,000
226,635
Passenger
Airlines
(1.0%)
Delta
Air
Lines,
Inc./
SkyMiles
IP
Ltd.
4.50%,
10/20/25(a)
492,982
479,023
Professional
Services
(0.5%)
Concentrix
Corp.
6.65%,
8/2/26
220,000
218,757
Real
Estate
Management
&
Development
(0.2%)
Newmark
Group,
Inc.
6.13%,
11/15/23
100,000
99,910
Semiconductors
&
Semiconductor
Equipment
(0.4%)
Broadcom
Corp.
3.63%,
1/15/24
200,000
198,550
Specialized
REITs
(0.4%)
EPR
Properties
4.50%,
4/1/25
200,000
192,822
Technology
Hardware,
Storage
&
Peripherals
(0.8%)
Hewlett
Packard
Enterprise
Co.
5.90%,
10/1/24
355,000
354,810
Trading
Companies
&
Distributors
(0.3%)
Air
Lease
Corp.
0.70%,
2/15/24
150,000
147,005
Wireless
Telecommunication
Services
(1.6%)
Rogers
Communications,
Inc.
4.10%,
10/1/23
375,000
375,000
Sprint
LLC
7.13%,
6/15/24
340,000
342,362
717,362
26,179,904
U.S.
Government
and
Agency
Securities
(9.4%)
U.S.
Treasury
Note
3.00%,
7/31/24
1,700,000
1,665,470
3.25%,
8/31/24
1,700,000
1,666,273
5.53%,
7/31/25(b)
1,020,000
1,019,174
4,350,917
Total
Fixed
Income
Securities
(Cost
$42,277,014)
42,282,705
–
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
Ultra-Short
Investment
Grade
ETF
9
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Short-Term
Investments
(8.5%)
Investment
Company
(1.40%)
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
(See
Note
G)
(Cost
$639,393)
639,393
639,393
Commercial
Paper
(7.1%)
AT&T,
Inc.
5.88%,
2/21/24(a)
$
250,000
$
244,257
Aviation
Capital
Group
LLC
6.13%,
10/16/23(a)
450,000
448,820
Canadian
Imperial
Bank
of
Commerce
5.84%,
5/14/24
500,000
482,320
General
Motors
Financial
Co.,
Inc.
5.70%,
11/7/23
250,000
248,449
Harley-Davidson
Financial
Services,
Inc.
5.99%,
10/5/23
700,000
699,356
HSBC
USA,
Inc.
6.36%,
9/9/24(a)
250,000
235,391
Jabil,
Inc.
6.11%,
10/6/23
465,000
464,444
Lloyds
Bank
plc
5.79%,
4/1/24
500,000
485,465
Total
Commercial
Paper
(Cost
$3,309,280)
3,308,502
Total
Short-Term
Investments
(Cost
$3,948,673)
3,947,895
Total
Investments
(99.9%)
(Cost
$46,225,687)
(c)
46,230,600
Other
Assets
in
Excess
of
Liabilities
(0.1%)
44,759
Net
Assets
(100.0%)
$46,275,359
(a)
144A
security
—
Certain
conditions
for
public
sale
may
exist.
Unless
otherwise
noted,
these
securities
are
deemed
to
be
liquid.
(b)
Floating
or
variable
rate
securities:
The
rates
disclosed
are
as
of
September
30,
2023.
For
securities
based
on
a
published
reference
rate
and
spread,
the
reference
rate
and
spread
are
indicated
in
the
description
in
the
Portfolio
of
Investments.
Certain
variable
rate
securities
may
not
be
based
on
a
published
reference
rate
and
spread
but
are
determined
by
the
issuer
or
agent
and
are
based
on
current
market
conditions.
These
securities
do
not
indicate
a
reference
rate
and
spread
in
their
description
in
the
Portfolio
of
Investments.
(c)
At
September
30,
2023,
the
aggregate
cost
for
federal
income
tax
purposes
is
$46,225,047
.
The
aggregate
gross
unrealized
appreciation
is
$105,425
and
the
aggregate
gross
unrealized
depreciation
is
$100,513,
resulting
in
net
unrealized
appreciation
of
$4,912.
CME
Chicago
Mercantile
Exchange
FHLMC
Federal
Home
Loan
Mortgage
Corp.
FNMA
Federal
National
Mortgage
Association
ICE
Intercontinental
Exchange
LIBOR
London
Interbank
Offered
Rate
REIT
Real
Estate
Investment
Trust
REMIC
Real
Estate
Mortgage
Investment
Conduit
SOFR
Secured
Overnight
Financing
Rate
SOFR30A
Secured
Overnight
Financing
Rate
30
Day
Average
Future
Contracts:
The
Fund
had
the
following
futures
contracts
open
at
September
30,
2023:
Number
of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Depreciation
Long:
U.S.
Treasury
2
Year
Notes
1
Dec-23
$
200
$
202,711
$
(641)
$
(641)
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
Ultra-Short
Investment
Grade
ETF
10
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Portfolio
Composition
Classification
Percentage
of
Total
Investments
Other*
28.1
%
Banks
22.1
Commercial
Mortgage-Backed
Securities
13.5
Asset-Backed
Securities
11.9
U.S.
Government
and
Agency
Securities
9.4
Short-Term
Investments
8.6
Consumer
Finance
6.4
Total
Investments
100.0%**
*
Industries
and/or
investment
types
representing
less
than
5%
of
total
investments.
**
Does
not
include
open
short
futures
contracts
with
a
value
of
$
202,711
and
total
unrealized
depreciation
of
$
641.
Annual
Report
—
September
30,
2023
Calvert
Ultra-Short
Investment
Grade
ETF
11
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Assets
and
Liabilities
September
30,
2023
Assets:
Investments
in
Securities
of
Unaffiliated
Issuers,
at
Value
(Cost
$45,586,294)
$
45,591,207
Investment
in
Security
of
Affiliated
Issuer,
at
Value
(Cost
$639,393)
639,393
Total
Investments
in
Securities,
at
Value
(Cost
$46,225,687)
46,230,600
Cash
2,297
Receivable
for
Investments
Sold
3,035,207
Interest
Receivable
268,835
Dividends
Receivable
2,062
Receivable
for
Variation
margin
on
Futures
Contracts
6,456
Total
Assets
49,545,457
Liabilities:
Payable
for
Investments
Purchased
3,052,091
Payable
for
Management
Fee
8,967
Payable
for
Dividends
to
Shareholders
209,040
Total
Liabilities
3,270,098
Net
Assets
$
46,275,359
Net
Assets
Consist
of:
Paid-in-Capital
$
46,280,338
Total
Accumulated
Loss
(
4,979
)
Net
Assets
$
46,275,359
Shares
Outstanding
$0.001
Par
Value
(unlimited
shares
authorized)
925,000
Net
Asset
Value
Per
Share
$
50
.03
Annual
Report
—
September
30,
2023
Calvert
Ultra-Short
Investment
Grade
ETF
12
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Operations
Period
from
January
30,
2023
^
to
September
30,
2023
Investment
Income:
Interest
from
Securities
of
Unaffiliated
Issuers
$
1,368,837
Dividends
from
Security
of
Affiliated
Issuer
(Note
G)
16,190
Total
Investment
Income
1,385,027
Expenses:
Management
Fee
(Note
B)
58,610
Total
Expenses
58,610
Rebate
from
Morgan
Stanley
Affiliate
(Note
G)
(
434
)
Net
Expenses
58,176
Net
Investment
Income
1,326,851
Realized
Gain
(Loss):
Investments
Sold
(
40,723
)
Futures
Contracts
7,636
Net
Realized
Loss
(
33,087
)
Change
in
Unrealized
Appreciation
(Depreciation):
Investments
4,913
Futures
Contracts
(
641
)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
4,272
Net
Realized
Loss
and
Change
in
Unrealized
Appreciation
(Depreciation)
(
28,815
)
Net
Increase
in
Net
Assets
Resulting
from
Operations
$
1,298,036
^
Commencement
of
Operations.
Annual
Report
—
September
30,
2023
Calvert
Ultra-Short
Investment
Grade
ETF
13
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Changes
in
Net
Assets
Period
from
January
30,
2023
^
to
September
30,
2023
Increase
(Decrease)
in
Net
Assets:
Operations:
Net
Investment
Income
$
1,326,851
Net
Realized
Loss
(
33,087
)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
4,272
Net
Increase
in
Net
Assets
Resulting
from
Operations
1,298,036
Dividends
and
Distributions
to
Shareholders:
Dividends
and
Distributions
(
1,303,015
)
Total
Dividends
and
Distributions
to
Shareholders
(
1,303,015
)
Capital
Share
Transactions:
Subscribed
(1)
20,000,000
Subscribed
In-Kind
26,280,338
Net
Increase
in
Net
Assets
Resulting
from
Capital
Share
Transactions
46,280,338
Total
Increase
in
Net
Assets
46,275,359
Net
Assets:
Beginning
of
Period
–
End
of
Period
$
46,275,359
Capital
Share
Transactions:
Beginning
of
Period
–
Shares
Subscribed
400,000
Shares
Subscribed
In-Kind
525,000
Shares
Outstanding,
End
of
Period
Net
Increase
in
925,000
^
Commencement
of
Operations.
(1)
Total
consists
of
subscriptions
for
seed
capital
by
the
Adviser
and
other
related
parties
of
the
Fund.
Annual
Report
—
September
30,
2023
Financial
Highlights
Calvert
Ultra-Short
Investment
Grade
ETF
14
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Selected
Per
Share
Data
and
Ratios
Period
from
January
30,
2023
(1)
to
September
30,
2023
Net
Asset
Value,
Beginning
of
Period
$
50
.00
Income
(Loss)
from
Investment
Operations:
—
Net
Investment
Income
(2)
1
.82
Net
Realized
and
Unrealized
Loss
(
0
.07
)
Total
from
Investment
Operations
1
.75
Distributions
from
and/or
in
Excess
of:
—
Net
Investment
Income
(
1
.72
)
Net
Asset
Value,
End
of
Period
$
50
.03
Total
Return
(3)
3
.54
%
(4)
Ratios
to
Average
Net
Assets
and
Supplemental
Data:
$46,275
Net
Assets,
End
of
Period
(Thousands)
$
46,275
Ratio
of
Expenses
0
.24
%
(5)
(6)
Ratio
of
Net
Investment
Income
5
.42
%
(5)
(6)
Ratio
of
Rebate
from
Morgan
Stanley
Affiliates
0
.00
%
(5)
(7)
Portfolio
Turnover
Rate
54
%
(4)
(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%.
15
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
Morgan
Stanley
ETF
Trust
Morgan
Stanley
ETF
Trust
(the
“Trust”)
is
an
open-end,
management
investment
company
established
under
Delaware
law
as
a
Delaware
statutory
trust.
Pursuant
to
its
Declaration
of
Trust dated
May
31,
2016,
and
Amended
and
Restated
on
September
28,
2022
(the
“Declaration
of
Trust”),
the
Trust is
authorized
to
establish
multiple
series.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”).
The
Trust
applies
investment
company
accounting
and
report-
ing
guidance
Accounting
Standard
Codification
("ASC")
Topic
946.
In
the
preparation
of
these
financial
statements,
manage-
ment
has
evaluated
subsequent
events
occurring
after
the
date
of
the
Fund's
Statement
of
Assets
and
Liabilities
through
the
date
that
the
financial
statements
were
issued.
The
accompanying
financial
statements
relate
to
the
Calvert
Ultra-Short
Investment
Grade
ETF (the
"Fund"),
which
seeks
to
maximize
income,
to
the
extent
consistent
with
preserva-
tion
of
capital,
through
investment
in
short-term
bonds
and
income-producing
securities.
The
Fund
is
diversified.
A.
Significant
Accounting
Policies:
The
following
signifi-
cant
accounting
policies
are
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“GAAP”).
Such
policies
are
consistently
followed
by
the Trust
in
the
preparation
of
its
financial
statements.
GAAP
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
and
disclosures
in
the
financial
statements.
Actual
results
may
differ
from
those
estimates.
1.
Security
Valuation:
(1)
fixed
income
securities
may
be
valued
by
an
outside
pricing
service/vendor
approved
by
the
Trust’s
Board
of
Trustees
(the
“Trustees”).
The
pricing
service/vendor
may
employ
a
pricing
model
that
takes
into
account,
among
other
things,
bids,
yield
spreads
and/or
other
market
data
and
specific
security
characteris-
tics.
If
Morgan
Stanley
Investment
Management
Inc.
(the
“Adviser”)
a
wholly-owned
subsidiary
of
Morgan
Stanley,
determines
that
the
price
provided
by
the
outside
pricing
service/vendor
or
exchange
does
not
reflect
the
security’s
fair
value
or
is
unable
to
provide
a
price,
prices
from
brokers
or
dealers
may
also
be
utilized.
In
these
circum-
stances,
the
value
of
the
security
will
be
the
mean
of
bid
and
asked
prices
obtained
from
reputable
brokers/dealers;
(2)
when
market
quotations
are
not
readily
available,
as
defined
by
Rule
2a-5
under
the
Act,
including
circum-
stances
under
which
the
Adviser
determines
that
the
closing
price,
last
sale
price
or
the
mean
between
the
last
reported
bid
and
asked
prices
are
not
reflective
of
a
secu-
rity’s
market
value,
portfolio
securities
are
valued
at
their
fair
value
as
determined
in
good
faith
under
procedures
established
by
and
under
the
general
supervision
of
the
Trustees;
(3)
futures
are
valued
at
the
settlement
price
on
the
exchange
on
which
they
trade
or,
if
a
settlement
price
is
unavailable,
at
the
last
sale
price
on
the
exchange; and
(4)
investments
in
mutual
funds,
including
the
Morgan
Stanley
Institutional
Liquidity
Funds,
are
valued
at
the
net
asset
value
(“NAV”)
as
of
the
close
of
each
business
day.
In
connection
with
Rule
2a-5
of
the
Act,
the
Trust-
ees
have
designated
the
Trust's
Adviser
as
its
valuation
designee.
The
valuation
designee
has
responsibility
for
determining
fair
value
and
to
make
the
actual
calculations
pursuant
to
the
fair
valuation
methodologies
previously
approved
by
the
Trustees.
Under
procedures
approved
by
the
Trustees,
the
Trust’s
Adviser
has
formed
a
Valuation
Committee
whose
members
are
approved
by
the
Trustees.
The
Valuation
Committee
provides
administration
and
oversight
of
the
Trust’s
valuation
policies
and
procedures,
which
are
reviewed
at
least
annually
by
the
Trustees.
These
procedures
allow
the Trust
to
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers
and
other
market
sources
to
determine
fair
value.
2.
Fair
Value
Measurement:
Financial
Accounting
Stan-
dards
Board
(“FASB”)
Accounting
Standards
Codifica-
tion
TM
("ASC"),
“Fair
Value
Measurement”
(“ASC
820”),
defines
fair
value
as
the
price
that
would
be
received
to
sell
an
asset
or
pay to
transfer
a
liability
in
an orderly
transaction
between
market
participants
at
the
measure-
ment
date. ASC
820
establishes
a
three tier
hierarchy
to
distinguish
between
(1)
inputs
that
reflect
the
assump-
tions
market
participants
would
use
in
valuing
an
asset
or
liability
developed
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity
(observable
inputs)
and
(2)
inputs
that
reflect
the
reporting
entity’s
own
assumptions
about
the
assumptions
market
partici-
pants
would
use
in
valuing
an
asset
or
liability
developed
based
on
the
best
information
available
in
the
circum-
stances
(unobservable
inputs)
and
to
establish
classifica-
tion
of
fair
value
measurements
for
disclosure
purposes.
Various
inputs
are
used
in
determining
the
value
of
the
Fund’s
investments.
The
inputs
are
summarized
in
the
three
broad
levels
listed
below:
Level
1
–
unadjusted
quoted
prices
in
active
markets
for
identical
investments.
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
16
Morgan
Stanley
ETF
Trust
Level
2
-
other
significant
observable
inputs
(includ-
ing
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
Level
3
-
significant
unobservable
inputs
including
the
Fund’s
own
assumptions
in
determin-
ing
the
fair
value
of
investments.
Factors
considered
in
making
this
determination
may
include,
but
are
not
limited
to,
infor-
mation
obtained
by
contacting
the
issuer,
analysts,
or
the
appropriate
stock
exchange
(for
exchange-traded
securities),
analysis
of
the
issuer’s
financial
statements
or
other
available
documents
and,
if
necessary,
available
information
concerning
other
securities
in
similar
circumstances.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
mea-
surement
in
its
entirety
requires
judgment
and
considers
factors
specific
to
each
security.
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's
investments
as
of
September
30,
2023:
Transfers
between
investment
levels
may
occur
as
the
markets
fluctuate
and/or
the
availability
of
data
used
in
an
investment’s
valuation
changes.
3.
Derivatives:
The
Fund
may,
but
is
not
required
to,
use
derivative
instruments
for
a
variety
of
purposes,
including
hedging,
risk
management,
portfolio
management
or
to
earn
income.
Derivatives
are
financial
instruments
whose
value
is
based,
in
part,
on
the
value
of
an
underlying
asset,
interest
rate,
index
or
financial
instrument.
Prevail-
ing
interest
rates
and
volatility
levels,
among
other
things,
also
affect
the
value
of
derivative
instruments.
A
deriva-
tive
instrument
often
has
risks
similar
to
its
underlying
asset
and
may
have
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,
instru-
ments,
indices
or
interest
rates
to
which
the
derivative
instrument
relates,
risks
that
the
transactions
may
not
be
liquid
and
risks
arising
from
margin
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
port-
folio
investments.
All
of
the
Fund’s
holdings,
including
derivative
instruments,
are
marked-to-market
each
day
with
the
change
in
value
reflected
in
unrealized
appreci-
ation
(depreciation).
Upon
disposition,
a
realized
gain
or
loss
is
recognized.
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
transac-
tions
may
cause
the
Fund
to
liquidate
portfolio
positions
when
it
may
not
be
advantageous
to
do
so
to
satisfy
its
obligations
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
objectives,
there
is
no
assurance
that
the
use
of
derivatives
will
achieve
this
Following
is
a
description
of
the
derivative
instruments
and
techniques
that
the
Fund
used
during
the
period
and
their
associated
risks:
Futures:
A
futures
contract
is
a
standardized,
exchange
traded
agreement
to
buy
or
sell
a
specific
quantity
of
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Assets:
Fixed
Income
Securities
Asset-Backed
Securities
$
—
$
5,513
$
—
$
5,513
Commercial
Mortgage-Backed
Securities
—
6,239
—
6,239
Corporate
Bonds
—
26,180
—
26,180
U.S.
Government
and
Agency
Securities
—
4,351
—
4,351
Total
Fixed
Income
Securities
—
42,283
—
42,283
Short-Term
Investments
Investment
Company
639
—
—
639
Commercial
Papers
—
3,309
—
3,309
Total
Short-Term
Investments
639
3,309
—
3,948
Total
Assets
$639
$45,592
$—
$46,231
Liabilities:
Futures
Contracts
(1)
—
—
(1)
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
17
Morgan
Stanley
ETF
Trust
an
underlying
asset,
reference
rate
or
index
at
a
specif-
ic
price
at
a
specific
future
time.
The
value
of
a
futures
contract
tends
to
increase
and
decrease
in
tandem
with
the
value
of
the
underlying
instrument.
Depending
on
the
terms
of
the
particular
contract,
futures
contracts
are
settled
through
either
physical
delivery
of
the
underlying
instrument
on
the
settlement
or
by
payment
of
a
cash
settlement
amount
on
the
settlement
date.
During
the
period
the
futures
contract
is
open,
payments
are
received
from
or
made
to
the
broker
based
upon
chang-
es
in
the
value
of
the
contract
(the
variation
margin).
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
unsuc-
cessful
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.
FASB
ASC
815,
“Derivatives
and
Hedging”
(“ASC
815”),
is
intended
to
improve
financial
reporting
about
deriv-
ative
instruments
by
requiring
enhanced
disclosures
to
enable
investors
to
better
understand
how
and
why
the
Fund
uses
derivative
instruments,
how
these
derivative
instruments
are
accounted
for
and
their
effects
on
the
Fund’s
financial
position
and
results
of
operations.
The
following
tables
set
forth
the
fair
value
of
the
Fund’s
derivative
contracts
by
primary
risk
exposure
as
of
Sep-
tember
30,
2023:
The
following
tables
set
forth
by
primary
risk
exposure
the
Fund’s
realized
gains
(losses)
and
change
in
unrealized
appreciation
(depreciation)
by
type
of
derivative
contract
for
the
year
ended
September
30,
2023
in
accordance
with
ASC
815:
For
the
year
ended
September
30,
2023,
the
approximate
average
monthly
amount
outstanding
for
each
derivative
type
is
as
follows:
4.
Indemnifications:
The Trust
enters
into
contracts
that
contain
a
variety
of
indemnification
clauses.
The
Trust’s
maximum
exposure
under
these
arrangements
is
un-
known
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund
that
have
not yet
occurred.
5.
Dividends
and
Distributions
to
Shareholders:
Divi-
dends
and
distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Dividends
from
net
investment
in-
come,
if
any,
are
declared
and
paid
monthly.
Net
realized
capital
gains,
if
any,
are
distributed
at
least
annually.
6.
Security
Transactions,
Income
and
Expenses:
Se-
curity
transactions
are
accounted
for
on
the
trade
date
(date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
the
sale
of
investment
securities
are
deter-
mined
on
the
specific
identified
cost
method.
Dividend
income
and
other
distributions
are
recorded
on
the
ex-dividend
date
(except
for
certain
foreign
dividends
which
may
be
recorded
as
soon
as
the
Fund
is
informed
of
such
dividends)
net
of
applicable
withholding
taxes.
Non-cash
dividends
received
in
the
form
of
stock,
if
any,
are
recognized
on
the
ex-dividend
date
and
recorded
as
non-cash
dividend
income
at
fair
value.
B.
Management Fees:
The
Adviser
provides
investment
advice
and
portfolio
management
services
pursuant
to
a
Management
Agreement
(the
“Agreement”)
and,
subject
to
the
supervision
of
the
Trust’s
Trustees,
makes
or
oversees
the
Fund’s
day-to-day
investment
decisions,
arranges
for
the
execution
of
portfolio
transactions
and
generally
manages
the
Fund’s
invest-
ments.
As
compensation
for
its
services,
the
Adviser
is paid
monthly
at
the
annual
rate
of
0.24% of
the
average
daily
net
assets
of
the
Fund.
Under
the
Agreement,
the
Adviser pays sub-
Liability
Derivatives
Statement
of
Assets
and
Primary
Risk
Liabilities
Location
Exposure
Value
Futures
Contracts
Variation
Margin
on
Futures
Contracts
Interest
Rate
Risk
$(641)(a)
(a)
This
Amount
represents
the
cumulative
appreciation
(depreciation)
as
reported
in
the
Portfolio
of
investments.
The
Statement
of
Assets
and
Liabilities
only
reflects
the
current
day's
net
variation
margin.
Realized
Gain
(Loss)
Primary
Risk
Exposure
Derivative
Type
Value
Interest
Rate
Risk
Futures
Contracts
$7,636
Change
in
Unrealized
Appreciation
(Depreciation)
Primary
Risk
Exposure
Derivative
Type
Value
Interest
Rate
Risk
Futures
Contracts
$(641)
Futures
Contracts:
Average
monthly
notional
value
.............
415,470
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
18
Morgan
Stanley
ETF
Trust
stantially
all
the
expenses
of
the
Fund
(including
expenses
of
the
Trust
relating
to
the
Fund),
except
for
the
distribution
fees,
if
any,
brokerage
expenses,
acquired
fund
fees
and
expenses,
taxes,
interest,
litigation
expenses,
and
other
extraordinary
expenses,
including
the
costs
of
proxies,
not
incurred
in
the
ordinary
course
of
the
Fund’s
business.
C.
Distribution
and
Shareholder Services
Plan:
The
Trustees
have
adopted
a
distribution
and
services
plan
("Plan")
pursuant
Rule
12b-1
under the
Act.
Under the
Plan,
the
Fund
is
authorized
to
pay
distribution
fees
in
connection
with
the
sale
of
its
shares
and
pay
service
fees
in
connection
with
the
provision
of
ongoing
services
to
shareholders
of
the
Fund
and
the
maintenance
of
shareholder
accounts
in
an
amount
up
to
0.25%
of
its
average
daily
net
assets.
No
Rule
12b-1
fees
are
currently
paid
by
the
Fund
and
there
are
no
current
plans
to
impose
these
fees.
D.
Dividend
Disbursing
and
Transfer
Agent:
The
Trust’s
dividend
disbursing
and
transfer
agent
is
JPMorgan
Chase
Bank,
N.A.
("JPMorgan").
E.
Custodian
and
Administrator:
JPMorgan also
serves
as
Custodian
and
Administrator for
the
Trust in
accordance
with
a
Custodian
and
Administration Agreement.
F.
Issuance
and
Redemption
of
Fund
Shares:
The
Fund
is
an
exchange-traded
fund
or
ETF.
Individual
Fund
shares
may
only
be
purchased
and
sold
on
a
national
securi-
ties
exchange
through
a
broker-dealer
and
investors
may
pay
a
commission
to
such
broker-dealers
in
connection
with
their
purchase
or
sale.
The
price
of
Fund
shares
is
based
on
market
price,
and
because
ETF
shares
trade
at
market
prices
rather
than
NAV,
shares
may
trade
at
a
price
greater
than
NAV
(a
premium)
or
less
than
NAV
(a
discount).
The
Fund
will
only
issue
or
redeem
shares
aggregated
into
blocks
of 25,000
shares
or
multiples
thereof
(“Creation
Units”)
to
Authorized
Participants
who
have
entered
into
agreements
with
the
Funds’
Distributor.
An
Authorized
Participant
is
either
(1)
a
“Participating
Party,”
(i.e.,
a
broker-dealer
or
other
participant
in
the
clearing
process
of
the
Continuous
Net
Settlement
System
of
the
National
Securities
Clearing
Corpo-
ration)
(“Clearing
Process”),
or
(2)
a
participant
of
Depository
Trust
Company (“DTC
Participant”),
and,
in
each
case,
must
have
executed
an
agreement
(“Participation
Agreement”)
with
the
Distributor
with
respect
to
creations
and
redemptions
of
Creation
Units.
The
Fund
will
issue
or
redeem
Creation
Units
in
return
for
a
basket
of
assets
that
the
Fund
specifies
each
day.
Shares
are
listed
on
the
New
York
Stock
Exchange Arca
("NYSE
Arca") and
are
publicly
traded.
If an
investor buys
or
sells
Fund
shares
on
the
secondary
market, the
investor will
pay
or
receive
the
market
price,
which
may
be
higher
or
lower
than
NAV. The
investor's transaction
will
be
priced
at
NAV
if the
investor purchases
or
redeems
Fund
shares
in
Creation
Units.
Authorized
Participants
purchasing
and
redeeming
Creation
Units
may
pay
a
purchase
transaction
fee
and
a
redemption
transaction
fee
directly
to
the
Fund's
Administrator
to
offset
transfer
and
other
transaction
costs
associated
with
the
issuance
and
redemption
of
Creation
Units,
including
Creation
Units
for
cash.
Additionally,
a
portion
of
the
transaction
fee
is
used
to
offset
transactional
costs
typically
accrued
in
the
Fund's
cus-
tody
expenses
directly
related
to
the
issuance
and
redemption
of
Creation
Units.
An
additional
variable
fee
may
be
charged
for
certain
transactions.
Such
fees
would
be
included
in
the
re-
ceivable
for
capital
shares
issued
on
the
Statement
of
Assets
and
Liabilities
if
they
are
outstanding
as
of
year-
end. Transaction
fees
assessed
during
the
period
are
included
in
the
proceeds
from
shares
issued
on
the
Statements
of
Changes
in
Net
Assets.
G.
Security
Transactions
and
Transactions
with
Affili-
ates:
For
the
year ended
September
30,
2023 purchases
and
sales
of
investment
securities
for
the
Fund,
other
than
long-
term
U.S.
Government
securities,
short-term
investments
and
In-Kind transactions were $42,349,219
and
$12,410,378,
respectively.
For
the
year
ended
September
30,
2023,
pur-
chases
and
sales
of
long-term
U.S
Government
securities
were
$2,036,560
and
$
1,016,820,
respectively. There
were
no
purchases
and
sales
related
to
In-Kind
transactions
for
the
year
ended
September
30,
2023.
The
Fund
invests
in
the
Institutional
Class
of
the
Morgan
Stanley
Institutional
Liquidity
Funds
—
Government
Portfolio
(the
“Liquidity
Fund”),
an
open-end
management
investment
company
managed
by
the
Adviser. Management fees
paid
by
the
Fund
are
reduced
by
an
amount
equal
to
its
pro-rata
share
of
the management
fees
paid
by
the
Fund
due
to
its
invest-
ment
in
the
Liquidity
Fund.
For
the
year ended
September
30,
2023, management
fees
paid
were
reduced
by $434 relating
to
the
Fund’s
investment
in
the
Liquidity
Fund.
A
summary
of
the
Fund’s
transactions
in
shares
of
affiliated
investments
during
the
year ended
September
30,
2023 is
as
follows:
Affiliated
Investment
Company
Value
January
30,
2023
Purchases
at
Cost
Proceeds
from
Sales
Dividend
Income
Liquidity
Fund
$
–
$
14,743,768
$
14,104,375
$
16,190
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
19
Morgan
Stanley
ETF
Trust
H.
Federal
Income
Taxes:
It
is
the
Fund’s
intention
to
continue
to
qualify
as
a
regulated
investment
company
and
distribute
all
of
its
taxable
and
tax
exempt income.
Accordingly,
no
provision
for
federal
income
taxes
is
required
in
the
finan-
cial
statements.
The
Fund
may
be
subject
to
taxes
imposed
by
countries
in
which
it
invests.
Such
taxes
are
generally
based
on
income
and/
or
capital
gains
earned
or
repatriated.
Taxes
are
accrued
based
on
net
investment
income,
net
realized
gains
and
net
unreal-
ized
appreciation
as
such
income
and/or
gains
are
earned.
Taxes
may
also
be
based
on
transactions
in
foreign
currency
and
are
accrued
based
on
the
value
of
investments
denominated
in
such
currency.
FASB
ASC
740-10,
“Income
Taxes—Overall”,
sets
forth
a
minimum
threshold
for
financial
statement
recognition
of
the
benefit
of
a
tax
position
taken
or
expected
to
be
taken
in
a
tax
return.
Management
has
concluded
there
are
no
significant
uncertain
tax
positions
that
would
require
recognition
in
the
financial
statements.
If
applicable,
the
Fund
recognizes
inter-
est
accrued
related
to
unrecognized
tax
benefits
in
“Interest
Expense”
and
penalties
in
“Other
Expenses”
in
the
Statement
of
Operations.
The
Fund
files
tax
returns
with
the
U.S.
Internal
Revenue
Service,
New
York
and
various
states.
The
tax
year
ended
September
30,
2023 remains
subject
to
examination
by
taxing
authorities.
The
tax
character
of
distributions
paid
may
differ
from
the
character
of
distributions
shown
for
GAAP
purposes
due
to
short-term
capital
gains
being
treated
as
ordinary
income
for
tax
purposes.
The
tax
character
of
distributions
paid
during
fiscal
year 2023
was
as
follows:
The
amount
and
character
of
income
and
gains
to
be
distrib-
uted
are
determined
in
accordance
with
income
tax
regulations
which
may
differ
from
GAAP.
These
book/tax
differences
are
either
considered
temporary
or
permanent
in
nature.
Temporary
differences
are
attributable
to
differing
book
and
tax
treatments
for
the
timing
of
the
recognition
of
gains
(loss-
es)
on
certain
investment
transactions
and
the
timing
of
the
deductibility
of
certain
expenses.
The
Fund
had
no
permanent
differences
causing
reclassifica-
tions
among
the
components
of
net
assets
for
the
year ended
September
30,
2023.
At
September
30,
2023,
the
components
of
distributable
earn-
ings
for
the
Fund
on
a
tax
basis
were
as
follows:
At
September
30,
2023,
the
Fund
had
available
for
fed-
eral
income
tax
purposes
unused
short-term
capital
losses
of $49,706 that
do
not
have
an
expiration
date.
To
the
extent
that
capital
loss
carryforwards
are
used
to
offset
any
future
capital
gains
realized,
no
capital
gains
tax
liability
will
be
incurred
by
the
Fund
for
gains
realized
and
not
distrib-
uted.
To
the
extent
that
capital
gains
are
offset,
such
gains
will
not
be
distributed
to
the
shareholders.
I.
Principal
Risks:
Market
Risk:
An
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
governments.
The
risks
associated
with
these
developments
may
be
magnified
if
social,
political,
economic
and
other
conditions
and
events
(such
as
war,
natural
disasters,
health
emergencies
(e.g.,
epidemics
and
pandemics),
terrorism,
conflicts,
social
unrest,
recessions,
inflation,
rapid
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. The
occurrence,
duration
and
extent
of
these
or
other
types
of
adverse
econom-
Affiliated
Investment
Company
(cont'd)
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
September
30,
2023
Liquidity
Fund
$
–
$
–
$
639,393
2023
Distributions
Paid
From:
Ordinary
Long-Term
Income
Capital
Gain
$1,303,015
$–
Undistributed
Undistributed
Ordinary
Long-Term
Income
Capital
Gain
$39,815
$–
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
20
Morgan
Stanley
ETF
Trust
ic
and
market
conditions
and
uncertainty
over
the
long
term
cannot
be
reasonably
projected
or
estimated
at
this
time.
The
ultimate
impact
of
public
health
emergencies
or
other
adverse
economic
or
market
developments
and
the
extent
to
which
the
associated
conditions
impact
the
Fund
and
its
investments
will
also
depend
on
other
future
developments,
which
are
highly
uncertain,
difficult
to
accurately
predict
and
subject
to
change
at
any
time.
The
financial
performance
of
the
Fund’s
invest-
ments
(and,
in
turn,
the
Fund’s
investment
results)
as
well
as
their
liquidity
may
be
adversely
affected
because
of
these
and
similar
types
of
factors
and
developments.
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.
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
and
no
other
authorized
participant
creates
or
redeems,
shares
may
trade
at
a
discount
to
NAV
and
possibly
face
trading
halts
and/or
delisting.
Cash
Transactions
Risk:
Unlike
certain
ETFs,
the
Fund
may
effect
creations
and
redemptions
in
cash
or
partially
in
cash.
Therefore,
it
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
portfolio
securities
in-kind.
As
such,
investments
in
shares
may
be
less
tax-efficient
than
an
investment
in
an
ETF
that
distributes
portfolio
securities
entirely
in-kind.
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.
Disrup-
tions
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
oth-
er
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.
Buying
or
selling
shares
in
the
secondary
market
may
require
paying
brokerage
com-
missions
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.
Large
Shareholder
Transaction
Risk:
The
Fund
may
experience
adverse
effects
when
certain
shareholders
purchase
or
redeem
large
amounts
of
shares
of the
Fund.
In
addition,
a
third
party
investor,
the
Adviser
or
an
affiliate
of
the
Adviser,
an
authorized
participant,
a
lead
market
maker,
or
another
entity
(i.e.,
a
seed
investor)
may
invest
in
the
Fund
and
hold
its
investment
solely
to
facilitate
commencement
of
the
Fund
or
to
facilitate
the
Fund’s
achieving
a
specified
size
or
scale.
Any
such
investment
may
be
held
for
a
limited
period
of
time.
There
can
be
no
assurance
that
any
large
shareholder
would
not
redeem
its
investment,
that
the
size
of
the
Fund
would
be
maintained
at
such
levels
or
that
the
Fund
would
continue
to
meet
applicable
listing
requirements.
Such
larger
than
normal
redemptions
may
cause
the
Fund
to
sell
portfolio
securities
at
times
when
it
would
not
otherwise
do
so,
which
may
negative-
ly
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.
These
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
circumstanc-
es, 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.
LIBOR
Discontinuance
or
Unavailability
Risk:
The
Lon-
don
Interbank
Offering
Rate
(“LIBOR”)
was
a
leading
floating
rate
benchmark
used
in
loans,
notes,
derivatives
and
other
instruments
or
investments.
As
a
result
of
benchmark
reforms,
publication
of
most
LIBOR
settings
has
ceased.
Some
LIBOR
settings
continue
to
be
published
but
only
on
a
temporary,
synthetic
and
non-representative
basis.
Regulated
entities
have
generally
ceased
entering
into
new
LIBOR
contracts
in
con-
nection
with
regulatory
guidance
or
prohibitions.
Public
and
private
sector
actors
have
worked
to
establish
new
or
alternative
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
21
Morgan
Stanley
ETF
Trust
reference
rates
to
be
used
in
place
of
LIBOR.
There
is
no
assur-
ance
that
the
composition
or
characteristics
of
any
such
new
or
alternative
reference
rate
will
be
similar
to
or
produce
the
same
value
or
economic
equivalence
as
LIBOR
or
that
it
will
have
the
same
volume
or
liquidity
as
did
LIBOR
,
which
may
affect
the
value
or
liquidity
or
return
on
certain
of
the
Fund’s
invest-
ments
and
result
in
costs
incurred
in
connection
with
closing
out
positions
and
entering
into
new
trades.
Neither
the
effect
of
the
LIBOR
transition
process
nor
its
ultimate
success
can
yet
be
known.
The
transition
process
might
lead
to
increased
volatility
and
illiquidity
in
markets
for,
and
reduce
the
effectiveness
of
hedges
placed
against,
instru-
ments
whose
terms
currently
include
(or
previously
included)
LIBOR.
While
some
LIBOR-based
instruments
contemplated
a
scenario
where
LIBOR
is
no
longer
available
by
providing
for
an
alternative
rate-setting
methodology,
there
may
be
significant
uncertainty
regarding
the
effectiveness
of
any
such
alternative
methodologies
to
replicate
or
replace
LIBOR.
Some
of
the
Fund’s
investments
may
be
so-called
“tough
legacy”
LIBOR
instruments
which
may
not
have
effective
alternative
rate-setting
provisions
or
may
involve
counterparties
who
are
unwilling
to
add
or
exercise
rights
under
alternative
rate-set-
ting
provisions
in
such
instruments.
On
March
15,
2022,
the
Adjustable
Interest
Rate
(LIBOR)
Act
was
signed
into
law.
This
law
provides
a
statutory
fallback
mechanism
on
a
nationwide
basis
to
replace
U.S.
Dollar
LIBOR
with
a
benchmark
rate
that
is
selected
by
the
Board
of
Governors
of
the
Federal
Re-
serve
System
based
on
the
Secured
Overnight
Financing
Rate
(“SOFR”)
for
tough
legacy
contracts.
On
February
27,
2023,
the
final
rule
in
connection
with
this
law
became
effective,
es-
tablishing
benchmark
replacements
based
on
SOFR
and
Term
SOFR
(a
forward-looking
measurement
of
market
expectations
of
SOFR
implied
from
certain
derivatives
markets)
for
applica-
ble
tough
legacy
contracts
governed
by
U.S.
law.
In
addition,
the
FCA
has
announced
that
it
will
require
the
publication
of
the
one-month,
three-month
and
six-month
U.S.
Dollar
LI-
BOR
settings
on
the
basis
of
a
changed
methodology
(known
as
“synthetic
LIBOR”),
after
June
30,
2023
through
at
least
September
30,
2024,
addressing
non-U.S.
law
governed
U.S.
Dollar
LIBOR
instruments,
but
this
synthetic
LIBOR
will
be
designated
by
the
FCA
as
unrepresentative
of
the
underlying
market
that
it
seeks
to
measure
and
will
be
solely
available
for
use
in
legacy
transactions.
The
transition
of
investments
from
LIBOR
to
a
new
or
replacement
rate
as
a
result
of
amendment,
application
of
existing
fallbacks,
statutory
requirements,
the
ap-
plication
of
synthetic
LIBOR
or
otherwise
may
also
result
in
a
reduction
in
the
value
of
certain
instruments
held
by
the
Fund
or
a
reduction
in
the
effectiveness
of
related
Fund
transactions
such
as
hedges.
In
addition,
a
liquid
market
for
newly-issued
instruments
that
use
a
reference
rate
other
than
LIBOR
is
still
developing.
There
may
also
be
challenges
for
the
Fund
to
enter
into
hedging
transactions
against
such
newly-issued
instru-
ments
until
a
market
for
such
hedging
transactions
more
fully
develops.
All
of
the
aforementioned
may
adversely
affect
the
Fund’s
investments
(including
their
volatility,
value
and
liquidi-
ty)
and,
as
a
result,
the
performance
or
NAV.
J.
Other:
At
September
30,
2023,
the
Fund
had
record
own-
ers
of
10%
or
greater,
which
are
related
parties
of
the
Fund.
In-
vestment
activities
of
these
shareholders
could
have
a
material
impact
on
the
Fund.
The
aggregate
percentage
of
such
owners
was
43.2%.
22
Annual
Report
—
September
30,
2023
Report
of
Independent
Registered
Public
Accounting
Firm
Morgan
Stanley
ETF
Trust
To
the
Shareholders
and
Board
of
Trustees
of
Morgan
Stanley
ETF
Trust
–
Calvert
Ultra
Short
Investment
Grade
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
Calvert
Ultra
Short
Investment
Grade
ETF
(the
“Fund”)
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust
(the
“Trust”)),
including
the
portfolio
of
investments,
as
of
September
30,
2023,
and
the
related
statements
of
operations
and
changes
in
net
assets
and
the
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust)
at
September
30,
2023,
and
the
results
of
its
operations,
the
changes
in
its
net
assets
and
its
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Trust’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
financial
statements
based
on
our
audit.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Trust
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audit
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Trust
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Trust’s
internal
control
over
financial
reporting.
As
part
of
our
audit,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting,
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Trust’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audit
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
September
30,
2023,
by
correspondence
with
the
custodian,
brokers
and
others;
when
replies
were
not
received
from
brokers
and
others,
we
performed
other
auditing
procedures.
Our
audit
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audit
provides
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Morgan
Stanley
investment
companies
since
2000.
Boston,
Massachusetts
November
27,
2023
23
Annual
Report
—
September
30,
2023
Important
Notice
(unaudited)
Morgan
Stanley
ETF
Trust
Reporting
to
Shareholders
The
Fund’s
portfolio
holdings
are
publicly
disseminated
each
day
the
Fund
is
open
for
business
through
financial
reporting
and
news
services,
including
publicly
accessible
Internet
web
sites.
In
addition,
a
basket
composition
file,
which
includes
the
securi-
ty
names
and
share
quantities
to
deliver
in
exchange
for
Creation
Units,
together
with
estimates
and
actual
cash
components
is
publicly
disseminated
daily
prior
to
the
opening
of
the
Exchange
via
the
National
Securities
Clearing
Corporation
(the
“NSCC”),
a
clearing
agency
that
is
registered
with
the
SEC.
The
basket
represents
one
Creation
Unit
of
the
Fund.
The
Trust,
Adviser,
Custo-
dian
and
Distributor
will
not
disseminate
non-public
information
concerning
the
Trust.
The
Trust
provides
a
complete
schedule
of
portfolio
holdings
for
the
second
and
fourth
fiscal
quarters
in
its
Semi-Annual
and
Annual
reports,
and
for
the
first
and
third
fiscal
quarters
in
its
filings
with
the
SEC
as
an
exhibit
to
Form
N-PORT.
The
Fund's
portfolio
holdings
will
be
available
on
the
Fund’s
public
website,
www.calvert.com.
Proxy
Voting
Policy
and
Proxy
Voting
Record
The
Board
of
Trustees
believes
that
the
voting
of
proxies
on
securities
held
by
the
Trust
is
an
important
element
of
the
overall
invest-
ment
process.
As
such,
the
Trustees
have
delegated
the
responsibility
to
vote
such
proxies
to
the
Adviser.
The
Adviser
has
engaged
Calvert
to
provide
proxy
voting
services
with
respect
to
the
Trust.
The
Adviser’s
Proxy
Voting
Policy
speci-
fies
that
each
Fund
will
follow
Calvert’s
Proxy
Voting
Policies
and
Procedures
and
Global
Proxy
Voting
Guidelines.
When
available,
the
Trust’s
proxy
voting
record
for
the
most
recent
12-month
period
ending
June
30,
as
filed
with
the
SEC,
will
be
available
without
charge
on
our
web
site
at
www.calvert.com.
The
Trust’s
proxy
voting
record
will
also
be
available
without
charge
on
the
SEC’s
web
site
at
http://www.sec.gov.
Tailored
Shareholder
Reports
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end
mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
on-
line,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Morgan
Stanley
Funds.
24
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
April
2021
Morgan
Stanley
ETF
Trust
FACTS
WHAT
DOES
MSIM
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
Social
Security
number
and
income
investment
experience
and
risk
tolerance
checking
account
number
and
wire
transfer
instructions
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
MSIM
chooses
to
share;
and
whether
you
can
limit
this
sharing.
Reasons
we
can
share
your
personal
information
Does
MSIM
share?
Can
you
limit
this
sharing?
For
our
everyday
business
purposes
—
such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—
to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
investment
management
affiliates’
everyday
business
purposes
—
information
about
your
transactions,
experiences,
and
creditworthiness
Yes
Yes
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
our
investment
management
affiliates
to
market
to
you
Yes
Yes
For
our
affiliates
to
market
to
you
No
We
don’t
share
For
non-affiliates
to
market
to
you
No
We
don’t
share
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
25
April
2021
Morgan
Stanley
ETF
Trust
To
limit
our
sharing
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Please
note:
If
you
are
a
new
customer,
we
can
begin
sharing
your
information
30
days
from
the
date
we
sent
this
notice.
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice.
However,
you
can
contact
us
at
any
time
to
limit
our
sharing.
Questions?
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Who
we
are
Who
is
providing
this
notice?
Morgan
Stanley
Investment
Management
Inc.
and
its
investment
management
affiliates
(“MSIM”)
(see
Investment
Management
Affiliates
definition
below)
What
we
do
How
does
MSIM
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
We
have
policies
governing
the
proper
handling
of
customer
information
by
personnel
and
requiring
third
parties
that
provide
support
to
adhere
to
appropriate
security
standards
with
respect
to
such
information.
How
does
MSIM
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
open
an
account
or
make
deposits
or
withdrawals
from
your
account
buy
securities
from
us
or
make
a
wire
transfer
give
us
your
contact
information
We
also
collect
your
personal
information
from
others,
such
as
credit
bureaus,
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
sharing
for
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
affiliates
from
using
your
information
to
market
to
you
sharing
for
non-affiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
See
below
for
more
on
your
rights
under
state
law.
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
26
April
2021
Morgan
Stanley
ETF
Trust
Definitions
Investment
Management
Affiliates
MSIM
Investment
Management
Affiliates
include
registered
investment
advisers,
registered
broker-dealers,
and
registered
and
unregistered
funds
in
the
Investment
Management
Division.
Investment
Management
Affiliates
does
not
include
entities
associated
with
Morgan
Stanley
Wealth
Management,
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
Our
affiliates
include
companies
with
a
Morgan
Stanley
name
and
financial
companies
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Non-affiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
MSIM
does
not
share
with
non-affiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
non-affiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
MSIM
doesn’t
jointly
market
Other
Important
Information
Vermont:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
Vermont
residents
with
Non-affiliates
unless
you
provide
us
with
your
written
consent
to
share
such
information.
California:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
California
residents
with
Non-affiliates
and
we
will
limit
sharing
such
personal
information
with
our
Affiliates
to
comply
with
California
privacy
laws
that
apply
to
us.
27
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
Morgan
Stanley
ETF
Trust
Independent
Trustees:
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Frank
L.
Bowman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1944
Trustee
Since
August
2006
President,
Strategic
Decisions,
LLC
(consulting)
(since
February
2009);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
Chairperson
of
the
Compliance
and
Insurance
Committee
(since
October
2015);
formerly,
Chairperson
of
the
Insurance
Sub-
Committee
of
the
Compliance
and
Insurance
Committee
(2007-2015);
served
as
President
and
Chief
Executive
Officer
of
the
Nuclear
Energy
Institute
(policy
organization)
(February
2005-November
2008);
retired
as
Admiral,
U.S.
Navy
after
serving
over
38
years
on
active
duty
including
8
years
as
Director
of
the
Naval
Nuclear
Propulsion
Program
in
the
Department
of
the
Navy
and
the
U.S.
Department
of
Energy
(1996-2004);
served
as
Chief
of
Naval
Personnel
(July
1994-September
1996)
and
on
the
Joint
Staff
as
Director
of
Political
Military
Affairs
(June
1992-July
1994);
knighted
as
Honorary
Knight
Commander
of
the
Most
Excellent
Order
of
the
British
Empire;
awarded
the
Officier
de
l’Orde
National
du
Mérite
by
the
French
Government;
elected
to
the
National
Academy
of
Engineering
(2009).
86
Director
of
Naval
and
Nuclear
Technologies
LLP;
Director
Emeritus
of
the
Armed
Services
YMCA;
Member
of
the
National
Security
Advisory
Council
of
the
Center
for
U.S.
Global
Engagement
and
a
member
of
the
CNA
Military
Advisory
Board;
Chairman
of
Fairhaven
United
Methodist
Church;
Member
of
the
Board
of
Advisors
of
the
Dolphin
Scholarship
Foundation;
Director
of
other
various
nonprofit
organizations;
formerly,
Director
of
BP,
plc
(November
2010-
May
2019).
Frances.
L
Cashman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1961
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Chief
Executive
Officer,
Asset
Management
Division,
Euromoney
Institutional
Investor
PLC
(financial
information)
(May
2021-Present);
Executive
Vice
President
and
various
other
roles,
Legg
Mason
&
Co.
(asset
management)
(2010-2020);
Managing
Director,
Stifel
Nicolaus
(2005-2010).
87
Trustee
and
Investment
Committee
Member,
Georgia
Tech
Foundation
(Since
June
2019);
Trustee
and
Chair
of
Marketing
Committee,
Loyola
Blakefield
(Since
September
2017);
Trustee,
MMI
Gateway
Foundation
(since
September
2017);
Director
and
Investment
Committee
Member,
Catholic
Community
Foundation
Board
(2012–2018);
Director
and
Investment
Committee
Member,
St.
Ignatius
Loyola
Academy
(2011-
2017).
Kathleen
A.
Dennis
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1953
Trustee
Since
August
2006
Chairperson
of
the
Governance
Committee
(since
January
2021),
Chairperson
of
the
Liquidity
and
Alternatives
Sub-
Committee
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
President,
Cedarwood
Associates
(mutual
fund
and
investment
management
consulting)
(since
July
2006);
formerly,
Senior
Managing
Director
of
Victory
Capital
Management
(1993-2006).
86
Board
Member,
University
of
Albany
Foundation
(2012-present);
Board
Member,
Mutual
Funds
Directors
Forum
(2014-present);
Director
of
various
non-profit
organizations.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
28
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Nancy
C.
Everett
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
January
2015
Chairperson
of
the
Equity
Investment
Committee
(since
January
2021);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chief
Executive
Officer,
Virginia
Commonwealth
University
Investment
Company
(since
November
2015);
Owner,
OBIR,
LLC
(institutional
investment
management
consulting)
(since
June
2014);
formerly,
Managing
Director,
BlackRock,
Inc.
(February
2011-December
2013)
and
Chief
Executive
Officer,
General
Motors
Asset
Management
(a/k/a
Promark
Global
Advisors,
Inc.)
(June
2005-May
2010).
87
Formerly,
Member
of
Virginia
Commonwealth
University
School
of
Business
Foundation
(2005-2016);
Member
of
Virginia
Commonwealth
University
Board
of
Visitors
(2013-2015);
Member
of
Committee
on
Directors
for
Emerging
Markets
Growth
Fund,
Inc.
(2007-2010);
Chairperson
of
Performance
Equity
Management,
LLC
(2006-2010);
and
Chairperson,
GMAM
Absolute
Return
Strategies
Fund,
LLC
(2006-2010).
Eddie
A.
Grier
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Dean
Santa
Clara
University
Leavey
School
of
Business
(since
April
2021);
Dean,
Virginia
Commonwealth
University
School
of
Business
(2010-2021);
President
and
various
other
roles,
Walt
Disney
Company
(entertainment
and
media)
(1981-2010).
87
Director,
Witt/Kieffer,
Inc.
(executive
search)
(since
2016);
Director,
NuStar
GP,
LLC
(energy)
(since
August
2021);
Director,
Sonida
Senior
Living,
Inc.
(residential
community
operator)
(2016-2021);
Director,
NVR,
Inc.
(home
building)
(2013-2020);
Director,
Middleburg
Trust
Company
(wealth
management)
(2014-
2019);
Director,
Colonial
Williamsburg
Company
(since2012);
Regent,
University
of
Massachusetts
Global
(since
2021);
Director
and
Chair,
Child
Fund
International
(2012-2021);
Trustee,
Brandman
University
(2010-2021);
Director,
Richmond
Forum
(2012-2019).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
29
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Jakki
L.
Hassler
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1957
Trustee
Since
January
2015
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chairperson
of
the
Audit
Committee
(since
January
2023)
Chairman,
Opus
Capital
Group
(since
1996);
formerly,
Chief
Executive
Officer,
Opus
Capital
Group
(1996-2019);
Director,
Capvest
Venture
Fund,
LP
(May
2000-December
2011);
Partner,
Adena
Ventures,
LP
(July
1999
December
2010);
Director,
The
Victory
Funds
(February
2005-
July
2008).
87
Director
of
Cincinnati
Bell
Inc.
and
Member,
Audit
Committee
and
Chairman,
Governance
and
Nominating
Committee;
Director
of
Service
Corporation
International
and
Member,
Audit
Committee
and
Investment
Committee;
Director,
Barnes
Group
Inc.
(since
July
2021);
Director
of
Northern
Kentucky
University
Foundation
and
Member,
Investment
Committee;
Member
of
Chase
College
of
Law
Transactional
Law
Practice
Center
Board
of
Advisors;
Director
of
Best
Transport;
Director
of
Chase
College
of
Law
Board
of
Visitors;
formerly,
Member,
University
of
Cincinnati
Foundation
Investment
Committee.
Dr.
Manuel
H.
Johnson
c/o
Johnson
Smick
International,
Inc.
2201
I
Street,
NE
Suite
200
Washington,
D.C.
20002
Birth
Year:
1949
Trustee
Since
July
1991
Senior
Partner,
Johnson
Smick
International,
Inc.
(consulting
firm);
Chairperson
of
the
Fixed
Income,
Liquidity
and
Alternatives
Investment
Committee
(since
January
2021),
Chairperson
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
July
1991);
Co-Chairman
and
a
founder
of
the
Group
of
Seven
Council
(G7C)
(international
economic
commission);
formerly,
Chairperson
of
the
Audit
Committee
(July
1991-
September
2006);
Vice
Chairman
of
the
Board
of
Governors
of
the
Federal
Reserve
System
and
Assistant
Secretary
of
the
U.S.
Treasury.
86
Director
of
NVR,
Inc.
(home
construction).
Joseph
J.
Kearns
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1942
Trustee
Since
August
1994
Senior
Adviser,
Kearns
&
Associates
LLC
(investment
consulting);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(August
1994
December
2022);
formerly,
Deputy
Chairperson
of
the
Audit
Committee
(July
2003-September
2006)
and
Chairperson
of
the
Audit
Committee
of
various
Morgan
Stanley
Funds
(since
August
1994);
CFO
of
the
J.
Paul
Getty
Trust
(1982-1999).
87
Director,
Rubicon
Investments
(since
February
2019);
Prior
to
August
2016,
Director
of
Electro
Rent
Corporation
(equipment
leasing).
Prior
to
December
31,
2013,
Director
of
The
Ford
Family
Foundation.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
30
Morgan
Stanley
ETF
Trust
*
This
is
the
earliest
date
the Trustee
began
serving
the
Morgan
Stanley
Funds.
Each Trustee
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
**
The
Fund
Complex
includes
(as
of
December
31,
2022)
all
open-end
and
closed-end
funds
(including
all
of
their
portfolios)
advised
by
Morgan
Stanly
Investment
Management
Inc.
(the
"Adviser")
and
any
funds
that
have
an
adviser
that
is
an
affiliated
person
of
the
Adviser
(including,
but
not
limited
to,
Morgan
Stanley
AIP
GP
LP).
***
This
includes
any
directorships
at
public
companies
and
registered
investment
companies
held
by
the
Trustee
at
any
time
during
the
past
five
years.
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Michael
F.
Klein
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1958
Trustee
Since
August
2006
Chairperson
of
the
Risk
Committee
(since
January
2021);
Managing
Director,
Aetos
Alternatives
Management,
LP
(since
March
2000);
Co-President,
Aetos
Alternatives
Management,
LP
(since
January
2004)
and
Co-Chief
Executive
Officer
of
Aetos
Alternatives
Management,
LP
(since
August
2013);
Chairperson
of
the
Fixed
Income
Sub-Committee
of
the
Investment
Committee
(2006-
2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Managing
Director,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Stanley
Dean
Witter
Investment
Management
and
President,
various
Morgan
Stanley
Funds
(June
1998-March
2000);
Principal,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Dean
Witter
Investment
Management
(August
1997-December
1999).
86
Director
of
certain
investment
funds
managed
or
sponsored
by
Aetos
Alternatives
Management,
LP;
Director
of
Sanitized
AG
and
Sanitized
Marketing
AG
(specialty
chemicals).
Patricia
A.
Maleski
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1960
Trustee
Since
January
2017
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2017);
Managing
Director,
JPMorgan
Asset
Management
(2004-2016);
Oversight
and
Control
Head
of
Fiduciary
and
Conflicts
of
Interest
Program
(2015-2016);
Chief
Control
Officer—Global
Asset
Management
(2013-
2015);
President,
JPMorgan
Funds
(2010-
2013);
Chief
Administrative
Officer
(2004-2013);
various
other
positions
including
Treasurer
and
Board
Liaison
(since
2001).
87
Trustee,
Nutley
Family
Service
Bureau,
Inc.
(since
January
2022).
W.
Allen
Reed
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1947
Chair
of
the
Board
and
Trustee
Chair
of
the
Board
since
August
2020
and
Director
since
August
2006
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(since
August
2020);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Vice
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(January
2020-August
2020);
President
and
Chief
Executive
Officer
of
General
Motors
Asset
Management;
Chairman
and
Chief
Executive
Officer
of
the
GM
Trust
Bank
and
Corporate
Vice
President
of
General
Motors
Corporation
(August
1994-December
2005).
86
Formerly,
Director
of
Legg
Mason,
Inc.
(2006-2019);
and
Director
of
the
Auburn
University
Foundation
(2010-
2015).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
31
Morgan
Stanley
ETF
Trust
Executive
Officers:
The
Fund’s
statement
of
additional
information
incudes
further
information
about
the
Fund’s
Trustees
and
Officers,
and
is
available
without
charge
by
visiting
www.calvert.com
or
upon
request
by
calling
1
(800)
836-2414.
*This
is
the
earliest
date
the
officer
began
serving
the
Morgan
Stanley
Funds.
Each
officer
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
Name,
Address
and
Birth
Year
of
Executive
Officer
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
John
H.
Gernon
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1963
President
and
Principal
Executive
Officer
Since
September
2013
President
and
Principal
Executive
Officer
of
the
Equity
and
Fixed
Income
Funds
and
the
Morgan
Stanley
AIP
Funds
(since
September
2013)
and
the
Liquidity
Funds
and
various
money
market
funds
(since
May
2014)
in
the
Fund
Complex;
Managing
Director
of
the
Adviser.
Deidre
A.
Downes
1633
Broadway
New
York,
NY
10019
Birth
Year:
1977
Chief
Compliance
Officer
Since
November
2021
Executive
Director
of
the
Adviser
(since
January
2021)
and
Chief
Compliance
Officer
of
various
Morgan
Stanley
Funds
(since
November
2021).
Formerly,
Vice
President
and
Corporate
Counsel
at
PGIM
and
Prudential
Financial
(October
2016-December
2020).
Francis
J.
Smith
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1965
Treasurer
and
Principal
Financial
Officer
Treasurer
since
July
2003
and
Principal
Financial
Officer
since
September
2002
Managing
Director
of
the
Adviser
and
various
entities
affiliated
with
the
Adviser;
Treasurer
(since
July
2003)
and
Principal
Financial
Officer
of
various
Morgan
Stanley
Funds
(since
September
2002).
Mary
E.
Mullin
1633
Broadway
New
York,
NY
10019
Birth
Year:
1967
Secretary
Since
June
1999
Managing
Director
of
the
Adviser;
Secretary
of
various
Morgan
Stanley
Funds
(since
June
1999).
Michael
J.
Key
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1979
Vice
President
Since
June
2017
Vice
President
of
the
Equity
and
Fixed
Income
Funds,
Liquidity
Funds,
various
money
market
funds
and
the
Morgan
Stanley
AIP
Funds
in
the
Fund
Complex
(since
June
2017);
Executive
Director
of
the
Adviser;
Head
of
Product
Development
for
Equity
and
Fixed
Income
Funds
(since
August
2013).
Anthony
R.
Rochte
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1968
Vice
President,
Morgan
Stanley
ETF
Trust
Since
September
2022
Managing
Director
and
Global
Head
of
Exchange-Traded
Funds
at
Morgan
Stanley
Investment
Management
(since
March
2022);
Co-Head
of
Goldman
Sachs
Private
Bank
Select
(January
2020
–
March
2022);
Head
of
Fidelity
Institutional
Investments
&
Technology
Solutions
(August
2017
–
January
2020).
32
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Adviser
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
Distributor
Foreside
Fund
Services,
LLC
3
Canal
Plaza
Suite
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ETFCALULTSHORTINVGRDANN
6057927
EXP
11.30.24
Printed
in
U.S.A.
This
Report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
a
current
prospectus.
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
©
2023
Morgan
Stanley.
Morgan
Stanley
Distribution,
Inc.
Morgan
Stanley
ETF
Trust
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
NYSE
Arca:
CVLC
Annual
Report
September
30,
2023
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Table
of
Contents
(unaudited)
1
This
report
is
authorized
for
distribution
only
when
preceded
or
accompanied
by
a
prospectus
or
summary
prospectus
of
the
applicable
Fund
of
Morgan
Stanley
ETF
Trust.
To
receive
a
prospectus
and/or
statement
of
additional
information
(“SAI”),
which
contains
more
complete
information
such
as
investment
objectives,
charges,
expenses,
policies
for
voting
proxies,
risk
considerations
and
describes
in
detail
each
of
the
Fund’s
investment
policies
to
the
prospective
investor,
please
call
toll
free
1
(800)
836-2414.
Please
read
the
prospectuses
carefully
before
you
invest.
Additionally,
you
can
access
Fund
information
including
performance,
characteristics
and
investment
team
commentary,
through
Morgan
Stanley
Investment
Management’s
website:
www.calvert.com.
Market
forecasts
provided
in
this
report
may
not
necessarily
come
to
pass.
There
is
no
guarantee
that
any
sectors
mentioned
will
continue
to
perform
as
discussed
herein
or
that
securities
in
such
sectors
will
be
held
by
the
Fund
in
the
future.
There
is
no
assurance
that
a
fund
will
achieve
its
investment
objective.
Funds
are
subject
to
market
risk,
which
is
the
possibility
that
market
values
of
securities
owned
by
the
Fund
will
decline
and,
therefore,
the
value
of
the
Fund’s
shares
may
be
less
than
what
you
paid
for
them.
Accordingly,
you
can
lose
money
investing
in
this
Fund.
Please
see
the
prospectus
for
more
complete
information
on
investment
risks.
Shareholders’
Letter
........................................................................................
2
Expense
Example
...........................................................................................
3
Investment
Overview
........................................................................................
4
Portfolio
of
Investments
.....................................................................................
6
Statement
of
Assets
and
Liabilities
..........................................................................
15
Statement
of
Operations
....................................................................................
16
Statement
of
Changes
in
Net
Assets
........................................................................
17
Financial
Highlights
.........................................................................................
18
Notes
to
Financial
Statements
...............................................................................
19
Report
of
Independent
Registered
Public
Accounting
Firm
....................................................
25
Federal
Tax
Notice
..........................................................................................
26
Important
Notices
..........................................................................................
27
U.S.
Customer
Privacy
Notice
...............................................................................
28
Trustees
and
Officers
Information
...........................................................................
31
2
Annual
Report
—
September
30,
2023
Shareholders’
Letter
(unaudited)
Morgan
Stanley
ETF
Trust
Dear
Shareholders,
We
are
pleased
to
provide
this
Annual Report,
in
which
you
will
learn
how
your
investment
in Calvert
US
Large-Cap
Core
Respon-
sible
Index
ETF (the
“Fund”)
performed
during
the
period
beginning
January
30,
2023
(when
the
Fund
commenced
operations)
and
ended
September
30,
2023.
Morgan
Stanley
Investment
Management,
the
Fund's
investment
adviser, is
a
client-centric,
investor-led
organization.
Our
global
presence,
intellectual
capital,
and
breadth
of
products
and
services
enable
us
to
partner
with
investors
to
meet
the
evolving
chal-
lenges
of
today’s
financial
markets.
We
aim
to
deliver
superior
investment
service
and
to
empower
our
clients
to
make
the
informed
decisions
that
help
them
reach
their
investment
goals.
As
always,
we
thank
you
for
selecting
Morgan
Stanley
Investment
Management,
and
look
forward
to
working
with
you
in
the
months
and
years
ahead.
Sincerely,
John
H.
Gernon
President
and
Principal
Executive
Officer
October
2023
3
Annual
Report
—
September
30,
2023
Expense
Example
(unaudited)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
Morgan
Stanley
ETF
Trust
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transactional
costs;
and
(2)
ongoing
costs,
which
may
include man-
agement
fees,
and
distribution
and
shareholder
services
fees.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
This
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
six-month
period
ended
September
30,
2023 and
held
for
the
entire
six-month
period.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
table,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
table
under
the
heading
entitled
“Actual
Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical Example
for
Comparison
Purposes
The
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
sales
charges
(loads).
Therefore,
the
information
for
each
class
in
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Beginning
Account
Value
(
4/1/23
)
Actual
Ending
Account
Value
(9/30/23)
Hypothetical
Ending
Account
Value
Actual
Expenses
Paid
During
Period
*
Hypothetical
Expenses
Paid
During
Period
*
Net
Expense
Ratio
During
Period
**
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
$1,000.00
$1,043.40
$1,024.32
$0.77
$0.76
0.15%
*
Expenses
are
calculated
using
the
Fund’s
annualized
net
expense
ratio
(as
disclosed),
multiplied
by
the
average
account
value
over
the
period
and
multiplied
by
183/365
(to
reflect
the
most
recent
one-half
year
period).
**
Annualized.
4
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
Morgan
Stanley
ETF
Trust
Economic
and
Market
Conditions
For
U.S.
equity
investors,
the
8-month
period
ended
September
30,
2023,
was
a
roller-coaster
ride,
driven
largely
by
shifting
perceptions
of
whether
the
U.S.
Federal
Reserve
(the
Fed)
could
bring
the
world’s
largest
economy
in
for
a
soft
landing,
and
changing
expectations
of
how
long
interest
rates
might
remain
high.
As
the
period
opened,
U.S.
stocks
were
in
the
midst
of
a
rally
that
lasted
through
July
2023.
The
initial
tailwind
was
ChatGPT,
an
artificial
intelligence
(AI)
application
that
led
investors
to
perceive
AI
might
become
the
next
big
innovation
to
drive
the
information
technology
(IT)
sector.
As
a
result,
IT
-
one
of
the
worst-performing
sectors
in
2022
-
became
the
standout
sector
during
the
first
half
of
2023.
Earlier
recession
fears
that
had
weighed
on
stock
prices
receded
as
many
inves-
tors
came
around
to
the
view
that
the
U.S.
economy
was
doing
surprisingly
well.
But
in
the
final
two
months
of
the
period,
the
bond
market
halted
the
stock
market’s
momentum.
As
it
became
clear
the
Fed
would
keep
interest
rates
higher
for
longer
than
investors
had
anticipated
just
a
few
months
earlier,
longer
term
bond
rates
rose.
Given
the
potential
for
relatively
attractive
returns
with
lower
risk
than
stocks,
many
investors
shifted
from
equity
assets
to
bonds,
and
stock
prices
ended
on
a
down
note
as
the
period
came
to
a
close.
For
the
period
as
a
whole,
however,
the
August-September
stock
market
retreat
did
not
totally
erase
previous
gains,
and
the
Russell
1000®
Index,
a
measure
of
U.S.
large-cap
stocks,
returned
a
respectable
7.55%.
Fund
Performance
For
the
8-month
period
from
inception
on
January
30,
2023,
through
September
30,
2023,
Calvert
US
Large-Cap
Core
Re-
sponsible
Index
ETF
(the
Fund)
returned
6.85%
based
on
net
asset
value
(NAV)
and
reinvestment
of
distributions
per
share,
net
of
fees.
The
Fund
underperformed
its
primary
benchmark,
the
Russell
1000®
Index
(the
Index),
which
returned
7.55%
and
underperformed
its
secondary
benchmark,
the
Calvert
US
Large-Cap
Core
Responsible
Index
(the
Calvert
Index),
which
returned
6.99%
during
the
period.
The
Fund’s
underperformance
versus
the
Calvert
Index
was
due
to
Fund
expenses
and
fees,
which
the
Calvert
Index
does
not
incur.
Of
the
11
market
sectors
held
by
the
Fund,
communication
services,
consumer
discretionary,
energy,
industrials,
and
infor-
mation
technology
(IT)
delivered
positive
returns
during
the
period.
The
strongest-performing
sectors
were
IT,
energy,
and
consumer
discretionary.
The
weakest-performing
sectors
were
utilities,
real
estate,
and
financials.
Detractors
from
Fund
performance
versus
the
Index
included
stock
selections
and
an
underweight
position
in
the
communi-
cation
services
sector,
as
well
as
stock
selections
and
overweight
positions
in
the
financials
and
health
care
sectors.
In
the
communication
services
sector,
not
owning
Index
po-
sition
Meta
Platforms,
Inc.
(Meta)
-
the
social
media
compa-
ny
behind
Facebook,
Instagram,
and
Messenger
-
detracted
from
returns
relative
to
the
Index
during
the
period.
Meta’s
stock
price
doubled
during
the
period
as
advertising
revenues
rebounded
on
improved
ad
targeting,
while
profit
margins
exceeded
expectations
due
to
more
rational
spending
on
lon-
ger-term
initiatives.
In
the
financials
sector,
not
owning
Index
position
Berk-
shire
Hathaway,
Inc.
(Berkshire
Hathaway)
detracted
from
Index-relative
returns.
Berkshire
Hathaway,
Warren
Buffet’s
Nebraska-based
multinational
conglomerate,
posted
an
all-time
high
for
its
stock
price
in
September
2023,
as
its
core
insurance
businesses
-
including
wholly-owned
subsidiary
GEICO
-
performed
strongly
and
many
of
its
widely
diversified
holdings
delivered
robust
earnings
during
the
period
as
well.
In
contrast,
contributors
to
Fund
performance
versus
the
Index
included
an
overweight
position
in
the
IT
sector,
the
best-per-
forming
sector
within
the
Index
and
the
Fund
during
the
period;
an
underweight
position
in
the
real
estate
sector,
which
delivered
negative
returns
as
property
sales
were
hampered
by
rising
mortgage
rates
and
companies
cut
back
on
office
space
after
the
pandemic;
and
an
underweight
position
in
the
energy
sector.
In
the
IT
sector,
relative
performance
benefited
from
the
Fund’s
overweight
position
in
semiconductor
firm
NVIDIA
Corp.
(NVIDIA),
whose
stock
price
more
than
doubled
during
the
period.
NVIDIA’s
strong
stock
performance
was
driven
by
increased
demand
for
its
high-end
graphics
processing
units
in
the
burgeoning
AI,
industry.
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
5
Morgan
Stanley
ETF
Trust
Performance
data
quoted
represents
past
performance,
which
is
no
guaran-
tee
of
future
results,
and
current
performance
may
be
lower
or
higher
than
the
figures
shown.
Performance
assumes
that
all
dividends
and
distributions,
if
any,
were
reinvested.
For
the
most
recent
month-end
performance
figures,
please
visit
www.calvert.com.
Investment
return
and
principal
value
will
fluctu-
ate
so
that
Fund
shares,
when
sold
or redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Total
returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
selling
or
redemption
of
Fund
shares.
Fund's
total
returns
are
calculated
as
of
the
last
business
day
of
the
period.
*
Minimum
Investment.
**
The
Fund’s
performance
shown
assumes
that
all
recurring
fees
(including
management
fees)
were
deducted
and
all
dividends
and
distributions
were
reinvested.
***
Commenced
Operations
on
January
30,
2023.
Performance
Compared
to
the
Russell
1000
®
Index
(1)
and
the
Calvert
US
Large-Cap
Core
Responsible
Index
(2)
Cumulative
Total
Return
for
the
period
Ended
September
30,
2023
Since
Inception
(3)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
-
NAV
(4)
6.85%
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
-
Market
Price
(4)
7.05%
Russell
1000
®
Index
7.55%
Calvert
US
Large-Cap
Core
Responsible
Index
6.99%
(1)
The
Russell
1000
®
Index
is
an
unmanaged
index
of
1,000
U.S.
large-
cap
stocks.
The
Russell
1000
®
Index
is
an
index
of
approximately
1,000
of
the
largest
U.S.
companies
based
on
a
combination
of
market
capitalization
and
current
index
membership.
The
Index
is
unmanaged
and
its
returns
do
not
include
any
sales
charges
or
fees.
Such
costs
would
lower
performance.
It
is
not
possible
to
invest
directly
in
an
index.
(2)
The
Calvert
US
Large-Cap
Core
Responsible
Index
(the
“Calvert
Index”)
is
composed
of
common
stocks
of
large
companies
that
operate
their
businesses
in
a
manner
consistent
with
the
Calvert
Principles
for
Responsible
Investment.
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
for
Responsible
Investment
serve
as
a
framework
for
considering
environmental,
social
and
governance
factors
that
may
affect
investment
performance.
Stocks
are
weighted
in
the
Calvert
Index
based
on
their
float-adjusted
market
capitalization
within
the
relevant
sector,
subject
to
certain
prescribed
limits.
Unless
otherwise
stated,
index
returns
do
not
reflect
the
effect
of
any
applicable
sales
charges,
commissions,
expenses,
taxes
or
leverage,
as
applicable.
It
is
not
possible
to
invest
directly
in
an
index.
(3)
For
comparative
purposes,
average
annual
since
inception
returns
listed
for
the
Indexes
refer
to
the
inception
date
of
the
Fund,
not
the
inception
of
the
Index.
(4)
Commenced
operations
on
January
30,
2023.
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
6
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Common
Stocks
(99.8%)
Aerospace
&
Defense
(0.2%)
Axon
Enterprise,
Inc.(a)
697
$
138,696
Curtiss-Wright
Corp.
378
73,948
HEICO
Corp.
409
66,229
Hexcel
Corp.
833
54,262
Woodward,
Inc.
593
73,686
406,821
Air
Freight
&
Logistics
(0.7%)
CH
Robinson
Worldwide,
Inc.
826
71,143
Expeditors
International
of
Washington,
Inc.
1,038
118,986
FedEx
Corp.
1,626
430,760
GXO
Logistics,
Inc.(a)
865
50,732
United
Parcel
Service,
Inc.,
Class
B
5,108
796,184
1,467,805
Automobile
Components
(0.2%)
Aptiv
plc(a)
1,987
195,898
Autoliv,
Inc.
624
60,204
BorgWarner,
Inc.
1,687
68,104
Lear
Corp.
421
56,498
Visteon
Corp.(a)
195
26,924
407,628
Automobiles
(2.3%)
Ford
Motor
Co.
27,719
344,270
General
Motors
Co.
9,687
319,381
Harley-Davidson,
Inc.
1,050
34,713
Rivian
Automotive,
Inc.,
Class
A(a)
4,651
112,926
Tesla,
Inc.(a)
16,983
4,249,486
Thor
Industries,
Inc.
375
35,674
5,096,450
Banks
(4.0%)
Bank
of
America
Corp.
51,467
1,409,166
Bank
OZK
850
31,509
BOK
Financial
Corp.
223
17,836
Citigroup,
Inc.
15,109
621,433
Citizens
Financial
Group,
Inc.
3,605
96,614
Columbia
Banking
System,
Inc.
1,623
32,947
Comerica,
Inc.
977
40,594
Commerce
Bancshares,
Inc.
945
45,341
Cullen/Frost
Bankers,
Inc.
470
42,869
East
West
Bancorp,
Inc.
1,092
57,559
Fifth
Third
Bancorp
5,288
133,945
First
Citizens
BancShares,
Inc.,
Class
A
81
111,788
First
Financial
Bankshares,
Inc.
1,093
27,456
First
Horizon
Corp.
4,125
45,458
FNB
Corp.
2,800
30,212
Home
BancShares,
Inc.
1,494
31,284
Huntington
Bancshares,
Inc.
11,173
116,199
JPMorgan
Chase
&
Co.
18,677
2,708,539
KeyCorp
7,129
76,708
M&T
Bank
Corp.
1,288
162,868
New
York
Community
Bancorp,
Inc.
5,584
63,323
Old
National
Bancorp
2,312
33,616
Pinnacle
Financial
Partners,
Inc.
595
39,889
PNC
Financial
Services
Group,
Inc.
(The)
3,117
382,674
Popular,
Inc.
550
34,656
Prosperity
Bancshares,
Inc.
707
38,588
Regions
Financial
Corp.
7,321
125,921
Shares
Value
SouthState
Corp.
594
$
40,012
Synovus
Financial
Corp.
1,135
31,553
Truist
Financial
Corp.
10,432
298,460
U.S.
Bancorp
12,018
397,315
United
Bankshares,
Inc.
1,047
28,887
Valley
National
Bancorp
3,396
29,070
Webster
Financial
Corp.
1,349
54,378
Wells
Fargo
&
Co.
28,711
1,173,131
Western
Alliance
Bancorp
797
36,638
Wintrust
Financial
Corp.
473
35,712
Zions
Bancorp
NA
1,163
40,577
8,724,725
Beverages
(1.8%)
Celsius
Holdings,
Inc.(a)
381
65,379
Coca-Cola
Co.
(The)
27,817
1,557,196
Coca-Cola
Consolidated,
Inc.
42
26,725
Keurig
Dr
Pepper,
Inc.
8,861
279,742
Monster
Beverage
Corp.(a)
6,726
356,142
PepsiCo,
Inc.
9,716
1,646,279
3,931,463
Biotechnology
(3.3%)
AbbVie,
Inc.
12,341
1,839,550
ACADIA
Pharmaceuticals,
Inc.(a)
983
20,486
Alkermes
plc(a)
1,336
37,421
Alnylam
Pharmaceuticals,
Inc.(a)
987
174,798
Amgen,
Inc.
4,199
1,128,523
Apellis
Pharmaceuticals,
Inc.(a)
711
27,047
Arrowhead
Pharmaceuticals,
Inc.(a)
846
22,732
Biogen,
Inc.(a)
1,132
290,935
BioMarin
Pharmaceutical,
Inc.(a)
1,467
129,800
Blueprint
Medicines
Corp.(a)
476
23,905
Denali
Therapeutics,
Inc.(a)
875
18,051
Exact
Sciences
Corp.(a)
1,432
97,691
Exelixis,
Inc.(a)
2,421
52,899
Gilead
Sciences,
Inc.
9,795
734,037
Halozyme
Therapeutics,
Inc.(a)
1,058
40,416
Horizon
Therapeutics
plc(a)
1,806
208,936
Incyte
Corp.(a)
1,456
84,113
Ionis
Pharmaceuticals,
Inc.(a)
1,130
51,257
Moderna,
Inc.(a)
2,584
266,901
Neurocrine
Biosciences,
Inc.(a)
773
86,963
Regeneron
Pharmaceuticals,
Inc.(a)
818
673,181
Sarepta
Therapeutics,
Inc.(a)
688
83,399
Seagen,
Inc.(a)
1,101
233,577
United
Therapeutics
Corp.(a)
360
81,313
Vertex
Pharmaceuticals,
Inc.(a)
2,023
703,478
7,111,409
Broadline
Retail
(3.2%)
Amazon.com,
Inc.(a)
53,460
6,795,835
eBay,
Inc.
3,341
147,305
Etsy,
Inc.(a)
726
46,885
Macy's,
Inc.
1,496
17,369
7,007,394
Building
Products
(1.1%)
A
O
Smith
Corp.
1,214
80,282
AAON,
Inc.
694
39,468
Advanced
Drainage
Systems,
Inc.
676
76,949
Allegion
plc
866
90,237
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
7
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Building
Products
(cont’d)
AZEK
Co.,
Inc.
(The),
Class
A(a)
806
$
23,971
Carlisle
Cos.,
Inc.
843
218,556
Carrier
Global
Corp.
8,288
457,498
Fortune
Brands
Innovations,
Inc.
789
49,044
Johnson
Controls
International
plc
6,702
356,613
Lennox
International,
Inc.
316
118,323
Masco
Corp.
1,409
75,311
Owens
Corning
1,524
207,889
Simpson
Manufacturing
Co.,
Inc.
430
64,418
Trane
Technologies
plc
2,259
458,374
Trex
Co.,
Inc.(a)
685
42,217
UFP
Industries,
Inc.
381
39,014
Zurn
Elkay
Water
Solutions
Corp.
900
25,218
2,423,382
Capital
Markets
(3.8%)
Affiliated
Managers
Group,
Inc.
271
35,322
Ameriprise
Financial,
Inc.
809
266,711
Ares
Management
Corp.,
Class
A
1,154
118,712
Bank
of
New
York
Mellon
Corp.
(The)
6,139
261,828
BlackRock,
Inc.
1,155
746,696
Blackstone,
Inc.
5,525
591,948
Blue
Owl
Capital,
Inc.,
Class
A
3,435
44,518
Carlyle
Group,
Inc.
(The)
1,509
45,511
Cboe
Global
Markets,
Inc.
817
127,624
Charles
Schwab
Corp.
(The)
11,629
638,432
CME
Group,
Inc.
2,813
563,219
Coinbase
Global,
Inc.,
Class
A(a)
1,371
102,935
Evercore,
Inc.,
Class
A
266
36,676
FactSet
Research
Systems,
Inc.
282
123,307
Franklin
Resources,
Inc.
2,293
56,362
Goldman
Sachs
Group,
Inc.
(The)
2,576
833,516
Hamilton
Lane,
Inc.,
Class
A
241
21,796
Houlihan
Lokey,
Inc.,
Class
A
398
42,634
Interactive
Brokers
Group,
Inc.,
Class
A
778
67,344
Intercontinental
Exchange,
Inc.
4,348
478,367
Invesco
Ltd.
3,539
51,386
Jefferies
Financial
Group,
Inc.
1,563
57,253
KKR
&
Co.,
Inc.
5,094
313,790
LPL
Financial
Holdings,
Inc.
594
141,164
MarketAxess
Holdings,
Inc.
264
56,401
Moody's
Corp.
1,169
369,603
Morningstar,
Inc.
194
45,443
MSCI,
Inc.,
Class
A
571
292,969
Nasdaq,
Inc.
2,645
128,521
Northern
Trust
Corp.
1,595
110,821
Raymond
James
Financial,
Inc.
1,485
149,138
S&P
Global,
Inc.
2,354
860,175
SEI
Investments
Co.
859
51,738
State
Street
Corp.
2,490
166,730
Stifel
Financial
Corp.
794
48,783
T
Rowe
Price
Group,
Inc.
1,710
179,328
Tradeweb
Markets,
Inc.,
Class
A
887
71,137
8,297,838
Chemicals
(1.3%)
Air
Products
and
Chemicals,
Inc.
2,168
614,411
Ashland,
Inc.
505
41,248
Axalta
Coating
Systems
Ltd.(a)
2,192
58,965
Shares
Value
Balchem
Corp.
327
$
40,561
Cabot
Corp.
571
39,553
Celanese
Corp.,
Class
A
1,075
134,934
Eastman
Chemical
Co.
1,168
89,609
Ecolab,
Inc.
2,513
425,702
Element
Solutions,
Inc.
2,314
45,378
FMC
Corp.
1,200
80,364
Huntsman
Corp.
1,670
40,748
International
Flavors
&
Fragrances,
Inc.
2,496
170,152
Livent
Corp.(a)
1,865
34,335
Mosaic
Co.
(The)
3,274
116,554
PPG
Industries,
Inc.
2,332
302,694
Sherwin-Williams
Co.
(The)
2,349
599,113
2,834,321
Commercial
Services
&
Supplies
(0.8%)
Casella
Waste
Systems,
Inc.,
Class
A(a)
481
36,700
Cintas
Corp.
539
259,265
Clean
Harbors,
Inc.(a)
426
71,295
Copart,
Inc.(a)
6,422
276,724
MSA
Safety,
Inc.
365
57,542
Republic
Services,
Inc.,
Class
A
1,748
249,108
Rollins,
Inc.
1,883
70,292
Stericycle,
Inc.(a)
804
35,947
Tetra
Tech,
Inc.
442
67,197
Waste
Management,
Inc.
3,447
525,461
1,649,531
Communications
Equipment
(1.0%)
Arista
Networks,
Inc.(a)
1,649
303,301
Ciena
Corp.(a)
979
46,268
Cisco
Systems,
Inc.
26,667
1,433,618
F5,
Inc.(a)
396
63,811
Juniper
Networks,
Inc.
2,099
58,331
Lumentum
Holdings,
Inc.(a)
445
20,105
Motorola
Solutions,
Inc.
1,086
295,653
Viasat,
Inc.(a)
372
6,867
2,227,954
Construction
&
Engineering
(0.3%)
AECOM
1,187
98,568
Comfort
Systems
USA,
Inc.
302
51,464
EMCOR
Group,
Inc.
401
84,366
MasTec,
Inc.(a)
505
36,345
Quanta
Services,
Inc.
1,222
228,599
Valmont
Industries,
Inc.
203
48,763
WillScot
Mobile
Mini
Holdings
Corp.(a)
1,645
68,416
616,521
Construction
Materials
(0.2%)
Summit
Materials,
Inc.,
Class
A(a)
2,008
62,529
Vulcan
Materials
Co.
2,248
454,141
516,670
Consumer
Finance
(0.7%)
Ally
Financial,
Inc.
2,345
62,565
American
Express
Co.
4,642
692,540
Capital
One
Financial
Corp.
2,955
286,783
Credit
Acceptance
Corp.(a)
50
23,006
Discover
Financial
Services
1,966
170,314
FirstCash
Holdings,
Inc.
296
29,712
OneMain
Holdings,
Inc.
952
38,166
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
8
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Consumer
Finance
(cont’d)
SLM
Corp.
1,750
$
23,835
SoFi
Technologies,
Inc.(a)
7,464
59,637
Synchrony
Financial
3,333
101,890
1,488,448
Consumer
Staples
Distribution
&
Retail
(2.1%)
Albertsons
Cos.,
Inc.,
Class
A
3,714
84,493
BJ's
Wholesale
Club
Holdings,
Inc.(a)
840
59,951
Casey's
General
Stores,
Inc.
328
89,059
Costco
Wholesale
Corp.
2,749
1,553,075
Dollar
General
Corp.
1,344
142,195
Dollar
Tree,
Inc.(a)
1,371
145,943
Kroger
Co.
(The)
6,363
284,744
Performance
Food
Group
Co.(a)
1,342
78,990
Sprouts
Farmers
Market,
Inc.(a)
929
39,761
Sysco
Corp.
4,503
297,423
Target
Corp.
2,863
316,562
U.S.
Foods
Holding
Corp.(a)
2,188
86,864
Walmart,
Inc.
8,915
1,425,776
4,604,836
Containers
&
Packaging
(0.5%)
AptarGroup,
Inc.
664
83,027
Avery
Dennison
Corp.
787
143,761
Ball
Corp.
3,107
154,666
Berry
Global
Group,
Inc.
1,169
72,373
Crown
Holdings,
Inc.
1,186
104,937
Graphic
Packaging
Holding
Co.
3,011
67,085
Packaging
Corp.
of
America
873
134,049
Sealed
Air
Corp.
1,481
48,666
Silgan
Holdings,
Inc.
882
38,023
Sonoco
Products
Co.
963
52,339
Westrock
Co.
2,495
89,321
988,247
Distributors
(0.1%)
Genuine
Parts
Co.
877
126,621
LKQ
Corp.
1,664
82,385
Pool
Corp.
238
84,752
293,758
Diversified
Consumer
Services
(0.1%)
Bright
Horizons
Family
Solutions,
Inc.(a)
417
33,969
Duolingo,
Inc.,
Class
A(a)
210
34,833
H&R
Block,
Inc.
1,131
48,701
Service
Corp.
International
1,090
62,282
179,785
Diversified
Telecommunication
Services
(0.8%)
AT&T,
Inc.
46,849
703,672
Iridium
Communications,
Inc.
816
37,120
Verizon
Communications,
Inc.
27,565
893,381
1,634,173
Electric
Utilities
(1.1%)
Alliant
Energy
Corp.
2,149
104,119
Avangrid,
Inc.
626
18,886
Constellation
Energy
Corp.
2,755
300,515
Evergy,
Inc.
1,934
98,054
Eversource
Energy
2,970
172,705
Exelon
Corp.
8,456
319,552
IDACORP,
Inc.
425
39,801
Shares
Value
NextEra
Energy,
Inc.
16,579
$
949,811
NRG
Energy,
Inc.
1,930
74,344
PNM
Resources,
Inc.
739
32,967
Portland
General
Electric
Co.
831
33,639
Xcel
Energy,
Inc.
4,689
268,305
2,412,698
Electrical
Equipment
(1.2%)
Acuity
Brands,
Inc.
309
52,626
AMETEK,
Inc.
2,279
336,745
Atkore,
Inc.(a)
370
55,200
Eaton
Corp.
plc
3,749
799,587
Emerson
Electric
Co.
5,649
545,524
EnerSys
258
24,425
Generac
Holdings,
Inc.(a)
607
66,139
Hubbell,
Inc.,
Class
B
530
166,107
nVent
Electric
plc
1,602
84,890
Plug
Power,
Inc.(a)
3,214
24,427
Regal
Rexnord
Corp.
668
95,444
Rockwell
Automation,
Inc.
1,137
325,034
Sensata
Technologies
Holding
plc
1,499
56,692
Sunrun,
Inc.(a)
1,213
15,235
2,648,075
Electronic
Equipment,
Instruments
&
Components
(1.0%)
Advanced
Energy
Industries,
Inc.
384
39,598
Amphenol
Corp.,
Class
A
5,882
494,029
Arrow
Electronics,
Inc.(a)
345
43,208
Avnet,
Inc.
581
27,998
Badger
Meter,
Inc.
303
43,593
Belden,
Inc.
420
40,551
CDW
Corp.
882
177,952
Cognex
Corp.
1,705
72,360
Coherent
Corp.(a)
1,173
38,287
Corning,
Inc.
5,035
153,416
Insight
Enterprises,
Inc.(a)
177
25,754
IPG
Photonics
Corp.(a)
186
18,886
Jabil,
Inc.
829
105,192
Keysight
Technologies,
Inc.(a)
1,749
231,410
Littelfuse,
Inc.
249
61,583
National
Instruments
Corp.
863
51,452
Novanta,
Inc.(a)
357
51,208
TD
SYNNEX
Corp.
258
25,764
Teledyne
Technologies,
Inc.(a)
465
189,990
Trimble,
Inc.(a)
2,452
132,065
Vishay
Intertechnology,
Inc.
846
20,913
Zebra
Technologies
Corp.,
Class
A(a)
332
78,528
2,123,737
Energy
Equipment
&
Services
(0.2%)
Baker
Hughes
Co.,
Class
A
15,239
538,241
Entertainment
(1.4%)
AMC
Entertainment
Holdings,
Inc.,
Class
A(a)
1,170
9,348
Atlanta
Braves
Holdings,
Inc.,
Class
C(a)
404
14,435
Electronic
Arts,
Inc.
1,619
194,928
Liberty
Media
Corp-Liberty
Formula
One,
Class
A(a)
1,802
101,885
Liberty
Media
Corp-Liberty
Live,
Class
A(a)
493
15,737
Live
Nation
Entertainment,
Inc.(a)
1,058
87,856
Madison
Square
Garden
Sports
Corp.
112
19,746
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
9
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Entertainment
(cont’d)
Netflix,
Inc.(a)
2,864
$
1,081,446
ROBLOX
Corp.,
Class
A(a)
3,025
87,604
Roku,
Inc.,
Class
A(a)
805
56,825
Take-Two
Interactive
Software,
Inc.(a)
1,012
142,075
Walt
Disney
Co.
(The)(a)
13,530
1,096,606
Warner
Bros
Discovery,
Inc.(a)
17,151
186,260
Warner
Music
Group
Corp.,
Class
A
937
29,422
3,124,173
Financial
Services
(2.9%)
Affirm
Holdings,
Inc.,
Class
A(a)
1,437
30,565
Block,
Inc.,
Class
A(a)
3,501
154,954
Equitable
Holdings,
Inc.
2,789
79,180
Essent
Group
Ltd.
816
38,589
Euronet
Worldwide,
Inc.(a)
311
24,687
Fidelity
National
Information
Services,
Inc.
3,864
213,563
Fiserv,
Inc.(a)
3,961
447,435
Jack
Henry
&
Associates,
Inc.
477
72,094
Mastercard,
Inc.,
Class
A
5,470
2,165,628
MGIC
Investment
Corp.
2,260
37,719
PayPal
Holdings,
Inc.(a)
7,140
417,404
Radian
Group,
Inc.
1,235
31,011
Shift4
Payments,
Inc.,
Class
A(a)
372
20,598
Toast,
Inc.,
Class
A(a)
2,384
44,652
Visa,
Inc.,
Class
A
10,489
2,412,575
Voya
Financial,
Inc.
823
54,688
Western
Union
Co.
(The)
2,525
33,280
WEX,
Inc.(a)
272
51,160
6,329,782
Food
Products
(1.3%)
Bunge
Ltd.
1,315
142,349
Campbell
Soup
Co.
1,760
72,301
Conagra
Brands,
Inc.
4,208
115,383
Darling
Ingredients,
Inc.(a)
1,402
73,184
Flowers
Foods,
Inc.
1,745
38,704
General
Mills,
Inc.
5,161
330,252
Hershey
Co.
(The)
1,336
267,307
Hormel
Foods
Corp.
2,555
97,167
Ingredion,
Inc.
563
55,399
J.M.
Smucker
Co.
(The)
889
109,267
Kellogg
Co.
2,318
137,944
Kraft
Heinz
Co.
(The)
7,167
241,098
Lamb
Weston
Holdings,
Inc.
1,253
115,852
Lancaster
Colony
Corp.
168
27,725
McCormick
&
Co.,
Inc.
(Non-Voting)
2,336
176,695
Mondelez
International,
Inc.,
Class
A
12,139
842,447
Simply
Good
Foods
Co.
(The)(a)
861
29,722
2,872,796
Gas
Utilities
(0.1%)
National
Fuel
Gas
Co.
759
39,400
New
Jersey
Resources
Corp.
835
33,926
ONE
Gas,
Inc.
468
31,955
Southwest
Gas
Holdings,
Inc.
608
36,729
UGI
Corp.
1,806
41,538
183,548
Ground
Transportation
(1.0%)
Avis
Budget
Group,
Inc.(a)
180
32,344
Shares
Value
JB
Hunt
Transport
Services,
Inc.
588
$
110,850
Knight-Swift
Transportation
Holdings,
Inc.,
Class
A
1,093
54,814
Landstar
System,
Inc.
254
44,943
Old
Dominion
Freight
Line,
Inc.
664
271,669
Ryder
System,
Inc.
327
34,973
Saia,
Inc.(a)
185
73,750
Uber
Technologies,
Inc.(a)
12,793
588,350
Union
Pacific
Corp.
4,291
873,776
XPO,
Inc.(a)
831
62,042
2,147,511
Health
Care
Equipment
&
Supplies
(3.6%)
Abbott
Laboratories
13,124
1,271,059
Align
Technology,
Inc.(a)
563
171,895
Baxter
International,
Inc.
3,942
148,771
Becton
Dickinson
&
Co.
2,279
589,190
Boston
Scientific
Corp.(a)
11,463
605,246
CONMED
Corp.
242
24,406
Cooper
Cos.,
Inc.
(The)
381
121,162
DENTSPLY
SIRONA,
Inc.
1,699
58,038
Dexcom,
Inc.(a)
3,004
280,273
Edwards
Lifesciences
Corp.(a)
4,731
327,764
Envista
Holdings
Corp.(a)
1,328
37,025
GE
HealthCare
Technologies,
Inc.
3,084
209,835
Globus
Medical,
Inc.,
Class
A(a)
586
29,095
Haemonetics
Corp.(a)
400
35,832
Hologic,
Inc.(a)
1,902
131,999
ICU
Medical,
Inc.(a)
142
16,900
IDEXX
Laboratories,
Inc.(a)
646
282,476
Inari
Medical,
Inc.(a)
386
25,244
Inspire
Medical
Systems,
Inc.(a)
232
46,038
Insulet
Corp.(a)
535
85,327
Intuitive
Surgical,
Inc.(a)
2,745
802,336
iRhythm
Technologies,
Inc.(a)
239
22,528
Lantheus
Holdings,
Inc.(a)
540
37,519
Masimo
Corp.(a)
366
32,091
Medtronic
plc
10,465
820,037
Merit
Medical
Systems,
Inc.(a)
455
31,404
Neogen
Corp.(a)
1,763
32,686
Novocure
Ltd.(a)
646
10,433
Penumbra,
Inc.(a)
283
68,461
QuidelOrtho
Corp.(a)
388
28,340
ResMed,
Inc.
1,132
167,389
Shockwave
Medical,
Inc.(a)
280
55,748
STERIS
plc
776
170,270
Stryker
Corp.
2,794
763,516
Teleflex,
Inc.
365
71,690
Zimmer
Biomet
Holdings,
Inc.
1,656
185,836
7,797,859
Health
Care
Providers
&
Services
(1.4%)
agilon
health,
Inc.(a)
2,283
40,546
AMN
Healthcare
Services,
Inc.(a)
297
25,298
Centene
Corp.(a)
4,231
291,431
Chemed
Corp.
116
60,285
CVS
Health
Corp.
10,079
703,716
DaVita,
Inc.(a)
424
40,081
Elevance
Health,
Inc.
1,847
804,221
Encompass
Health
Corp.
790
53,056
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
10
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Health
Care
Providers
&
Services
(cont’d)
Ensign
Group,
Inc.
(The)
439
$
40,796
HealthEquity,
Inc.(a)
546
39,885
Henry
Schein,
Inc.(a)
1,035
76,849
Humana,
Inc.
970
471,924
Laboratory
Corp.
of
America
Holdings
695
139,730
Molina
Healthcare,
Inc.(a)
450
147,551
Option
Care
Health,
Inc.(a)
1,363
44,093
Progyny,
Inc.(a)
628
21,365
Quest
Diagnostics,
Inc.
888
108,212
R1
RCM,
Inc.(a)
1,148
17,300
Select
Medical
Holdings
Corp.
860
21,732
3,148,071
Health
Care
Technology
(0.1%)
Doximity,
Inc.,
Class
A(a)
796
16,891
Veeva
Systems,
Inc.,
Class
A(a)
949
193,074
209,965
Hotels,
Restaurants
&
Leisure
(1.9%)
Airbnb,
Inc.,
Class
A(a)
2,625
360,176
Aramark
2,299
79,775
Booking
Holdings,
Inc.(a)
232
715,476
Chipotle
Mexican
Grill,
Inc.,
Class
A(a)
245
448,798
Choice
Hotels
International,
Inc.
230
28,177
Darden
Restaurants,
Inc.
1,063
152,243
Domino's
Pizza,
Inc.
311
117,804
Expedia
Group,
Inc.(a)
922
95,031
Hilton
Grand
Vacations,
Inc.(a)
586
23,850
Hilton
Worldwide
Holdings,
Inc.
1,902
285,642
Hyatt
Hotels
Corp.,
Class
A
333
35,325
Marriott
International,
Inc.,
Class
A
1,869
367,371
Marriott
Vacations
Worldwide
Corp.
226
22,742
Planet
Fitness,
Inc.,
Class
A(a)
625
30,738
Starbucks
Corp.
9,861
900,014
Texas
Roadhouse,
Inc.,
Class
A
581
55,834
Vail
Resorts,
Inc.
284
63,017
Wendy's
Co.
(The)
1,539
31,411
Wingstop,
Inc.
255
45,859
Wyndham
Hotels
&
Resorts,
Inc.
624
43,393
Yum!
Brands,
Inc.
2,502
312,600
4,215,276
Household
Durables
(0.5%)
D.R.
Horton,
Inc.
2,521
270,932
KB
Home
678
31,378
Leggett
&
Platt,
Inc.
844
21,446
Lennar
Corp.,
Class
A
2,203
247,243
Meritage
Homes
Corp.
304
37,207
Mohawk
Industries,
Inc.(a)
327
28,060
Newell
Brands,
Inc.
2,543
22,963
NVR,
Inc.(a)
27
161,009
PulteGroup,
Inc.
1,885
139,584
Taylor
Morrison
Home
Corp.,
Class
A(a)
905
38,562
Tempur
Sealy
International,
Inc.
1,055
45,724
TopBuild
Corp.(a)
264
66,422
Whirlpool
Corp.
330
44,121
1,154,651
Household
Products
(1.4%)
Church
&
Dwight
Co.,
Inc.
1,523
139,552
Shares
Value
Clorox
Co.
(The)
762
$
99,868
Colgate-Palmolive
Co.
5,156
366,643
Kimberly-Clark
Corp.
2,100
253,785
Procter
&
Gamble
Co.
(The)
14,678
2,140,933
3,000,781
Independent
Power
and
Renewable
Electricity
Producers
(0.1%)
AES
Corp.
(The)
5,590
84,968
Brookfield
Renewable
Corp.
1,111
26,597
Clearway
Energy,
Inc.,
Class
C
985
20,843
Ormat
Technologies,
Inc.
449
31,394
163,802
Insurance
(2.5%)
Aflac,
Inc.
4,208
322,964
Allstate
Corp.
(The)
2,033
226,497
American
Financial
Group,
Inc.
612
68,342
American
International
Group,
Inc.
5,584
338,390
Arch
Capital
Group
Ltd.(a)
2,817
224,543
Assurant,
Inc.
406
58,293
Axis
Capital
Holdings
Ltd.
612
34,498
Brown
&
Brown,
Inc.
1,749
122,150
Cincinnati
Financial
Corp.
1,202
122,953
Enstar
Group
Ltd.(a)
97
23,474
Erie
Indemnity
Co.,
Class
A
198
58,170
Everest
Group
Ltd.
329
122,279
Fidelity
National
Financial,
Inc.
2,025
83,632
First
American
Financial
Corp.
740
41,803
Globe
Life,
Inc.
729
79,264
Hanover
Insurance
Group,
Inc.
(The)
267
29,632
Hartford
Financial
Services
Group,
Inc.
(The)
2,412
171,035
Kinsale
Capital
Group,
Inc.
169
69,988
Lincoln
National
Corp.
1,336
32,986
Markel
Group,
Inc.(a)
102
150,194
Marsh
&
McLennan
Cos.,
Inc.
3,872
736,842
MetLife,
Inc.
5,008
315,053
Old
Republic
International
Corp.
2,141
57,679
Primerica,
Inc.
274
53,159
Principal
Financial
Group,
Inc.
1,878
135,347
Progressive
Corp.
(The)
4,586
638,830
Prudential
Financial,
Inc.
2,838
269,298
Reinsurance
Group
of
America,
Inc.
510
74,047
RenaissanceRe
Holdings
Ltd.
387
76,595
RLI
Corp.
315
42,805
Ryan
Specialty
Holdings,
Inc.,
Class
A(a)
732
35,429
Selective
Insurance
Group,
Inc.
464
47,871
Travelers
Cos.,
Inc.
(The)
1,790
292,325
Unum
Group
1,541
75,802
W.
R.
Berkley
Corp.
1,604
101,838
White
Mountains
Insurance
Group
Ltd.
16
23,931
Willis
Towers
Watson
plc
823
171,974
5,529,912
Interactive
Media
&
Services
(4.0%)
Alphabet,
Inc.,
Class
A(a)
64,701
8,466,773
IAC,
Inc.(a)
505
25,447
Pinterest,
Inc.,
Class
A(a)
3,761
101,660
Snap,
Inc.,
Class
A(a)
6,495
57,870
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
11
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Interactive
Media
&
Services
(cont’d)
ZoomInfo
Technologies,
Inc.,
Class
A(a)
1,989
$
32,620
8,684,370
IT
Services
(1.7%)
Accenture
plc,
Class
A
4,346
1,334,700
Akamai
Technologies,
Inc.(a)
978
104,196
Amdocs
Ltd.
795
67,170
Cloudflare,
Inc.,
Class
A(a)
1,862
117,380
Cognizant
Technology
Solutions
Corp.,
Class
A
3,320
224,897
DXC
Technology
Co.(a)
1,396
29,079
EPAM
Systems,
Inc.(a)
371
94,861
Gartner,
Inc.(a)
565
194,140
International
Business
Machines
Corp.
5,970
837,591
MongoDB,
Inc.,
Class
A(a)
444
153,562
Okta,
Inc.,
Class
A(a)
986
80,369
Snowflake,
Inc.,
Class
A(a)
1,943
296,832
Twilio,
Inc.,
Class
A(a)
1,125
65,846
VeriSign,
Inc.(a)
599
121,315
3,721,938
Leisure
Products
(0.1%)
Brunswick
Corp.
682
53,878
Hasbro,
Inc.
797
52,713
Mattel,
Inc.(a)
2,227
49,061
155,652
Life
Sciences
Tools
&
Services
(2.1%)
10X
Genomics,
Inc.,
Class
A(a)
690
28,463
Agilent
Technologies,
Inc.
2,316
258,975
Avantor,
Inc.(a)
5,280
111,303
Bio-Rad
Laboratories,
Inc.,
Class
A(a)
167
59,861
Bio-Techne
Corp.
1,247
84,883
Bruker
Corp.
791
49,279
Charles
River
Laboratories
International,
Inc.(a)
402
78,784
Danaher
Corp.
5,118
1,269,776
Fortrea
Holdings,
Inc.(a)
699
19,985
Illumina,
Inc.(a)
1,226
168,305
IQVIA
Holdings,
Inc.(a)
1,427
280,762
Medpace
Holdings,
Inc.(a)
181
43,826
Mettler-Toledo
International,
Inc.(a)
171
189,480
PerkinElmer,
Inc.
973
107,711
Repligen
Corp.(a)
412
65,512
Thermo
Fisher
Scientific,
Inc.
2,802
1,418,288
Waters
Corp.(a)
458
125,588
West
Pharmaceutical
Services,
Inc.
577
216,496
4,577,277
Machinery
(3.3%)
AGCO
Corp.
617
72,979
Allison
Transmission
Holdings,
Inc.
883
52,150
Caterpillar,
Inc.
4,114
1,123,122
Chart
Industries,
Inc.(a)
424
71,707
CNH
Industrial
NV
9,255
111,985
Cummins,
Inc.
1,381
315,503
Deere
&
Co.
2,387
900,806
Donaldson
Co.,
Inc.
1,197
71,389
Dover
Corp.
1,380
192,524
Esab
Corp.
590
41,430
Flowserve
Corp.
1,294
51,462
Shares
Value
Fortive
Corp.
3,481
$
258,151
Franklin
Electric
Co.,
Inc.
406
36,227
Graco,
Inc.
1,660
120,981
IDEX
Corp.
748
155,599
Illinois
Tool
Works,
Inc.
2,990
688,627
Ingersoll
Rand,
Inc.
4,004
255,135
ITT,
Inc.
827
80,972
Lincoln
Electric
Holdings,
Inc.
557
101,257
Middleby
Corp.
(The)(a)
525
67,200
Mueller
Industries,
Inc.
568
42,691
Nordson
Corp.
506
112,924
Oshkosh
Corp.
663
63,270
Otis
Worldwide
Corp.
4,079
327,584
PACCAR,
Inc.
5,094
433,092
Parker-Hannifin
Corp.
1,267
493,522
Pentair
plc
1,631
105,607
Snap-on,
Inc.
522
133,141
SPX
Technologies,
Inc.(a)
454
36,956
Stanley
Black
&
Decker,
Inc.
1,494
124,869
Timken
Co.
(The)
657
48,283
Toro
Co.
(The)
1,026
85,261
Watts
Water
Technologies,
Inc.,
Class
A
271
46,834
Westinghouse
Air
Brake
Technologies
Corp.
1,759
186,929
Xylem,
Inc.
2,381
216,742
7,226,911
Media
(1.0%)
Cable
One,
Inc.
29
17,854
Charter
Communications,
Inc.,
Class
A(a)
653
287,202
Comcast
Corp.,
Class
A
26,782
1,187,514
Interpublic
Group
of
Cos.,
Inc.
(The)
2,842
81,452
Liberty
Broadband
Corp.,
Class
C(a)
875
79,905
New
York
Times
Co.
(The),
Class
A
1,199
49,399
Nexstar
Media
Group,
Inc.,
Class
A
248
35,556
Omnicom
Group,
Inc.
1,454
108,294
Paramount
Global,
Class
B
4,192
54,077
Sirius
XM
Holdings,
Inc.
5,177
23,400
TEGNA,
Inc.
1,685
24,550
Trade
Desk,
Inc.
(The),
Class
A(a)
2,876
224,759
2,173,962
Metals
&
Mining
(0.6%)
ATI,
Inc.(a)
2,178
89,625
Commercial
Metals
Co.
1,974
97,535
Nucor
Corp.
3,403
532,059
Reliance
Steel
&
Aluminum
Co.
987
258,821
Steel
Dynamics,
Inc.
2,641
283,168
1,261,208
Multi-Utilities
(0.9%)
Ameren
Corp.
2,220
166,123
Black
Hills
Corp.
561
28,381
CMS
Energy
Corp.
2,482
131,819
Consolidated
Edison,
Inc.
2,942
251,629
Dominion
Energy,
Inc.
7,108
317,514
DTE
Energy
Co.
1,739
172,648
NiSource,
Inc.
3,532
87,170
Public
Service
Enterprise
Group,
Inc.
4,244
241,526
Sempra
5,362
364,777
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
12
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Multi-Utilities
(cont’d)
WEC
Energy
Group,
Inc.
2,685
$
216,277
1,977,864
Oil,
Gas
&
Consumable
Fuels
(0.3%)
Denbury,
Inc.(a)
837
82,034
Occidental
Petroleum
Corp.
9,437
612,273
694,307
Paper
&
Forest
Products
(0.0%)(b)
Louisiana-Pacific
Corp.
445
24,595
Passenger
Airlines
(0.2%)
Alaska
Air
Group,
Inc.(a)
929
34,448
American
Airlines
Group,
Inc.(a)
4,625
59,246
Delta
Air
Lines,
Inc.
4,516
167,092
Southwest
Airlines
Co.
4,190
113,423
374,209
Personal
Care
Products
(0.1%)
BellRing
Brands,
Inc.(a)
847
34,922
Coty,
Inc.,
Class
A(a)
2,195
24,079
elf
Beauty,
Inc.(a)
318
34,926
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
1,424
205,839
299,766
Pharmaceuticals
(3.7%)
Bristol-Myers
Squibb
Co.
16,414
952,669
Catalent,
Inc.(a)
1,402
63,833
Elanco
Animal
Health,
Inc.(a)
3,989
44,836
Eli
Lilly
&
Co.
5,426
2,914,467
Jazz
Pharmaceuticals
plc(a)
493
63,814
Merck
&
Co.,
Inc.
17,537
1,805,434
Organon
&
Co.
2,070
35,935
Perrigo
Co.
plc
1,101
35,177
Pfizer,
Inc.
41,742
1,384,582
Royalty
Pharma
plc,
Class
A
3,020
81,963
Zoetis,
Inc.,
Class
A
3,619
629,634
8,012,344
Professional
Services
(1.1%)
Alight,
Inc.,
Class
A(a)
2,736
19,398
Automatic
Data
Processing,
Inc.
2,689
646,920
Booz
Allen
Hamilton
Holding
Corp.,
Class
A
950
103,806
Broadridge
Financial
Solutions,
Inc.
760
136,078
Ceridian
HCM
Holding,
Inc.(a)
974
66,086
Concentrix
Corp.
253
20,268
Dun
&
Bradstreet
Holdings,
Inc.
1,745
17,432
Equifax,
Inc.
898
164,496
ExlService
Holdings,
Inc.(a)
1,075
30,143
Exponent,
Inc.
376
32,186
FTI
Consulting,
Inc.(a)
245
43,710
Genpact
Ltd.
1,125
40,725
Insperity,
Inc.
260
25,376
ManpowerGroup,
Inc.
374
27,422
Maximus,
Inc.
450
33,606
Paychex,
Inc.
2,108
243,116
Paycom
Software,
Inc.
334
86,596
Paylocity
Holding
Corp.(a)
269
48,877
Robert
Half,
Inc.
778
57,012
Science
Applications
International
Corp.
345
36,411
SS&C
Technologies
Holdings,
Inc.
1,427
74,975
Shares
Value
TransUnion
1,425
$
102,301
TriNet
Group,
Inc.(a)
283
32,964
Verisk
Analytics,
Inc.,
Class
A
1,067
252,068
2,341,972
Real
Estate
Management
&
Development
(0.3%)
CBRE
Group,
Inc.,
Class
A(a)
2,622
193,661
CoStar
Group,
Inc.(a)
2,965
227,979
Howard
Hughes
Holdings,
Inc.(a)
314
23,277
Jones
Lang
LaSalle,
Inc.(a)
404
57,037
Zillow
Group,
Inc.,
Class
C(a)
1,390
64,162
566,116
Semiconductors
&
Semiconductor
Equipment
(7.8%)
Advanced
Micro
Devices,
Inc.(a)
10,490
1,078,582
Allegro
MicroSystems,
Inc.(a)
466
14,884
Amkor
Technology,
Inc.
644
14,554
Analog
Devices,
Inc.
3,305
578,672
Applied
Materials,
Inc.
5,468
757,045
Broadcom,
Inc.
2,646
2,197,715
Cirrus
Logic,
Inc.(a)
363
26,848
Diodes,
Inc.(a)
291
22,942
Enphase
Energy,
Inc.(a)
838
100,686
Entegris,
Inc.
974
91,468
First
Solar,
Inc.(a)
651
105,195
Intel
Corp.
27,453
975,954
KLA
Corp.
896
410,959
Lam
Research
Corp.
864
541,529
Lattice
Semiconductor
Corp.(a)
891
76,564
Marvell
Technology,
Inc.
5,584
302,262
Microchip
Technology,
Inc.
3,495
272,785
Micron
Technology,
Inc.
7,147
486,210
MKS
Instruments,
Inc.
620
53,655
Monolithic
Power
Systems,
Inc.
297
137,214
NVIDIA
Corp.
14,135
6,148,584
ON
Semiconductor
Corp.(a)
2,801
260,353
Onto
Innovation,
Inc.(a)
319
40,679
Power
Integrations,
Inc.
370
28,235
Qorvo,
Inc.(a)
644
61,483
QUALCOMM,
Inc.
7,311
811,960
Rambus,
Inc.(a)
712
39,722
Silicon
Laboratories,
Inc.(a)
196
22,714
Skyworks
Solutions,
Inc.
1,042
102,731
SolarEdge
Technologies,
Inc.(a)
350
45,329
Teradyne,
Inc.
1,005
100,962
Texas
Instruments,
Inc.
5,947
945,632
Universal
Display
Corp.
278
43,643
Wolfspeed,
Inc.(a)
762
29,032
16,926,782
Software
(11.2%)
Adobe,
Inc.(a)
2,971
1,514,913
Altair
Engineering,
Inc.,
Class
A(a)
354
22,146
ANSYS,
Inc.(a)
561
166,926
Appfolio,
Inc.,
Class
A(a)
113
20,637
AppLovin
Corp.,
Class
A(a)
1,083
43,277
Aspen
Technology,
Inc.(a)
181
36,971
Atlassian
Corp.,
Class
A(a)
981
197,681
Autodesk,
Inc.(a)
1,400
289,674
BILL
Holdings,
Inc.(a)
661
71,765
Box,
Inc.,
Class
A(a)
932
22,564
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
13
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Software
(cont’d)
Cadence
Design
Systems,
Inc.(a)
1,757
$
411,665
Confluent,
Inc.,
Class
A(a)
1,295
38,345
Crowdstrike
Holdings,
Inc.,
Class
A(a)
1,412
236,341
Datadog,
Inc.,
Class
A(a)
1,735
158,041
DocuSign,
Inc.,
Class
A(a)
1,318
55,356
Dolby
Laboratories,
Inc.,
Class
A
388
30,753
Dropbox,
Inc.,
Class
A(a)
1,716
46,727
Dynatrace,
Inc.(a)
1,553
72,572
Elastic
NV(a)
513
41,676
Fair
Isaac
Corp.(a)
179
155,467
Five9,
Inc.(a)
464
29,835
Fortinet,
Inc.(a)
4,257
249,801
Gen
Digital,
Inc.
3,843
67,944
Guidewire
Software,
Inc.(a)
534
48,060
HashiCorp,
Inc.,
Class
A(a)
501
11,438
HubSpot,
Inc.(a)
313
154,152
Intuit,
Inc.
1,784
911,517
Manhattan
Associates,
Inc.(a)
402
79,459
Microsoft
Corp.
42,547
13,434,215
New
Relic,
Inc.(a)
429
36,731
Nutanix,
Inc.,
Class
A(a)
1,563
54,517
Oracle
Corp.
10,242
1,084,833
Palo
Alto
Networks,
Inc.(a)
1,975
463,019
PTC,
Inc.(a)
770
109,094
Qualys,
Inc.(a)
237
36,154
Roper
Technologies,
Inc.
697
337,543
Salesforce,
Inc.(a)
6,172
1,251,558
SentinelOne,
Inc.,
Class
A(a)
1,459
24,599
ServiceNow,
Inc.(a)
1,333
745,094
Smartsheet,
Inc.,
Class
A(a)
841
34,027
Splunk,
Inc.(a)
1,004
146,835
SPS
Commerce,
Inc.(a)
238
40,605
Synopsys,
Inc.(a)
988
453,462
Tenable
Holdings,
Inc.(a)
734
32,883
Teradata
Corp.(a)
663
29,848
Tyler
Technologies,
Inc.(a)
274
105,802
VMware,
Inc.,
Class
A(a)
1,403
233,571
Workday,
Inc.,
Class
A(a)
1,339
287,684
Workiva,
Inc.(a)
308
31,213
Zoom
Video
Communications,
Inc.,
Class
A(a)
1,455
101,763
Zscaler,
Inc.(a)
556
86,508
24,347,261
Specialty
Retail
(2.3%)
Academy
Sports
&
Outdoors,
Inc.
488
23,068
Advance
Auto
Parts,
Inc.
329
18,401
Asbury
Automotive
Group,
Inc.(a)
124
28,529
AutoNation,
Inc.(a)
179
27,101
AutoZone,
Inc.(a)
113
287,019
Bath
&
Body
Works,
Inc.
1,438
48,604
Best
Buy
Co.,
Inc.
1,212
84,198
Burlington
Stores,
Inc.(a)
388
52,496
CarMax,
Inc.(a)
981
69,386
Chewy,
Inc.,
Class
A(a)
494
9,020
Dick's
Sporting
Goods,
Inc.
380
41,260
Five
Below,
Inc.(a)
336
54,062
Floor
&
Decor
Holdings,
Inc.,
Class
A(a)
651
58,916
GameStop
Corp.,
Class
A(a)
1,638
26,962
Shares
Value
Home
Depot,
Inc.
(The)
6,217
$
1,878,529
Lithia
Motors,
Inc.,
Class
A
166
49,025
Lowe's
Cos.,
Inc.
3,593
746,769
O'Reilly
Automotive,
Inc.(a)
372
338,096
Penske
Automotive
Group,
Inc.
116
19,379
RH(a)
109
28,815
Ross
Stores,
Inc.
2,094
236,517
TJX
Cos.,
Inc.
(The)
7,136
634,248
Tractor
Supply
Co.
675
137,059
Ulta
Beauty,
Inc.(a)
306
122,232
Wayfair,
Inc.,
Class
A(a)
492
29,800
Williams-Sonoma,
Inc.
396
61,538
5,111,029
Technology
Hardware,
Storage
&
Peripherals
(7.5%)
Apple,
Inc.
90,408
15,478,755
Dell
Technologies,
Inc.,
Class
C
1,599
110,171
Hewlett
Packard
Enterprise
Co.
8,479
147,280
HP,
Inc.
5,657
145,385
NetApp,
Inc.
1,392
105,625
Pure
Storage,
Inc.,
Class
A(a)
1,894
67,464
Seagate
Technology
Holdings
plc
1,351
89,099
Western
Digital
Corp.(a)
2,070
94,454
16,238,233
Textiles,
Apparel
&
Luxury
Goods
(0.6%)
Capri
Holdings
Ltd.(a)
735
38,668
Columbia
Sportswear
Co.
223
16,524
Crocs,
Inc.(a)
378
33,351
Deckers
Outdoor
Corp.(a)
162
83,283
Lululemon
Athletica,
Inc.(a)
691
266,457
NIKE,
Inc.,
Class
B
7,330
700,895
PVH
Corp.
393
30,068
Ralph
Lauren
Corp.,
Class
A
247
28,674
Skechers
USA,
Inc.,
Class
A(a)
840
41,118
Tapestry,
Inc.
1,456
41,860
VF
Corp.
2,236
39,510
1,320,408
Trading
Companies
&
Distributors
(0.5%)
Air
Lease
Corp.,
Class
A
1,075
42,366
Applied
Industrial
Technologies,
Inc.
377
58,288
Beacon
Roofing
Supply,
Inc.(a)
306
23,614
Core
&
Main,
Inc.,
Class
A(a)
859
24,782
Fastenal
Co.
3,556
194,300
GATX
Corp.
352
38,308
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
293
28,758
SiteOne
Landscape
Supply,
Inc.(a)
270
44,131
United
Rentals,
Inc.
674
299,640
WESCO
International,
Inc.
268
38,544
WW
Grainger,
Inc.
282
195,099
987,830
Water
Utilities
(0.1%)
American
Water
Works
Co.,
Inc.
1,649
204,195
Essential
Utilities,
Inc.
2,251
77,277
281,472
Wireless
Telecommunication
Services
(0.2%)
T-Mobile
US,
Inc.(a)
3,558
498,298
Total
Common
Stocks
(Cost
$208,912,814)
217,313,841
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
14
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Short-Term
Investment
(0.2%)
Investment
Company
(0.2%
)
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
(See
Note
G)
(Cost
$455,946)
455,946
$
455,946
Total
Investments
(100.0%)
(Cost
$209,368,760)
(c)
217,769,787
Other
Assets
in
Excess
of
Liabilities
(0.0%)
(b)
106,235
NET
ASSETS
(100.0%)
$217,876,022
(a)
Non-income
producing
security.
(b)
Amount
is
less
than
0.05%.
(c)
At
September
30,
2023,
the
aggregate
cost
for
federal
income
tax
purposes
is
$209,381,363.
The
aggregate
gross
unrealized
appreciation
is
$16,652,113
and
the
aggregate
gross
unrealized
depreciation
is
$8,263,689
,
resulting
in
net
unrealized
appreciation
of
$8,388,424.
Portfolio
Composition
Classification
Percentage
of
Total
Investments
Other*
73.5
%
Software
11.2
Semiconductors
&
Semiconductor
Equipment
7.8
Technology
Hardware,
Storage
&
Peripherals
7.5
Total
Investments
100.0
%
*
Industries
and/or
investment
types
representing
less
than
5%
of
total
investments.
Annual
Report
—
September
30,
2023
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
15
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Assets
and
Liabilities
September
30,
2023
Assets:
Investments
in
Securities
of
Unaffiliated
Issuers,
at
Value
(Cost
$208,912,814)
$
217,313,841
Investment
in
Security
of
Affiliated
Issuer,
at
Value
(Cost
$455,946)
455,946
Total
Investments
in
Securities,
at
Value
(Cost
$209,368,760)
217,769,787
Cash
194
Dividends
Receivable
133,733
Total
Assets
217,903,714
Liabilities:
Payable
for
Management
Fee
27,692
Total
Liabilities
27,692
Net
Assets
$
217,876,022
Net
Assets
Consist
of:
Paid-in-Capital
$
209,929,193
Total
Distributable
Earnings
7,946,829
Net
Assets
$
217,876,022
Shares
Outstanding
$0.001
Par
Value
(unlimited
shares
authorized)
4,102,000
Net
Asset
Value
Per
Share
$
53
.11
Annual
Report
—
September
30,
2023
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
16
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Operations
Period
from
January
30,
2023
^
to
September
30,
2023
Investment
Income:
Dividends
from
Securities
of
Unaffiliated
Issuers
(Net
of
$273
of
Foreign
Taxes
Withheld)
$
1,421,260
Dividends
from
Security
of
Affiliated
Issuer
(Note
G)
13,207
Total
Investment
Income
1,434,467
Expenses:
Management
Fee
(Note
B)
153,041
Total
Expenses
153,041
Rebate
from
Morgan
Stanley
Affiliate
(Note
G)
(
362
)
Net
Expenses
152,679
Net
Investment
Income
1,281,788
Realized
Gain
(Loss):
Investments
Sold
(
585,115
)
Net
Realized
Loss
(
585,115
)
Change
in
Unrealized
Appreciation
(Depreciation):
Investments
8,401,027
Net
Change
in
Unrealized
Appreciation
(Depreciation)
8,401,027
Net
Realized
Loss
and
Change
in
Unrealized
Appreciation
(Depreciation)
7,815,912
Net
Increase
in
Net
Assets
Resulting
from
Operations
$
9,097,700
^
Commencement
of
Operations.
Annual
Report
—
September
30,
2023
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
17
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Changes
in
Net
Assets
Period
from
January
30,
2023
^
to
September
30,
2023
Increase
(Decrease)
in
Net
Assets:
Operations:
Net
Investment
Income
$
1,281,788
Net
Realized
Loss
(
585,115
)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
8,401,027
Net
Increase
in
Net
Assets
Resulting
from
Operations
9,097,700
Dividends
and
Distributions
to
Shareholders:
Dividends
and
Distributions
(
1,150,871
)
Total
Dividends
and
Distributions
to
Shareholders
(
1,150,871
)
Capital
Share
Transactions:
Subscribed
20,100,000
Subscribed
In-Kind
189,829,193
Net
Increase
in
Net
Assets
Resulting
from
Capital
Share
Transactions
209,929,193
Total
Increase
in
Net
Assets
217,876,022
Net
Assets:
Beginning
of
Period
–
End
of
Period
$
217,876,022
Capital
Share
Transactions:
Beginning
of
Period
–
Shares
Subscribed
402,000
Shares
Subscribed
In-Kind
3,700,000
Shares
Outstanding,
End
of
Period
Net
Increase
in
4,102,000
^
Commencement
of
Operations.
Annual
Report
—
September
30,
2023
Financial
Highlights
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
18
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Selected
Per
Share
Data
and
Ratios
Period
from
January
30,
2023
(1)
to
September
30,
2023
Net
Asset
Value,
Beginning
of
Period
$
50
.00
Income
(Loss)
from
Investment
Operations:
—
Net
Investment
Income
(2)
0
.45
Net
Realized
and
Unrealized
Gain
2
.98
Total
from
Investment
Operations
3
.43
Distributions
from
and/or
in
Excess
of:
—
Net
Investment
Income
(
0
.32
)
Net
Asset
Value,
End
of
Period
$
53
.11
Total
Return
(3)
6
.85
%
(4)
Ratios
to
Average
Net
Assets
and
Supplemental
Data:
$217,876
Net
Assets,
End
of
Period
(Thousands)
$
217,876
Ratio
of
Expenses
0
.15
%
(5)
(6)
Ratio
of
Net
Investment
Income
1
.25
%
(5)
(6)
Ratio
of
Rebate
from
Morgan
Stanley
Affiliates
0
.00
%
(5)
(7)
Portfolio
Turnover
Rate
6
%
(4)
(8)
(1)
Commencement
of
Operations.
(2)
Per
share
amount
is
based
on
average
shares
outstanding.
(3)
Calculated
based
on
the
net
asset
value
as
of
the
last
business
day
of
the
period.
(4)
Not
annualized.
(5)
Annualized.
(6)
The
Ratio
of
Expenses
and
Ratio
of
Net
Investment
Income
reflect
the
rebate
of
certain
Fund
expenses
in
connection
with
the
investments
in
Morgan
Stanley
affiliates
during
the
period.
The
effect
of
the
rebate
on
the
ratios
is
disclosed
in
the
above
table
as
“Ratio
of
Rebate
from
Morgan
Stanley
Affiliates.”
(7)
Amount
is
less
than
0.005%.
(8)
In-kind
transactions
are
not
included
in
portfolio
turnover
calculations.
19
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
Morgan
Stanley
ETF
Trust
Morgan
Stanley
ETF
Trust
(the
“Trust”)
is
an
open-end,
management
investment
company
established
under
Delaware
law
as
a
Delaware
statutory
trust.
Pursuant
to
its
Declaration
of
Trust dated
May
31,
2016,
and
Amended
and
Restated
on
September
28,
2022
(the
“Declaration
of
Trust”), the
Trust
is
authorized
to establish
multiple
series.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”).
The
Trust
applies
investment
company
accounting
and
report-
ing
guidance
Accounting
Standard
Codification
("ASC")
Topic
946.In
the
preparation
of
these
financial
statements,
manage-
ment
has
evaluated
subsequent
events
occurring
after
the
date
of
the
Fund's
Statement
of
Assets
and
Liabilities
through
the
date
that
the
financial
statements
were
issued.
The
accompanying
financial
statements
relate
to
the
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
(the
"Fund"),
which
seeks
to
track
the
performance
of
the
Calvert
US
Large-
Cap
Core
Responsible
Index.
The
Fund
is
diversified.
A.
Significant
Accounting
Policies:
The
following
signifi-
cant
accounting
policies
are
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“GAAP”).
Such
policies
are
consistently
followed
by
the Trust
in
the
preparation
of
its
financial
statements.
GAAP
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
and
disclosures
in
the
financial
statements.
Actual
results
may
differ
from
those
estimates.
1.
Security
Valuation:
(1)
An
equity
portfolio
security
list-
ed
or
traded
on
an
exchange
is
valued
at
its
latest
reported
sales
price
(or
at
the
exchange
official
closing
price
if
such
exchange
reports
an
official
closing
price),
and
if
there
were
no
sales
on
a
given
day
and
if
there
is
no
official
ex-
change
closing
price
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
relevant
ex-
changes.
If
only
bid
prices
are
available
then
the
latest
bid
price
may
be
used.
Listed
equity
securities
not
traded
on
the
valuation
date
with
no
reported
bid
and
asked
prices
available
on
the
exchange
are
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers.
In
cases
where
a
securi-
ty
is
traded
on
more
than
one
exchange,
the
security
is
valued
on
the
exchange
designated
as
the
primary
market;
(2)
all
other
equity
portfolio
securities
for
which
over-the-
counter
(“OTC”)
market
quotations
are
readily
available
are
valued
at
the
latest
reported
sales
price
(or
at
the
mar-
ket
official
closing
price
if
such
market
reports
an
official
closing
price),
and
if
there
was
no
trading
in
the
security
on
a
given
day
and
if
there
is
no
official
closing
price
from
relevant
markets
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
rel-
evant
markets.
An
unlisted
equity
security
that
does
not
trade
on
the
valuation
date
and
for
which
bid
and
asked
prices
from
the
relevant
markets
are
unavailable
is
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers;
(3)
fixed
income
securities
may
be
valued
by
an
outside
pricing
service/vendor
approved
by
the
Trust’s
Board
of
Trustees
(the
“Trustees”).
The
pricing
service/vendor
may
employ
a
pricing
model
that
takes
into
account,
among
other
things,
bids,
yield
spreads
and/or
other
market
data
and
specific
security
characteristics.
If
Morgan
Stanley
Investment
Management
Inc.
(the
“Adviser”)
a
whol-
ly-owned
subsidiary
of
Morgan
Stanley,
determines
that
the
price
provided
by
the
outside
pricing
service/vendor
or
exchange
does
not
reflect
the
security’s
fair
value
or
is
unable
to
provide
a
price,
prices
from
brokers
or
dealers
may
also
be
utilized.
In
these
circumstances,
the
value
of
the
security
will
be
the
mean
of
bid
and
asked
prices
obtained
from
reputable brokers/dealers;
(4)
when
market
quotations
are
not
readily
available,
as
defined
by
Rule
2a-5
under
the
Act,
including
circumstances
under
which
the
Adviser
determines
that
the
closing
price,
last
sale
price
or
the
mean
between
the
last
reported
bid
and
asked
prices
are
not
reflective
of
a
security’s
market
value,
port-
folio
securities
are
valued
at
their
fair
value
as
determined
in
good
faith
under
procedures
established
by
and
under
the
general
supervision
of
the
Trustees; and
(5)
invest-
ments
in
mutual
funds,
including
the
Morgan
Stanley
Institutional
Liquidity
Funds,
are
valued
at
the
net
asset
value
(“NAV”)
as
of
the
close
of
each
business
day.
In
connection
with
Rule
2a-5
of
the
Act,
the
Trust-
ees
have
designated
the
Trust's
Adviser
as
its
valuation
designee.
The
valuation
designee
has
responsibility
for
determining
fair
value
and
to
make
the
actual
calculations
pursuant
to
the
fair
valuation
methodologies
previously
approved
by
the
Trustees.
Under
procedures
approved
by
the
Trustees,
the
Trust’s
Adviser
has
formed
a
Valuation
Committee
whose
members
are
approved
by
the
Trustees.
The
Valuation
Committee
provides
administration
and
oversight
of
the
Trust’s
valuation
policies
and
procedures,
which
are
reviewed
at
least
annually
by
the
Trustees.
These
procedures
allow
the Trust
to
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers
and
other
market
sources
to
determine
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
20
Morgan
Stanley
ETF
Trust
fair
value.
2.
Fair
Value
Measurement:
Financial
Accounting
Stan-
dards
Board
(“FASB”)
Accounting
Standards
Codifica-
tion
TM
("ASC"),
“Fair
Value
Measurement”
(“ASC
820”),
defines
fair
value
as
the
price
that
would
be
received
to
sell
an
asset
or
pay to
transfer
a
liability
in
an orderly
transaction
between
market
participants
at
the
measure-
ment
date. ASC
820
establishes
a
three tier
hierarchy
to
distinguish
between
(1)
inputs
that
reflect
the
assump-
tions
market
participants
would
use
in
valuing
an
asset
or
liability
developed
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity
(observable
inputs)
and
(2)
inputs
that
reflect
the
reporting
entity’s
own
assumptions
about
the
assumptions
market
partici-
pants
would
use
in
valuing
an
asset
or
liability
developed
based
on
the
best
information
available
in
the
circum-
stances
(unobservable
inputs)
and
to
establish
classifica-
tion
of
fair
value
measurements
for
disclosure
purposes.
Various
inputs
are
used
in
determining
the
value
of
the
Fund’s
investments.
The
inputs
are
summarized
in
the
three
broad
levels
listed
below:
Level
1
–
unadjusted
quoted
prices
in
active
markets
for
identical
investments.
Level
2
-
other
significant
observable
inputs
(includ-
ing
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
Level
3
-
significant
unobservable
inputs
including
the
Fund’s
own
assumptions
in
determin-
ing
the
fair
value
of
investments.
Factors
considered
in
making
this
determination
may
include,
but
are
not
limited
to,
infor-
mation
obtained
by
contacting
the
issuer,
analysts,
or
the
appropriate
stock
exchange
(for
exchange-traded
securities),
analysis
of
the
issuer’s
financial
statements
or
other
available
documents
and,
if
necessary,
available
information
concerning
other
securities
in
similar
circumstances.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
mea-
surement
in
its
entirety
requires
judgment
and
considers
factors
specific
to
each
security.
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's
investments
as
of
September
30,
2023:
Transfers
between
investment
levels
may
occur
as
the
markets
fluctuate
and/or
the
availability
of
data
used
in
an
investment’s
valuation
changes.
3.
Indemnifications:
The Trust
enters
into
contracts
that
contain
a
variety
of
indemnification
clauses.
The
Trust’s
maximum
exposure
under
these
arrangements
is
un-
known
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund
that
have
not yet
occurred.
4.
Dividends
and
Distributions
to
Shareholders:
Divi-
dends
and
distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Dividends
from
net
investment
in-
come,
if
any,
are
declared
and
paid
quarterly.
Net
realized
capital
gains,
if
any,
are
distributed
at
least
annually.
5.
Security
Transactions,
Income
and
Expenses:
Security
transactions
are
accounted
for
on
the
trade
date
(date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
the
sale
of
investment
securities
are
deter-
mined
on
the
specific
identified
cost
method.
Dividend
income
and
other
distributions
are
recorded
on
the
ex-dividend
date
(except
for
certain
foreign
dividends
which
may
be
recorded
as
soon
as
the
Fund
is
informed
of
such
dividends)
net
of
applicable
withholding
taxes.
Non-cash
dividends
received
in
the
form
of
stock,
if
any,
are
recognized
on
the
ex-dividend
date
and
recorded
as
non-cash
dividend
at
fair
value.
B.
Management Fees:
The
Adviser
provides
investment
advice
and
portfolio
management
services
pursuant
to
a
Management
Agreement
(the
“Agreement”)
and,
subject
to
the
supervision
of
the
Trust’s
Trustees,
makes
or
oversees
the
Fund’s
day-to-day
investment
decisions,
arranges
for
the
execution
of
portfolio
transactions
and
generally
manages
the
Fund’s
invest-
ments.
As
compensation
for
its
services,
the
Adviser
is paid
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Assets:
Common
Stocks
$
217,314
(1)
$
—
$
—
$
217,314
Short-Term
Investment
Investment
Company
456
—
—
456
Total
Assets
$217,770
$—
$—
$217,770
(1)
The
level
classification
by
major
category
of
investments
is
the
same
as
the
category
presentation
in
the
Portfolio
of
Investments.
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
21
Morgan
Stanley
ETF
Trust
monthly
at
the
annual
rate
of
0.15% of
the
average
daily
net
assets
of
the
Fund.
Under
the
Agreement,
the
Adviser pays sub-
stantially
all
the
expenses
of
the
Fund
(including
expenses
of
the
Trust
relating
to
the
Fund),
except
for
the
distribution
fees,
if
any,
brokerage
expenses,
acquired
fund
fees
and
expenses,
taxes,
interest,
litigation
expenses,
and
other
extraordinary
expenses,
including
the
costs
of
proxies,
not
incurred
in
the
ordinary
course
of
the
Fund’s
business.
C.
Distribution
and
Shareholder Services
Plan:
The
Trustees
have
adopted
a
distribution
and
services
plan
("Plan")
pursuant
Rule
12b-1
under the
Act.
Under the
Plan,
the
Fund
is
authorized
to
pay
distribution
fees
in
connection
with
the
sale
of
its
shares
and
pay
service
fees
in
connection
with
the
provision
of
ongoing
services
to
shareholders
of
the
Fund
and
the
maintenance
of
shareholder
accounts
in
an
amount
up
to
0.25%
of
its
average
daily
net
assets.
No
Rule
12b-1
fees
are
currently
paid
by
the
Fund
and
there
are
no
current
plans
to
impose
these
fees.
D.
Dividend
Disbursing
and
Transfer
Agent:
The
Trust’s
dividend
disbursing
and
transfer
agent
is
JPMorgan
Chase
Bank,
N.A.
("JPMorgan").
E.
Custodian
and
Administrator:
JPMorgan also
serves
as
Custodian
and
Administrator for
the
Trust in
accordance
with
a
Custodian
and
Administration Agreement.
F.
Issuance
and
Redemption
of
Fund
Shares:
The
Fund
is
an
exchange-traded
fund
or
ETF.
Individual
Fund
shares
may
only
be
purchased
and
sold
on
a
national
securi-
ties
exchange
through
a
broker-dealer
and
investors
may
pay
a
commission
to
such
broker-dealers
in
connection
with
their
purchase
or
sale.
The
price
of
Fund
shares
is
based
on
market
price,
and
because
ETF
shares
trade
at
market
prices
rather
than
NAV,
shares
may
trade
at
a
price
greater
than
NAV
(a
premium)
or
less
than
NAV
(a
discount).
The
Fund
will
only
issue
or
redeem
shares
aggregated
into
blocks
of 50,000
shares
or
multiples
thereof
(“Creation
Units”)
to
Authorized
Participants
who
have
entered
into
agreements
with
the
Funds’
Distributor.
An
Authorized
Participant
is
either
(1)
a
“Participating
Party,”
(i.e.,
a
broker-dealer
or
other
participant
in
the
clearing
process
of
the
Continuous
Net
Settlement
System
of
the
National
Securities
Clearing
Corpo-
ration)
(“Clearing
Process”),
or
(2)
a
participant
of
Depository
Trust
Company (“DTC
Participant”),
and,
in
each
case,
must
have
executed
an
agreement
(“Participation
Agreement”)
with
the
Distributor
with
respect
to
creations
and
redemptions
of
Creation
Units.
The
Fund
will
issue
or
redeem
Creation
Units
in
return
for
a
basket
of
assets
that
the
Fund
specifies
each
day.
Shares
are
listed
on
the
New
York
Stock
Exchange Arca
("NYSE
Arca") and
are
publicly
traded.
If an
investor buys
or
sells
Fund
shares
on
the
secondary
market, the
investor will
pay
or
receive
the
market
price,
which
may
be
higher
or
lower
than
NAV. The
investor's transaction
will
be
priced
at
NAV
if the
investor purchases
or
redeems
Fund
shares
in
Creation
Units.
Authorized
Participants
purchasing
and
redeeming
Creation
Units
may
pay
a
purchase
transaction
fee
and
a
redemption
transaction
fee
directly
to
the
Fund's
Administrator
to
offset
transfer
and
other
transaction
costs
associated
with
the
issuance
and
redemption
of
Creation
Units,
including
Creation
Units
for
cash.
Additionally,
a
portion
of
the
transaction
fee
is
used
to
offset
transactional
costs
typically
accrued
in
the
Fund's
cus-
tody
expenses
directly
related
to
the
issuance
and
redemption
of
Creation
Units.
An
additional
variable
fee
may
be
charged
for
certain
transactions.
Such
fees
would
be
included
in
the
re-
ceivable
for
capital
shares
issued
on
the
Statement
of
Assets
and
Liabilities
if
they
are
outstanding
as
of
year-
end. Transaction
fees
assessed
during
the
period
are
included
in
the
proceeds
from
shares
issued
on
the
Statements
of
Changes
in
Net
Assets.
G.
Security
Transactions
and
Transactions
with
Af-
filiates:
For
the
year ended
September
30,
2023 purchases
and
sales
of
investment
securities
for
the
Fund,
other
than
long-term
U.S.
Government
securities,
short-term
investments
and
In-Kind transactions were $30,639,523
and
$7,848,500,
respectively.
There
were
no
purchases
and
sales
of
long-term
U.S.
Government
securities
for
the
year
ended
September
30,
2023. Purchases
and
Sales
related
to
In-Kind
transactions
were
$186,707,569 and
$0 for
year end.
The
Fund
invests
in
the
Institutional
Class
of
the
Morgan
Stanley
Institutional
Liquidity
Funds
—
Government
Portfolio
(the
“Liquidity
Fund”),
an
open-end
management
investment
company
managed
by
the
Adviser. Management fees
paid
by
the
Fund
are
reduced
by
an
amount
equal
to
its
pro-rata
share
of
the management
fees
paid
by
the
Fund
due
to
its
invest-
ment
in
the
Liquidity
Fund.
For
the
year ended
September
30,
2023, management
fees
paid
were
reduced
by $362 relating
to
the
Fund’s
investment
in
the
Liquidity
Fund.
A
summary
of
the
Fund’s
transactions
in
shares
of
affiliated
investments
during
the
year ended
September
30,
2023 is
as
follows:
Affiliated
Investment
Company
Value
January
30,
2023
Purchases
at
Cost
Proceeds
from
Sales
Dividend
Income
Liquidity
Fund
$
–
$
2,548,568
$
2,092,622
$
13,207
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
22
Morgan
Stanley
ETF
Trust
H.
Federal
Income
Taxes:
It
is
the
Fund’s
intention
to
continue
to
qualify
as
a
regulated
investment
company
and
distribute
all
of
its
taxable
and
tax
exempt income.
Accordingly,
no
provision
for
federal
income
taxes
is
required
in
the
finan-
cial
statements.
The
Fund
may
be
subject
to
taxes
imposed
by
countries
in
which
it
invests.
Such
taxes
are
generally
based
on
income
and/
or
capital
gains
earned
or
repatriated.
Taxes
are
accrued
based
on
net
investment
income,
net
realized
gains
and
net
unreal-
ized
appreciation
as
such
income
and/or
gains
are
earned.
Taxes
may
also
be
based
on
transactions
in
foreign
currency
and
are
accrued
based
on
the
value
of
investments
denominated
in
such
currency.
FASB
ASC
740-10,
“Income
Taxes—Overall”,
sets
forth
a
minimum
threshold
for
financial
statement
recognition
of
the
benefit
of
a
tax
position
taken
or
expected
to
be
taken
in
a
tax
return.
Management
has
concluded
there
are
no
significant
uncertain
tax
positions
that
would
require
recognition
in
the
financial
statements.
If
applicable,
the
Fund
recognizes
inter-
est
accrued
related
to
unrecognized
tax
benefits
in
“Interest
Expense”
and
penalties
in
“Other
Expenses”
in
the
Statement
of
Operations.
The
Fund
files
tax
returns
with
the
U.S.
Internal
Revenue
Service,
New
York
and
various
states.
The
tax
year
ended
September
30,
2023 remains
subject
to
examination
by
taxing
authorities.
The
tax
character
of
distributions
paid
may
differ
from
the
character
of
distributions
shown
for
GAAP
purposes
due
to
short-term
capital
gains
being
treated
as
ordinary
income
for
tax
purposes.
The
tax
character
of
distributions
paid
during
fiscal
year 2023
was
as
follows:
The
amount
and
character
of
income
and
gains
to
be
distrib-
uted
are
determined
in
accordance
with
income
tax
regulations
which
may
differ
from
GAAP.
These
book/tax
differences
are
either
considered
temporary
or
permanent
in
nature.
Temporary
differences
are
attributable
to
differing
book
and
tax
treatments
for
the
timing
of
the
recognition
of
gains
(loss-
es)
on
certain
investment
transactions
and
the
timing
of
the
deductibility
of
certain
expenses.
The
Fund
had
no
permanent
differences
causing
reclassifica-
tions
among
the
components
of
net
assets
for
the
year ended
September
30,
2023.
At
September
30,
2023,
the
components
of
distributable
earn-
ings
for
the
Fund
on
a
tax
basis
were
as
follows:
At
September
30,
2023,
the
Fund
had
available
for
fed-
eral
income
tax
purposes
unused
short-term
capital
losses
of $579,509 that
do
not
have
an
expiration
date.
To
the
extent
that
capital
loss
carryforwards
are
used
to
offset
any
future
capital
gains
realized,
no
capital
gains
tax
liability
will
be
incurred
by
the
Fund
for
gains
realized
and
not
distrib-
uted.
To
the
extent
that
capital
gains
are
offset,
such
gains
will
not
be
distributed
to
the
shareholders.
I.
Principal
Risks:
Market
Risk:
An
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
governments.
The
risks
associated
with
these
developments
may
be
magnified
if
social,
political,
economic
and
other
conditions
and
events
(such
as
war,
natural
disasters,
health
emergencies
(e.g.,
epidemics
and
pandemics),
terrorism,
conflicts,
social
unrest,
recessions,
inflation,
rapid
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. The
occurrence,
duration
and
extent
of
these
or
other
types
of
adverse
econom-
ic
and
market
conditions
and
uncertainty
over
the
long
term
cannot
be
reasonably
projected
or
estimated
at
this
time.
The
Affiliated
Investment
Company
(cont'd)
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
September
30,
2023
Liquidity
Fund
$
–
$
–
$
455,946
2023
Distributions
Paid
From:
Ordinary
Long-Term
Income
Capital
Gain
$1,150,871
$–
Undistributed
Undistributed
Ordinary
Long-Term
Income
Capital
Gain
$137,914
$–
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
23
Morgan
Stanley
ETF
Trust
ultimate
impact
of
public
health
emergencies
or
other
adverse
economic
or
market
developments
and
the
extent
to
which
the
associated
conditions
impact
the
Fund
and
its
investments
will
also
depend
on
other
future
developments,
which
are
highly
uncertain,
difficult
to
accurately
predict
and
subject
to
change
at
any
time.
The
financial
performance
of
the
Fund’s
invest-
ments
(and,
in
turn,
the
Fund’s
investment
results)
as
well
as
their
liquidity
may
be
adversely
affected
because
of
these
and
similar
types
of
factors
and
developments.
Tracking
Error
Risk:
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
transac-
tion
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
expens-
es,
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
invest-
ments
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
imple-
menting
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
cir-
cumstances.
The
Fund
may
be
required
to
deviate
its
invest-
ments
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,
espe-
cially
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
ap-
proach,
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
rep-
resented
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.
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.
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
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.
Disrup-
tions
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
(and,
as
a
result,
an
investor
may
pay
more
for,
or
receive
less
than,
the
underlying
value
of
the
shares,
respectively).
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
trad-
ing
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.
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
24
Morgan
Stanley
ETF
Trust
Large
Shareholder
Transaction
Risk:
The
Fund
may
experience
adverse
effects
when
certain
shareholders
purchase
or
redeem
large
amounts
of
shares
of the
Fund.
In
addition,
a
third
party
investor,
the
Adviser
or
an
affiliate
of
the
Adviser,
an
authorized
participant,
a
lead
market
maker,
or
another
entity
(i.e.,
a
seed
investor)
may
invest
in
the
Fund
and
hold
its
investment
solely
to
facilitate
commencement
of
the
Fund
or
to
facilitate
the
Fund’s
achieving
a
specified
size
or
scale.
Any
such
investment
may
be
held
for
a
limited
period
of
time.
There
can
be
no
assurance
that
any
large
shareholder
would
not
redeem
its
investment,
that
the
size
of
the
Fund
would
be
maintained
at
such
levels
or
that
the
Fund
would
continue
to
meet
applicable
listing
requirements.
Such
larger
than
normal
redemptions
may
cause
the
Fund
to
sell
portfolio
securities
at
times
when
it
would
not
otherwise
do
so,
which
may
negative-
ly
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.
These
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
circumstanc-
es, 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.
25
Annual
Report
—
September
30,
2023
Report
of
Independent
Registered
Public
Accounting
Firm
Morgan
Stanley
ETF
Trust
To
the
Shareholders
and
Board
of
Trustees
of
Morgan
Stanley
ETF
Trust
–
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
Calvert
US
Large-Cap
Core
Responsible
Index
ETF
(the
“Fund”)
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust
(the
“Trust”)),
including
the
portfolio
of
investments,
as
of
September
30,
2023,
and
the
related
statements
of
operations
and
changes
in
net
assets
and
the
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust)
at
September
30,
2023,
and
the
results
of
its
operations,
the
changes
in
its
net
assets
and
its
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Trust’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
financial
statements
based
on
our
audit.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Trust
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audit
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Trust
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Trust’s
internal
control
over
financial
reporting.
As
part
of
our
audit,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting,
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Trust’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audit
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
September
30,
2023,
by
correspondence
with
the
custodian,
brokers
and
others;
when
replies
were
not
received
from
brokers
and
others,
we
performed
other
auditing
procedures.
Our
audit
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audit
provides
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Morgan
Stanley
investment
companies
since
2000.
Boston,
Massachusetts
November
27,
2023
26
Annual
Report
—
September
30,
2023
Federal
Tax
Notice
(unaudited)
Morgan
Stanley
ETF
Trust
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
distributions
paid
by
the
Fund
during
its
taxable
year
ended
September
30,
2023.
For
corporate
shareholders
100%
of
the
dividends
qualified
for
the
dividends
received
deduction.
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
Fund’s
earnings
for
its
taxable
year
ended
September
30,
2023.
When
distributed,
certain
earnings
may
be
subject
to
a
maximum
tax
rate
of
15%
as
provided
for
by
the
Jobs
and
Growth
Tax
Relief
Reconciliation
Act
of
2003.
The
Fund
designated
up
to
a
maximum
of $1,150,871
as
taxable
at
this
lower
rate.
In
January,
the
Fund
provides
tax
information
to
shareholders
for
the
preceding
calendar
year.
27
Annual
Report
—
September
30,
2023
Important
Notices
(unaudited)
Morgan
Stanley
ETF
Trust
Reporting
to
Shareholders
The
Fund’s
portfolio
holdings
are
publicly
disseminated
each
day
the
Fund
is
open
for
business
through
financial
reporting
and
news
services,
including
publicly
accessible
Internet
web
sites.
In
addition,
a
basket
composition
file,
which
includes
the
securi-
ty
names
and
share
quantities
to
deliver
in
exchange
for
Creation
Units,
together
with
estimates
and
actual
cash
components
is
publicly
disseminated
daily
prior
to
the
opening
of
the
Exchange
via
the
National
Securities
Clearing
Corporation
(the
“NSCC”),
a
clearing
agency
that
is
registered
with
the
SEC.
The
basket
represents
one
Creation
Unit
of
the
Fund.
The
Trust,
Adviser,
Custo-
dian
and
Distributor
will
not
disseminate
non-public
information
concerning
the
Trust.
The
Trust
provides
a
complete
schedule
of
portfolio
holdings
for
the
second
and
fourth
fiscal
quarters
in
its
Semi-Annual
and
Annual
reports,
and
for
the
first
and
third
fiscal
quarters
in
its
filings
with
the
SEC
as
an
exhibit
to
Form
N-PORT.
The
Fund's
portfolio
holdings
will
be
available
on
the
Fund’s
public
website,
www.calvert.com.
Proxy
Voting
Policy
and
Proxy
Voting
Record
The
Board
of
Trustees
believes
that
the
voting
of
proxies
on
securities
held
by
the
Trust
is
an
important
element
of
the
overall
invest-
ment
process.
As
such,
the
Trustees
have
delegated
the
responsibility
to
vote
such
proxies
to
the
Adviser.
The
Adviser
has
engaged
Calvert
to
provide
proxy
voting
services
with
respect
to
the
Trust.
The
Adviser’s
Proxy
Voting
Policy
speci-
fies
that
each
Fund
will
follow
Calvert’s
Proxy
Voting
Policies
and
Procedures
and
Global
Proxy
Voting
Guidelines.
When
available,
the
Trust’s
proxy
voting
record
for
the
most
recent
12-month
period
ending
June
30,
as
filed
with
the
SEC,
will
be
available
without
charge
on
our
web
site
at
www.calvert.com.
The
Trust’s
proxy
voting
record
will
also
be
available
without
charge
on
the
SEC’s
web
site
at
http://www.sec.gov.
Tailored
Shareholder
Reports
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end
mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
on-
line,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Morgan
Stanley
Funds.
28
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
April
2021
Morgan
Stanley
ETF
Trust
FACTS
WHAT
DOES
MSIM
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
Social
Security
number
and
income
investment
experience
and
risk
tolerance
checking
account
number
and
wire
transfer
instructions
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
MSIM
chooses
to
share;
and
whether
you
can
limit
this
sharing.
Reasons
we
can
share
your
personal
information
Does
MSIM
share?
Can
you
limit
this
sharing?
For
our
everyday
business
purposes
—
such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—
to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
investment
management
affiliates’
everyday
business
purposes
—
information
about
your
transactions,
experiences,
and
creditworthiness
Yes
Yes
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
our
investment
management
affiliates
to
market
to
you
Yes
Yes
For
our
affiliates
to
market
to
you
No
We
don’t
share
For
non-affiliates
to
market
to
you
No
We
don’t
share
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
29
April
2021
Morgan
Stanley
ETF
Trust
To
limit
our
sharing
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Please
note:
If
you
are
a
new
customer,
we
can
begin
sharing
your
information
30
days
from
the
date
we
sent
this
notice.
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice.
However,
you
can
contact
us
at
any
time
to
limit
our
sharing.
Questions?
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Who
we
are
Who
is
providing
this
notice?
Morgan
Stanley
Investment
Management
Inc.
and
its
investment
management
affiliates
(“MSIM”)
(see
Investment
Management
Affiliates
definition
below)
What
we
do
How
does
MSIM
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
We
have
policies
governing
the
proper
handling
of
customer
information
by
personnel
and
requiring
third
parties
that
provide
support
to
adhere
to
appropriate
security
standards
with
respect
to
such
information.
How
does
MSIM
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
open
an
account
or
make
deposits
or
withdrawals
from
your
account
buy
securities
from
us
or
make
a
wire
transfer
give
us
your
contact
information
We
also
collect
your
personal
information
from
others,
such
as
credit
bureaus,
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
sharing
for
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
affiliates
from
using
your
information
to
market
to
you
sharing
for
non-affiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
See
below
for
more
on
your
rights
under
state
law.
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
30
April
2021
Morgan
Stanley
ETF
Trust
Definitions
Investment
Management
Affiliates
MSIM
Investment
Management
Affiliates
include
registered
investment
advisers,
registered
broker-dealers,
and
registered
and
unregistered
funds
in
the
Investment
Management
Division.
Investment
Management
Affiliates
does
not
include
entities
associated
with
Morgan
Stanley
Wealth
Management,
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
Our
affiliates
include
companies
with
a
Morgan
Stanley
name
and
financial
companies
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Non-affiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
MSIM
does
not
share
with
non-affiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
non-affiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
MSIM
doesn’t
jointly
market
Other
Important
Information
Vermont:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
Vermont
residents
with
Non-affiliates
unless
you
provide
us
with
your
written
consent
to
share
such
information.
California:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
California
residents
with
Non-affiliates
and
we
will
limit
sharing
such
personal
information
with
our
Affiliates
to
comply
with
California
privacy
laws
that
apply
to
us.
31
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
Morgan
Stanley
ETF
Trust
Independent
Trustees:
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Frank
L.
Bowman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1944
Trustee
Since
August
2006
President,
Strategic
Decisions,
LLC
(consulting)
(since
February
2009);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
Chairperson
of
the
Compliance
and
Insurance
Committee
(since
October
2015);
formerly,
Chairperson
of
the
Insurance
Sub-
Committee
of
the
Compliance
and
Insurance
Committee
(2007-2015);
served
as
President
and
Chief
Executive
Officer
of
the
Nuclear
Energy
Institute
(policy
organization)
(February
2005-November
2008);
retired
as
Admiral,
U.S.
Navy
after
serving
over
38
years
on
active
duty
including
8
years
as
Director
of
the
Naval
Nuclear
Propulsion
Program
in
the
Department
of
the
Navy
and
the
U.S.
Department
of
Energy
(1996-2004);
served
as
Chief
of
Naval
Personnel
(July
1994-September
1996)
and
on
the
Joint
Staff
as
Director
of
Political
Military
Affairs
(June
1992-July
1994);
knighted
as
Honorary
Knight
Commander
of
the
Most
Excellent
Order
of
the
British
Empire;
awarded
the
Officier
de
l’Orde
National
du
Mérite
by
the
French
Government;
elected
to
the
National
Academy
of
Engineering
(2009).
86
Director
of
Naval
and
Nuclear
Technologies
LLP;
Director
Emeritus
of
the
Armed
Services
YMCA;
Member
of
the
National
Security
Advisory
Council
of
the
Center
for
U.S.
Global
Engagement
and
a
member
of
the
CNA
Military
Advisory
Board;
Chairman
of
Fairhaven
United
Methodist
Church;
Member
of
the
Board
of
Advisors
of
the
Dolphin
Scholarship
Foundation;
Director
of
other
various
nonprofit
organizations;
formerly,
Director
of
BP,
plc
(November
2010-
May
2019).
Frances.
L
Cashman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1961
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Chief
Executive
Officer,
Asset
Management
Division,
Euromoney
Institutional
Investor
PLC
(financial
information)
(May
2021-Present);
Executive
Vice
President
and
various
other
roles,
Legg
Mason
&
Co.
(asset
management)
(2010-2020);
Managing
Director,
Stifel
Nicolaus
(2005-2010).
87
Trustee
and
Investment
Committee
Member,
Georgia
Tech
Foundation
(Since
June
2019);
Trustee
and
Chair
of
Marketing
Committee,
Loyola
Blakefield
(Since
September
2017);
Trustee,
MMI
Gateway
Foundation
(since
September
2017);
Director
and
Investment
Committee
Member,
Catholic
Community
Foundation
Board
(2012–2018);
Director
and
Investment
Committee
Member,
St.
Ignatius
Loyola
Academy
(2011-
2017).
Kathleen
A.
Dennis
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1953
Trustee
Since
August
2006
Chairperson
of
the
Governance
Committee
(since
January
2021),
Chairperson
of
the
Liquidity
and
Alternatives
Sub-
Committee
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
President,
Cedarwood
Associates
(mutual
fund
and
investment
management
consulting)
(since
July
2006);
formerly,
Senior
Managing
Director
of
Victory
Capital
Management
(1993-2006).
86
Board
Member,
University
of
Albany
Foundation
(2012-present);
Board
Member,
Mutual
Funds
Directors
Forum
(2014-present);
Director
of
various
non-profit
organizations.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
32
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Nancy
C.
Everett
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
January
2015
Chairperson
of
the
Equity
Investment
Committee
(since
January
2021);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chief
Executive
Officer,
Virginia
Commonwealth
University
Investment
Company
(since
November
2015);
Owner,
OBIR,
LLC
(institutional
investment
management
consulting)
(since
June
2014);
formerly,
Managing
Director,
BlackRock,
Inc.
(February
2011-December
2013)
and
Chief
Executive
Officer,
General
Motors
Asset
Management
(a/k/a
Promark
Global
Advisors,
Inc.)
(June
2005-May
2010).
87
Formerly,
Member
of
Virginia
Commonwealth
University
School
of
Business
Foundation
(2005-2016);
Member
of
Virginia
Commonwealth
University
Board
of
Visitors
(2013-2015);
Member
of
Committee
on
Directors
for
Emerging
Markets
Growth
Fund,
Inc.
(2007-2010);
Chairperson
of
Performance
Equity
Management,
LLC
(2006-2010);
and
Chairperson,
GMAM
Absolute
Return
Strategies
Fund,
LLC
(2006-2010).
Eddie
A.
Grier
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Dean
Santa
Clara
University
Leavey
School
of
Business
(since
April
2021);
Dean,
Virginia
Commonwealth
University
School
of
Business
(2010-2021);
President
and
various
other
roles,
Walt
Disney
Company
(entertainment
and
media)
(1981-2010).
87
Director,
Witt/Kieffer,
Inc.
(executive
search)
(since
2016);
Director,
NuStar
GP,
LLC
(energy)
(since
August
2021);
Director,
Sonida
Senior
Living,
Inc.
(residential
community
operator)
(2016-2021);
Director,
NVR,
Inc.
(home
building)
(2013-2020);
Director,
Middleburg
Trust
Company
(wealth
management)
(2014-
2019);
Director,
Colonial
Williamsburg
Company
(since2012);
Regent,
University
of
Massachusetts
Global
(since
2021);
Director
and
Chair,
Child
Fund
International
(2012-2021);
Trustee,
Brandman
University
(2010-2021);
Director,
Richmond
Forum
(2012-2019).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
33
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Jakki
L.
Hassler
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1957
Trustee
Since
January
2015
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chairperson
of
the
Audit
Committee
(since
January
2023)
Chairman,
Opus
Capital
Group
(since
1996);
formerly,
Chief
Executive
Officer,
Opus
Capital
Group
(1996-2019);
Director,
Capvest
Venture
Fund,
LP
(May
2000-December
2011);
Partner,
Adena
Ventures,
LP
(July
1999
December
2010);
Director,
The
Victory
Funds
(February
2005-
July
2008).
87
Director
of
Cincinnati
Bell
Inc.
and
Member,
Audit
Committee
and
Chairman,
Governance
and
Nominating
Committee;
Director
of
Service
Corporation
International
and
Member,
Audit
Committee
and
Investment
Committee;
Director,
Barnes
Group
Inc.
(since
July
2021);
Director
of
Northern
Kentucky
University
Foundation
and
Member,
Investment
Committee;
Member
of
Chase
College
of
Law
Transactional
Law
Practice
Center
Board
of
Advisors;
Director
of
Best
Transport;
Director
of
Chase
College
of
Law
Board
of
Visitors;
formerly,
Member,
University
of
Cincinnati
Foundation
Investment
Committee.
Dr.
Manuel
H.
Johnson
c/o
Johnson
Smick
International,
Inc.
2201
I
Street,
NE
Suite
200
Washington,
D.C.
20002
Birth
Year:
1949
Trustee
Since
July
1991
Senior
Partner,
Johnson
Smick
International,
Inc.
(consulting
firm);
Chairperson
of
the
Fixed
Income,
Liquidity
and
Alternatives
Investment
Committee
(since
January
2021),
Chairperson
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
July
1991);
Co-Chairman
and
a
founder
of
the
Group
of
Seven
Council
(G7C)
(international
economic
commission);
formerly,
Chairperson
of
the
Audit
Committee
(July
1991-
September
2006);
Vice
Chairman
of
the
Board
of
Governors
of
the
Federal
Reserve
System
and
Assistant
Secretary
of
the
U.S.
Treasury.
86
Director
of
NVR,
Inc.
(home
construction).
Joseph
J.
Kearns
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1942
Trustee
Since
August
1994
Senior
Adviser,
Kearns
&
Associates
LLC
(investment
consulting);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(August
1994
December
2022);
formerly,
Deputy
Chairperson
of
the
Audit
Committee
(July
2003-September
2006)
and
Chairperson
of
the
Audit
Committee
of
various
Morgan
Stanley
Funds
(since
August
1994);
CFO
of
the
J.
Paul
Getty
Trust
(1982-1999).
87
Director,
Rubicon
Investments
(since
February
2019);
Prior
to
August
2016,
Director
of
Electro
Rent
Corporation
(equipment
leasing).
Prior
to
December
31,
2013,
Director
of
The
Ford
Family
Foundation.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
34
Morgan
Stanley
ETF
Trust
*
This
is
the
earliest
date
the Trustee
began
serving
the
Morgan
Stanley
Funds.
Each Trustee
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
**
The
Fund
Complex
includes
(as
of
December
31,
2022)
all
open-end
and
closed-end
funds
(including
all
of
their
portfolios)
advised
by
Morgan
Stanly
Investment
Management
Inc.
(the
"Adviser")
and
any
funds
that
have
an
adviser
that
is
an
affiliated
person
of
the
Adviser
(including,
but
not
limited
to,
Morgan
Stanley
AIP
GP
LP).
***
This
includes
any
directorships
at
public
companies
and
registered
investment
companies
held
by
the
Trustee
at
any
time
during
the
past
five
years.
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Michael
F.
Klein
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1958
Trustee
Since
August
2006
Chairperson
of
the
Risk
Committee
(since
January
2021);
Managing
Director,
Aetos
Alternatives
Management,
LP
(since
March
2000);
Co-President,
Aetos
Alternatives
Management,
LP
(since
January
2004)
and
Co-Chief
Executive
Officer
of
Aetos
Alternatives
Management,
LP
(since
August
2013);
Chairperson
of
the
Fixed
Income
Sub-Committee
of
the
Investment
Committee
(2006-
2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Managing
Director,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Stanley
Dean
Witter
Investment
Management
and
President,
various
Morgan
Stanley
Funds
(June
1998-March
2000);
Principal,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Dean
Witter
Investment
Management
(August
1997-December
1999).
86
Director
of
certain
investment
funds
managed
or
sponsored
by
Aetos
Alternatives
Management,
LP;
Director
of
Sanitized
AG
and
Sanitized
Marketing
AG
(specialty
chemicals).
Patricia
A.
Maleski
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1960
Trustee
Since
January
2017
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2017);
Managing
Director,
JPMorgan
Asset
Management
(2004-2016);
Oversight
and
Control
Head
of
Fiduciary
and
Conflicts
of
Interest
Program
(2015-2016);
Chief
Control
Officer—Global
Asset
Management
(2013-
2015);
President,
JPMorgan
Funds
(2010-
2013);
Chief
Administrative
Officer
(2004-2013);
various
other
positions
including
Treasurer
and
Board
Liaison
(since
2001).
87
Trustee,
Nutley
Family
Service
Bureau,
Inc.
(since
January
2022).
W.
Allen
Reed
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1947
Chair
of
the
Board
and
Trustee
Chair
of
the
Board
since
August
2020
and
Director
since
August
2006
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(since
August
2020);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Vice
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(January
2020-August
2020);
President
and
Chief
Executive
Officer
of
General
Motors
Asset
Management;
Chairman
and
Chief
Executive
Officer
of
the
GM
Trust
Bank
and
Corporate
Vice
President
of
General
Motors
Corporation
(August
1994-December
2005).
86
Formerly,
Director
of
Legg
Mason,
Inc.
(2006-2019);
and
Director
of
the
Auburn
University
Foundation
(2010-
2015).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
35
Morgan
Stanley
ETF
Trust
Executive
Officers:
The
Fund’s
statement
of
additional
information
incudes
further
information
about
the
Fund’s
Trustees
and
Officers,
and
is
available
without
charge
by
visiting
www.calvert.com
or
upon
request
by
calling
1
(800)
836-2414.
*This
is
the
earliest
date
the
officer
began
serving
the
Morgan
Stanley
Funds.
Each
officer
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
Name,
Address
and
Birth
Year
of
Executive
Officer
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
John
H.
Gernon
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1963
President
and
Principal
Executive
Officer
Since
September
2013
President
and
Principal
Executive
Officer
of
the
Equity
and
Fixed
Income
Funds
and
the
Morgan
Stanley
AIP
Funds
(since
September
2013)
and
the
Liquidity
Funds
and
various
money
market
funds
(since
May
2014)
in
the
Fund
Complex;
Managing
Director
of
the
Adviser.
Deidre
A.
Downes
1633
Broadway
New
York,
NY
10019
Birth
Year:
1977
Chief
Compliance
Officer
Since
November
2021
Executive
Director
of
the
Adviser
(since
January
2021)
and
Chief
Compliance
Officer
of
various
Morgan
Stanley
Funds
(since
November
2021).
Formerly,
Vice
President
and
Corporate
Counsel
at
PGIM
and
Prudential
Financial
(October
2016-December
2020).
Francis
J.
Smith
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1965
Treasurer
and
Principal
Financial
Officer
Treasurer
since
July
2003
and
Principal
Financial
Officer
since
September
2002
Managing
Director
of
the
Adviser
and
various
entities
affiliated
with
the
Adviser;
Treasurer
(since
July
2003)
and
Principal
Financial
Officer
of
various
Morgan
Stanley
Funds
(since
September
2002).
Mary
E.
Mullin
1633
Broadway
New
York,
NY
10019
Birth
Year:
1967
Secretary
Since
June
1999
Managing
Director
of
the
Adviser;
Secretary
of
various
Morgan
Stanley
Funds
(since
June
1999).
Michael
J.
Key
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1979
Vice
President
Since
June
2017
Vice
President
of
the
Equity
and
Fixed
Income
Funds,
Liquidity
Funds,
various
money
market
funds
and
the
Morgan
Stanley
AIP
Funds
in
the
Fund
Complex
(since
June
2017);
Executive
Director
of
the
Adviser;
Head
of
Product
Development
for
Equity
and
Fixed
Income
Funds
(since
August
2013).
Anthony
R.
Rochte
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1968
Vice
President,
Morgan
Stanley
ETF
Trust
Since
September
2022
Managing
Director
and
Global
Head
of
Exchange-Traded
Funds
at
Morgan
Stanley
Investment
Management
(since
March
2022);
Co-Head
of
Goldman
Sachs
Private
Bank
Select
(January
2020
–
March
2022);
Head
of
Fidelity
Institutional
Investments
&
Technology
Solutions
(August
2017
–
January
2020).
36
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Adviser
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
Distributor
Foreside
Fund
Services,
LLC
3
Canal
Plaza
Suite
100
Portland,
Maine
04101
Dividend
Disbursing
and
Transfer
Agent
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Custodian
and
Administrator
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Legal
Counsel
Dechert
LLP
1095
Avenue
of
the
Americas
New
York,
New
York
10036
Counsel
to
the
Independent
Trustees
Perkins
Coie
LLP
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
New
York
10036
Independent
Registered
Public
Accounting
Firm
Ernst
&
Young
LLP
200
Clarendon
Street
Boston,
MA
02116
ETFCALUSLGCAPCRIANN
6057782
EXP
11.30.24
Printed
in
U.S.A.
This
Report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
a
current
prospectus.
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
©
2023
Morgan
Stanley.
Morgan
Stanley
Distribution,
Inc.
Morgan
Stanley
ETF
Trust
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
NYSE
Arca:
CDEI
Annual
Report
September
30,
2023
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Table
of
Contents
(unaudited)
1
This
report
is
authorized
for
distribution
only
when
preceded
or
accompanied
by
a
prospectus
or
summary
prospectus
of
the
applicable
Fund
of
Morgan
Stanley
ETF
Trust.
To
receive
a
prospectus
and/or
statement
of
additional
information
(“SAI”),
which
contains
more
complete
information
such
as
investment
objectives,
charges,
expenses,
policies
for
voting
proxies,
risk
considerations
and
describes
in
detail
each
of
the
Fund’s
investment
policies
to
the
prospective
investor,
please
call
toll
free
1
(800)
836-2414.
Please
read
the
prospectuses
carefully
before
you
invest.
Additionally,
you
can
access
Fund
information
including
performance,
characteristics
and
investment
team
commentary,
through
Morgan
Stanley
Investment
Management’s
website:
www.calvert.com.
Market
forecasts
provided
in
this
report
may
not
necessarily
come
to
pass.
There
is
no
guarantee
that
any
sectors
mentioned
will
continue
to
perform
as
discussed
herein
or
that
securities
in
such
sectors
will
be
held
by
the
Fund
in
the
future.
There
is
no
assurance
that
a
fund
will
achieve
its
investment
objective.
Funds
are
subject
to
market
risk,
which
is
the
possibility
that
market
values
of
securities
owned
by
the
Fund
will
decline
and,
therefore,
the
value
of
the
Fund’s
shares
may
be
less
than
what
you
paid
for
them.
Accordingly,
you
can
lose
money
investing
in
this
Fund.
Please
see
the
prospectus
for
more
complete
information
on
investment
risks.
Shareholders’
Letter
........................................................................................
2
Expense
Example
...........................................................................................
3
Investment
Overview
........................................................................................
4
Portfolio
of
Investments
.....................................................................................
6
Statement
of
Assets
and
Liabilities
..........................................................................
11
Statement
of
Operations
....................................................................................
12
Statement
of
Changes
in
Net
Assets
........................................................................
13
Financial
Highlights
.........................................................................................
14
Notes
to
Financial
Statements
...............................................................................
15
Report
of
Independent
Registered
Public
Accounting
Firm
....................................................
21
Federal
Tax
Notice
..........................................................................................
22
Important
Notices
..........................................................................................
23
U.S.
Customer
Privacy
Notice
...............................................................................
24
Trustees
and
Officers
Information
...........................................................................
27
2
Annual
Report
—
September
30,
2023
Shareholders’
Letter
(unaudited)
Morgan
Stanley
ETF
Trust
Dear
Shareholders,
We
are
pleased
to
provide
this
Annual Report,
in
which
you
will
learn
how
your
investment
in Calvert
US
Large-Cap
Diversity,
Eq-
uity
and
Inclusion
Index
ETF (the
“Fund”)
performed
during
the
period
beginning
January
30,
2023
(when
the
Fund
commenced
operations)
and
ended
September
30,
2023.
Morgan
Stanley
Investment
Management,
the
Fund's
investment
adviser, is
a
client-centric,
investor-led
organization.
Our
global
presence,
intellectual
capital,
and
breadth
of
products
and
services
enable
us
to
partner
with
investors
to
meet
the
evolving
chal-
lenges
of
today’s
financial
markets.
We
aim
to
deliver
superior
investment
service
and
to
empower
our
clients
to
make
the
informed
decisions
that
help
them
reach
their
investment
goals.
As
always,
we
thank
you
for
selecting
Morgan
Stanley
Investment
Management,
and
look
forward
to
working
with
you
in
the
months
and
years
ahead.
Sincerely,
John
H.
Gernon
President
and
Principal
Executive
Officer
October
2023
3
Annual
Report
—
September
30,
2023
Expense
Example
(unaudited)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
Morgan
Stanley
ETF
Trust
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transactional
costs;
and
(2)
ongoing
costs,
which
may
include man-
agement
fees,
and
distribution
and
shareholder
services
fees.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
This
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
six-month
period
ended
September
30,
2023 and
held
for
the
entire
six-month
period.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
table,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
table
under
the
heading
entitled
“Actual
Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical Example
for
Comparison
Purposes
The
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
sales
charges
(loads).
Therefore,
the
information
for
each
class
in
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Beginning
Account
Value
(
4/1/23
)
Actual
Ending
Account
Value
(9/30/23)
Hypothetical
Ending
Account
Value
Actual
Expenses
Paid
During
Period
*
Hypothetical
Expenses
Paid
During
Period
*
Net
Expense
Ratio
During
Period
**
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
$1,000.00
$1,046.10
$1,024.37
$0.72
$0.71
0.14%
*
Expenses
are
calculated
using
the
Fund’s
annualized
net
expense
ratio
(as
disclosed),
multiplied
by
the
average
account
value
over
the
period
and
multiplied
by
183/365
(to
reflect
the
most
recent
one-half
year
period).
**
Annualized.
4
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
Morgan
Stanley
ETF
Trust
Economic
and
Market
Conditions
For
U.S.
equity
investors,
the
8-month
period
ended
September
30,
2023,
was
a
roller-coaster
ride,
driven
largely
by
shifting
perceptions
of
whether
the
U.S.
Federal
Reserve
(the
Fed)
could
bring
the
world’s
largest
economy
in
for
a
soft
landing,
and
changing
expectations
of
how
long
interest
rates
might
remain
high.
As
the
period
opened,
U.S.
stocks
were
in
the
midst
of
a
rally
that
lasted
through
July
2023.
The
initial
tailwind
was
ChatGPT,
an
artificial
intelligence
(AI)
application
that
led
investors
to
perceive
AI
might
become
the
next
big
innovation
to
drive
the
information
technology
(IT)
sector.
As
a
result,
IT
-
one
of
the
worst-performing
sectors
in
2022
-
became
the
standout
sector
during
the
first
half
of
2023.
Earlier
recession
fears
that
had
weighed
on
stock
prices
receded
as
many
inves-
tors
came
around
to
the
view
that
the
U.S.
economy
was
doing
surprisingly
well.
But
in
the
final
two
months
of
the
period,
the
bond
market
halted
the
stock
market’s
momentum.
As
it
became
clear
the
Fed
would
keep
interest
rates
higher
for
longer
than
investors
had
anticipated
just
a
few
months
earlier,
longer
term
bond
rates
rose.
Given
the
potential
for
relatively
attractive
returns
with
lower
risk
than
stocks,
many
investors
shifted
from
equity
assets
to
bonds,
and
stock
prices
ended
on
a
down
note
as
the
period
came
to
a
close.
For
the
period
as
a
whole,
however,
the
August-September
stock
market
retreat
did
not
totally
erase
previous
gains,
and
the
Russell
1000®
Index,
a
measure
of
U.S.
large-cap
stocks,
returned
a
respectable
7.55%.
Fund
Performance
For
the
8-month
period
from
inception
on
January
30,
2023,
through
September
30,
2023,
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
(the
Fund)
returned
9.23%
based
on
net
asset
value
(NAV)
and
reinvestment
of
distribu-
tions
per
share,
net
of
fees.
The
Fund
outperformed
its
pri-
mary
benchmark,
the
Russell
1000®
Index
(the
Index),
which
returned
7.55%
and
underperformed
its
secondary
benchmark,
the
Calvert
US
Large-Cap
Diversity
Research
Index
(the
Calvert
Index),
which
returned
9.37%
during
the
period.
The
Fund’s
underperformance
versus
the
Calvert
Index
was
due
to
Fund
expenses
and
fees,
which
the
Calvert
Index
does
not
incur.
Of
the
11
market
sectors
held
by
the
Fund,
consumer
dis-
cretionary,
energy,
health
care,
industrials,
and
information
technology
(IT)
delivered
positive
returns
during
the
period.
The
strongest-performing
sectors
were
IT,
energy,
and
indus-
trials.
The
weakest-performing
sectors
were
utilities,
real
estate,
and
materials.
Contributors
to
Fund
performance
versus
the
Index
included
an
overweight
position
and
stock
selections
in
the
IT
sector;
stock
selections
in
the
health
care
sector;
and
an
underweight
position
in
the
real
estate
sector
-
the
worst-performing
sector
within
the
Index
and
the
Fund,
as
property
sales
were
ham-
pered
by
rising
mortgage
rates
during
the
period
and
compa-
nies
cut
back
on
office
space
after
the
pandemic.
In
the
IT
sector,
Index-relative
performance
benefited
from
the
Fund’s
overweight
position
in
semiconductor
firm
NVIDIA
Corp.
(NVIDIA),
whose
stock
price
more
than
doubled
during
the
period.
NVIDIA’s
strong
stock
performance
was
driven
by
increased
demand
for
its
high-end
graphics
processing
units
in
the
burgeoning
artificial
intelligence
industry. By
period-end,
NVIDIA
had
been
sold
out
of
the
Fund.
In
the
health
care
sector,
performance
versus
the
Index
was
helped
by
an
overweight
position
in
Eli
Lilly
&
Co.
(Eli
Lilly),
a
global
drugmaker
specializing
in
diabetes,
oncology,
and
immunology
therapies.
Eli
Lilly
shares
appreciated
strongly
during
the
period,
with
the
best
performance
occurring
in
August
2023
after
the
company
reported
strong
second-quarter
earnings,
driven
in
part
by
sales
of
its
diabetes
drug,
Mounjaro.
In
contrast,
detractors
from
Fund
performance
versus
the
Index
included
stock
selections
in
the
communication
services
and
financials
sectors,
as
well
as
stock
selections
and
an
under-
weight
position
in
the
consumer
discretionary
sector.
In
the
communication
services
sector,
not
owning
Index
posi-
tion
Meta
Platforms,
Inc.
(Meta)
-
the
social
media
company
behind
Facebook,
Instagram,
and
Messenger
-
detracted
from
Index-relative
returns.
Meta’s
stock
price
doubled
during
the
period
as
advertising
revenues
rebounded
on
improved
ad
tar-
geting,
while
profit
margins
exceeded
expectations
due
to
more
rational
spending
on
longer-term
initiatives.
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
(cont’d)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
5
Morgan
Stanley
ETF
Trust
Performance
data
quoted
represents
past
performance,
which
is
no
guaran-
tee
of
future
results,
and
current
performance
may
be
lower
or
higher
than
the
figures
shown.
Performance
assumes
that
all
dividends
and
distributions,
if
any,
were
reinvested.
For
the
most
recent
month-end
performance
figures,
please
visit
www.calvert.com.
Investment
return
and
principal
value
will
fluctu-
ate
so
that
Fund
shares,
when
sold
or redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Total
returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
selling
or
redemption
of
Fund
shares.
Fund's
total
returns
are
calculated
as
of
the
last
business
day
of
the
period.
*
Minimum
Investment.
**
The
Fund’s
performance
shown
assumes
that
all
recurring
fees
(including
management
fees)
were
deducted
and
all
dividends
and
distributions
were
reinvested.
***
Commenced
Operations
on
January
30,
2023.
Performance
Compared
to
the
Russell
1000
®
Index
(1)
and
the
Calvert
US
Large-Cap
Diversity
Research
Index
(2)
Cumulative
Total
Return
for
the
period
Ended
September
30,
2023
Since
Inception
(3)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
-
NAV
(4)
9.23%
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
-
Market
Price
(4)
9.23%
Russell
1000
®
Index
7.55%
Calvert
US
Large-Cap
Diversity
Research
Index
9.37%
(1)
The
Russell
1000
®
Index
is
an
unmanaged
index
of
1,000
U.S.
large-
cap
stocks.
The
Russell
1000
®
Index
is
an
index
of
approximately
1,000
of
the
largest
U.S.
companies
based
on
a
combination
of
market
capitalization
and
current
index
membership.
The
Index
is
unmanaged
and
its
returns
do
not
include
any
sales
charges
or
fees.
Such
costs
would
lower
performance.
It
is
not
possible
to
invest
directly
in
an
index.
(2)
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.
Unless
otherwise
stated,
index
returns
do
not
reflect
the
effect
of
any
applicable
sales
charges,
commissions,
expenses,
taxes
or
leverage,
as
applicable.
It
is
not
possible
to
invest
directly
in
an
index.
Historical
performance
of
the
index
illustrates
market
trends
and
does
not
represent
the
past
or
future
performance
of
the
fund.
(3)
For
comparative
purposes,
average
annual
since
inception
returns
listed
for
the
Indexes
refer
to
the
inception
date
of
the
Fund,
not
the
inception
of
the
Index.
(4)
Commenced
operations
on
January
30,
2023.
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
6
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Common
Stocks
(99.7%)
Air
Freight
&
Logistics
(0.7%)
Expeditors
International
of
Washington,
Inc.
199
$
22,811
United
Parcel
Service,
Inc.,
Class
B
980
152,753
175,564
Automobile
Components
(0.2%)
Aptiv
plc(a)
381
37,563
BorgWarner,
Inc.
316
12,757
50,320
Automobiles
(0.0%)(b)
Thor
Industries,
Inc.
70
6,659
Banks
(5.0%)
Bank
of
America
Corp.
9,423
258,002
Citigroup,
Inc.
2,600
106,938
Comerica,
Inc.
177
7,354
Commerce
Bancshares,
Inc.
162
7,773
Cullen/Frost
Bankers,
Inc.
81
7,388
East
West
Bancorp,
Inc.
190
10,015
First
Citizens
BancShares,
Inc.,
Class
A
14
19,322
First
Financial
Bankshares,
Inc.
184
4,622
First
Horizon
Corp.
745
8,210
JPMorgan
Chase
&
Co.
3,899
565,433
KeyCorp
1,262
13,579
M&T
Bank
Corp.
223
28,198
New
York
Community
Bancorp,
Inc.
960
10,887
Pinnacle
Financial
Partners,
Inc.
101
6,771
PNC
Financial
Services
Group,
Inc.
(The)
538
66,050
Regions
Financial
Corp.
1,267
21,792
Synovus
Financial
Corp.
194
5,393
U.S.
Bancorp
2,072
68,500
Western
Alliance
Bancorp
146
6,712
Zions
Bancorp
NA
199
6,943
1,229,882
Beverages
(2.9%)
Celsius
Holdings,
Inc.(a)
57
9,781
Coca-Cola
Co.
(The)
5,269
294,959
Keurig
Dr
Pepper,
Inc.
1,343
42,398
Monster
Beverage
Corp.(a)
1,019
53,956
PepsiCo,
Inc.
1,858
314,820
715,914
Biotechnology
(4.4%)
AbbVie,
Inc.
2,388
355,955
Amgen,
Inc.
723
194,314
Biogen,
Inc.(a)
194
49,860
Gilead
Sciences,
Inc.
1,686
126,349
Horizon
Therapeutics
plc(a)
306
35,401
Moderna,
Inc.(a)
449
46,377
Regeneron
Pharmaceuticals,
Inc.(a)
141
116,037
Seagen,
Inc.(a)
189
40,096
Vertex
Pharmaceuticals,
Inc.(a)
348
121,014
1,085,403
Broadline
Retail
(0.2%)
eBay,
Inc.
722
31,833
Etsy,
Inc.(a)
165
10,656
42,489
Shares
Value
Building
Products
(0.7%)
A
O
Smith
Corp.
169
$
11,176
AAON,
Inc.
91
5,175
Carrier
Global
Corp.
1,132
62,487
Johnson
Controls
International
plc
915
48,687
Lennox
International,
Inc.
43
16,101
Owens
Corning
120
16,369
Trex
Co.,
Inc.(a)
148
9,121
169,116
Capital
Markets
(2.3%)
Affiliated
Managers
Group,
Inc.
48
6,256
Ameriprise
Financial,
Inc.
139
45,826
Bank
of
New
York
Mellon
Corp.
(The)
1,052
44,868
Carlyle
Group,
Inc.
(The)
260
7,842
Evercore,
Inc.,
Class
A
47
6,480
FactSet
Research
Systems,
Inc.
52
22,738
Franklin
Resources,
Inc.
393
9,660
Interactive
Brokers
Group,
Inc.,
Class
A
137
11,859
Intercontinental
Exchange,
Inc.
749
82,405
Jefferies
Financial
Group,
Inc.
237
8,681
MarketAxess
Holdings,
Inc.
50
10,682
Moody's
Corp.
215
67,977
Morningstar,
Inc.
35
8,198
Nasdaq,
Inc.
460
22,351
Raymond
James
Financial,
Inc.
256
25,710
S&P
Global,
Inc.
430
157,126
State
Street
Corp.
429
28,726
567,385
Chemicals
(0.6%)
Ashland,
Inc.
72
5,881
Balchem
Corp.
43
5,334
Cabot
Corp.
75
5,195
Celanese
Corp.,
Class
A
146
18,326
Eastman
Chemical
Co.
160
12,275
Ecolab,
Inc.
343
58,104
FMC
Corp.
168
11,251
Huntsman
Corp.
230
5,612
International
Flavors
&
Fragrances,
Inc.
345
23,519
145,497
Commercial
Services
&
Supplies
(0.9%)
Clean
Harbors,
Inc.(a)
68
11,381
Copart,
Inc.(a)
1,178
50,760
Republic
Services,
Inc.,
Class
A
279
39,760
Rollins,
Inc.
343
12,804
Tetra
Tech,
Inc.
71
10,794
Waste
Management,
Inc.
547
83,385
208,884
Communications
Equipment
(1.3%)
Ciena
Corp.(a)
199
9,405
Cisco
Systems,
Inc.
5,507
296,056
Juniper
Networks,
Inc.
434
12,061
317,522
Construction
&
Engineering
(0.3%)
AECOM
187
15,528
EMCOR
Group,
Inc.
63
13,255
Quanta
Services,
Inc.
194
36,292
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
7
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Construction
&
Engineering
(cont’d)
Valmont
Industries,
Inc.
28
$
6,726
71,801
Construction
Materials
(0.2%)
Summit
Materials,
Inc.,
Class
A(a)
160
4,982
Vulcan
Materials
Co.
180
36,364
41,346
Consumer
Finance
(0.7%)
American
Express
Co.
800
119,352
Credit
Acceptance
Corp.(a)
9
4,141
Discover
Financial
Services
336
29,108
OneMain
Holdings,
Inc.
162
6,494
SoFi
Technologies,
Inc.(a)
1,287
10,283
169,378
Consumer
Staples
Distribution
&
Retail
(2.2%)
Casey's
General
Stores,
Inc.
50
13,576
Costco
Wholesale
Corp.
597
337,281
Dollar
General
Corp.
296
31,317
Kroger
Co.
(The)
964
43,139
Sprouts
Farmers
Market,
Inc.(a)
138
5,907
Sysco
Corp.
684
45,178
Target
Corp.
623
68,885
545,283
Containers
&
Packaging
(0.3%)
AptarGroup,
Inc.
88
11,003
Ball
Corp.
424
21,107
Graphic
Packaging
Holding
Co.
411
9,157
Sealed
Air
Corp.
194
6,375
Sonoco
Products
Co.
131
7,120
Westrock
Co.
342
12,244
67,006
Distributors
(0.1%)
LKQ
Corp.
359
17,774
Diversified
Consumer
Services
(0.1%)
Bright
Horizons
Family
Solutions,
Inc.(a)
77
6,273
Service
Corp.
International
202
11,542
17,815
Diversified
Telecommunication
Services
(0.8%)
Verizon
Communications,
Inc.
5,693
184,510
Electric
Utilities
(0.6%)
Avangrid,
Inc.
96
2,896
Eversource
Energy
470
27,331
Exelon
Corp.
1,344
50,790
IDACORP,
Inc.
68
6,368
NRG
Energy,
Inc.
305
11,749
Portland
General
Electric
Co.
136
5,505
Xcel
Energy,
Inc.
746
42,686
147,325
Electrical
Equipment
(0.6%)
Emerson
Electric
Co.
771
74,455
nVent
Electric
plc
221
11,711
Rockwell
Automation,
Inc.
155
44,310
Sensata
Technologies
Holding
plc
207
7,829
Sunrun,
Inc.(a)
284
3,567
141,872
Shares
Value
Electronic
Equipment,
Instruments
&
Components
(0.7%)
Advanced
Energy
Industries,
Inc.
50
$
5,156
Amphenol
Corp.,
Class
A
803
67,444
Avnet,
Inc.
124
5,975
Badger
Meter,
Inc.
39
5,611
Belden,
Inc.
56
5,407
CDW
Corp.
182
36,720
IPG
Photonics
Corp.(a)
40
4,062
Trimble,
Inc.(a)
334
17,989
Zebra
Technologies
Corp.,
Class
A(a)
69
16,321
164,685
Energy
Equipment
&
Services
(0.2%)
Baker
Hughes
Co.,
Class
A
1,367
48,282
Entertainment
(2.2%)
Atlanta
Braves
Holdings,
Inc.,
Class
C(a)
74
2,644
Electronic
Arts,
Inc.
334
40,214
Liberty
Media
Corp-Liberty
Formula
One,
Class
A(a)
329
18,602
Liberty
Media
Corp-Liberty
Live,
Class
A(a)
90
2,873
Netflix,
Inc.(a)
592
223,539
Roku,
Inc.,
Class
A(a)
167
11,788
Walt
Disney
Co.
(The)(a)
2,474
200,518
Warner
Bros
Discovery,
Inc.(a)
3,147
34,176
534,354
Financial
Services
(5.0%)
Equitable
Holdings,
Inc.
469
13,315
Fidelity
National
Information
Services,
Inc.
799
44,161
Fiserv,
Inc.(a)
818
92,401
Jack
Henry
&
Associates,
Inc.
98
14,812
Mastercard,
Inc.,
Class
A
1,130
447,378
MGIC
Investment
Corp.
383
6,392
PayPal
Holdings,
Inc.(a)
1,474
86,170
Radian
Group,
Inc.
211
5,298
Visa,
Inc.,
Class
A
2,170
499,122
1,209,049
Food
Products
(1.4%)
Bunge
Ltd.
202
21,867
Campbell
Soup
Co.
267
10,968
Conagra
Brands,
Inc.
643
17,631
General
Mills,
Inc.
784
50,168
Hershey
Co.
(The)
202
40,416
J.M.
Smucker
Co.
(The)
135
16,593
Kellogg
Co.
351
20,888
Kraft
Heinz
Co.
(The)
1,086
36,533
Mondelez
International,
Inc.,
Class
A
1,839
127,627
342,691
Gas
Utilities
(0.1%)
ONE
Gas,
Inc.
74
5,053
Southwest
Gas
Holdings,
Inc.
96
5,799
UGI
Corp.
281
6,463
17,315
Ground
Transportation
(0.7%)
Avis
Budget
Group,
Inc.(a)
32
5,750
Union
Pacific
Corp.
822
167,384
173,134
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
8
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Health
Care
Equipment
&
Supplies
(3.2%)
Abbott
Laboratories
2,336
$
226,241
Align
Technology,
Inc.(a)
97
29,616
Becton
Dickinson
&
Co.
392
101,344
Edwards
Lifesciences
Corp.(a)
814
56,394
Globus
Medical,
Inc.,
Class
A(a)
104
5,164
Haemonetics
Corp.(a)
68
6,091
Hologic,
Inc.(a)
329
22,833
ICU
Medical,
Inc.(a)
27
3,213
Insulet
Corp.(a)
94
14,992
iRhythm
Technologies,
Inc.(a)
40
3,770
Medtronic
plc
1,802
141,205
Neogen
Corp.(a)
292
5,414
Penumbra,
Inc.(a)
50
12,095
Stryker
Corp.
481
131,443
Zimmer
Biomet
Holdings,
Inc.
282
31,646
791,461
Health
Care
Providers
&
Services
(1.5%)
AMN
Healthcare
Services,
Inc.(a)
53
4,514
Centene
Corp.(a)
728
50,145
CVS
Health
Corp.
1,735
121,138
Elevance
Health,
Inc.
318
138,463
Ensign
Group,
Inc.
(The)
73
6,784
Laboratory
Corp.
of
America
Holdings
119
23,925
Quest
Diagnostics,
Inc.
150
18,279
363,248
Hotels,
Restaurants
&
Leisure
(1.8%)
Airbnb,
Inc.,
Class
A(a)
542
74,368
Booking
Holdings,
Inc.(a)
48
148,030
Domino's
Pizza,
Inc.
47
17,803
Expedia
Group,
Inc.(a)
192
19,789
Hilton
Worldwide
Holdings,
Inc.
347
52,112
Marriott
International,
Inc.,
Class
A
342
67,224
Wendy's
Co.
(The)
233
4,756
Yum!
Brands,
Inc.
379
47,352
431,434
Household
Durables
(0.1%)
Meritage
Homes
Corp.
48
5,875
Newell
Brands,
Inc.
560
5,057
Tempur
Sealy
International,
Inc.
225
9,751
TopBuild
Corp.(a)
43
10,819
31,502
Household
Products
(0.6%)
Clorox
Co.
(The)
167
21,887
Colgate-Palmolive
Co.
1,120
79,643
Kimberly-Clark
Corp.
457
55,229
156,759
Independent
Power
and
Renewable
Electricity
Producers
(0.1%)
AES
Corp.
(The)
900
13,680
Ormat
Technologies,
Inc.
72
5,034
18,714
Insurance
(2.6%)
Aflac,
Inc.
726
55,720
Allstate
Corp.
(The)
353
39,328
Assurant,
Inc.
70
10,051
Enstar
Group
Ltd.(a)
17
4,114
Fidelity
National
Financial,
Inc.
349
14,414
Shares
Value
First
American
Financial
Corp.
133
$
7,513
Hartford
Financial
Services
Group,
Inc.
(The)
413
29,286
Lincoln
National
Corp.
228
5,629
Marsh
&
McLennan
Cos.,
Inc.
668
127,120
MetLife,
Inc.
863
54,291
Primerica,
Inc.
49
9,506
Principal
Financial
Group,
Inc.
327
23,567
Progressive
Corp.
(The)
791
110,186
Prudential
Financial,
Inc.
492
46,686
Reinsurance
Group
of
America,
Inc.
90
13,067
RenaissanceRe
Holdings
Ltd.
68
13,459
Selective
Insurance
Group,
Inc.
81
8,357
Travelers
Cos.,
Inc.
(The)
309
50,463
White
Mountains
Insurance
Group
Ltd.
3
4,487
627,244
Interactive
Media
&
Services
(0.1%)
Pinterest,
Inc.,
Class
A(a)
777
21,002
IT
Services
(0.6%)
Akamai
Technologies,
Inc.(a)
202
21,521
Amdocs
Ltd.
163
13,772
Cognizant
Technology
Solutions
Corp.,
Class
A
685
46,402
Gartner,
Inc.(a)
103
35,392
Okta,
Inc.,
Class
A(a)
204
16,628
Twilio,
Inc.,
Class
A(a)
233
13,637
147,352
Leisure
Products
(0.1%)
Brunswick
Corp.
94
7,426
Mattel,
Inc.(a)
473
10,420
17,846
Life
Sciences
Tools
&
Services
(0.8%)
Agilent
Technologies,
Inc.
398
44,504
Charles
River
Laboratories
International,
Inc.(a)
68
13,327
Fortrea
Holdings,
Inc.(a)
119
3,402
Illumina,
Inc.(a)
213
29,241
IQVIA
Holdings,
Inc.(a)
246
48,400
Waters
Corp.(a)
79
21,663
West
Pharmaceutical
Services,
Inc.
100
37,521
198,058
Machinery
(1.8%)
Cummins,
Inc.
188
42,951
Deere
&
Co.
370
139,631
Flowserve
Corp.
177
7,039
Fortive
Corp.
477
35,374
Franklin
Electric
Co.,
Inc.
54
4,818
IDEX
Corp.
102
21,218
Illinois
Tool
Works,
Inc.
408
93,966
ITT,
Inc.
110
10,770
Lincoln
Electric
Holdings,
Inc.
76
13,816
Nordson
Corp.
69
15,399
Stanley
Black
&
Decker,
Inc.
205
17,134
Westinghouse
Air
Brake
Technologies
Corp.
240
25,505
427,621
Media
(0.5%)
Cable
One,
Inc.
6
3,694
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
9
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Media
(cont’d)
Interpublic
Group
of
Cos.,
Inc.
(The)
520
$
14,903
Liberty
Broadband
Corp.,
Class
C(a)
179
16,346
Nexstar
Media
Group,
Inc.,
Class
A
46
6,595
Omnicom
Group,
Inc.
266
19,812
Paramount
Global,
Class
B
797
10,281
Trade
Desk,
Inc.
(The),
Class
A(a)
597
46,656
118,287
Metals
&
Mining
(0.1%)
ATI,
Inc.(a)
172
7,078
Commercial
Metals
Co.
156
7,708
Reliance
Steel
&
Aluminum
Co.
79
20,716
35,502
Multi-Utilities
(0.6%)
Black
Hills
Corp.
90
4,553
CMS
Energy
Corp.
392
20,819
DTE
Energy
Co.
278
27,600
NiSource,
Inc.
557
13,747
Sempra
852
57,962
WEC
Energy
Group,
Inc.
426
34,314
158,995
Passenger
Airlines
(0.1%)
Alaska
Air
Group,
Inc.(a)
171
6,341
Southwest
Airlines
Co.
803
21,737
28,078
Personal
Care
Products
(0.2%)
elf
Beauty,
Inc.(a)
70
7,688
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
312
45,100
52,788
Pharmaceuticals
(6.2%)
Bristol-Myers
Squibb
Co.
2,826
164,021
Eli
Lilly
&
Co.
1,148
616,625
Merck
&
Co.,
Inc.
3,434
353,530
Organon
&
Co.
345
5,989
Perrigo
Co.
plc
183
5,847
Pfizer,
Inc.
7,645
253,585
Zoetis,
Inc.,
Class
A
623
108,390
1,507,987
Professional
Services
(1.1%)
Automatic
Data
Processing,
Inc.
556
133,762
Broadridge
Financial
Solutions,
Inc.
159
28,469
Ceridian
HCM
Holding,
Inc.(a)
202
13,706
Equifax,
Inc.
165
30,225
ExlService
Holdings,
Inc.(a)
222
6,225
FTI
Consulting,
Inc.(a)
45
8,028
Maximus,
Inc.
81
6,049
Paycom
Software,
Inc.
69
17,890
Robert
Half,
Inc.
141
10,332
Science
Applications
International
Corp.
74
7,810
TriNet
Group,
Inc.(a)
50
5,824
268,320
Real
Estate
Management
&
Development
(0.2%)
CoStar
Group,
Inc.(a)
546
41,982
Zillow
Group,
Inc.,
Class
C(a)
278
12,832
54,814
Shares
Value
Semiconductors
&
Semiconductor
Equipment
(5.3%)
Analog
Devices,
Inc.
683
$
119,587
Broadcom,
Inc.
547
454,327
First
Solar,
Inc.(a)
136
21,976
Intel
Corp.
5,670
201,569
KLA
Corp.
185
84,852
Lam
Research
Corp.
178
111,565
Micron
Technology,
Inc.
1,476
100,412
MKS
Instruments,
Inc.
85
7,356
Power
Integrations,
Inc.
75
5,723
QUALCOMM,
Inc.
1,510
167,701
Silicon
Laboratories,
Inc.(a)
43
4,983
Universal
Display
Corp.
59
9,262
1,289,313
Software
(17.4%)
Adobe,
Inc.(a)
613
312,569
ANSYS,
Inc.(a)
117
34,813
Atlassian
Corp.,
Class
A(a)
203
40,907
Box,
Inc.,
Class
A(a)
188
4,551
DocuSign,
Inc.,
Class
A(a)
270
11,340
Dropbox,
Inc.,
Class
A(a)
348
9,476
Elastic
NV(a)
107
8,693
Fair
Isaac
Corp.(a)
33
28,661
Fortinet,
Inc.(a)
882
51,756
Gen
Digital,
Inc.
784
13,861
Guidewire
Software,
Inc.(a)
108
9,720
HubSpot,
Inc.(a)
65
32,012
Manhattan
Associates,
Inc.(a)
83
16,406
Microsoft
Corp.
9,912
3,129,714
New
Relic,
Inc.(a)
86
7,363
Palo
Alto
Networks,
Inc.(a)
407
95,417
Roper
Technologies,
Inc.
144
69,736
ServiceNow,
Inc.(a)
275
153,714
Splunk,
Inc.(a)
207
30,274
Synopsys,
Inc.(a)
205
94,089
Teradata
Corp.(a)
134
6,033
Tyler
Technologies,
Inc.(a)
56
21,624
VMware,
Inc.,
Class
A(a)
291
48,446
4,231,175
Specialty
Retail
(2.8%)
Advance
Auto
Parts,
Inc.
80
4,474
Bath
&
Body
Works,
Inc.
308
10,411
Home
Depot,
Inc.
(The)
1,351
408,218
Ross
Stores,
Inc.
453
51,166
TJX
Cos.,
Inc.
(The)
1,547
137,497
Tractor
Supply
Co.
148
30,052
Ulta
Beauty,
Inc.(a)
67
26,763
Wayfair,
Inc.,
Class
A(a)
110
6,663
Williams-Sonoma,
Inc.
85
13,209
688,453
Technology
Hardware,
Storage
&
Peripherals
(15.4%)
Apple,
Inc.
21,158
3,622,461
Dell
Technologies,
Inc.,
Class
C
330
22,737
Hewlett
Packard
Enterprise
Co.
1,746
30,328
HP,
Inc.
1,168
30,018
NetApp,
Inc.
282
21,398
Seagate
Technology
Holdings
plc
279
18,400
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
10
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Technology
Hardware,
Storage
&
Peripherals
(cont’d)
Western
Digital
Corp.(a)
426
$
19,438
3,764,780
Textiles,
Apparel
&
Luxury
Goods
(0.5%)
Deckers
Outdoor
Corp.(a)
35
17,993
Lululemon
Athletica,
Inc.(a)
150
57,841
PVH
Corp.
84
6,427
Ralph
Lauren
Corp.,
Class
A
54
6,269
Skechers
USA,
Inc.,
Class
A(a)
179
8,762
Tapestry,
Inc.
313
8,999
VF
Corp.
496
8,764
115,055
Trading
Companies
&
Distributors
(0.4%)
Applied
Industrial
Technologies,
Inc.
51
7,885
Fastenal
Co.
771
42,128
GATX
Corp.
47
5,115
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
61
5,987
WW
Grainger,
Inc.
61
42,202
103,317
Water
Utilities
(0.2%)
American
Water
Works
Co.,
Inc.
263
32,567
Essential
Utilities,
Inc.
357
12,256
44,823
Total
Common
Stocks
(Cost
$23,426,211)
24,302,183
Short-Term
Investment
(0.2%)
Investment
Company
(0.2%
)
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
(See
Note
G)
(Cost
$58,850)
58,850
58,850
Total
Investments
(99.9%)
(Cost
$23,485,061)
(c)
24,361,033
Other
Assets
in
Excess
of
Liabilities
(0.1%)
14,589
NET
ASSETS
(100.0%)
$24,375,622
(a)
Non-income
producing
security.
(b)
Amount
is
less
than
0.05%.
(c)
At
September
30,
2023,
the
aggregate
cost
for
federal
income
tax
purposes
is
$23,485,423.
The
aggregate
gross
unrealized
appreciation
is
$2,032,909
and
the
aggregate
gross
unrealized
depreciation
is
$1,157,299
,
resulting
in
net
unrealized
appreciation
of
$875,610.
Portfolio
Composition
Classification
Percentage
of
Total
Investments
Other*
50.5
%
Software
17.4
Technology
Hardware,
Storage
&
Peripherals
15.5
Pharmaceuticals
6.2
Semiconductors
&
Semiconductor
Equipment
5.3
Banks
5.1
Total
Investments
100.0
%
*
Industries
and/or
investment
types
representing
less
than
5%
of
total
investments.
Annual
Report
—
September
30,
2023
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
11
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Assets
and
Liabilities
September
30,
2023
Assets:
Investments
in
Securities
of
Unaffiliated
Issuers,
at
Value
(Cost
$23,426,211)
$
24,302,183
Investment
in
Security
of
Affiliated
Issuer,
at
Value
(Cost
$58,850)
58,850
Total
Investments
in
Securities,
at
Value
(Cost
$23,485,061)
24,361,033
Cash
26
Dividends
Receivable
17,456
Total
Assets
24,378,515
Liabilities:
Payable
for
Management
Fee
2,893
Total
Liabilities
2,893
Net
Assets
$
24,375,622
Net
Assets
Consist
of:
Paid-in-Capital
$
23,784,546
Total
Distributable
Earnings
591,076
Net
Assets
$
24,375,622
Shares
Outstanding
$0.001
Par
Value
(unlimited
shares
authorized)
450,000
Net
Asset
Value
Per
Share
$
54
.17
Annual
Report
—
September
30,
2023
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
12
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Operations
Period
from
January
30,
2023
^
to
September
30,
2023
Investment
Income:
Dividends
from
Securities
of
Unaffiliated
Issuers
(Net
of
$8
of
Foreign
Taxes
Withheld)
$
242,404
Dividends
from
Security
of
Affiliated
Issuer
(Note
G)
1,773
Total
Investment
Income
244,177
Expenses:
Management
Fee
(Note
B)
22,775
Total
Expenses
22,775
Rebate
from
Morgan
Stanley
Affiliate
(Note
G)
(
51
)
Net
Expenses
22,724
Net
Investment
Income
221,453
Realized
Gain
(Loss):
Investments
Sold
(
303,265
)
In-kind
Redemptions
on
Investments
1,329,514
Net
Realized
Gain
1,026,249
Change
in
Unrealized
Appreciation
(Depreciation):
Investments
875,972
Net
Change
in
Unrealized
Appreciation
(Depreciation)
875,972
Net
Realized
Gain
and
Change
in
Unrealized
Appreciation
(Depreciation)
1,902,221
Net
Increase
in
Net
Assets
Resulting
from
Operations
$
2,123,674
^
Commencement
of
Operations.
Annual
Report
—
September
30,
2023
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
13
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Changes
in
Net
Assets
Period
from
January
30,
2023
^
to
September
30,
2023
Increase
(Decrease)
in
Net
Assets:
Operations:
Net
Investment
Income
$
221,453
Net
Realized
Gain
1,026,249
Net
Change
in
Unrealized
Appreciation
(Depreciation)
875,972
Net
Increase
in
Net
Assets
Resulting
from
Operations
2,123,674
Dividends
and
Distributions
to
Shareholders:
Dividends
and
Distributions
(
203,084
)
Total
Dividends
and
Distributions
to
Shareholders
(
203,084
)
Capital
Share
Transactions:
Subscribed
(1)
20,000,000
Subscribed
In-Kind
8,130,996
Redeemed
In-Kind
(
5,675,964
)
Net
Increase
in
Net
Assets
Resulting
from
Capital
Share
Transactions
22,455,032
Total
Increase
in
Net
Assets
24,375,622
Net
Assets:
Beginning
of
Period
–
End
of
Period
$
24,375,622
Capital
Share
Transactions:
Beginning
of
Period
–
Shares
Subscribed
400,000
Shares
Subscribed
In-Kind
150,000
Shares
Redeemed
In-Kind
(
100,000
)
Shares
Outstanding,
End
of
Period
Net
Increase
in
450,000
^
Commencement
of
Operations.
(1)
Total
consists
of
subscriptions
for
seed
capital
by
the
Adviser
and
other
related
parties
of
the
Fund.
Annual
Report
—
September
30,
2023
Financial
Highlights
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
14
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Selected
Per
Share
Data
and
Ratios
Period
from
January
30,
2023
(1)
to
September
30,
2023
Net
Asset
Value,
Beginning
of
Period
$
50
.00
Income
(Loss)
from
Investment
Operations:
—
Net
Investment
Income
(2)
0
.49
Net
Realized
and
Unrealized
Gain
4
.13
Total
from
Investment
Operations
4
.62
Distributions
from
and/or
in
Excess
of:
—
Net
Investment
Income
(
0
.45
)
Net
Asset
Value,
End
of
Period
$
54
.17
Total
Return
(3)
9
.23
%
(4)
Ratios
to
Average
Net
Assets
and
Supplemental
Data:
$24,376
Net
Assets,
End
of
Period
(Thousands)
$
24,376
Ratio
of
Expenses
0
.14
%
(5)
(6)
Ratio
of
Net
Investment
Income
1
.36
%
(5)
(6)
Ratio
of
Rebate
from
Morgan
Stanley
Affiliates
0
.00
%
(5)
(7)
Portfolio
Turnover
Rate
19
%
(4)
(8)
(1)
Commencement
of
Operations.
(2)
Per
share
amount
is
based
on
average
shares
outstanding.
(3)
Calculated
based
on
the
net
asset
value
as
of
the
last
business
day
of
the
period.
(4)
Not
annualized.
(5)
Annualized.
(6)
The
Ratio
of
Expenses
and
Ratio
of
Net
Investment
Income
reflect
the
rebate
of
certain
Fund
expenses
in
connection
with
the
investments
in
Morgan
Stanley
affiliates
during
the
period.
The
effect
of
the
rebate
on
the
ratios
is
disclosed
in
the
above
table
as
“Ratio
of
Rebate
from
Morgan
Stanley
Affiliates.”
(7)
Amount
is
less
than
0.005%.
(8)
In-kind
transactions
are
not
included
in
portfolio
turnover
calculations.
15
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
Morgan
Stanley
ETF
Trust
Morgan
Stanley
ETF
Trust
(the
“Trust”)
is
an
open-end,
management
investment
company
established
under
Delaware
law
as
a
Delaware
statutory
trust.
Pursuant
to
its
Declaration
of
Trust dated
May
31,
2016,
and
Amended
and
Restated
on
September
28,
2022
(the
“Declaration
of
Trust”),
the
Trust and
is
authorized
to establish
multiple
series.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”).
The
Trust
applies
investment
company
accounting
and
report-
ing
guidance
Accounting
Standard
Codification
("ASC")
Topic
946.
In
the
preparation
of
these
financial
statements,
manage-
ment
has
evaluated
subsequent
events
occurring
after
the
date
of
the
Fund's
Statement
of
Assets
and
Liabilities
through
the
date
that
the
financial
statements
were
issued.
The
accompanying
financial
statements
relate
to
the
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF (the
"Fund"),
which
seeks
to
track
the
performance
of
the
Calvert
US
Large-Cap
Diversity
Research
Index.
The
Fund
is
non-di-
versified.
A.
Significant
Accounting
Policies:
The
following
signifi-
cant
accounting
policies
are
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“GAAP”).
Such
policies
are
consistently
followed
by
the Trust
in
the
preparation
of
its
financial
statements.
GAAP
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
and
disclosures
in
the
financial
statements.
Actual
results
may
differ
from
those
estimates.
1.
Security
Valuation:
(1)
An
equity
portfolio
security
list-
ed
or
traded
on
an
exchange
is
valued
at
its
latest
reported
sales
price
(or
at
the
exchange
official
closing
price
if
such
exchange
reports
an
official
closing
price),
and
if
there
were
no
sales
on
a
given
day
and
if
there
is
no
official
ex-
change
closing
price
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
relevant
ex-
changes.
If
only
bid
prices
are
available
then
the
latest
bid
price
may
be
used.
Listed
equity
securities
not
traded
on
the
valuation
date
with
no
reported
bid
and
asked
prices
available
on
the
exchange
are
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers.
In
cases
where
a
securi-
ty
is
traded
on
more
than
one
exchange,
the
security
is
valued
on
the
exchange
designated
as
the
primary
market;
(2)
all
other
equity
portfolio
securities
for
which
over-the-
counter
(“OTC”)
market
quotations
are
readily
available
are
valued
at
the
latest
reported
sales
price
(or
at
the
mar-
ket
official
closing
price
if
such
market
reports
an
official
closing
price),
and
if
there
was
no
trading
in
the
security
on
a
given
day
and
if
there
is
no
official
closing
price
from
relevant
markets
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
rel-
evant
markets.
An
unlisted
equity
security
that
does
not
trade
on
the
valuation
date
and
for
which
bid
and
asked
prices
from
the
relevant
markets
are
unavailable
is
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers;
(3)
fixed
income
securities
may
be
valued
by
an
outside
pricing
service/vendor
approved
by
the
Trust’s
Board
of
Trustees
(the
“Trustees”).
The
pricing
service/vendor
may
employ
a
pricing
model
that
takes
into
account,
among
other
things,
bids,
yield
spreads
and/or
other
market
data
and
specific
security
characteristics.
If
Morgan
Stanley
Investment
Management
Inc.
(the
“Adviser”)
a
whol-
ly-owned
subsidiary
of
Morgan
Stanley,
determines
that
the
price
provided
by
the
outside
pricing
service/vendor
or
exchange
does
not
reflect
the
security’s
fair
value
or
is
unable
to
provide
a
price,
prices
from
brokers
or
dealers
may
also
be
utilized.
In
these
circumstances,
the
value
of
the
security
will
be
the
mean
of
bid
and
asked
prices
obtained
from
reputable brokers/dealers;
(4)
when
market
quotations
are
not
readily
available,
as
defined
by
Rule
2a-5
under
the
Act,
including
circumstances
under
which
the
Adviser
determines
that
the
closing
price,
last
sale
price
or
the
mean
between
the
last
reported
bid
and
asked
prices
are
not
reflective
of
a
security’s
market
value,
port-
folio
securities
are
valued
at
their
fair
value
as
determined
in
good
faith
under
procedures
established
by
and
under
the
general
supervision
of
the
Trustees; and
(5)
invest-
ments
in
mutual
funds,
including
the
Morgan
Stanley
Institutional
Liquidity
Funds,
are
valued
at
the
net
asset
value
(“NAV”)
as
of
the
close
of
each
business
day.
In
connection
with
Rule
2a-5
of
the
Act,
the
Trust-
ees
have
designated
the
Trust's
Adviser
as
its
valuation
designee.
The
valuation
designee
has
responsibility
for
determining
fair
value
and
to
make
the
actual
calculations
pursuant
to
the
fair
valuation
methodologies
previously
approved
by
the
Trustees.
Under
procedures
approved
by
the
Trustees,
the
Trust’s
Adviser
has
formed
a
Valuation
Committee
whose
members
are
approved
by
the
Trustees.
The
Valuation
Committee
provides
administration
and
oversight
of
the
Trust’s
valuation
policies
and
procedures,
which
are
reviewed
at
least
annually
by
the
Trustees.
These
procedures
allow
the Trust
to
utilize
independent
pricing
services,
quotations
from
securities
and
financial
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
16
Morgan
Stanley
ETF
Trust
instrument
dealers
and
other
market
sources
to
determine
fair
value.
2.
Fair
Value
Measurement:
Financial
Accounting
Stan-
dards
Board
(“FASB”)
Accounting
Standards
Codifica-
tion
TM
("ASC"),
“Fair
Value
Measurement”
(“ASC
820”),
defines
fair
value
as
the
price
that
would
be
received
to
sell
an
asset
or
pay to
transfer
a
liability
in
an orderly
transaction
between
market
participants
at
the
measure-
ment
date. ASC
820
establishes
a
three tier
hierarchy
to
distinguish
between
(1)
inputs
that
reflect
the
assump-
tions
market
participants
would
use
in
valuing
an
asset
or
liability
developed
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity
(observable
inputs)
and
(2)
inputs
that
reflect
the
reporting
entity’s
own
assumptions
about
the
assumptions
market
partici-
pants
would
use
in
valuing
an
asset
or
liability
developed
based
on
the
best
information
available
in
the
circum-
stances
(unobservable
inputs)
and
to
establish
classifica-
tion
of
fair
value
measurements
for
disclosure
purposes.
Various
inputs
are
used
in
determining
the
value
of
the
Fund’s
investments.
The
inputs
are
summarized
in
the
three
broad
levels
listed
below:
Level
1
–
unadjusted
quoted
prices
in
active
markets
for
identical
investments.
Level
2
-
other
significant
observable
inputs
(includ-
ing
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
Level
3
-
significant
unobservable
inputs
including
the
Fund’s
own
assumptions
in
determin-
ing
the
fair
value
of
investments.
Factors
considered
in
making
this
determination
may
include,
but
are
not
limited
to,
infor-
mation
obtained
by
contacting
the
issuer,
analysts,
or
the
appropriate
stock
exchange
(for
exchange-traded
securities),
analysis
of
the
issuer’s
financial
statements
or
other
available
documents
and,
if
necessary,
available
information
concerning
other
securities
in
similar
circumstances.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
mea-
surement
in
its
entirety
requires
judgment
and
considers
factors
specific
to
each
security.
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's
investments
as
of
September
30,
2023:
Transfers
between
investment
levels
may
occur
as
the
markets
fluctuate
and/or
the
availability
of
data
used
in
an
investment’s
valuation
changes.
3.
Indemnifications:
The Trust
enters
into
contracts
that
contain
a
variety
of
indemnification
clauses.
The
Trust’s
maximum
exposure
under
these
arrangements
is
un-
known
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund
that
have
not yet
occurred.
4.
Dividends
and
Distributions
to
Shareholders:
Divi-
dends
and
distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Dividends
from
net
investment
in-
come,
if
any,
are
declared
and
paid
quarterly.
Net
realized
capital
gains,
if
any,
are
distributed
at
least
annually.
5.
Security
Transactions,
Income
and
Expenses:
Security
transactions
are
accounted
for
on
the
trade
date
(date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
the
sale
of
investment
securities
are
deter-
mined
on
the
specific
identified
cost
method.
Dividend
income
and
other
distributions
are
recorded
on
the
ex-dividend
date
(except
for
certain
foreign
dividends
which
may
be
recorded
as
soon
as
the
Fund
is
informed
of
such
dividends)
net
of
applicable
withholding
taxes.
Non-cash
dividends
received
in
the
form
of
stock,
if
any,
are
recognized
on
the
ex-dividend
date
and
recorded
as
non-cash
dividend
at
fair
value.
B.
Management Fees:
The
Adviser
provides
investment
advice
and
portfolio
management
services
pursuant
to
a
Management
Agreement
(the
“Agreement”)
and,
subject
to
the
supervision
of
the
Trust’s
Trustees,
makes
or
oversees
the
Fund’s
day-to-day
investment
decisions,
arranges
for
the
execution
of
portfolio
transactions
and
generally
manages
the
Fund’s
invest-
ments.
As
compensation
for
its
services,
the
Adviser
is paid
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Assets:
Common
Stocks
$
24,302
(1)
$
—
$
—
$
24,302
Short-Term
Investment
Investment
Company
59
—
—
59
Total
Assets
$24,361
$—
$—
$24,361
(1)
The
level
classification
by
major
category
of
investments
is
the
same
as
the
category
presentation
in
the
Portfolio
of
Investments.
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
17
Morgan
Stanley
ETF
Trust
monthly
at
the
annual
rate
of
0.14% of
the
average
daily
net
assets
of
the
Fund.
Under
the
Agreement,
the
Adviser pays sub-
stantially
all
the
expenses
of
the
Fund
(including
expenses
of
the
Trust
relating
to
the
Fund),
except
for
the
distribution
fees,
if
any,
brokerage
expenses,
acquired
fund
fees
and
expenses,
taxes,
interest,
litigation
expenses,
and
other
extraordinary
expenses,
including
the
costs
of
proxies,
not
incurred
in
the
ordinary
course
of
the
Fund’s
business.
C.
Distribution
and
Shareholder Services
Plan:
The
Trustees
have
adopted
a
distribution
and
services
plan
("Plan")
pursuant
Rule
12b-1
under the
Act.
Under the
Plan,
the
Fund
is
authorized
to
pay
distribution
fees
in
connection
with
the
sale
of
its
shares
and
pay
service
fees
in
connection
with
the
provision
of
ongoing
services
to
shareholders
of
the
Fund
and
the
maintenance
of
shareholder
accounts
in
an
amount
up
to
0.25%
of
its
average
daily
net
assets.
No
Rule
12b-1
fees
are
currently
paid
by
the
Fund
and
there
are
no
current
plans
to
impose
these
fees.
D.
Dividend
Disbursing
and
Transfer
Agent:
The
Trust’s
dividend
disbursing
and
transfer
agent
is
JPMorgan
Chase
Bank,
N.A.
("JPMorgan").
E.
Custodian
and
Administrator:
JPMorgan also
serves
as
Custodian
and
Administrator for
the
Trust in
accordance
with
a
Custodian
and
Administration Agreement.
F.
Issuance
and
Redemption
of
Fund
Shares:
The
Fund
is
an
exchange-traded
fund
or
ETF.
Individual
Fund
shares
may
only
be
purchased
and
sold
on
a
national
securi-
ties
exchange
through
a
broker-dealer
and
investors
may
pay
a
commission
to
such
broker-dealers
in
connection
with
their
purchase
or
sale.
The
price
of
Fund
shares
is
based
on
market
price,
and
because
ETF
shares
trade
at
market
prices
rather
than
NAV,
shares
may
trade
at
a
price
greater
than
NAV
(a
premium)
or
less
than
NAV
(a
discount).
The
Fund
will
only
issue
or
redeem
shares
aggregated
into
blocks
of 50,000
shares
or
multiples
thereof
(“Creation
Units”)
to
Authorized
Participants
who
have
entered
into
agreements
with
the
Funds’
Distributor.
An
Authorized
Participant
is
either
(1)
a
“Participating
Party,”
(i.e.,
a
broker-dealer
or
other
participant
in
the
clearing
process
of
the
Continuous
Net
Settlement
System
of
the
National
Securities
Clearing
Corpo-
ration)
(“Clearing
Process”),
or
(2)
a
participant
of
Depository
Trust
Company (“DTC
Participant”),
and,
in
each
case,
must
have
executed
an
agreement
(“Participation
Agreement”)
with
the
Distributor
with
respect
to
creations
and
redemptions
of
Creation
Units.
The
Fund
will
issue
or
redeem
Creation
Units
in
return
for
a
basket
of
assets
that
the
Fund
specifies
each
day.
Shares
are
listed
on
the
New
York
Stock
Exchange Arca
("NYSE
Arca") and
are
publicly
traded.
If an
investor buys
or
sells
Fund
shares
on
the
secondary
market, the
investor will
pay
or
receive
the
market
price,
which
may
be
higher
or
lower
than
NAV. The
investor's transaction
will
be
priced
at
NAV
if the
investor purchases
or
redeems
Fund
shares
in
Creation
Units.
Authorized
Participants
purchasing
and
redeeming
Creation
Units
may
pay
a
purchase
transaction
fee
and
a
redemption
transaction
fee
directly
to
the
Fund's
Administrator
to
offset
transfer
and
other
transaction
costs
associated
with
the
issuance
and
redemption
of
Creation
Units,
including
Creation
Units
for
cash.
Additionally,
a
portion
of
the
transaction
fee
is
used
to
offset
transactional
costs
typically
accrued
in
the
Fund's
cus-
tody
expenses
directly
related
to
the
issuance
and
redemption
of
Creation
Units.
An
additional
variable
fee
may
be
charged
for
certain
transactions.
Such
fees
would
be
included
in
the
re-
ceivable
for
capital
shares
issued
on
the
Statement
of
Assets
and
Liabilities
if
they
are
outstanding
as
of
year-
end. Transaction
fees
assessed
during
the
period
are
included
in
the
proceeds
from
shares
issued
on
the
Statements
of
Changes
in
Net
Assets.
G.
Security
Transactions
and
Transactions
with
Affili-
ates:
For
the
year ended
September
30,
2023 purchases
and
sales
of
investment
securities
for
the
Fund,
other
than
long-
term
U.S.
Government
securities,
short-term
investments
and
In-Kind transactions were $24,470,786
and
$4,480,708,
respectively.
There
were
no
purchases
and
sales
of
long-term
U.S.
Government
securities
for
the
year
ended
September
30,
2023. Purchase
and
Sales
related
to
In-Kind
transactions
were
$8,029,843 and
$5,619,931 for
year end.
The
Fund
invests
in
the
Institutional
Class
of
the
Morgan
Stanley
Institutional
Liquidity
Funds
—
Government
Portfolio
(the
“Liquidity
Fund”),
an
open-end
management
investment
company
managed
by
the
Adviser. Management fees
paid
by
the
Fund
are
reduced
by
an
amount
equal
to
its
pro-rata
share
of
the management
fees
paid
by
the
Fund
due
to
its
invest-
ment
in
the
Liquidity
Fund.
For
the
year ended
September
30,
2023, management
fees
paid
were
reduced
by $51 relating
to
the
Fund’s
investment
in
the
Liquidity
Fund.
A
summary
of
the
Fund’s
transactions
in
shares
of
affiliated
investments
during
the
year ended
September
30,
2023 is
as
follows:
Affiliated
Investment
Company
Value
January
30,
2023
Purchases
at
Cost
Proceeds
from
Sales
Dividend
Income
Liquidity
Fund
$
–
$
392,864
$
334,014
$
1,773
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
18
Morgan
Stanley
ETF
Trust
H.
Federal
Income
Taxes:
It
is
the
Fund’s
intention
to
continue
to
qualify
as
a
regulated
investment
company
and
distribute
all
of
its
taxable
and
tax
exempt income.
Accordingly,
no
provision
for
federal
income
taxes
is
required
in
the
finan-
cial
statements.
The
Fund
may
be
subject
to
taxes
imposed
by
countries
in
which
it
invests.
Such
taxes
are
generally
based
on
income
and/
or
capital
gains
earned
or
repatriated.
Taxes
are
accrued
based
on
net
investment
income,
net
realized
gains
and
net
unreal-
ized
appreciation
as
such
income
and/or
gains
are
earned.
Taxes
may
also
be
based
on
transactions
in
foreign
currency
and
are
accrued
based
on
the
value
of
investments
denominated
in
such
currency.
FASB
ASC
740-10,
“Income
Taxes—Overall”,
sets
forth
a
minimum
threshold
for
financial
statement
recognition
of
the
benefit
of
a
tax
position
taken
or
expected
to
be
taken
in
a
tax
return.
Management
has
concluded
there
are
no
significant
uncertain
tax
positions
that
would
require
recognition
in
the
financial
statements.
If
applicable,
the
Fund
recognizes
inter-
est
accrued
related
to
unrecognized
tax
benefits
in
“Interest
Expense”
and
penalties
in
“Other
Expenses”
in
the
Statement
of
Operations.
The
Fund
files
tax
returns
with
the
U.S.
Internal
Revenue
Service,
New
York
and
various
states.
The
tax
year
ended
September
30,
2023 remains
subject
to
examination
by
taxing
authorities.
The
tax
character
of
distributions
paid
may
differ
from
the
character
of
distributions
shown
for
GAAP
purposes
due
to
short-term
capital
gains
being
treated
as
ordinary
income
for
tax
purposes.
The
tax
character
of
distributions
paid
during
fiscal
year 2023
was
as
follows:
The
amount
and
character
of
income
and
gains
to
be
distrib-
uted
are
determined
in
accordance
with
income
tax
regulations
which
may
differ
from
GAAP.
These
book/tax
differences
are
either
considered
temporary
or
permanent
in
nature.
Temporary
differences
are
attributable
to
differing
book
and
tax
treatments
for
the
timing
of
the
recognition
of
gains
(loss-
es)
on
certain
investment
transactions
and
the
timing
of
the
deductibility
of
certain
expenses.
Permanent
differences,
due
to
tax
adjustment
related
to
an
in-kind
redemption,
resulted
in
the
following
reclassifications
among
the
components
of
net
assets
at
September
30,
2023:
At
September
30,
2023,
the
components
of
distributable
earn-
ings
for
the
Fund
on
a
tax
basis
were
as
follows:
At
September
30,
2023,
the
Fund
had
available
for
fed-
eral
income
tax
purposes
unused
short-term
capital
losses
of $303,265 that
do
not
have
an
expiration
date.
To
the
extent
that
capital
loss
carryforwards
are
used
to
offset
any
future
capital
gains
realized,
no
capital
gains
tax
liability
will
be
incurred
by
the
Fund
for
gains
realized
and
not
distrib-
uted.
To
the
extent
that
capital
gains
are
offset,
such
gains
will
not
be
distributed
to
the
shareholders.
I.
Principal
Risks:
Market
Risk:
An
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
governments.
The
risks
associated
with
these
developments
may
be
magnified
if
social,
political,
economic
and
other
conditions
and
events
(such
as
war,
natural
disasters,
health
emergencies
(e.g.,
epidemics
and
pandemics),
terrorism,
conflicts,
social
unrest,
recessions,
inflation,
rapid
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,
adverse-
ly
affect
and
increase
the
volatility
of
the
Fund’s
share
price
and
exacerbate
pre-existing
risks
to
the
Fund.
The
occurrence,
Affiliated
Investment
Company
(cont'd)
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
September
30,
2023
Liquidity
Fund
$
–
$
–
$
58,850
2023
Distributions
Paid
From:
Ordinary
Long-Term
Income
Capital
Gain
$203,084
$–
Total
Distributable
Paid-In
Earnings
Capital
$(1,329,514)
$1,329,514
Undistributed
Undistributed
Ordinary
Long-Term
Income
Capital
Gain
$18,731
$–
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
19
Morgan
Stanley
ETF
Trust
duration
and
extent
of
these
or
other
types
of
adverse
econom-
ic
and
market
conditions
and
uncertainty
over
the
long
term
cannot
be
reasonably
projected
or
estimated
at
this
time.
The
ultimate
impact
of
public
health
emergencies
or
other
adverse
economic
or
market
developments
and
the
extent
to
which
the
associated
conditions
impact
the
Fund
and
its
investments
will
also
depend
on
other
future
developments,
which
are
highly
uncertain,
difficult
to
accurately
predict
and
subject
to
change
at
any
time.
The
financial
performance
of
the
Fund’s
invest-
ments
(and,
in
turn,
the
Fund’s
investment
results)
as
well
as
their
liquidity
may
be
adversely
affected
because
of
these
and
similar
types
of
factors
and
developments.
Tracking
Error
Risk:
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
transac-
tion
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
expens-
es,
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
invest-
ments
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
imple-
menting
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
cir-
cumstances.
The
Fund
may
be
required
to
deviate
its
invest-
ments
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,
espe-
cially
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
ap-
proach,
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
rep-
resented
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.
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.
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
and
no
other
authorized
participant
creates
or
redeems,
shares
may
trade
at
a
discount
to 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.
Disrup-
tions
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
(and,
as
a
result,
an
investor
may
pay
more
for,
or
receive
less
than,
the
underlying
value
of
the
shares,
respectively).
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
trad-
ing
volume
and
market
liquidity
and
may
increase
if
the
Fund’s
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
20
Morgan
Stanley
ETF
Trust
trading
volume,
the
spread
of
the
Fund’s
underlying
securities,
or
market
liquidity
decrease.
Large
Shareholder
Transaction
Risk:
The
Fund
may
experience
adverse
effects
when
certain
shareholders
purchase
or
redeem
large
amounts
of
shares
of the
Fund.
In
addition,
a
third
party
investor,
the
Adviser
or
an
affiliate
of
the
Adviser,
an
authorized
participant,
a
lead
market
maker,
or
another
entity
(i.e.,
a
seed
investor)
may
invest
in
the
Fund
and
hold
its
investment
solely
to
facilitate
commencement
of
the
Fund
or
to
facilitate
the
Fund’s
achieving
a
specified
size
or
scale.
Any
such
investment
may
be
held
for
a
limited
period
of
time.
There
can
be
no
assurance
that
any
large
shareholder
would
not
redeem
its
investment,
that
the
size
of
the
Fund
would
be
maintained
at
such
levels
or
that
the
Fund
would
continue
to
meet
applicable
listing
requirements.
Such
larger
than
normal
redemptions
may
cause
the
Fund
to
sell
portfolio
securities
at
times
when
it
would
not
otherwise
do
so,
which
may
negative-
ly
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.
These
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
circumstanc-
es, 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.
J.
Other:
At
September
30,
2023,
the
Fund
had
record
own-
ers
of
10%
or
greater,
which
are
related
parties
of
the
Fund.
In-
vestment
activities
of
these
shareholders
could
have
a
material
impact
on
the
Fund.
The
aggregate
percentage
of
such
owners
was
88.9%.
21
Annual
Report
—
September
30,
2023
Report
of
Independent
Registered
Public
Accounting
Firm
Morgan
Stanley
ETF
Trust
To
the
Shareholders
and
Board
of
Trustees
of
Morgan
Stanley
ETF
Trust
–
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
Calvert
US
Large-Cap
Diversity,
Equity
and
Inclusion
Index
ETF
(the
“Fund”)
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust
(the
“Trust”)),
including
the
portfolio
of
invest-
ments,
as
of
September
30,
2023,
and
the
related
statements
of
operations
and
changes
in
net
assets
and
the
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust)
at
September
30,
2023,
and
the
results
of
its
opera-
tions,
the
changes
in
its
net
assets
and
its
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Trust’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
financial
statements
based
on
our
audit.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Trust
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audit
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Trust
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Trust’s
internal
control
over
financial
reporting.
As
part
of
our
audit,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting,
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Trust’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audit
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
September
30,
2023,
by
correspondence
with
the
custodian,
brokers
and
others;
when
replies
were
not
received
from
brokers
and
others,
we
performed
other
auditing
procedures.
Our
audit
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audit
provides
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Morgan
Stanley
investment
companies
since
2000.
Boston,
Massachusetts
November
27,
2023
22
Annual
Report
—
September
30,
2023
Federal
Tax
Notice
(unaudited)
Morgan
Stanley
ETF
Trust
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
distributions
paid
by
the
Fund
during
its
taxable
year
ended
September
30,
2023.
For
corporate
shareholders
100%
of
the
dividends
qualified
for
the
dividends
received
deduction.
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
Fund’s
earnings
for
its
taxable
year
ended
September
30,
2023.
When
distributed,
certain
earnings
may
be
subject
to
a
maximum
tax
rate
of
15%
as
provided
for
by
the
Jobs
and
Growth
Tax
Relief
Reconciliation
Act
of
2003.
The
Fund
designated
up
to
a
maximum
of $203,084
as
taxable
at
this
lower
rate.
In
January,
the
Fund
provides
tax
information
to
shareholders
for
the
preceding
calendar
year.
23
Annual
Report
—
September
30,
2023
Important
Notices
(unaudited)
Morgan
Stanley
ETF
Trust
Reporting
to
Shareholders
The
Fund’s
portfolio
holdings
are
publicly
disseminated
each
day
the
Fund
is
open
for
business
through
financial
reporting
and
news
services,
including
publicly
accessible
Internet
web
sites.
In
addition,
a
basket
composition
file,
which
includes
the
securi-
ty
names
and
share
quantities
to
deliver
in
exchange
for
Creation
Units,
together
with
estimates
and
actual
cash
components
is
publicly
disseminated
daily
prior
to
the
opening
of
the
Exchange
via
the
National
Securities
Clearing
Corporation
(the
“NSCC”),
a
clearing
agency
that
is
registered
with
the
SEC.
The
basket
represents
one
Creation
Unit
of
the
Fund.
The
Trust,
Adviser,
Custo-
dian
and
Distributor
will
not
disseminate
non-public
information
concerning
the
Trust.
The
Trust
provides
a
complete
schedule
of
portfolio
holdings
for
the
second
and
fourth
fiscal
quarters
in
its
Semi-Annual
and
Annual
reports,
and
for
the
first
and
third
fiscal
quarters
in
its
filings
with
the
SEC
as
an
exhibit
to
Form
N-PORT.
The
Fund's
portfolio
holdings
will
be
available
on
the
Fund’s
public
website,
www.calvert.com.
Proxy
Voting
Policy
and
Proxy
Voting
Record
The
Board
of
Trustees
believes
that
the
voting
of
proxies
on
securities
held
by
the
Trust
is
an
important
element
of
the
overall
invest-
ment
process.
As
such,
the
Trustees
have
delegated
the
responsibility
to
vote
such
proxies
to
the
Adviser.
The
Adviser
has
engaged
Calvert
to
provide
proxy
voting
services
with
respect
to
the
Trust.
The
Adviser’s
Proxy
Voting
Policy
speci-
fies
that
each
Fund
will
follow
Calvert’s
Proxy
Voting
Policies
and
Procedures
and
Global
Proxy
Voting
Guidelines.
When
available,
the
Trust’s
proxy
voting
record
for
the
most
recent
12-month
period
ending
June
30,
as
filed
with
the
SEC,
will
be
available
without
charge
on
our
web
site
at
www.calvert.com.
The
Trust’s
proxy
voting
record
will
also
be
available
without
charge
on
the
SEC’s
web
site
at
http://www.sec.gov.
Tailored
Shareholder
Reports
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end
mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
on-
line,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Morgan
Stanley
Funds.
24
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
April
2021
Morgan
Stanley
ETF
Trust
FACTS
WHAT
DOES
MSIM
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
Social
Security
number
and
income
investment
experience
and
risk
tolerance
checking
account
number
and
wire
transfer
instructions
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
MSIM
chooses
to
share;
and
whether
you
can
limit
this
sharing.
Reasons
we
can
share
your
personal
information
Does
MSIM
share?
Can
you
limit
this
sharing?
For
our
everyday
business
purposes
—
such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—
to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
investment
management
affiliates’
everyday
business
purposes
—
information
about
your
transactions,
experiences,
and
creditworthiness
Yes
Yes
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
our
investment
management
affiliates
to
market
to
you
Yes
Yes
For
our
affiliates
to
market
to
you
No
We
don’t
share
For
non-affiliates
to
market
to
you
No
We
don’t
share
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
25
April
2021
Morgan
Stanley
ETF
Trust
To
limit
our
sharing
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Please
note:
If
you
are
a
new
customer,
we
can
begin
sharing
your
information
30
days
from
the
date
we
sent
this
notice.
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice.
However,
you
can
contact
us
at
any
time
to
limit
our
sharing.
Questions?
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Who
we
are
Who
is
providing
this
notice?
Morgan
Stanley
Investment
Management
Inc.
and
its
investment
management
affiliates
(“MSIM”)
(see
Investment
Management
Affiliates
definition
below)
What
we
do
How
does
MSIM
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
We
have
policies
governing
the
proper
handling
of
customer
information
by
personnel
and
requiring
third
parties
that
provide
support
to
adhere
to
appropriate
security
standards
with
respect
to
such
information.
How
does
MSIM
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
open
an
account
or
make
deposits
or
withdrawals
from
your
account
buy
securities
from
us
or
make
a
wire
transfer
give
us
your
contact
information
We
also
collect
your
personal
information
from
others,
such
as
credit
bureaus,
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
sharing
for
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
affiliates
from
using
your
information
to
market
to
you
sharing
for
non-affiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
See
below
for
more
on
your
rights
under
state
law.
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
26
April
2021
Morgan
Stanley
ETF
Trust
Definitions
Investment
Management
Affiliates
MSIM
Investment
Management
Affiliates
include
registered
investment
advisers,
registered
broker-dealers,
and
registered
and
unregistered
funds
in
the
Investment
Management
Division.
Investment
Management
Affiliates
does
not
include
entities
associated
with
Morgan
Stanley
Wealth
Management,
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
Our
affiliates
include
companies
with
a
Morgan
Stanley
name
and
financial
companies
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Non-affiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
MSIM
does
not
share
with
non-affiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
non-affiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
MSIM
doesn’t
jointly
market
Other
Important
Information
Vermont:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
Vermont
residents
with
Non-affiliates
unless
you
provide
us
with
your
written
consent
to
share
such
information.
California:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
California
residents
with
Non-affiliates
and
we
will
limit
sharing
such
personal
information
with
our
Affiliates
to
comply
with
California
privacy
laws
that
apply
to
us.
27
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
Morgan
Stanley
ETF
Trust
Independent
Trustees:
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Frank
L.
Bowman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1944
Trustee
Since
August
2006
President,
Strategic
Decisions,
LLC
(consulting)
(since
February
2009);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
Chairperson
of
the
Compliance
and
Insurance
Committee
(since
October
2015);
formerly,
Chairperson
of
the
Insurance
Sub-
Committee
of
the
Compliance
and
Insurance
Committee
(2007-2015);
served
as
President
and
Chief
Executive
Officer
of
the
Nuclear
Energy
Institute
(policy
organization)
(February
2005-November
2008);
retired
as
Admiral,
U.S.
Navy
after
serving
over
38
years
on
active
duty
including
8
years
as
Director
of
the
Naval
Nuclear
Propulsion
Program
in
the
Department
of
the
Navy
and
the
U.S.
Department
of
Energy
(1996-2004);
served
as
Chief
of
Naval
Personnel
(July
1994-September
1996)
and
on
the
Joint
Staff
as
Director
of
Political
Military
Affairs
(June
1992-July
1994);
knighted
as
Honorary
Knight
Commander
of
the
Most
Excellent
Order
of
the
British
Empire;
awarded
the
Officier
de
l’Orde
National
du
Mérite
by
the
French
Government;
elected
to
the
National
Academy
of
Engineering
(2009).
86
Director
of
Naval
and
Nuclear
Technologies
LLP;
Director
Emeritus
of
the
Armed
Services
YMCA;
Member
of
the
National
Security
Advisory
Council
of
the
Center
for
U.S.
Global
Engagement
and
a
member
of
the
CNA
Military
Advisory
Board;
Chairman
of
Fairhaven
United
Methodist
Church;
Member
of
the
Board
of
Advisors
of
the
Dolphin
Scholarship
Foundation;
Director
of
other
various
nonprofit
organizations;
formerly,
Director
of
BP,
plc
(November
2010-
May
2019).
Frances.
L
Cashman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1961
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Chief
Executive
Officer,
Asset
Management
Division,
Euromoney
Institutional
Investor
PLC
(financial
information)
(May
2021-Present);
Executive
Vice
President
and
various
other
roles,
Legg
Mason
&
Co.
(asset
management)
(2010-2020);
Managing
Director,
Stifel
Nicolaus
(2005-2010).
87
Trustee
and
Investment
Committee
Member,
Georgia
Tech
Foundation
(Since
June
2019);
Trustee
and
Chair
of
Marketing
Committee,
Loyola
Blakefield
(Since
September
2017);
Trustee,
MMI
Gateway
Foundation
(since
September
2017);
Director
and
Investment
Committee
Member,
Catholic
Community
Foundation
Board
(2012–2018);
Director
and
Investment
Committee
Member,
St.
Ignatius
Loyola
Academy
(2011-
2017).
Kathleen
A.
Dennis
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1953
Trustee
Since
August
2006
Chairperson
of
the
Governance
Committee
(since
January
2021),
Chairperson
of
the
Liquidity
and
Alternatives
Sub-
Committee
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
President,
Cedarwood
Associates
(mutual
fund
and
investment
management
consulting)
(since
July
2006);
formerly,
Senior
Managing
Director
of
Victory
Capital
Management
(1993-2006).
86
Board
Member,
University
of
Albany
Foundation
(2012-present);
Board
Member,
Mutual
Funds
Directors
Forum
(2014-present);
Director
of
various
non-profit
organizations.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
28
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Nancy
C.
Everett
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
January
2015
Chairperson
of
the
Equity
Investment
Committee
(since
January
2021);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chief
Executive
Officer,
Virginia
Commonwealth
University
Investment
Company
(since
November
2015);
Owner,
OBIR,
LLC
(institutional
investment
management
consulting)
(since
June
2014);
formerly,
Managing
Director,
BlackRock,
Inc.
(February
2011-December
2013)
and
Chief
Executive
Officer,
General
Motors
Asset
Management
(a/k/a
Promark
Global
Advisors,
Inc.)
(June
2005-May
2010).
87
Formerly,
Member
of
Virginia
Commonwealth
University
School
of
Business
Foundation
(2005-2016);
Member
of
Virginia
Commonwealth
University
Board
of
Visitors
(2013-2015);
Member
of
Committee
on
Directors
for
Emerging
Markets
Growth
Fund,
Inc.
(2007-2010);
Chairperson
of
Performance
Equity
Management,
LLC
(2006-2010);
and
Chairperson,
GMAM
Absolute
Return
Strategies
Fund,
LLC
(2006-2010).
Eddie
A.
Grier
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Dean
Santa
Clara
University
Leavey
School
of
Business
(since
April
2021);
Dean,
Virginia
Commonwealth
University
School
of
Business
(2010-2021);
President
and
various
other
roles,
Walt
Disney
Company
(entertainment
and
media)
(1981-2010).
87
Director,
Witt/Kieffer,
Inc.
(executive
search)
(since
2016);
Director,
NuStar
GP,
LLC
(energy)
(since
August
2021);
Director,
Sonida
Senior
Living,
Inc.
(residential
community
operator)
(2016-2021);
Director,
NVR,
Inc.
(home
building)
(2013-2020);
Director,
Middleburg
Trust
Company
(wealth
management)
(2014-
2019);
Director,
Colonial
Williamsburg
Company
(since2012);
Regent,
University
of
Massachusetts
Global
(since
2021);
Director
and
Chair,
Child
Fund
International
(2012-2021);
Trustee,
Brandman
University
(2010-2021);
Director,
Richmond
Forum
(2012-2019).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
29
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Jakki
L.
Hassler
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1957
Trustee
Since
January
2015
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chairperson
of
the
Audit
Committee
(since
January
2023)
Chairman,
Opus
Capital
Group
(since
1996);
formerly,
Chief
Executive
Officer,
Opus
Capital
Group
(1996-2019);
Director,
Capvest
Venture
Fund,
LP
(May
2000-December
2011);
Partner,
Adena
Ventures,
LP
(July
1999
December
2010);
Director,
The
Victory
Funds
(February
2005-
July
2008).
87
Director
of
Cincinnati
Bell
Inc.
and
Member,
Audit
Committee
and
Chairman,
Governance
and
Nominating
Committee;
Director
of
Service
Corporation
International
and
Member,
Audit
Committee
and
Investment
Committee;
Director,
Barnes
Group
Inc.
(since
July
2021);
Director
of
Northern
Kentucky
University
Foundation
and
Member,
Investment
Committee;
Member
of
Chase
College
of
Law
Transactional
Law
Practice
Center
Board
of
Advisors;
Director
of
Best
Transport;
Director
of
Chase
College
of
Law
Board
of
Visitors;
formerly,
Member,
University
of
Cincinnati
Foundation
Investment
Committee.
Dr.
Manuel
H.
Johnson
c/o
Johnson
Smick
International,
Inc.
2201
I
Street,
NE
Suite
200
Washington,
D.C.
20002
Birth
Year:
1949
Trustee
Since
July
1991
Senior
Partner,
Johnson
Smick
International,
Inc.
(consulting
firm);
Chairperson
of
the
Fixed
Income,
Liquidity
and
Alternatives
Investment
Committee
(since
January
2021),
Chairperson
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
July
1991);
Co-Chairman
and
a
founder
of
the
Group
of
Seven
Council
(G7C)
(international
economic
commission);
formerly,
Chairperson
of
the
Audit
Committee
(July
1991-
September
2006);
Vice
Chairman
of
the
Board
of
Governors
of
the
Federal
Reserve
System
and
Assistant
Secretary
of
the
U.S.
Treasury.
86
Director
of
NVR,
Inc.
(home
construction).
Joseph
J.
Kearns
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1942
Trustee
Since
August
1994
Senior
Adviser,
Kearns
&
Associates
LLC
(investment
consulting);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(August
1994
December
2022);
formerly,
Deputy
Chairperson
of
the
Audit
Committee
(July
2003-September
2006)
and
Chairperson
of
the
Audit
Committee
of
various
Morgan
Stanley
Funds
(since
August
1994);
CFO
of
the
J.
Paul
Getty
Trust
(1982-1999).
87
Director,
Rubicon
Investments
(since
February
2019);
Prior
to
August
2016,
Director
of
Electro
Rent
Corporation
(equipment
leasing).
Prior
to
December
31,
2013,
Director
of
The
Ford
Family
Foundation.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
30
Morgan
Stanley
ETF
Trust
*
This
is
the
earliest
date
the Trustee
began
serving
the
Morgan
Stanley
Funds.
Each Trustee
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
**
The
Fund
Complex
includes
(as
of
December
31,
2022)
all
open-end
and
closed-end
funds
(including
all
of
their
portfolios)
advised
by
Morgan
Stanly
Investment
Management
Inc.
(the
"Adviser")
and
any
funds
that
have
an
adviser
that
is
an
affiliated
person
of
the
Adviser
(including,
but
not
limited
to,
Morgan
Stanley
AIP
GP
LP).
***
This
includes
any
directorships
at
public
companies
and
registered
investment
companies
held
by
the
Trustee
at
any
time
during
the
past
five
years.
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Michael
F.
Klein
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1958
Trustee
Since
August
2006
Chairperson
of
the
Risk
Committee
(since
January
2021);
Managing
Director,
Aetos
Alternatives
Management,
LP
(since
March
2000);
Co-President,
Aetos
Alternatives
Management,
LP
(since
January
2004)
and
Co-Chief
Executive
Officer
of
Aetos
Alternatives
Management,
LP
(since
August
2013);
Chairperson
of
the
Fixed
Income
Sub-Committee
of
the
Investment
Committee
(2006-
2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Managing
Director,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Stanley
Dean
Witter
Investment
Management
and
President,
various
Morgan
Stanley
Funds
(June
1998-March
2000);
Principal,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Dean
Witter
Investment
Management
(August
1997-December
1999).
86
Director
of
certain
investment
funds
managed
or
sponsored
by
Aetos
Alternatives
Management,
LP;
Director
of
Sanitized
AG
and
Sanitized
Marketing
AG
(specialty
chemicals).
Patricia
A.
Maleski
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1960
Trustee
Since
January
2017
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2017);
Managing
Director,
JPMorgan
Asset
Management
(2004-2016);
Oversight
and
Control
Head
of
Fiduciary
and
Conflicts
of
Interest
Program
(2015-2016);
Chief
Control
Officer—Global
Asset
Management
(2013-
2015);
President,
JPMorgan
Funds
(2010-
2013);
Chief
Administrative
Officer
(2004-2013);
various
other
positions
including
Treasurer
and
Board
Liaison
(since
2001).
87
Trustee,
Nutley
Family
Service
Bureau,
Inc.
(since
January
2022).
W.
Allen
Reed
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1947
Chair
of
the
Board
and
Trustee
Chair
of
the
Board
since
August
2020
and
Director
since
August
2006
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(since
August
2020);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Vice
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(January
2020-August
2020);
President
and
Chief
Executive
Officer
of
General
Motors
Asset
Management;
Chairman
and
Chief
Executive
Officer
of
the
GM
Trust
Bank
and
Corporate
Vice
President
of
General
Motors
Corporation
(August
1994-December
2005).
86
Formerly,
Director
of
Legg
Mason,
Inc.
(2006-2019);
and
Director
of
the
Auburn
University
Foundation
(2010-
2015).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
31
Morgan
Stanley
ETF
Trust
Executive
Officers:
The
Fund’s
statement
of
additional
information
incudes
further
information
about
the
Fund’s
Trustees
and
Officers,
and
is
available
without
charge
by
visiting
www.calvert.com
or
upon
request
by
calling
1
(800)
836-2414.
*This
is
the
earliest
date
the
officer
began
serving
the
Morgan
Stanley
Funds.
Each
officer
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
Name,
Address
and
Birth
Year
of
Executive
Officer
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
John
H.
Gernon
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1963
President
and
Principal
Executive
Officer
Since
September
2013
President
and
Principal
Executive
Officer
of
the
Equity
and
Fixed
Income
Funds
and
the
Morgan
Stanley
AIP
Funds
(since
September
2013)
and
the
Liquidity
Funds
and
various
money
market
funds
(since
May
2014)
in
the
Fund
Complex;
Managing
Director
of
the
Adviser.
Deidre
A.
Downes
1633
Broadway
New
York,
NY
10019
Birth
Year:
1977
Chief
Compliance
Officer
Since
November
2021
Executive
Director
of
the
Adviser
(since
January
2021)
and
Chief
Compliance
Officer
of
various
Morgan
Stanley
Funds
(since
November
2021).
Formerly,
Vice
President
and
Corporate
Counsel
at
PGIM
and
Prudential
Financial
(October
2016-December
2020).
Francis
J.
Smith
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1965
Treasurer
and
Principal
Financial
Officer
Treasurer
since
July
2003
and
Principal
Financial
Officer
since
September
2002
Managing
Director
of
the
Adviser
and
various
entities
affiliated
with
the
Adviser;
Treasurer
(since
July
2003)
and
Principal
Financial
Officer
of
various
Morgan
Stanley
Funds
(since
September
2002).
Mary
E.
Mullin
1633
Broadway
New
York,
NY
10019
Birth
Year:
1967
Secretary
Since
June
1999
Managing
Director
of
the
Adviser;
Secretary
of
various
Morgan
Stanley
Funds
(since
June
1999).
Michael
J.
Key
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1979
Vice
President
Since
June
2017
Vice
President
of
the
Equity
and
Fixed
Income
Funds,
Liquidity
Funds,
various
money
market
funds
and
the
Morgan
Stanley
AIP
Funds
in
the
Fund
Complex
(since
June
2017);
Executive
Director
of
the
Adviser;
Head
of
Product
Development
for
Equity
and
Fixed
Income
Funds
(since
August
2013).
Anthony
R.
Rochte
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1968
Vice
President,
Morgan
Stanley
ETF
Trust
Since
September
2022
Managing
Director
and
Global
Head
of
Exchange-Traded
Funds
at
Morgan
Stanley
Investment
Management
(since
March
2022);
Co-Head
of
Goldman
Sachs
Private
Bank
Select
(January
2020
–
March
2022);
Head
of
Fidelity
Institutional
Investments
&
Technology
Solutions
(August
2017
–
January
2020).
32
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Adviser
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
Distributor
Foreside
Fund
Services,
LLC
3
Canal
Plaza
Suite
100
Portland,
Maine
04101
Dividend
Disbursing
and
Transfer
Agent
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Custodian
and
Administrator
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Legal
Counsel
Dechert
LLP
1095
Avenue
of
the
Americas
New
York,
New
York
10036
Counsel
to
the
Independent
Trustees
Perkins
Coie
LLP
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
New
York
10036
Independent
Registered
Public
Accounting
Firm
Ernst
&
Young
LLP
200
Clarendon
Street
Boston,
MA
02116
ETFCALUSLGCAPDIVEQTYIIANN
6057864
EXP
11.30.24
Printed
in
U.S.A.
This
Report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
a
current
prospectus.
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
©
2023
Morgan
Stanley.
Morgan
Stanley
Distribution,
Inc.
Morgan
Stanley
ETF
Trust
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
NYSE
Arca:
CVMC
Annual
Report
September
30,
2023
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Table
of
Contents
(unaudited)
1
This
report
is
authorized
for
distribution
only
when
preceded
or
accompanied
by
a
prospectus
or
summary
prospectus
of
the
applicable
Fund
of
Morgan
Stanley
ETF
Trust.
To
receive
a
prospectus
and/or
statement
of
additional
information
(“SAI”),
which
contains
more
complete
information
such
as
investment
objectives,
charges,
expenses,
policies
for
voting
proxies,
risk
considerations
and
describes
in
detail
each
of
the
Fund’s
investment
policies
to
the
prospective
investor,
please
call
toll
free
1
(800)
836-2414.
Please
read
the
prospectuses
carefully
before
you
invest.
Additionally,
you
can
access
Fund
information
including
performance,
characteristics
and
investment
team
commentary,
through
Morgan
Stanley
Investment
Management’s
website:
www.calvert.com.
Market
forecasts
provided
in
this
report
may
not
necessarily
come
to
pass.
There
is
no
guarantee
that
any
sectors
mentioned
will
continue
to
perform
as
discussed
herein
or
that
securities
in
such
sectors
will
be
held
by
the
Fund
in
the
future.
There
is
no
assurance
that
a
fund
will
achieve
its
investment
objective.
Funds
are
subject
to
market
risk,
which
is
the
possibility
that
market
values
of
securities
owned
by
the
Fund
will
decline
and,
therefore,
the
value
of
the
Fund’s
shares
may
be
less
than
what
you
paid
for
them.
Accordingly,
you
can
lose
money
investing
in
this
Fund.
Please
see
the
prospectus
for
more
complete
information
on
investment
risks.
Shareholders’
Letter
........................................................................................
2
Expense
Example
...........................................................................................
3
Investment
Overview
........................................................................................
4
Portfolio
of
Investments
.....................................................................................
6
Statement
of
Assets
and
Liabilities
..........................................................................
13
Statement
of
Operations
....................................................................................
14
Statement
of
Changes
in
Net
Assets
........................................................................
15
Financial
Highlights
.........................................................................................
16
Notes
to
Financial
Statements
...............................................................................
17
Report
of
Independent
Registered
Public
Accounting
Firm
....................................................
23
Federal
Tax
Notice
..........................................................................................
24
Important
Notices
..........................................................................................
25
U.S.
Customer
Privacy
Notice
...............................................................................
26
Trustees
and
Officers
Information
...........................................................................
29
2
Annual
Report
—
September
30,
2023
Shareholders’
Letter
(unaudited)
Morgan
Stanley
ETF
Trust
Dear
Shareholders,
We
are
pleased
to
provide
this
Annual Report,
in
which
you
will
learn
how
your
investment
in Calvert
US
Mid-Cap
Core
Responsi-
ble
Index
ETF (the
“Fund”)
performed
during
the
period
beginning
January
30,
2023
(when
the
Fund
commenced
operations)
and
ended
September
30,
2023.
Morgan
Stanley
Investment
Management,
the
Fund's
investment
adviser, is
a
client-centric,
investor-led
organization.
Our
global
presence,
intellectual
capital,
and
breadth
of
products
and
services
enable
us
to
partner
with
investors
to
meet
the
evolving
chal-
lenges
of
today’s
financial
markets.
We
aim
to
deliver
superior
investment
service
and
to
empower
our
clients
to
make
the
informed
decisions
that
help
them
reach
their
investment
goals.
As
always,
we
thank
you
for
selecting
Morgan
Stanley
Investment
Management,
and
look
forward
to
working
with
you
in
the
months
and
years
ahead.
Sincerely,
John
H.
Gernon
President
and
Principal
Executive
Officer
October
2023
3
Annual
Report
—
September
30,
2023
Expense
Example
(unaudited)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
Morgan
Stanley
ETF
Trust
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transactional
costs;
and
(2)
ongoing
costs,
which
may
include man-
agement
fees,
and
distribution
and
shareholder
services
fees.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
This
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
six-month
period
ended
September
30,
2023 and
held
for
the
entire
six-month
period.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
table,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
table
under
the
heading
entitled
“Actual
Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical Example
for
Comparison
Purposes
The
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
sales
charges
(loads).
Therefore,
the
information
for
each
class
in
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Beginning
Account
Value
(
4/1/23
)
Actual
Ending
Account
Value
(9/30/23)
Hypothetical
Ending
Account
Value
Actual
Expenses
Paid
During
Period
*
Hypothetical
Expenses
Paid
During
Period
*
Net
Expense
Ratio
During
Period
**
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
$1,000.00
$979.80
$1,024.32
$0.74
$0.76
0.15%
*
Expenses
are
calculated
using
the
Fund’s
annualized
net
expense
ratio
(as
disclosed),
multiplied
by
the
average
account
value
over
the
period
and
multiplied
by
183/365
(to
reflect
the
most
recent
one-half
year
period).
**
Annualized.
4
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
Morgan
Stanley
ETF
Trust
Economic
and
Market
Conditions
For
U.S.
equity
investors,
the
8-month
period
ended
September
30,
2023,
was
a
roller-coaster
ride,
driven
largely
by
shifting
perceptions
of
whether
the
U.S.
Federal
Reserve
(the
Fed)
could
bring
the
world’s
largest
economy
in
for
a
soft
landing,
and
changing
expectations
of
how
long
interest
rates
might
remain
high.
As
the
period
opened,
U.S.
stocks
were
in
the
midst
of
a
rally
that
lasted
through
July
2023.
The
initial
tailwind
was
ChatGPT,
an
artificial
intelligence
(AI)
application
that
led
investors
to
perceive
AI
might
become
the
next
big
innovation
to
drive
the
information
technology
(IT)
sector.
As
a
result,
IT
-
one
of
the
worst-performing
sectors
in
2022
-
became
the
standout
sector
during
the
first
half
of
2023.
Earlier
recession
fears
that
had
weighed
on
stock
prices
receded
as
many
inves-
tors
came
around
to
the
view
that
the
U.S.
economy
was
doing
surprisingly
well.
But
in
the
final
two
months
of
the
period,
the
bond
market
halted
the
stock
market’s
momentum.
As
it
became
clear
the
Fed
would
keep
interest
rates
higher
for
longer
than
investors
had
anticipated
just
a
few
months
earlier,
longer
term
bond
rates
rose.
Given
the
potential
for
relatively
attractive
returns
with
lower
risk
than
stocks,
many
investors
shifted
from
equity
assets
to
bonds,
and
stock
prices
ended
on
a
down
note
as
the
period
came
to
a
close.
For
the
period
as
a
whole,
however,
the
August-September
stock
market
retreat
did
not
totally
erase
previous
gains,
and
the
Russell
1000®
Index,
a
measure
of
U.S.
large-cap
stocks,
returned
a
respectable
7.55%.
Fund
Performance
For
the
8-month
period
from
inception
on
January
30,
2023,
through
September
30,
2023,
Calvert
US
Mid-Cap
Core
Re-
sponsible
Index
ETF
(the
Fund)
returned
-4.06%
based
on
net
asset
value
(NAV)
and
reinvestment
of
distributions
per
share,
net
of
fees.
The
Fund
underperformed
its
primary
benchmark,
the
Russell
Midcap®
Index
(the
Index),
which
returned
-2.25%
and
underperformed
its
secondary
benchmark,
the
Calvert
US
Mid-Cap
Core
Responsible
Index
(the
Calvert
Index),
which
returned
-3.97%
during
the
period.
The
Fund’s
underperformance
versus
the
Calvert
Index
was
due
to
Fund
expenses
and
fees,
which
the
Calvert
Index
does
not
incur.
Of
the
11
market
sectors
held
by
the
Fund,
energy,
industrials,
and
information
technology
(IT)
delivered
positive
returns
during
the
period.
The
strongest-performing
sectors
were
en-
ergy,
industrials,
and
IT.
The
weakest-performing
sectors
were
utilities,
financials,
and
health
care.
Detractors
from
Fund
performance
versus
the
Index
included
stock
selections
and
an
overweight
position
in
the
financials
sector,
as
well
as
stock
selections
in
the
IT
and
consumer
dis-
cretionary
sectors.
In
the
financials
sector,
not
owning
Index
position
Apollo
Global
Management,
Inc.
(Apollo)
detracted
from
returns
relative
to
the
Index
during
the
period.
New
York-based
private
equity
firm
Apollo
outperformed
most
of
its
peers
in
the
finan-
cials
sector
during
the
period,
with
its
stock
price
reaching
an
all-time
high
in
September
2023.
In
the
IT
sector,
not
owning
Index
position
Palantir
Technolo-
gies,
Inc.
(Palantir)
detracted
from
Index-relative
returns.
Soft-
ware
firm
Palantir,
which
specializes
in
big
data
analytics,
saw
its
stock
price
more
than
double
during
the
period,
boosted
by
the
investor
enthusiasm
for
artificial
intelligence,
or
AI,
that
drove
a
technology
stock
rally
during
the
first
half
of
2023.
In
contrast,
contributors
to
Fund
performance
versus
the
Index
included
an
underweight
position
in
the
materials
sector;
an
overweight
position
in
the
industrials
sector;
and
an
underweight
position
in
the
real
estate
sector,
which
delivered
negative
returns
as
property
sales
were
hampered
by
rising
mortgage
rates
and
companies
cut
back
on
office
space
after
the
pandemic.
In
the
real
estate
sector,
not
owning
two
commercial
real
estate
investment
trusts
within
the
Index
that
declined
in
price
during
the
period
-
Realty
Income
Corp.
(Realty
Income)
and
Alexandria
Real
Estate
Equities,
Inc.
(Alexandria
Real
Estate)
-
contributed
to
Index-relative
returns.
Realty
Income
invests
in
single-tenant
commercial
properties
in
the
U.S.,
Spain,
and
the
U.K.,
while
Alexandria
Real
Estate
invests
in
office
and
laboratory
buildings
with
life
sciences
and
technology
tenants.
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
(cont’d)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
5
Morgan
Stanley
ETF
Trust
Performance
data
quoted
represents
past
performance,
which
is
no
guaran-
tee
of
future
results,
and
current
performance
may
be
lower
or
higher
than
the
figures
shown.
Performance
assumes
that
all
dividends
and
distributions,
if
any,
were
reinvested.
For
the
most
recent
month-end
performance
figures,
please
visit
www.calvert.com.
Investment
return
and
principal
value
will
fluctu-
ate
so
that
Fund
shares,
when
sold
or redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Total
returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
selling
or
redemption
of
Fund
shares.
Fund's
total
returns
are
calculated
as
of
the
last
business
day
of
the
period.
*
Minimum
Investment.
**
The
Fund’s
performance
shown
assumes
that
all
recurring
fees
(including
management
fees)
were
deducted
and
all
dividends
and
distributions
were
reinvested.
***
Commenced
Operations
on
January
30,
2023.
Performance
Compared
to
the
Russell
Mid-Cap
®
Index
(1)
and
the
Calvert
US
Mid-Cap
Core
Responsible
Index
(2)
Cumulative
Total
Return
for
the
period
Ended
September
30,
2023
Since
Inception
(3)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
-
NAV
(4)
-4.06%
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
-
Market
Price
(4)
-4.06%
Russell
Mid-Cap
®
Index
-2.25%
Calvert
US
Mid-Cap
Core
Responsible
Index
-3.97%
(1)
The
Russell
Midcap
®
Index
is
an
unmanaged
index
of
U.S.
mid-cap
stocks.
The
Russell
Midcap
®
Index
is
a
subset
of
the
Russell
1000
®
Index
and
includes
approximately
800
of
the
smallest
securities
in
the
Russell
1000
®
Index,
which
in
turn
consists
of
approximately
1,000
of
the
largest
U.S.
securities
based
on
a
combination
of
market
capitalization
and
current
index
membership.
The
Index
is
unmanaged
and
its
returns
do
not
include
any
sales
charges
or
fees.
Such
costs
would
lower
performance.
It
is
not
possible
to
invest
directly
in
an
index.
(2)
The
Calvert
US
Mid-Cap
Core
Responsible
Index
(the
“Calvert
Index”)
is
composed
of
common
stocks
of
mid-sized
companies
that
operate
their
businesses
in
a
manner
that
is
consistent
with
the
Calvert
Principles
for
Responsible
Investment.
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
of
Responsible
Investment
serve
as
a
framework
for
considering
environmental,
social
and
governance
factors
that
may
affect
investment
performance.
Stocks
are
weighted
in
the
Calvert
Index
based
on
their
float-adjusted
market
capitalization
within
the
relevant
sector,
subject
to
certain
prescribed
limits.
Unless
otherwise
stated,
index
returns
do
not
reflect
the
effect
of
any
applicable
sales
charges,
commissions,
expenses,
taxes
or
leverage,
as
applicable.
It
is
not
possible
to
invest
directly
in
an
index.
(3)
For
comparative
purposes,
average
annual
since
inception
returns
listed
for
the
Indexes
refer
to
the
inception
date
of
the
Fund,
not
the
inception
of
the
Index.
(4)
Commenced
operations
on
January
30,
2023.
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
6
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Common
Stocks
(99.6%)
Aerospace
&
Defense
(0.7%)
Axon
Enterprise,
Inc.(a)
273
$
54,324
Curtiss-Wright
Corp.
149
29,149
HEICO
Corp.
155
25,099
Hexcel
Corp.
327
21,301
Woodward,
Inc.
234
29,077
158,950
Air
Freight
&
Logistics
(0.6%)
CH
Robinson
Worldwide,
Inc.
478
41,170
Expeditors
International
of
Washington,
Inc.
573
65,683
GXO
Logistics,
Inc.(a)
446
26,158
133,011
Automobile
Components
(0.9%)
Aptiv
plc(a)
974
96,027
Autoliv,
Inc.
354
34,154
BorgWarner,
Inc.
969
39,118
Lear
Corp.
244
32,745
Visteon
Corp.(a)
118
16,292
218,336
Automobiles
(0.4%)
Harley-Davidson,
Inc.
586
19,373
Rivian
Automotive,
Inc.,
Class
A(a)
2,674
64,925
Thor
Industries,
Inc.
210
19,977
104,275
Banks
(2.9%)
Bank
OZK
338
12,530
BOK
Financial
Corp.
88
7,038
Citizens
Financial
Group,
Inc.
1,466
39,289
Columbia
Banking
System,
Inc.
637
12,931
Comerica,
Inc.
408
16,952
Commerce
Bancshares,
Inc.
376
18,041
Cullen/Frost
Bankers,
Inc.
187
17,056
East
West
Bancorp,
Inc.
433
22,824
Fifth
Third
Bancorp
2,112
53,497
First
Citizens
BancShares,
Inc.,
Class
A
33
45,543
First
Financial
Bankshares,
Inc.
428
10,751
First
Horizon
Corp.
1,718
18,932
FNB
Corp.
1,092
11,783
Home
BancShares,
Inc.
588
12,313
Huntington
Bancshares,
Inc.
4,503
46,831
KeyCorp
2,907
31,279
M&T
Bank
Corp.
514
64,995
New
York
Community
Bancorp,
Inc.
2,207
25,027
Old
National
Bancorp
903
13,130
Pinnacle
Financial
Partners,
Inc.
235
15,754
Popular,
Inc.
219
13,799
Prosperity
Bancshares,
Inc.
282
15,392
Regions
Financial
Corp.
2,916
50,155
SouthState
Corp.
234
15,762
Synovus
Financial
Corp.
448
12,455
United
Bankshares,
Inc.
412
11,367
Valley
National
Bancorp
1,321
11,308
Webster
Financial
Corp.
532
21,445
Western
Alliance
Bancorp
336
15,446
Wintrust
Financial
Corp.
188
14,194
Shares
Value
Zions
Bancorp
NA
454
$
15,840
693,659
Beverages
(0.2%)
Celsius
Holdings,
Inc.(a)
150
25,740
Coca-Cola
Consolidated,
Inc.
17
10,817
36,557
Biotechnology
(2.8%)
ACADIA
Pharmaceuticals,
Inc.(a)
432
9,003
Alkermes
plc(a)
593
16,610
Alnylam
Pharmaceuticals,
Inc.(a)
444
78,632
Apellis
Pharmaceuticals,
Inc.(a)
348
13,238
Arrowhead
Pharmaceuticals,
Inc.(a)
372
9,996
BioMarin
Pharmaceutical,
Inc.(a)
663
58,662
Blueprint
Medicines
Corp.(a)
214
10,747
Denali
Therapeutics,
Inc.(a)
387
7,984
Exact
Sciences
Corp.(a)
645
44,002
Exelixis,
Inc.(a)
1,102
24,079
Halozyme
Therapeutics,
Inc.(a)
471
17,992
Horizon
Therapeutics
plc(a)
808
93,477
Incyte
Corp.(a)
657
37,955
Ionis
Pharmaceuticals,
Inc.(a)
503
22,816
Neurocrine
Biosciences,
Inc.(a)
346
38,925
Sarepta
Therapeutics,
Inc.(a)
313
37,942
Seagen,
Inc.(a)
483
102,468
United
Therapeutics
Corp.(a)
163
36,817
661,345
Broadline
Retail
(0.5%)
eBay,
Inc.
1,733
76,408
Etsy,
Inc.(a)
398
25,703
Macy's,
Inc.
879
10,205
112,316
Building
Products
(3.0%)
A
O
Smith
Corp.
477
31,544
AAON,
Inc.
259
14,729
Advanced
Drainage
Systems,
Inc.
265
30,165
Allegion
plc
341
35,532
AZEK
Co.,
Inc.
(The),
Class
A(a)
403
11,985
Carlisle
Cos.,
Inc.
210
54,445
Carrier
Global
Corp.
2,669
147,329
Fortune
Brands
Innovations,
Inc.
409
25,423
Lennox
International,
Inc.
124
46,431
Masco
Corp.
728
38,912
Owens
Corning
381
51,972
Simpson
Manufacturing
Co.,
Inc.
165
24,719
Trane
Technologies
plc
730
148,124
Trex
Co.,
Inc.(a)
351
21,632
UFP
Industries,
Inc.
196
20,070
Zurn
Elkay
Water
Solutions
Corp.
454
12,721
715,733
Capital
Markets
(4.5%)
Affiliated
Managers
Group,
Inc.
106
13,816
Ameriprise
Financial,
Inc.
320
105,498
Ares
Management
Corp.,
Class
A
459
47,217
Bank
of
New
York
Mellon
Corp.
(The)
2,426
103,469
Blue
Owl
Capital,
Inc.,
Class
A
1,395
18,079
Carlyle
Group,
Inc.
(The)
600
18,096
Cboe
Global
Markets,
Inc.
328
51,237
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
7
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Capital
Markets
(cont’d)
Coinbase
Global,
Inc.,
Class
A(a)
545
$
40,919
Evercore,
Inc.,
Class
A
109
15,029
FactSet
Research
Systems,
Inc.
146
63,840
Franklin
Resources,
Inc.
906
22,270
Hamilton
Lane,
Inc.,
Class
A
132
11,938
Houlihan
Lokey,
Inc.,
Class
A
159
17,032
Interactive
Brokers
Group,
Inc.,
Class
A
317
27,440
Invesco
Ltd.
1,360
19,747
Jefferies
Financial
Group,
Inc.
618
22,637
LPL
Financial
Holdings,
Inc.
236
56,085
MarketAxess
Holdings,
Inc.
141
30,123
Morningstar,
Inc.
101
23,658
Nasdaq,
Inc.
1,068
51,894
Northern
Trust
Corp.
633
43,981
Raymond
James
Financial,
Inc.
590
59,254
SEI
Investments
Co.
342
20,599
State
Street
Corp.
990
66,290
Stifel
Financial
Corp.
316
19,415
T
Rowe
Price
Group,
Inc.
685
71,836
Tradeweb
Markets,
Inc.,
Class
A
356
28,551
1,069,950
Chemicals
(1.9%)
Ashland,
Inc.
203
16,581
Axalta
Coating
Systems
Ltd.(a)
860
23,134
Balchem
Corp.
124
15,381
Cabot
Corp.
216
14,962
Celanese
Corp.,
Class
A
422
52,970
Eastman
Chemical
Co.
461
35,368
Element
Solutions,
Inc.
863
16,923
FMC
Corp.
485
32,481
Huntsman
Corp.
663
16,177
International
Flavors
&
Fragrances,
Inc.
982
66,943
Livent
Corp.(a)
696
12,813
Mosaic
Co.
(The)
1,285
45,746
PPG
Industries,
Inc.
792
102,802
452,281
Commercial
Services
&
Supplies
(0.7%)
Casella
Waste
Systems,
Inc.,
Class
A(a)
227
17,320
Clean
Harbors,
Inc.(a)
202
33,807
MSA
Safety,
Inc.
143
22,544
Rollins,
Inc.
969
36,173
Stericycle,
Inc.(a)
369
16,498
Tetra
Tech,
Inc.
211
32,078
158,420
Communications
Equipment
(0.5%)
Ciena
Corp.(a)
536
25,331
F5,
Inc.(a)
214
34,484
Juniper
Networks,
Inc.
1,151
31,986
Lumentum
Holdings,
Inc.(a)
237
10,708
Viasat,
Inc.(a)
258
4,763
107,272
Construction
&
Engineering
(1.1%)
AECOM
553
45,921
Comfort
Systems
USA,
Inc.
140
23,857
EMCOR
Group,
Inc.
188
39,553
MasTec,
Inc.(a)
246
17,705
Shares
Value
Quanta
Services,
Inc.
492
$
92,039
Valmont
Industries,
Inc.
81
19,457
WillScot
Mobile
Mini
Holdings
Corp.(a)
775
32,232
270,764
Construction
Materials
(0.5%)
Summit
Materials,
Inc.,
Class
A(a)
835
26,002
Vulcan
Materials
Co.
458
92,525
118,527
Consumer
Finance
(0.9%)
Ally
Financial,
Inc.
930
24,812
Credit
Acceptance
Corp.(a)
20
9,202
Discover
Financial
Services
776
67,225
FirstCash
Holdings,
Inc.
117
11,745
OneMain
Holdings,
Inc.
373
14,954
SLM
Corp.
696
9,480
SoFi
Technologies,
Inc.(a)
2,967
23,706
Synchrony
Financial
1,297
39,649
200,773
Consumer
Staples
Distribution
&
Retail
(2.0%)
Albertsons
Cos.,
Inc.,
Class
A
1,469
33,420
BJ's
Wholesale
Club
Holdings,
Inc.(a)
433
30,903
Casey's
General
Stores,
Inc.
131
35,569
Dollar
Tree,
Inc.(a)
719
76,538
Kroger
Co.
(The)
2,409
107,803
Performance
Food
Group
Co.(a)
532
31,314
Sprouts
Farmers
Market,
Inc.(a)
360
15,408
Sysco
Corp.
1,687
111,426
U.S.
Foods
Holding
Corp.(a)
865
34,340
476,721
Containers
&
Packaging
(1.6%)
AptarGroup,
Inc.
253
31,635
Avery
Dennison
Corp.
309
56,445
Ball
Corp.
1,228
61,130
Berry
Global
Group,
Inc.
459
28,417
Crown
Holdings,
Inc.
469
41,497
Graphic
Packaging
Holding
Co.
1,184
26,379
Packaging
Corp.
of
America
342
52,514
Sealed
Air
Corp.
558
18,336
Silgan
Holdings,
Inc.
329
14,183
Sonoco
Products
Co.
379
20,599
Westrock
Co.
990
35,442
386,577
Distributors
(0.6%)
Genuine
Parts
Co.
459
66,271
LKQ
Corp.
863
42,727
Pool
Corp.
123
43,800
152,798
Diversified
Consumer
Services
(0.4%)
Bright
Horizons
Family
Solutions,
Inc.(a)
218
17,758
Duolingo,
Inc.,
Class
A(a)
109
18,080
H&R
Block,
Inc.
560
24,114
Service
Corp.
International
560
31,998
91,950
Diversified
Telecommunication
Services
(0.1%)
Iridium
Communications,
Inc.
448
20,380
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
8
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Electric
Utilities
(2.1%)
Alliant
Energy
Corp.
1,016
$
49,225
Avangrid,
Inc.
285
8,599
Constellation
Energy
Corp.
1,081
117,916
Evergy,
Inc.
906
45,934
Eversource
Energy
1,270
73,851
IDACORP,
Inc.
202
18,917
NRG
Energy,
Inc.
895
34,475
PNM
Resources,
Inc.
340
15,167
Portland
General
Electric
Co.
404
16,354
Xcel
Energy,
Inc.
1,874
107,230
487,668
Electrical
Equipment
(2.0%)
Acuity
Brands,
Inc.
121
20,607
AMETEK,
Inc.
762
112,593
Atkore,
Inc.(a)
145
21,633
EnerSys
130
12,307
Generac
Holdings,
Inc.(a)
239
26,041
Hubbell,
Inc.,
Class
B
207
64,876
nVent
Electric
plc
629
33,331
Plug
Power,
Inc.(a)
1,727
13,125
Regal
Rexnord
Corp.
259
37,006
Rockwell
Automation,
Inc.
382
109,202
Sensata
Technologies
Holding
plc
591
22,352
Sunrun,
Inc.(a)
677
8,503
481,576
Electronic
Equipment,
Instruments
&
Components
(3.1%)
Advanced
Energy
Industries,
Inc.
144
14,849
Arrow
Electronics,
Inc.(a)
182
22,794
Avnet,
Inc.
295
14,216
Badger
Meter,
Inc.
113
16,257
Belden,
Inc.
160
15,448
CDW
Corp.
464
93,617
Cognex
Corp.
672
28,520
Coherent
Corp.(a)
489
15,961
Corning,
Inc.
2,731
83,214
Insight
Enterprises,
Inc.(a)
93
13,532
IPG
Photonics
Corp.(a)
104
10,560
Jabil,
Inc.
452
57,354
Keysight
Technologies,
Inc.(a)
635
84,017
Littelfuse,
Inc.
95
23,495
National
Instruments
Corp.
475
28,320
Novanta,
Inc.(a)
139
19,938
TD
SYNNEX
Corp.
135
13,481
Teledyne
Technologies,
Inc.(a)
176
71,910
Trimble,
Inc.(a)
961
51,759
Vishay
Intertechnology,
Inc.
445
11,000
Zebra
Technologies
Corp.,
Class
A(a)
184
43,522
733,764
Energy
Equipment
&
Services
(0.5%)
Baker
Hughes
Co.,
Class
A
3,347
118,216
Entertainment
(2.1%)
AMC
Entertainment
Holdings,
Inc.,
Class
A(a)
608
4,858
Atlanta
Braves
Holdings,
Inc.,
Class
C(a)
210
7,503
Electronic
Arts,
Inc.
845
101,738
Liberty
Media
Corp-Liberty
Formula
One,
Class
A(a)
935
52,865
Shares
Value
Liberty
Media
Corp-Liberty
Live,
Class
A(a)
256
$
8,171
Live
Nation
Entertainment,
Inc.(a)
548
45,506
Madison
Square
Garden
Sports
Corp.
62
10,931
ROBLOX
Corp.,
Class
A(a)
1,662
48,131
Roku,
Inc.,
Class
A(a)
445
31,413
Take-Two
Interactive
Software,
Inc.(a)
563
79,040
Warner
Bros
Discovery,
Inc.(a)
7,949
86,326
Warner
Music
Group
Corp.,
Class
A
503
15,794
492,276
Financial
Services
(1.8%)
Affirm
Holdings,
Inc.,
Class
A(a)
797
16,952
Block,
Inc.,
Class
A(a)
1,837
81,306
Equitable
Holdings,
Inc.
1,080
30,661
Essent
Group
Ltd.
321
15,180
Euronet
Worldwide,
Inc.(a)
168
13,336
Fidelity
National
Information
Services,
Inc.
1,996
110,319
Jack
Henry
&
Associates,
Inc.
262
39,599
MGIC
Investment
Corp.
885
14,771
Radian
Group,
Inc.
484
12,153
Shift4
Payments,
Inc.,
Class
A(a)
198
10,963
Toast,
Inc.,
Class
A(a)
1,310
24,536
Voya
Financial,
Inc.
327
21,729
Western
Union
Co.
(The)
1,329
17,516
WEX,
Inc.(a)
152
28,590
437,611
Food
Products
(2.0%)
Bunge
Ltd.
525
56,831
Campbell
Soup
Co.
699
28,715
Conagra
Brands,
Inc.
1,689
46,312
Darling
Ingredients,
Inc.(a)
554
28,919
Flowers
Foods,
Inc.
685
15,193
Hormel
Foods
Corp.
1,014
38,563
Ingredion,
Inc.
223
21,943
J.M.
Smucker
Co.
(The)
352
43,264
Kellogg
Co.
917
54,571
Lamb
Weston
Holdings,
Inc.
501
46,323
Lancaster
Colony
Corp.
68
11,222
McCormick
&
Co.,
Inc.
(Non-Voting)
938
70,950
Simply
Good
Foods
Co.
(The)(a)
316
10,908
473,714
Gas
Utilities
(0.4%)
National
Fuel
Gas
Co.
352
18,273
New
Jersey
Resources
Corp.
386
15,683
ONE
Gas,
Inc.
218
14,885
Southwest
Gas
Holdings,
Inc.
281
16,975
UGI
Corp.
833
19,159
84,975
Ground
Transportation
(1.5%)
Avis
Budget
Group,
Inc.(a)
99
17,789
JB
Hunt
Transport
Services,
Inc.
329
62,023
Knight-Swift
Transportation
Holdings,
Inc.,
Class
A
623
31,243
Landstar
System,
Inc.
148
26,187
Old
Dominion
Freight
Line,
Inc.
307
125,606
Ryder
System,
Inc.
185
19,786
Saia,
Inc.(a)
110
43,852
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
9
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Ground
Transportation
(cont’d)
XPO,
Inc.(a)
470
$
35,090
361,576
Health
Care
Equipment
&
Supplies
(3.9%)
Align
Technology,
Inc.(a)
252
76,941
Baxter
International,
Inc.
1,795
67,743
CONMED
Corp.
109
10,993
Cooper
Cos.,
Inc.
(The)
177
56,288
DENTSPLY
SIRONA,
Inc.
760
25,962
Envista
Holdings
Corp.(a)
588
16,393
GE
HealthCare
Technologies,
Inc.
1,366
92,943
Globus
Medical,
Inc.,
Class
A(a)
279
13,852
Haemonetics
Corp.(a)
180
16,124
Hologic,
Inc.(a)
866
60,100
ICU
Medical,
Inc.(a)
73
8,688
Inari
Medical,
Inc.(a)
173
11,314
Inspire
Medical
Systems,
Inc.(a)
103
20,439
Insulet
Corp.(a)
251
40,032
iRhythm
Technologies,
Inc.(a)
108
10,180
Lantheus
Holdings,
Inc.(a)
241
16,745
Masimo
Corp.(a)
178
15,607
Merit
Medical
Systems,
Inc.(a)
203
14,011
Neogen
Corp.(a)
781
14,480
Novocure
Ltd.(a)
346
5,588
Penumbra,
Inc.(a)
132
31,932
QuidelOrtho
Corp.(a)
175
12,782
ResMed,
Inc.
522
77,188
Shockwave
Medical,
Inc.(a)
130
25,883
STERIS
plc
352
77,236
Teleflex,
Inc.
169
33,193
Zimmer
Biomet
Holdings,
Inc.
743
83,380
936,017
Health
Care
Providers
&
Services
(2.2%)
agilon
health,
Inc.(a)
1,081
19,199
AMN
Healthcare
Services,
Inc.(a)
144
12,266
Centene
Corp.(a)
1,813
124,879
Chemed
Corp.
53
27,544
DaVita,
Inc.(a)
193
18,244
Encompass
Health
Corp.
355
23,842
Ensign
Group,
Inc.
(The)
195
18,121
HealthEquity,
Inc.(a)
304
22,207
Henry
Schein,
Inc.(a)
466
34,601
Laboratory
Corp.
of
America
Holdings
316
63,532
Molina
Healthcare,
Inc.(a)
207
67,873
Option
Care
Health,
Inc.(a)
641
20,736
Progyny,
Inc.(a)
295
10,036
Quest
Diagnostics,
Inc.
401
48,866
R1
RCM,
Inc.(a)
572
8,620
Select
Medical
Holdings
Corp.
378
9,552
530,118
Health
Care
Technology
(0.5%)
Doximity,
Inc.,
Class
A(a)
450
9,549
Veeva
Systems,
Inc.,
Class
A(a)
496
100,911
110,460
Hotels,
Restaurants
&
Leisure
(2.6%)
Aramark
912
31,647
Choice
Hotels
International,
Inc.
118
14,456
Shares
Value
Darden
Restaurants,
Inc.
428
$
61,298
Domino's
Pizza,
Inc.
123
46,591
Expedia
Group,
Inc.(a)
510
52,566
Hilton
Grand
Vacations,
Inc.(a)
297
12,088
Hilton
Worldwide
Holdings,
Inc.
845
126,902
Hyatt
Hotels
Corp.,
Class
A
174
18,458
Marriott
Vacations
Worldwide
Corp.
129
12,981
Planet
Fitness,
Inc.,
Class
A(a)
322
15,836
Texas
Roadhouse,
Inc.,
Class
A
232
22,295
Vail
Resorts,
Inc.
147
32,618
Wendy's
Co.
(The)
600
12,246
Wingstop,
Inc.
102
18,344
Wyndham
Hotels
&
Resorts,
Inc.
321
22,322
Yum!
Brands,
Inc.
931
116,319
616,967
Household
Durables
(2.1%)
D.R.
Horton,
Inc.
987
106,073
KB
Home
313
14,486
Leggett
&
Platt,
Inc.
427
10,850
Lennar
Corp.,
Class
A
878
98,538
Meritage
Homes
Corp.
146
17,869
Mohawk
Industries,
Inc.(a)
171
14,673
Newell
Brands,
Inc.
1,344
12,136
NVR,
Inc.(a)
12
71,560
PulteGroup,
Inc.
840
62,202
Taylor
Morrison
Home
Corp.,
Class
A(a)
418
17,811
Tempur
Sealy
International,
Inc.
542
23,490
TopBuild
Corp.(a)
126
31,702
Whirlpool
Corp.
173
23,130
504,520
Household
Products
(0.5%)
Church
&
Dwight
Co.,
Inc.
799
73,213
Clorox
Co.
(The)
405
53,079
126,292
Independent
Power
and
Renewable
Electricity
Producers
(0.3%)
AES
Corp.
(The)
2,665
40,508
Brookfield
Renewable
Corp.
512
12,257
Clearway
Energy,
Inc.,
Class
C
449
9,501
Ormat
Technologies,
Inc.
208
14,543
76,809
Insurance
(4.9%)
Allstate
Corp.
(The)
813
90,576
American
Financial
Group,
Inc.
243
27,136
Arch
Capital
Group
Ltd.(a)
1,128
89,913
Assurant,
Inc.
163
23,404
Axis
Capital
Holdings
Ltd.
242
13,642
Brown
&
Brown,
Inc.
912
63,694
Cincinnati
Financial
Corp.
480
49,099
Enstar
Group
Ltd.(a)
41
9,922
Erie
Indemnity
Co.,
Class
A
79
23,209
Everest
Group
Ltd.
132
49,060
Fidelity
National
Financial,
Inc.
803
33,164
First
American
Financial
Corp.
376
21,240
Globe
Life,
Inc.
291
31,640
Hanover
Insurance
Group,
Inc.
(The)
109
12,097
Hartford
Financial
Services
Group,
Inc.
(The)
951
67,435
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
10
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Insurance
(cont’d)
Kinsale
Capital
Group,
Inc.
69
$
28,575
Lincoln
National
Corp.
524
12,938
Markel
Group,
Inc.(a)
41
60,372
Old
Republic
International
Corp.
822
22,145
Primerica,
Inc.
112
21,729
Principal
Financial
Group,
Inc.
751
54,125
Prudential
Financial,
Inc.
1,132
107,416
Reinsurance
Group
of
America,
Inc.
207
30,054
RenaissanceRe
Holdings
Ltd.
157
31,073
RLI
Corp.
125
16,986
Ryan
Specialty
Holdings,
Inc.,
Class
A(a)
301
14,568
Selective
Insurance
Group,
Inc.
183
18,880
Unum
Group
610
30,006
W.
R.
Berkley
Corp.
630
39,999
White
Mountains
Insurance
Group
Ltd.
7
10,470
Willis
Towers
Watson
plc
326
68,121
1,172,688
Interactive
Media
&
Services
(0.5%)
IAC,
Inc.(a)
268
13,505
Pinterest,
Inc.,
Class
A(a)
2,067
55,871
Snap,
Inc.,
Class
A(a)
3,620
32,254
ZoomInfo
Technologies,
Inc.,
Class
A(a)
1,093
17,925
119,555
IT
Services
(2.8%)
Akamai
Technologies,
Inc.(a)
538
57,318
Amdocs
Ltd.
437
36,922
Cloudflare,
Inc.,
Class
A(a)
1,041
65,625
Cognizant
Technology
Solutions
Corp.,
Class
A
1,677
113,600
DXC
Technology
Co.(a)
817
17,018
EPAM
Systems,
Inc.(a)
204
52,161
Gartner,
Inc.(a)
268
92,087
MongoDB,
Inc.,
Class
A(a)
239
82,661
Okta,
Inc.,
Class
A(a)
544
44,341
Twilio,
Inc.,
Class
A(a)
619
36,230
VeriSign,
Inc.(a)
326
66,025
663,988
Leisure
Products
(0.3%)
Brunswick
Corp.
271
21,409
Hasbro,
Inc.
424
28,044
Mattel,
Inc.(a)
1,139
25,092
74,545
Life
Sciences
Tools
&
Services
(3.5%)
10X
Genomics,
Inc.,
Class
A(a)
333
13,736
Agilent
Technologies,
Inc.
981
109,695
Avantor,
Inc.(a)
2,357
49,686
Bio-Rad
Laboratories,
Inc.,
Class
A(a)
74
26,525
Bio-Techne
Corp.
559
38,051
Bruker
Corp.
356
22,179
Charles
River
Laboratories
International,
Inc.(a)
181
35,472
Fortrea
Holdings,
Inc.(a)
320
9,149
Illumina,
Inc.(a)
556
76,328
IQVIA
Holdings,
Inc.(a)
593
116,673
Medpace
Holdings,
Inc.(a)
84
20,339
Mettler-Toledo
International,
Inc.(a)
76
84,213
PerkinElmer,
Inc.
443
49,040
Shares
Value
Repligen
Corp.(a)
186
$
29,576
Waters
Corp.(a)
212
58,133
West
Pharmaceutical
Services,
Inc.
252
94,553
833,348
Machinery
(6.2%)
AGCO
Corp.
242
28,624
Allison
Transmission
Holdings,
Inc.
352
20,789
Chart
Industries,
Inc.(a)
167
28,243
CNH
Industrial
NV
3,644
44,092
Cummins,
Inc.
472
107,833
Donaldson
Co.,
Inc.
469
27,971
Dover
Corp.
517
72,127
Esab
Corp.
219
15,378
Flowserve
Corp.
509
20,243
Fortive
Corp.
1,222
90,624
Franklin
Electric
Co.,
Inc.
155
13,831
Graco,
Inc.
658
47,955
IDEX
Corp.
294
61,158
Ingersoll
Rand,
Inc.
1,402
89,335
ITT,
Inc.
315
30,842
Lincoln
Electric
Holdings,
Inc.
220
39,994
Middleby
Corp.
(The)(a)
207
26,496
Mueller
Industries,
Inc.
216
16,235
Nordson
Corp.
199
44,411
Oshkosh
Corp.
253
24,144
Otis
Worldwide
Corp.
1,373
110,266
PACCAR,
Inc.
1,668
141,813
Pentair
plc
640
41,440
Snap-on,
Inc.
205
52,287
SPX
Technologies,
Inc.(a)
170
13,838
Stanley
Black
&
Decker,
Inc.
587
49,061
Timken
Co.
(The)
250
18,372
Toro
Co.
(The)
404
33,572
Watts
Water
Technologies,
Inc.,
Class
A
105
18,146
Westinghouse
Air
Brake
Technologies
Corp.
664
70,563
Xylem,
Inc.
853
77,649
1,477,332
Media
(1.5%)
Cable
One,
Inc.
16
9,850
Interpublic
Group
of
Cos.,
Inc.
(The)
1,483
42,503
Liberty
Broadband
Corp.,
Class
C(a)
480
43,833
New
York
Times
Co.
(The),
Class
A
611
25,173
Nexstar
Media
Group,
Inc.,
Class
A
129
18,495
Omnicom
Group,
Inc.
751
55,934
Paramount
Global,
Class
B
2,263
29,193
Sirius
XM
Holdings,
Inc.
2,561
11,576
TEGNA,
Inc.
847
12,341
Trade
Desk,
Inc.
(The),
Class
A(a)
1,471
114,959
363,857
Metals
&
Mining
(1.3%)
ATI,
Inc.(a)
772
31,768
Commercial
Metals
Co.
659
32,561
Nucor
Corp.
802
125,393
Reliance
Steel
&
Aluminum
Co.
229
60,051
Steel
Dynamics,
Inc.
612
65,618
315,391
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
11
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Multi-Utilities
(2.3%)
Ameren
Corp.
970
$
72,585
Black
Hills
Corp.
262
13,255
CMS
Energy
Corp.
1,149
61,023
Consolidated
Edison,
Inc.
1,177
100,669
DTE
Energy
Co.
758
75,254
NiSource,
Inc.
1,645
40,599
Public
Service
Enterprise
Group,
Inc.
1,710
97,316
WEC
Energy
Group,
Inc.
1,107
89,169
549,870
Oil,
Gas
&
Consumable
Fuels
(0.1%)
Denbury,
Inc.(a)
344
33,715
Paper
&
Forest
Products
(0.1%)
Louisiana-Pacific
Corp.
228
12,602
Passenger
Airlines
(0.8%)
Alaska
Air
Group,
Inc.(a)
523
19,393
American
Airlines
Group,
Inc.(a)
2,721
34,856
Delta
Air
Lines,
Inc.
2,231
82,547
Southwest
Airlines
Co.
2,254
61,016
197,812
Personal
Care
Products
(0.2%)
BellRing
Brands,
Inc.(a)
428
17,647
Coty,
Inc.,
Class
A(a)
1,164
12,769
elf
Beauty,
Inc.(a)
169
18,561
48,977
Pharmaceuticals
(0.6%)
Catalent,
Inc.(a)
629
28,638
Elanco
Animal
Health,
Inc.(a)
1,767
19,861
Jazz
Pharmaceuticals
plc(a)
219
28,347
Organon
&
Co.
921
15,989
Perrigo
Co.
plc
488
15,592
Royalty
Pharma
plc,
Class
A
1,358
36,856
145,283
Professional
Services
(3.1%)
Alight,
Inc.,
Class
A(a)
1,137
8,061
Booz
Allen
Hamilton
Holding
Corp.,
Class
A
495
54,089
Broadridge
Financial
Solutions,
Inc.
421
75,380
Ceridian
HCM
Holding,
Inc.(a)
538
36,503
Concentrix
Corp.
154
12,337
Dun
&
Bradstreet
Holdings,
Inc.
868
8,671
Equifax,
Inc.
434
79,500
ExlService
Holdings,
Inc.(a)
595
16,684
Exponent,
Inc.
191
16,350
FTI
Consulting,
Inc.(a)
129
23,015
Genpact
Ltd.
601
21,756
Insperity,
Inc.
137
13,371
ManpowerGroup,
Inc.
191
14,004
Maximus,
Inc.
229
17,102
Paycom
Software,
Inc.
186
48,224
Paylocity
Holding
Corp.(a)
153
27,800
Robert
Half,
Inc.
400
29,312
Science
Applications
International
Corp.
190
20,053
SS&C
Technologies
Holdings,
Inc.
781
41,034
TransUnion
742
53,268
TriNet
Group,
Inc.(a)
142
16,540
Shares
Value
Verisk
Analytics,
Inc.,
Class
A
481
$
113,632
746,686
Real
Estate
Management
&
Development
(1.1%)
CBRE
Group,
Inc.,
Class
A(a)
1,082
79,916
CoStar
Group,
Inc.(a)
1,360
104,570
Howard
Hughes
Holdings,
Inc.(a)
135
10,008
Jones
Lang
LaSalle,
Inc.(a)
190
26,824
Zillow
Group,
Inc.,
Class
C(a)
747
34,482
255,800
Semiconductors
&
Semiconductor
Equipment
(3.2%)
Allegro
MicroSystems,
Inc.(a)
266
8,496
Amkor
Technology,
Inc.
333
7,526
Cirrus
Logic,
Inc.(a)
192
14,200
Diodes,
Inc.(a)
163
12,851
Enphase
Energy,
Inc.(a)
426
51,184
Entegris,
Inc.
537
50,430
First
Solar,
Inc.(a)
329
53,163
Lattice
Semiconductor
Corp.(a)
491
42,192
MKS
Instruments,
Inc.
246
21,289
Monolithic
Power
Systems,
Inc.
163
75,306
ON
Semiconductor
Corp.(a)
1,394
129,572
Onto
Innovation,
Inc.(a)
175
22,316
Power
Integrations,
Inc.
205
15,644
Qorvo,
Inc.(a)
349
33,319
Rambus,
Inc.(a)
384
21,423
Silicon
Laboratories,
Inc.(a)
111
12,864
Skyworks
Solutions,
Inc.
573
56,492
SolarEdge
Technologies,
Inc.(a)
181
23,441
Teradyne,
Inc.
556
55,856
Universal
Display
Corp.
155
24,333
Wolfspeed,
Inc.(a)
439
16,726
748,623
Software
(5.1%)
Altair
Engineering,
Inc.,
Class
A(a)
187
11,699
ANSYS,
Inc.(a)
302
89,860
Appfolio,
Inc.,
Class
A(a)
68
12,419
AppLovin
Corp.,
Class
A(a)
595
23,776
Aspen
Technology,
Inc.(a)
101
20,630
BILL
Holdings,
Inc.(a)
367
39,845
Box,
Inc.,
Class
A(a)
494
11,960
Confluent,
Inc.,
Class
A(a)
712
21,082
Datadog,
Inc.,
Class
A(a)
937
85,351
DocuSign,
Inc.,
Class
A(a)
722
30,324
Dolby
Laboratories,
Inc.,
Class
A
209
16,565
Dropbox,
Inc.,
Class
A(a)
916
24,943
Dynatrace,
Inc.(a)
853
39,861
Elastic
NV(a)
286
23,235
Fair
Isaac
Corp.(a)
89
77,299
Five9,
Inc.(a)
249
16,011
Gen
Digital,
Inc.
2,095
37,039
Guidewire
Software,
Inc.(a)
287
25,830
HashiCorp,
Inc.,
Class
A(a)
318
7,260
HubSpot,
Inc.(a)
168
82,740
Manhattan
Associates,
Inc.(a)
218
43,090
New
Relic,
Inc.(a)
227
19,436
Nutanix,
Inc.,
Class
A(a)
834
29,090
PTC,
Inc.(a)
423
59,931
Qualys,
Inc.(a)
128
19,526
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
12
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Software
(cont’d)
SentinelOne,
Inc.,
Class
A(a)
810
$
13,657
Smartsheet,
Inc.,
Class
A(a)
464
18,773
Splunk,
Inc.(a)
552
80,730
SPS
Commerce,
Inc.(a)
129
22,009
Tenable
Holdings,
Inc.(a)
410
18,368
Teradata
Corp.(a)
353
15,892
Tyler
Technologies,
Inc.(a)
150
57,921
Workiva,
Inc.(a)
171
17,329
Zoom
Video
Communications,
Inc.,
Class
A(a)
802
56,092
Zscaler,
Inc.(a)
307
47,766
1,217,339
Specialty
Retail
(2.7%)
Academy
Sports
&
Outdoors,
Inc.
246
11,628
Advance
Auto
Parts,
Inc.
191
10,683
Asbury
Automotive
Group,
Inc.(a)
67
15,415
AutoNation,
Inc.(a)
94
14,232
Bath
&
Body
Works,
Inc.
739
24,978
Best
Buy
Co.,
Inc.
638
44,322
Burlington
Stores,
Inc.(a)
210
28,413
CarMax,
Inc.(a)
511
36,143
Chewy,
Inc.,
Class
A(a)
304
5,551
Dick's
Sporting
Goods,
Inc.
195
21,173
Five
Below,
Inc.(a)
176
28,318
Floor
&
Decor
Holdings,
Inc.,
Class
A(a)
340
30,770
GameStop
Corp.,
Class
A(a)
872
14,353
Lithia
Motors,
Inc.,
Class
A
87
25,694
Penske
Automotive
Group,
Inc.
61
10,191
RH(a)
61
16,126
Ross
Stores,
Inc.
1,091
123,228
Tractor
Supply
Co.
354
71,880
Ulta
Beauty,
Inc.(a)
161
64,311
Wayfair,
Inc.,
Class
A(a)
265
16,051
Williams-Sonoma,
Inc.
205
31,857
645,317
Technology
Hardware,
Storage
&
Peripherals
(1.7%)
Dell
Technologies,
Inc.,
Class
C
879
60,563
Hewlett
Packard
Enterprise
Co.
4,636
80,527
HP,
Inc.
3,051
78,411
NetApp,
Inc.
750
56,910
Pure
Storage,
Inc.,
Class
A(a)
1,038
36,974
Seagate
Technology
Holdings
plc
743
49,001
Western
Digital
Corp.(a)
1,134
51,744
414,130
Textiles,
Apparel
&
Luxury
Goods
(0.8%)
Capri
Holdings
Ltd.(a)
375
19,729
Columbia
Sportswear
Co.
115
8,521
Crocs,
Inc.(a)
195
17,205
Deckers
Outdoor
Corp.(a)
84
43,184
PVH
Corp.
204
15,608
Ralph
Lauren
Corp.,
Class
A
129
14,976
Skechers
USA,
Inc.,
Class
A(a)
432
21,146
Tapestry,
Inc.
750
21,562
VF
Corp.
1,194
21,098
183,029
Shares
Value
Trading
Companies
&
Distributors
(1.9%)
Air
Lease
Corp.,
Class
A
404
$
15,922
Applied
Industrial
Technologies,
Inc.
148
22,882
Beacon
Roofing
Supply,
Inc.(a)
172
13,273
Core
&
Main,
Inc.,
Class
A(a)
350
10,098
Fastenal
Co.
1,867
102,013
GATX
Corp.
136
14,801
MSC
Industrial
Direct
Co.,
Inc.,
Class
A
149
14,624
SiteOne
Landscape
Supply,
Inc.(a)
144
23,537
United
Rentals,
Inc.
230
102,251
WESCO
International,
Inc.
147
21,142
WW
Grainger,
Inc.
148
102,392
442,935
Water
Utilities
(0.5%)
American
Water
Works
Co.,
Inc.
680
84,205
Essential
Utilities,
Inc.
1,061
36,424
120,629
Total
Common
Stocks
(Cost
$24,742,066)
23,696,605
Short-Term
Investment
(0.3%)
Investment
Company
(0.3%
)
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
(See
Note
G)
(Cost
$82,252)
82,252
82,252
Total
Investments
(99.9%)
(Cost
$24,824,318)
(b)
23,778,857
Other
Assets
in
Excess
of
Liabilities
(0.1%)
17,557
NET
ASSETS
(100.0%)
$23,796,414
(a)
Non-income
producing
security.
(b)
At
September
30,
2023,
the
aggregate
cost
for
federal
income
tax
purposes
is
$24,826,553.
The
aggregate
gross
unrealized
appreciation
is
$1,280,3
44
and
the
aggregate
gross
unrealized
depreciation
is
$2,328,040,
resulting
in
net
unrealized
depreciation
of
$1,047,696.
Portfolio
Composition
Classification
Percentage
of
Total
Investments
Other*
88.7
%
Machinery
6.2
Software
5.1
Total
Investments
100.0
%
*
Industries
and/or
investment
types
representing
less
than
5%
of
total
investments.
Annual
Report
—
September
30,
2023
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
13
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Assets
and
Liabilities
September
30,
2023
Assets:
Investments
in
Securities
of
Unaffiliated
Issuers,
at
Value
(Cost
$24,742,066)
$
23,696,605
Investment
in
Security
of
Affiliated
Issuer,
at
Value
(Cost
$82,252)
82,252
Total
Investments
in
Securities,
at
Value
(Cost
$24,824,318)
23,778,857
Cash
75
Dividends
Receivable
20,495
Total
Assets
23,799,427
Liabilities:
Payable
for
Management
Fee
3,013
Total
Liabilities
3,013
Net
Assets
$
23,796,414
Net
Assets
Consist
of:
Paid-in-Capital
$
25,322,318
Total
Accumulated
Loss
(
1,525,904
)
Net
Assets
$
23,796,414
Shares
Outstanding
$0.001
Par
Value
(unlimited
shares
authorized)
500,000
Net
Asset
Value
Per
Share
$
47
.59
Annual
Report
—
September
30,
2023
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
14
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Operations
Period
from
January
30,
2023
^
to
September
30,
2023
Investment
Income:
Dividends
from
Securities
of
Unaffiliated
Issuers
(Net
of
$207
of
Foreign
Taxes
Withheld)
$
220,902
Dividends
from
Security
of
Affiliated
Issuer
(Note
G)
2,488
Total
Investment
Income
223,390
Expenses:
Management
Fee
(Note
B)
22,655
Total
Expenses
22,655
Rebate
from
Morgan
Stanley
Affiliate
(Note
G)
(
72
)
Net
Expenses
22,583
Net
Investment
Income
200,807
Realized
Gain
(Loss):
Investments
Sold
(
500,127
)
In-kind
Redemptions
on
Investments
386,376
Net
Realized
Loss
(
113,751
)
Change
in
Unrealized
Appreciation
(Depreciation):
Investments
(
1,045,461
)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
(
1,045,461
)
Net
Realized
Loss
and
Change
in
Unrealized
Appreciation
(Depreciation)
(
1,159,212
)
Net
Decrease
in
Net
Assets
Resulting
from
Operations
$
(
958,405
)
^
Commencement
of
Operations.
Annual
Report
—
September
30,
2023
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
15
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Changes
in
Net
Assets
Period
from
January
30,
2023
^
to
September
30,
2023
Increase
(Decrease)
in
Net
Assets:
Operations:
Net
Investment
Income
$
200,807
Net
Realized
Loss
(
113,751
)
Net
Change
in
Unrealized
Appreciation
(Depreciation)
(
1,045,461
)
Net
Decrease
in
Net
Assets
Resulting
from
Operations
(
958,405
)
Dividends
and
Distributions
to
Shareholders:
Dividends
and
Distributions
(
181,123
)
Total
Dividends
and
Distributions
to
Shareholders
(
181,123
)
Capital
Share
Transactions:
Subscribed
(1)
20,000,000
Subscribed
In-Kind
7,447,569
Redeemed
In-Kind
(
2,511,627
)
Net
Increase
in
Net
Assets
Resulting
from
Capital
Share
Transactions
24,935,942
Total
Increase
in
Net
Assets
23,796,414
Net
Assets:
Beginning
of
Period
–
End
of
Period
$
23,796,414
Capital
Share
Transactions:
Beginning
of
Period
–
Shares
Subscribed
400,000
Shares
Subscribed
In-Kind
150,000
Shares
Redeemed
In-Kind
(
50,000
)
Shares
Outstanding,
End
of
Period
Net
Increase
in
500,000
^
Commencement
of
Operations.
(1)
Total
consists
of
subscriptions
for
seed
capital
by
the
Adviser
and
other
related
parties
of
the
Fund.
Annual
Report
—
September
30,
2023
Financial
Highlights
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
16
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Selected
Per
Share
Data
and
Ratios
Period
from
January
30,
2023
(1)
to
September
30,
2023
Net
Asset
Value,
Beginning
of
Period
$
50
.00
Income
(Loss)
from
Investment
Operations:
—
Net
Investment
Income
(2)
0
.44
Net
Realized
and
Unrealized
Loss
(
2
.46
)
Total
from
Investment
Operations
(
2
.02
)
Distributions
from
and/or
in
Excess
of:
—
Net
Investment
Income
(
0
.39
)
Net
Asset
Value,
End
of
Period
$
47
.59
Total
Return
(3)
(
4
.06
)
%
(4)
Ratios
to
Average
Net
Assets
and
Supplemental
Data:
$23,796
Net
Assets,
End
of
Period
(Thousands)
$
23,796
Ratio
of
Expenses
0
.15
%
(5)
(6)
Ratio
of
Net
Investment
Income
1
.32
%
(5)
(6)
Ratio
of
Rebate
from
Morgan
Stanley
Affiliates
0
.00
%
(5)
(7)
Portfolio
Turnover
Rate
16
%
(4)
(8)
(1)
Commencement
of
Operations.
(2)
Per
share
amount
is
based
on
average
shares
outstanding.
(3)
Calculated
based
on
the
net
asset
value
as
of
the
last
business
day
of
the
period.
(4)
Not
annualized.
(5)
Annualized.
(6)
The
Ratio
of
Expenses
and
Ratio
of
Net
Investment
Income
reflect
the
rebate
of
certain
Fund
expenses
in
connection
with
the
investments
in
Morgan
Stanley
affiliates
during
the
period.
The
effect
of
the
rebate
on
the
ratios
is
disclosed
in
the
above
table
as
“Ratio
of
Rebate
from
Morgan
Stanley
Affiliates.”
(7)
Amount
is
less
than
0.005%.
(8)
In-kind
transactions
are
not
included
in
portfolio
turnover
calculations.
17
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
Morgan
Stanley
ETF
Trust
Morgan
Stanley
ETF
Trust
(the
“Trust”)
is
an
open-end,
management
investment
company
established
under
Delaware
law
as
a
Delaware
statutory trust.
Pursuant
to
its
Declaration
of
Trust dated
May
31,
2016,
and
Amended
and
Restated
on
September
28,
2022
(the
“Declaration
of
Trust”),
the
Trust is
authorized
to establish
multiple
series.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”).
The
Trust
applies
investment
company
accounting
and
report-
ing guidance
Accounting
Standard
Codification
("ASC")
Topic
946.
In
the
preparation
of
these
financial
statements,
manage-
ment
has
evaluated
subsequent
events
occurring
after
the
date
of
the
Fund's
Statement
of
Assets
and
Liabilities
through
the
date
that
the
financial
statements
were
issued.
The
accompanying
financial
statements
relate
to
the Calvert
US
Mid-Cap
Core
Responsible
Index
ETF (the
"Fund"),
which
seeks
to
track
the
performance
of
the
Calvert
US
Mid-
Cap
Core
Responsible
Index.
The
Fund
is
diversified.
A.
Significant
Accounting
Policies:
The
following
signifi-
cant
accounting
policies
are
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“GAAP”).
Such
policies
are
consistently
followed
by
the Trust
in
the
preparation
of
its
financial
statements.
GAAP
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
and
disclosures
in
the
financial
statements.
Actual
results
may
differ
from
those
estimates.
1.
Security
Valuation:
(1)
An
equity
portfolio
security
list-
ed
or
traded
on
an
exchange
is
valued
at
its
latest
reported
sales
price
(or
at
the
exchange
official
closing
price
if
such
exchange
reports
an
official
closing
price),
and
if
there
were
no
sales
on
a
given
day
and
if
there
is
no
official
ex-
change
closing
price
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
relevant
ex-
changes.
If
only
bid
prices
are
available
then
the
latest
bid
price
may
be
used.
Listed
equity
securities
not
traded
on
the
valuation
date
with
no
reported
bid
and
asked
prices
available
on
the
exchange
are
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers.
In
cases
where
a
securi-
ty
is
traded
on
more
than
one
exchange,
the
security
is
valued
on
the
exchange
designated
as
the
primary
market;
(2)
all
other
equity
portfolio
securities
for
which
over-the-
counter
(“OTC”)
market
quotations
are
readily
available
are
valued
at
the
latest
reported
sales
price
(or
at
the
mar-
ket
official
closing
price
if
such
market
reports
an
official
closing
price),
and
if
there
was
no
trading
in
the
security
on
a
given
day
and
if
there
is
no
official
closing
price
from
relevant
markets
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
rel-
evant
markets.
An
unlisted
equity
security
that
does
not
trade
on
the
valuation
date
and
for
which
bid
and
asked
prices
from
the
relevant
markets
are
unavailable
is
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers;
(3)
fixed
income
securities
may
be
valued
by
an
outside
pricing
service/vendor
approved
by
the
Trust’s
Board
of
Trustees
(the
“Trustees”).
The
pricing
service/vendor
may
employ
a
pricing
model
that
takes
into
account,
among
other
things,
bids,
yield
spreads
and/or
other
market
data
and
specific
security
characteristics.
If
Morgan
Stanley
Investment
Management
Inc.
(the
“Adviser”)
a
whol-
ly-owned
subsidiary
of
Morgan
Stanley,
determines
that
the
price
provided
by
the
outside
pricing
service/vendor
or
exchange
does
not
reflect
the
security’s
fair
value
or
is
unable
to
provide
a
price,
prices
from
brokers
or
dealers
may
also
be
utilized.
In
these
circumstances,
the
value
of
the
security
will
be
the
mean
of
bid
and
asked
prices
obtained
from
reputable brokers/dealers;
(4)
when
market
quotations
are
not
readily
available,
as
defined
by
Rule
2a-5
under
the
Act,
including
circumstances
under
which
the
Adviser
determines
that
the
closing
price,
last
sale
price
or
the
mean
between
the
last
reported
bid
and
asked
prices
are
not
reflective
of
a
security’s
market
value,
port-
folio
securities
are
valued
at
their
fair
value
as
determined
in
good
faith
under
procedures
established
by
and
under
the
general
supervision
of
the
Trustees; and
(5)
invest-
ments
in
mutual
funds,
including
the
Morgan
Stanley
Institutional
Liquidity
Funds,
are
valued
at
the
net
asset
value
(“NAV”)
as
of
the
close
of
each
business
day.
In
connection
with
Rule
2a-5
of
the
Act,
the
Trust-
ees
have
designated
the
Trust's
Adviser
as
its
valuation
designee.
The
valuation
designee
has
responsibility
for
determining
fair
value
and
to
make
the
actual
calculations
pursuant
to
the
fair
valuation
methodologies
previously
approved
by
the
Trustees.
Under
procedures
approved
by
the
Trustees,
the
Trust’s
Adviser
has
formed
a
Valuation
Committee
whose
members
are
approved
by
the
Trustees.
The
Valuation
Committee
provides
administration
and
oversight
of
the
Trust’s
valuation
policies
and
procedures,
which
are
reviewed
at
least
annually
by
the
Trustees.
These
procedures
allow
the Trust
to
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers
and
other
market
sources
to
determine
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
18
Morgan
Stanley
ETF
Trust
fair
value.
2.
Fair
Value
Measurement:
Financial
Accounting
Stan-
dards
Board
(“FASB”)
Accounting
Standards
Codifica-
tion
TM
("ASC"),
“Fair
Value
Measurement”
(“ASC
820”),
defines
fair
value
as
the
price
that
would
be
received
to
sell
an
asset
or
pay to
transfer
a
liability
in
an orderly
transaction
between
market
participants
at
the
measure-
ment
date. ASC
820
establishes
a
three tier
hierarchy
to
distinguish
between
(1)
inputs
that
reflect
the
assump-
tions
market
participants
would
use
in
valuing
an
asset
or
liability
developed
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity
(observable
inputs)
and
(2)
inputs
that
reflect
the
reporting
entity’s
own
assumptions
about
the
assumptions
market
partici-
pants
would
use
in
valuing
an
asset
or
liability
developed
based
on
the
best
information
available
in
the
circum-
stances
(unobservable
inputs)
and
to
establish
classifica-
tion
of
fair
value
measurements
for
disclosure
purposes.
Various
inputs
are
used
in
determining
the
value
of
the
Fund’s
investments.
The
inputs
are
summarized
in
the
three
broad
levels
listed
below:
Level
1
–
unadjusted
quoted
prices
in
active
markets
for
identical
investments.
Level
2
-
other
significant
observable
inputs
(includ-
ing
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
Level
3
-
significant
unobservable
inputs
including
the
Fund’s
own
assumptions
in
determin-
ing
the
fair
value
of
investments.
Factors
considered
in
making
this
determination
may
include,
but
are
not
limited
to,
infor-
mation
obtained
by
contacting
the
issuer,
analysts,
or
the
appropriate
stock
exchange
(for
exchange-traded
securities),
analysis
of
the
issuer’s
financial
statements
or
other
available
documents
and,
if
necessary,
available
information
concerning
other
securities
in
similar
circumstances.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
mea-
surement
in
its
entirety
requires
judgment
and
considers
factors
specific
to
each
security.
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's
investments
as
of
September
30,
2023:
Transfers
between
investment
levels
may
occur
as
the
markets
fluctuate
and/or
the
availability
of
data
used
in
an
investment’s
valuation
changes.
3.
Indemnifications:
The Trust
enters
into
contracts
that
contain
a
variety
of
indemnification
clauses.
The
Trust’s
maximum
exposure
under
these
arrangements
is
un-
known
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund
that
have
not yet
occurred.
4.
Dividends
and
Distributions
to
Shareholders:
Divi-
dends
and
distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Dividends
from
net
investment
in-
come,
if
any,
are
declared
and
paid
quarterly.
Net
realized
capital
gains,
if
any,
are
distributed
at
least
annually.
5.
Security
Transactions,
Income
and
Expenses:
Se-
curity
transactions
are
accounted
for
on
the
trade
date
(date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
the
sale
of
investment
securities
are
deter-
mined
on
the
specific
identified
cost
method.
Dividend
income
and
other
distributions
are
recorded
on
the
ex-dividend
date
(except
for
certain
foreign
dividends
which
may
be
recorded
as
soon
as
the
Fund
is
informed
of
such
dividends)
net
of
applicable
withholding
taxes.
Non-cash
dividends
received
in
the
form
of
stock,
if
any,
are
recognized
on
the
ex-dividend
date
and
recorded
as
non-cash
dividend
income
at
fair
value.
B.
Management Fees:
The
Adviser
provides
investment
advice
and
portfolio
management
services
pursuant
to
a
Management
Agreement
(the
“Agreement”)
and,
subject
to
the
supervision
of
the
Trust’s
Trustees,
makes
or
oversees
the
Fund’s
day-to-day
investment
decisions,
arranges
for
the
execution
of
portfolio
transactions
and
generally
manages
the
Fund’s
invest-
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Assets:
Common
Stocks
$
23,697
(1)
$
—
$
—
$
23,697
Short-Term
Investment
Investment
Company
82
—
—
82
Total
Assets
$23,779
$—
$—
$23,779
(1)
The
level
classification
by
major
category
of
investments
is
the
same
as
the
category
presentation
in
the
Portfolio
of
Investments.
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
19
Morgan
Stanley
ETF
Trust
ments.
As
compensation
for
its
services,
the
Adviser
is paid
monthly
at
the
annual
rate
of
0.15% of
the
average
daily
net
assets
of
the
Fund.
Under
the
Agreement,
the
Adviser pays sub-
stantially
all
the
expenses
of
the
Fund
(including
expenses
of
the
Trust
relating
to
the
Fund),
except
for
the
distribution
fees,
if
any,
brokerage
expenses,
acquired
fund
fees
and
expenses,
taxes,
interest,
litigation
expenses,
and
other
extraordinary
expenses,
including
the
costs
of
proxies,
not
incurred
in
the
ordinary
course
of
the
Fund’s
business.
C.
Distribution
and
Shareholder Services
Plan:
The
Trustees
have
adopted
a
distribution
and
services
plan
("Plan")
pursuant
Rule
12b-1
under the
Act.
Under the
Plan,
the
Fund
is
authorized
to
pay
distribution
fees
in
connection
with
the
sale
of
its
shares
and
pay
service
fees
in
connection
with
the
provision
of
ongoing
services
to
shareholders
of
the
Fund
and
the
maintenance
of
shareholder
accounts
in
an
amount
up
to
0.25%
of
its
average
daily
net
assets.
No
Rule
12b-1
fees
are
currently
paid
by
the
Fund
and
there
are
no
current
plans
to
impose
these
fees.
D.
Dividend
Disbursing
and
Transfer
Agent:
The
Trust’s
dividend
disbursing
and
transfer
agent
is
JPMorgan
Chase
Bank,
N.A.
("JPMorgan").
E.
Custodian
and
Administrator:
JPMorgan also
serves
as
Custodian
and
Administrator for
the
Trust in
accordance
with
a
Custodian
and
Administration Agreement.
F.
Issuance
and
Redemption
of
Fund
Shares:
The
Fund
is
an
exchange-traded
fund
or
ETF.
Individual
Fund
shares
may
only
be
purchased
and
sold
on
a
national
securi-
ties
exchange
through
a
broker-dealer
and
investors
may
pay
a
commission
to
such
broker-dealers
in
connection
with
their
purchase
or
sale.
The
price
of
Fund
shares
is
based
on
market
price,
and
because
ETF
shares
trade
at
market
prices
rather
than
NAV,
shares
may
trade
at
a
price
greater
than
NAV
(a
premium)
or
less
than
NAV
(a
discount).
The
Fund
will
only
issue
or
redeem
shares
aggregated
into
blocks
of 50,000
shares
or
multiples
thereof
(“Creation
Units”)
to
Authorized
Participants
who
have
entered
into
agreements
with
the
Funds’
Distributor.
An
Authorized
Participant
is
either
(1)
a
“Participating
Party,”
(i.e.,
a
broker-dealer
or
other
participant
in
the
clearing
process
of
the
Continuous
Net
Settlement
System
of
the
National
Securities
Clearing
Corpo-
ration)
(“Clearing
Process”),
or
(2)
a
participant
of
Depository
Trust
Company (“DTC
Participant”),
and,
in
each
case,
must
have
executed
an
agreement
(“Participation
Agreement”)
with
the
Distributor
with
respect
to
creations
and
redemptions
of
Creation
Units.
The
Fund
will
issue
or
redeem
Creation
Units
in
return
for
a
basket
of
assets
that
the
Fund
specifies
each
day.
Shares
are
listed
on
the
New
York
Stock
Exchange Arca
("NYSE
Arca") and
are
publicly
traded.
If an
investor buys
or
sells
Fund
shares
on
the
secondary
market, the
investor will
pay
or
receive
the
market
price,
which
may
be
higher
or
lower
than
NAV. The
investor's transaction
will
be
priced
at
NAV
if the
investor purchases
or
redeems
Fund
shares
in
Creation
Units.
Authorized
Participants
purchasing
and
redeeming
Creation
Units
may
pay
a
purchase
transaction
fee
and
a
redemption
transaction
fee
directly
to
the
Fund's
Administrator
to
offset
transfer
and
other
transaction
costs
associated
with
the
issuance
and
redemption
of
Creation
Units,
including
Creation
Units
for
cash.
Additionally,
a
portion
of
the
transaction
fee
is
used
to
offset
transactional
costs
typically
accrued
in
the
Fund's
cus-
tody
expenses
directly
related
to
the
issuance
and
redemption
of
Creation
Units.
An
additional
variable
fee
may
be
charged
for
certain
transactions.
Such
fees
would
be
included
in
the
re-
ceivable
for
capital
shares
issued
on
the
Statement
of
Assets
and
Liabilities
if
they
are
outstanding
as
of
year-
end. Transaction
fees
assessed
during
the
period
are
included
in
the
proceeds
from
shares
issued
on
the
Statements
of
Changes
in
Net
Assets.
G.
Security
Transactions
and
Transactions
with
Af-
filiates:
For
the
year ended
September
30,
2023 purchases
and
sales
of
investment
securities
for
the
Fund,
other
than
long-term
U.S.
Government
securities,
short-term
investments
and
In-Kind transactions were $23,574,117
and
$3,543,555,
respectively.
There
were
no
purchases
and
sales
of
long-term
U.S.
Government
securities
for
the
year
ended
September
30,
2023. Purchase
and
Sales
related
to
In-Kind
transactions
were
$7,315,854 and
$2,490,338 for
year end.
The
Fund
invests
in
the
Institutional
Class
of
the
Morgan
Stanley
Institutional
Liquidity
Funds
—
Government
Portfolio
(the
“Liquidity
Fund”),
an
open-end
management
investment
company
managed
by
the
Adviser. Management fees
paid
by
the
Fund
are
reduced
by
an
amount
equal
to
its
pro-rata
share
of
the management
fees
paid
by
the
Fund
due
to
its
invest-
ment
in
the
Liquidity
Fund.
For
the
year ended
September
30,
2023, management
fees
paid
were
reduced
by $72 relating
to
the
Fund’s
investment
in
the
Liquidity
Fund.
A
summary
of
the
Fund’s
transactions
in
shares
of
affiliated
investments
during
the
year ended
September
30,
2023 is
as
follows:
Affiliated
Investment
Company
Value
January
30,
2023
Purchases
at
Cost
Proceeds
from
Sales
Dividend
Income
Liquidity
Fund
$
–
$
518,725
$
436,473
$
2,488
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
20
Morgan
Stanley
ETF
Trust
H.
Federal
Income
Taxes:
It
is
the
Fund’s
intention
to
continue
to
qualify
as
a
regulated
investment
company
and
distribute
all
of
its
taxable
and
tax
exempt income.
Accordingly,
no
provision
for
federal
income
taxes
is
required
in
the
finan-
cial
statements.
The
Fund
may
be
subject
to
taxes
imposed
by
countries
in
which
it
invests.
Such
taxes
are
generally
based
on
income
and/
or
capital
gains
earned
or
repatriated.
Taxes
are
accrued
based
on
net
investment
income,
net
realized
gains
and
net
unreal-
ized
appreciation
as
such
income
and/or
gains
are
earned.
Taxes
may
also
be
based
on
transactions
in
foreign
currency
and
are
accrued
based
on
the
value
of
investments
denominated
in
such
currency.
FASB
ASC
740-10,
“Income
Taxes—Overall”,
sets
forth
a
minimum
threshold
for
financial
statement
recognition
of
the
benefit
of
a
tax
position
taken
or
expected
to
be
taken
in
a
tax
return.
Management
has
concluded
there
are
no
significant
uncertain
tax
positions
that
would
require
recognition
in
the
financial
statements.
If
applicable,
the
Fund
recognizes
inter-
est
accrued
related
to
unrecognized
tax
benefits
in
“Interest
Expense”
and
penalties
in
“Other
Expenses”
in
the
Statement
of
Operations.
The
Fund
files
tax
returns
with
the
U.S.
Internal
Revenue
Service,
New
York
and
various
states.
The
tax
year
ended
September
30,
2023 remains
subject
to
examination
by
taxing
authorities.
The
tax
character
of
distributions
paid
may
differ
from
the
character
of
distributions
shown
for
GAAP
purposes
due
to
short-term
capital
gains
being
treated
as
ordinary
income
for
tax
purposes.
The
tax
character
of
distributions
paid
during
fiscal
year 2023
was
as
follows:
The
amount
and
character
of
income
and
gains
to
be
distrib-
uted
are
determined
in
accordance
with
income
tax
regulations
which
may
differ
from
GAAP.
These
book/tax
differences
are
either
considered
temporary
or
permanent
in
nature.
Temporary
differences
are
attributable
to
differing
book
and
tax
treatments
for
the
timing
of
the
recognition
of
gains
(loss-
es)
on
certain
investment
transactions
and
the
timing
of
the
deductibility
of
certain
expenses.
Permanent
differences,
due
to
a
tax
adjustment
related
to
an
in-kind
redemption,
resulted
in
the
following
reclassifications
among
the
components
of
net
assets
at
September
30,
2023:
At
September
30,
2023,
the
components
of
distributable
earn-
ings
for
the
Fund
on
a
tax
basis
were
as
follows:
At
September
30,
2023,
the
Fund
had
available
for
fed-
eral
income
tax
purposes
unused
short-term
capital
losses
of $500,081 that
do
not
have
an
expiration
date.
To
the
extent
that
capital
loss
carryforwards
are
used
to
offset
any
future
capital
gains
realized,
no
capital
gains
tax
liability
will
be
incurred
by
the
Fund
for
gains
realized
and
not
distrib-
uted.
To
the
extent
that
capital
gains
are
offset,
such
gains
will
not
be
distributed
to
the
shareholders.
I.
Principal
Risks:
Market
Risk:
An
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
governments.
The
risks
associated
with
these
developments
may
be
magnified
if
social,
political,
economic
and
other
conditions
and
events
(such
as
war,
natural
disasters,
health
emergencies
(e.g.,
epidemics
and
pandemics),
terrorism,
conflicts,
social
unrest,
recessions,
inflation,
rapid
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,
adverse-
ly
affect
and
increase
the
volatility
of
the
Fund’s
share
price
and
exacerbate
pre-existing
risks
to
the
Fund.
The
occurrence,
Affiliated
Investment
Company
(cont'd)
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
September
30,
2023
Liquidity
Fund
$
–
$
–
$
82,252
2023
Distributions
Paid
From:
Ordinary
Long-Term
Income
Capital
Gain
$181,123
$–
Total
Accumulated
Paid-In
Loss
Capital
$(386,376)
$386,376
Undistributed
Undistributed
Ordinary
Long-Term
Income
Capital
Gain
$21,873
$–
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
21
Morgan
Stanley
ETF
Trust
duration
and
extent
of
these
or
other
types
of
adverse
econom-
ic
and
market
conditions
and
uncertainty
over
the
long
term
cannot
be
reasonably
projected
or
estimated
at
this
time.
The
ultimate
impact
of
public
health
emergencies
or
other
adverse
economic
or
market
developments
and
the
extent
to
which
the
associated
conditions
impact
the
Fund
and
its
investments
will
also
depend
on
other
future
developments,
which
are
highly
uncertain,
difficult
to
accurately
predict
and
subject
to
change
at
any
time.
The
financial
performance
of
the
Fund’s
invest-
ments
(and,
in
turn,
the
Fund’s
investment
results)
as
well
as
their
liquidity
may
be
adversely
affected
because
of
these
and
similar
types
of
factors
and
developments.
Tracking
Error
Risk:
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
transac-
tion
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
expens-
es,
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
invest-
ments
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
imple-
menting
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
cir-
cumstances.
The
Fund
may
be
required
to
deviate
its
invest-
ments
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,
espe-
cially
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
ap-
proach,
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
rep-
resented
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.
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.
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
and
no
other
authorized
participant
creates
or
redeems,
shares
may
trade
at
a
discount
to 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.
Disrup-
tions
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
(and,
as
a
result,
an
investor
may
pay
more
for,
or
receive
less
than,
the
underlying
value
of
the
shares,
respectively).
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
trad-
ing
volume
and
market
liquidity
and
may
increase
if
the
Fund’s
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
22
Morgan
Stanley
ETF
Trust
trading
volume,
the
spread
of
the
Fund’s
underlying
securities,
or
market
liquidity
decrease.
Large
Shareholder
Transaction
Risk:
The
Fund
may
experience
adverse
effects
when
certain
shareholders
purchase
or
redeem
large
amounts
of
shares
of the
Fund.
In
addition,
a
third
party
investor,
the
Adviser
or
an
affiliate
of
the
Adviser,
an
authorized
participant,
a
lead
market
maker,
or
another
entity
(i.e.,
a
seed
investor)
may
invest
in
the
Fund
and
hold
its
investment
solely
to
facilitate
commencement
of
the
Fund
or
to
facilitate
the
Fund’s
achieving
a
specified
size
or
scale.
Any
such
investment
may
be
held
for
a
limited
period
of
time.
There
can
be
no
assurance
that
any
large
shareholder
would
not
redeem
its
investment,
that
the
size
of
the
Fund
would
be
maintained
at
such
levels
or
that
the
Fund
would
continue
to
meet
applicable
listing
requirements.
Such
larger
than
normal
redemptions
may
cause
the
Fund
to
sell
portfolio
securities
at
times
when
it
would
not
otherwise
do
so,
which
may
negative-
ly
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.
These
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
circumstanc-
es, 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.
J.
Other:
At
September
30,
2023,
the
Fund
had
record
own-
ers
of
10%
or
greater,
which
are
related
parties
of
the
Fund.
In-
vestment
activities
of
these
shareholders
could
have
a
material
impact
on
the
Fund.
The
aggregate
percentage
of
such
owners
was
80.0%.
23
Annual
Report
—
September
30,
2023
Report
of
Independent
Registered
Public
Accounting
Firm
Morgan
Stanley
ETF
Trust
To
the
Shareholders
and
Board
of
Trustees
of
Morgan
Stanley
ETF
Trust
–
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
Calvert
US
Mid-Cap
Core
Responsible
Index
ETF
(the
“Fund”)
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust
(the
“Trust”)),
including
the
portfolio
of
investments,
as
of
September
30,
2023,
and
the
related
statements
of
operations
and
changes
in
net
assets
and
the
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
and
the
related
notes
(collectively
referred
to
as
the
“financial
statements”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust)
at
September
30,
2023,
and
the
results
of
its
operations,
the
changes
in
its
net
assets
and
its
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Trust’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
financial
statements
based
on
our
audit.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Trust
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audit
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Trust
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Trust’s
internal
control
over
financial
reporting.
As
part
of
our
audit,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting,
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Trust’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audit
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
September
30,
2023,
by
correspondence
with
the
custodian,
brokers
and
others;
when
replies
were
not
received
from
brokers
and
others,
we
performed
other
auditing
procedures.
Our
audit
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audit
provides
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Morgan
Stanley
investment
companies
since
2000.
Boston,
Massachusetts
November
27,
2023
24
Annual
Report
—
September
30,
2023
Federal
Tax
Notice
(unaudited)
Morgan
Stanley
ETF
Trust
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
distributions
paid
by
the
Fund
during
its
taxable
year
ended
September
30,
2023.
For
corporate
shareholders
100%
of
the
dividends
qualified
for
the
dividends
received
deduction.
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
Fund’s
earnings
for
its
taxable
year
ended
September
30,
2023.
When
distributed,
certain
earnings
may
be
subject
to
a
maximum
tax
rate
of
15%
as
provided
for
by
the
Jobs
and
Growth
Tax
Relief
Reconciliation
Act
of
2003.
The
Fund
designated
up
to
a
maximum
of $181,123
as
taxable
at
this
lower
rate.
In
January,
the
Fund
provides
tax
information
to
shareholders
for
the
preceding
calendar
year.
25
Annual
Report
—
September
30,
2023
Important
Notices
(unaudited)
Morgan
Stanley
ETF
Trust
Reporting
to
Shareholders
The
Fund’s
portfolio
holdings
are
publicly
disseminated
each
day
the
Fund
is
open
for
business
through
financial
reporting
and
news
services,
including
publicly
accessible
Internet
web
sites.
In
addition,
a
basket
composition
file,
which
includes
the
securi-
ty
names
and
share
quantities
to
deliver
in
exchange
for
Creation
Units,
together
with
estimates
and
actual
cash
components
is
publicly
disseminated
daily
prior
to
the
opening
of
the
Exchange
via
the
National
Securities
Clearing
Corporation
(the
“NSCC”),
a
clearing
agency
that
is
registered
with
the
SEC.
The
basket
represents
one
Creation
Unit
of
the
Fund.
The
Trust,
Adviser,
Custo-
dian
and
Distributor
will
not
disseminate
non-public
information
concerning
the
Trust.
The
Trust
provides
a
complete
schedule
of
portfolio
holdings
for
the
second
and
fourth
fiscal
quarters
in
its
Semi-Annual
and
Annual
reports,
and
for
the
first
and
third
fiscal
quarters
in
its
filings
with
the
SEC
as
an
exhibit
to
Form
N-PORT.
The
Fund's
portfolio
holdings
will
be
available
on
the
Fund’s
public
website,
www.calvert.com.
Proxy
Voting
Policy
and
Proxy
Voting
Record
The
Board
of
Trustees
believes
that
the
voting
of
proxies
on
securities
held
by
the
Trust
is
an
important
element
of
the
overall
invest-
ment
process.
As
such,
the
Trustees
have
delegated
the
responsibility
to
vote
such
proxies
to
the
Adviser.
The
Adviser
has
engaged
Calvert
to
provide
proxy
voting
services
with
respect
to
the
Trust.
The
Adviser’s
Proxy
Voting
Policy
speci-
fies
that
each
Fund
will
follow
Calvert’s
Proxy
Voting
Policies
and
Procedures
and
Global
Proxy
Voting
Guidelines.
When
available,
the
Trust’s
proxy
voting
record
for
the
most
recent
12-month
period
ending
June
30,
as
filed
with
the
SEC,
will
be
available
without
charge
on
our
web
site
at
www.calvert.com.
The
Trust’s
proxy
voting
record
will
also
be
available
without
charge
on
the
SEC’s
web
site
at
http://www.sec.gov.
Tailored
Shareholder
Reports
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end
mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
on-
line,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Morgan
Stanley
Funds.
26
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
April
2021
Morgan
Stanley
ETF
Trust
FACTS
WHAT
DOES
MSIM
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
Social
Security
number
and
income
investment
experience
and
risk
tolerance
checking
account
number
and
wire
transfer
instructions
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
MSIM
chooses
to
share;
and
whether
you
can
limit
this
sharing.
Reasons
we
can
share
your
personal
information
Does
MSIM
share?
Can
you
limit
this
sharing?
For
our
everyday
business
purposes
—
such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—
to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
investment
management
affiliates’
everyday
business
purposes
—
information
about
your
transactions,
experiences,
and
creditworthiness
Yes
Yes
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
our
investment
management
affiliates
to
market
to
you
Yes
Yes
For
our
affiliates
to
market
to
you
No
We
don’t
share
For
non-affiliates
to
market
to
you
No
We
don’t
share
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
27
April
2021
Morgan
Stanley
ETF
Trust
To
limit
our
sharing
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Please
note:
If
you
are
a
new
customer,
we
can
begin
sharing
your
information
30
days
from
the
date
we
sent
this
notice.
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice.
However,
you
can
contact
us
at
any
time
to
limit
our
sharing.
Questions?
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Who
we
are
Who
is
providing
this
notice?
Morgan
Stanley
Investment
Management
Inc.
and
its
investment
management
affiliates
(“MSIM”)
(see
Investment
Management
Affiliates
definition
below)
What
we
do
How
does
MSIM
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
We
have
policies
governing
the
proper
handling
of
customer
information
by
personnel
and
requiring
third
parties
that
provide
support
to
adhere
to
appropriate
security
standards
with
respect
to
such
information.
How
does
MSIM
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
open
an
account
or
make
deposits
or
withdrawals
from
your
account
buy
securities
from
us
or
make
a
wire
transfer
give
us
your
contact
information
We
also
collect
your
personal
information
from
others,
such
as
credit
bureaus,
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
sharing
for
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
affiliates
from
using
your
information
to
market
to
you
sharing
for
non-affiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
See
below
for
more
on
your
rights
under
state
law.
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
28
April
2021
Morgan
Stanley
ETF
Trust
Definitions
Investment
Management
Affiliates
MSIM
Investment
Management
Affiliates
include
registered
investment
advisers,
registered
broker-dealers,
and
registered
and
unregistered
funds
in
the
Investment
Management
Division.
Investment
Management
Affiliates
does
not
include
entities
associated
with
Morgan
Stanley
Wealth
Management,
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
Our
affiliates
include
companies
with
a
Morgan
Stanley
name
and
financial
companies
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Non-affiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
MSIM
does
not
share
with
non-affiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
non-affiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
MSIM
doesn’t
jointly
market
Other
Important
Information
Vermont:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
Vermont
residents
with
Non-affiliates
unless
you
provide
us
with
your
written
consent
to
share
such
information.
California:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
California
residents
with
Non-affiliates
and
we
will
limit
sharing
such
personal
information
with
our
Affiliates
to
comply
with
California
privacy
laws
that
apply
to
us.
29
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
Morgan
Stanley
ETF
Trust
Independent
Trustees:
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Frank
L.
Bowman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1944
Trustee
Since
August
2006
President,
Strategic
Decisions,
LLC
(consulting)
(since
February
2009);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
Chairperson
of
the
Compliance
and
Insurance
Committee
(since
October
2015);
formerly,
Chairperson
of
the
Insurance
Sub-
Committee
of
the
Compliance
and
Insurance
Committee
(2007-2015);
served
as
President
and
Chief
Executive
Officer
of
the
Nuclear
Energy
Institute
(policy
organization)
(February
2005-November
2008);
retired
as
Admiral,
U.S.
Navy
after
serving
over
38
years
on
active
duty
including
8
years
as
Director
of
the
Naval
Nuclear
Propulsion
Program
in
the
Department
of
the
Navy
and
the
U.S.
Department
of
Energy
(1996-2004);
served
as
Chief
of
Naval
Personnel
(July
1994-September
1996)
and
on
the
Joint
Staff
as
Director
of
Political
Military
Affairs
(June
1992-July
1994);
knighted
as
Honorary
Knight
Commander
of
the
Most
Excellent
Order
of
the
British
Empire;
awarded
the
Officier
de
l’Orde
National
du
Mérite
by
the
French
Government;
elected
to
the
National
Academy
of
Engineering
(2009).
86
Director
of
Naval
and
Nuclear
Technologies
LLP;
Director
Emeritus
of
the
Armed
Services
YMCA;
Member
of
the
National
Security
Advisory
Council
of
the
Center
for
U.S.
Global
Engagement
and
a
member
of
the
CNA
Military
Advisory
Board;
Chairman
of
Fairhaven
United
Methodist
Church;
Member
of
the
Board
of
Advisors
of
the
Dolphin
Scholarship
Foundation;
Director
of
other
various
nonprofit
organizations;
formerly,
Director
of
BP,
plc
(November
2010-
May
2019).
Frances.
L
Cashman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1961
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Chief
Executive
Officer,
Asset
Management
Division,
Euromoney
Institutional
Investor
PLC
(financial
information)
(May
2021-Present);
Executive
Vice
President
and
various
other
roles,
Legg
Mason
&
Co.
(asset
management)
(2010-2020);
Managing
Director,
Stifel
Nicolaus
(2005-2010).
87
Trustee
and
Investment
Committee
Member,
Georgia
Tech
Foundation
(Since
June
2019);
Trustee
and
Chair
of
Marketing
Committee,
Loyola
Blakefield
(Since
September
2017);
Trustee,
MMI
Gateway
Foundation
(since
September
2017);
Director
and
Investment
Committee
Member,
Catholic
Community
Foundation
Board
(2012–2018);
Director
and
Investment
Committee
Member,
St.
Ignatius
Loyola
Academy
(2011-
2017).
Kathleen
A.
Dennis
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1953
Trustee
Since
August
2006
Chairperson
of
the
Governance
Committee
(since
January
2021),
Chairperson
of
the
Liquidity
and
Alternatives
Sub-
Committee
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
President,
Cedarwood
Associates
(mutual
fund
and
investment
management
consulting)
(since
July
2006);
formerly,
Senior
Managing
Director
of
Victory
Capital
Management
(1993-2006).
86
Board
Member,
University
of
Albany
Foundation
(2012-present);
Board
Member,
Mutual
Funds
Directors
Forum
(2014-present);
Director
of
various
non-profit
organizations.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
30
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Nancy
C.
Everett
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
January
2015
Chairperson
of
the
Equity
Investment
Committee
(since
January
2021);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chief
Executive
Officer,
Virginia
Commonwealth
University
Investment
Company
(since
November
2015);
Owner,
OBIR,
LLC
(institutional
investment
management
consulting)
(since
June
2014);
formerly,
Managing
Director,
BlackRock,
Inc.
(February
2011-December
2013)
and
Chief
Executive
Officer,
General
Motors
Asset
Management
(a/k/a
Promark
Global
Advisors,
Inc.)
(June
2005-May
2010).
87
Formerly,
Member
of
Virginia
Commonwealth
University
School
of
Business
Foundation
(2005-2016);
Member
of
Virginia
Commonwealth
University
Board
of
Visitors
(2013-2015);
Member
of
Committee
on
Directors
for
Emerging
Markets
Growth
Fund,
Inc.
(2007-2010);
Chairperson
of
Performance
Equity
Management,
LLC
(2006-2010);
and
Chairperson,
GMAM
Absolute
Return
Strategies
Fund,
LLC
(2006-2010).
Eddie
A.
Grier
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Dean
Santa
Clara
University
Leavey
School
of
Business
(since
April
2021);
Dean,
Virginia
Commonwealth
University
School
of
Business
(2010-2021);
President
and
various
other
roles,
Walt
Disney
Company
(entertainment
and
media)
(1981-2010).
87
Director,
Witt/Kieffer,
Inc.
(executive
search)
(since
2016);
Director,
NuStar
GP,
LLC
(energy)
(since
August
2021);
Director,
Sonida
Senior
Living,
Inc.
(residential
community
operator)
(2016-2021);
Director,
NVR,
Inc.
(home
building)
(2013-2020);
Director,
Middleburg
Trust
Company
(wealth
management)
(2014-
2019);
Director,
Colonial
Williamsburg
Company
(since2012);
Regent,
University
of
Massachusetts
Global
(since
2021);
Director
and
Chair,
Child
Fund
International
(2012-2021);
Trustee,
Brandman
University
(2010-2021);
Director,
Richmond
Forum
(2012-2019).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
31
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Jakki
L.
Hassler
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1957
Trustee
Since
January
2015
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chairperson
of
the
Audit
Committee
(since
January
2023)
Chairman,
Opus
Capital
Group
(since
1996);
formerly,
Chief
Executive
Officer,
Opus
Capital
Group
(1996-2019);
Director,
Capvest
Venture
Fund,
LP
(May
2000-December
2011);
Partner,
Adena
Ventures,
LP
(July
1999
December
2010);
Director,
The
Victory
Funds
(February
2005-
July
2008).
87
Director
of
Cincinnati
Bell
Inc.
and
Member,
Audit
Committee
and
Chairman,
Governance
and
Nominating
Committee;
Director
of
Service
Corporation
International
and
Member,
Audit
Committee
and
Investment
Committee;
Director,
Barnes
Group
Inc.
(since
July
2021);
Director
of
Northern
Kentucky
University
Foundation
and
Member,
Investment
Committee;
Member
of
Chase
College
of
Law
Transactional
Law
Practice
Center
Board
of
Advisors;
Director
of
Best
Transport;
Director
of
Chase
College
of
Law
Board
of
Visitors;
formerly,
Member,
University
of
Cincinnati
Foundation
Investment
Committee.
Dr.
Manuel
H.
Johnson
c/o
Johnson
Smick
International,
Inc.
2201
I
Street,
NE
Suite
200
Washington,
D.C.
20002
Birth
Year:
1949
Trustee
Since
July
1991
Senior
Partner,
Johnson
Smick
International,
Inc.
(consulting
firm);
Chairperson
of
the
Fixed
Income,
Liquidity
and
Alternatives
Investment
Committee
(since
January
2021),
Chairperson
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
July
1991);
Co-Chairman
and
a
founder
of
the
Group
of
Seven
Council
(G7C)
(international
economic
commission);
formerly,
Chairperson
of
the
Audit
Committee
(July
1991-
September
2006);
Vice
Chairman
of
the
Board
of
Governors
of
the
Federal
Reserve
System
and
Assistant
Secretary
of
the
U.S.
Treasury.
86
Director
of
NVR,
Inc.
(home
construction).
Joseph
J.
Kearns
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1942
Trustee
Since
August
1994
Senior
Adviser,
Kearns
&
Associates
LLC
(investment
consulting);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(August
1994
December
2022);
formerly,
Deputy
Chairperson
of
the
Audit
Committee
(July
2003-September
2006)
and
Chairperson
of
the
Audit
Committee
of
various
Morgan
Stanley
Funds
(since
August
1994);
CFO
of
the
J.
Paul
Getty
Trust
(1982-1999).
87
Director,
Rubicon
Investments
(since
February
2019);
Prior
to
August
2016,
Director
of
Electro
Rent
Corporation
(equipment
leasing).
Prior
to
December
31,
2013,
Director
of
The
Ford
Family
Foundation.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
32
Morgan
Stanley
ETF
Trust
*
This
is
the
earliest
date
the Trustee
began
serving
the
Morgan
Stanley
Funds.
Each Trustee
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
**
The
Fund
Complex
includes
(as
of
December
31,
2022)
all
open-end
and
closed-end
funds
(including
all
of
their
portfolios)
advised
by
Morgan
Stanly
Investment
Management
Inc.
(the
"Adviser")
and
any
funds
that
have
an
adviser
that
is
an
affiliated
person
of
the
Adviser
(including,
but
not
limited
to,
Morgan
Stanley
AIP
GP
LP).
***
This
includes
any
directorships
at
public
companies
and
registered
investment
companies
held
by
the
Trustee
at
any
time
during
the
past
five
years.
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Michael
F.
Klein
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1958
Trustee
Since
August
2006
Chairperson
of
the
Risk
Committee
(since
January
2021);
Managing
Director,
Aetos
Alternatives
Management,
LP
(since
March
2000);
Co-President,
Aetos
Alternatives
Management,
LP
(since
January
2004)
and
Co-Chief
Executive
Officer
of
Aetos
Alternatives
Management,
LP
(since
August
2013);
Chairperson
of
the
Fixed
Income
Sub-Committee
of
the
Investment
Committee
(2006-
2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Managing
Director,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Stanley
Dean
Witter
Investment
Management
and
President,
various
Morgan
Stanley
Funds
(June
1998-March
2000);
Principal,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Dean
Witter
Investment
Management
(August
1997-December
1999).
86
Director
of
certain
investment
funds
managed
or
sponsored
by
Aetos
Alternatives
Management,
LP;
Director
of
Sanitized
AG
and
Sanitized
Marketing
AG
(specialty
chemicals).
Patricia
A.
Maleski
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1960
Trustee
Since
January
2017
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2017);
Managing
Director,
JPMorgan
Asset
Management
(2004-2016);
Oversight
and
Control
Head
of
Fiduciary
and
Conflicts
of
Interest
Program
(2015-2016);
Chief
Control
Officer—Global
Asset
Management
(2013-
2015);
President,
JPMorgan
Funds
(2010-
2013);
Chief
Administrative
Officer
(2004-2013);
various
other
positions
including
Treasurer
and
Board
Liaison
(since
2001).
87
Trustee,
Nutley
Family
Service
Bureau,
Inc.
(since
January
2022).
W.
Allen
Reed
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1947
Chair
of
the
Board
and
Trustee
Chair
of
the
Board
since
August
2020
and
Director
since
August
2006
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(since
August
2020);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Vice
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(January
2020-August
2020);
President
and
Chief
Executive
Officer
of
General
Motors
Asset
Management;
Chairman
and
Chief
Executive
Officer
of
the
GM
Trust
Bank
and
Corporate
Vice
President
of
General
Motors
Corporation
(August
1994-December
2005).
86
Formerly,
Director
of
Legg
Mason,
Inc.
(2006-2019);
and
Director
of
the
Auburn
University
Foundation
(2010-
2015).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
33
Morgan
Stanley
ETF
Trust
Executive
Officers:
The
Fund’s
statement
of
additional
information
incudes
further
information
about
the
Fund’s
Trustees
and
Officers,
and
is
available
without
charge
by
visiting
www.calvert.com
or
upon
request
by
calling
1
(800)
836-2414.
*This
is
the
earliest
date
the
officer
began
serving
the
Morgan
Stanley
Funds.
Each
officer
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
Name,
Address
and
Birth
Year
of
Executive
Officer
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
John
H.
Gernon
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1963
President
and
Principal
Executive
Officer
Since
September
2013
President
and
Principal
Executive
Officer
of
the
Equity
and
Fixed
Income
Funds
and
the
Morgan
Stanley
AIP
Funds
(since
September
2013)
and
the
Liquidity
Funds
and
various
money
market
funds
(since
May
2014)
in
the
Fund
Complex;
Managing
Director
of
the
Adviser.
Deidre
A.
Downes
1633
Broadway
New
York,
NY
10019
Birth
Year:
1977
Chief
Compliance
Officer
Since
November
2021
Executive
Director
of
the
Adviser
(since
January
2021)
and
Chief
Compliance
Officer
of
various
Morgan
Stanley
Funds
(since
November
2021).
Formerly,
Vice
President
and
Corporate
Counsel
at
PGIM
and
Prudential
Financial
(October
2016-December
2020).
Francis
J.
Smith
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1965
Treasurer
and
Principal
Financial
Officer
Treasurer
since
July
2003
and
Principal
Financial
Officer
since
September
2002
Managing
Director
of
the
Adviser
and
various
entities
affiliated
with
the
Adviser;
Treasurer
(since
July
2003)
and
Principal
Financial
Officer
of
various
Morgan
Stanley
Funds
(since
September
2002).
Mary
E.
Mullin
1633
Broadway
New
York,
NY
10019
Birth
Year:
1967
Secretary
Since
June
1999
Managing
Director
of
the
Adviser;
Secretary
of
various
Morgan
Stanley
Funds
(since
June
1999).
Michael
J.
Key
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1979
Vice
President
Since
June
2017
Vice
President
of
the
Equity
and
Fixed
Income
Funds,
Liquidity
Funds,
various
money
market
funds
and
the
Morgan
Stanley
AIP
Funds
in
the
Fund
Complex
(since
June
2017);
Executive
Director
of
the
Adviser;
Head
of
Product
Development
for
Equity
and
Fixed
Income
Funds
(since
August
2013).
Anthony
R.
Rochte
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1968
Vice
President,
Morgan
Stanley
ETF
Trust
Since
September
2022
Managing
Director
and
Global
Head
of
Exchange-Traded
Funds
at
Morgan
Stanley
Investment
Management
(since
March
2022);
Co-Head
of
Goldman
Sachs
Private
Bank
Select
(January
2020
–
March
2022);
Head
of
Fidelity
Institutional
Investments
&
Technology
Solutions
(August
2017
–
January
2020).
34
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Adviser
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
Distributor
Foreside
Fund
Services,
LLC
3
Canal
Plaza
Suite
100
Portland,
Maine
04101
Dividend
Disbursing
and
Transfer
Agent
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Custodian
and
Administrator
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Legal
Counsel
Dechert
LLP
1095
Avenue
of
the
Americas
New
York,
New
York
10036
Counsel
to
the
Independent
Trustees
Perkins
Coie
LLP
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
New
York
10036
Independent
Registered
Public
Accounting
Firm
Ernst
&
Young
LLP
200
Clarendon
Street
Boston,
MA
02116
ETFCALUSMIDCAPCRIANN
6057818
EXP
11.30.24
Printed
in
U.S.A.
This
Report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
a
current
prospectus.
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
©
2023
Morgan
Stanley.
Morgan
Stanley
Distribution,
Inc.
Morgan
Stanley
ETF
Trust
Calvert
US
Select
Equity
ETF
NYSE
Arca:
CVSE
Annual
Report
September
30,
2023
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Table
of
Contents
(unaudited)
1
This
report
is
authorized
for
distribution
only
when
preceded
or
accompanied
by
a
prospectus
or
summary
prospectus
of
the
applicable
Fund
of
Morgan
Stanley
ETF
Trust.
To
receive
a
prospectus
and/or
statement
of
additional
information
(“SAI”),
which
contains
more
complete
information
such
as
investment
objectives,
charges,
expenses,
policies
for
voting
proxies,
risk
considerations
and
describes
in
detail
each
of
the
Fund’s
investment
policies
to
the
prospective
investor,
please
call
toll
free
1
(800)
836-2414.
Please
read
the
prospectuses
carefully
before
you
invest.
Additionally,
you
can
access
Fund
information
including
performance,
characteristics
and
investment
team
commentary,
through
Morgan
Stanley
Investment
Management’s
website:
www.calvert.com.
Market
forecasts
provided
in
this
report
may
not
necessarily
come
to
pass.
There
is
no
guarantee
that
any
sectors
mentioned
will
continue
to
perform
as
discussed
herein
or
that
securities
in
such
sectors
will
be
held
by
the
Fund
in
the
future.
There
is
no
assurance
that
a
fund
will
achieve
its
investment
objective.
Funds
are
subject
to
market
risk,
which
is
the
possibility
that
market
values
of
securities
owned
by
the
Fund
will
decline
and,
therefore,
the
value
of
the
Fund’s
shares
may
be
less
than
what
you
paid
for
them.
Accordingly,
you
can
lose
money
investing
in
this
Fund.
Please
see
the
prospectus
for
more
complete
information
on
investment
risks.
Shareholders’
Letter
........................................................................................
2
Expense
Example
...........................................................................................
3
Investment
Overview
........................................................................................
4
Portfolio
of
Investments
.....................................................................................
6
Statement
of
Assets
and
Liabilities
..........................................................................
9
Statement
of
Operations
....................................................................................
10
Statement
of
Changes
in
Net
Assets
........................................................................
11
Financial
Highlights
.........................................................................................
12
Notes
to
Financial
Statements
...............................................................................
13
Report
of
Independent
Registered
Public
Accounting
Firm
....................................................
18
Federal
Tax
Notice
..........................................................................................
19
Important
Notices
..........................................................................................
20
U.S.
Customer
Privacy
Notice
...............................................................................
21
Trustees
and
Officers
Information
...........................................................................
24
2
Annual
Report
—
September
30,
2023
Shareholders’
Letter
(unaudited)
Morgan
Stanley
ETF
Trust
Dear
Shareholders,
We
are
pleased
to
provide
this
Annual Report,
in
which
you
will
learn
how
your
investment
in Calvert
US
Select
Equity
ETF (the
“Fund”)
performed
during
the
period
beginning
January
30,
2023
(when
the
Fund
commenced
operations)
and
ended
September
30,
2023.
Morgan
Stanley
Investment
Management,
the
Fund's
investment
adviser, is
a
client-centric,
investor-led
organization.
Our
global
presence,
intellectual
capital,
and
breadth
of
products
and
services
enable
us
to
partner
with
investors
to
meet
the
evolving
chal-
lenges
of
today’s
financial
markets.
We
aim
to
deliver
superior
investment
service
and
to
empower
our
clients
to
make
the
informed
decisions
that
help
them
reach
their
investment
goals.
As
always,
we
thank
you
for
selecting
Morgan
Stanley
Investment
Management,
and
look
forward
to
working
with
you
in
the
months
and
years
ahead.
Sincerely,
John
H.
Gernon
President
and
Principal
Executive
Officer
October
2023
3
Annual
Report
—
September
30,
2023
Expense
Example
(unaudited)
Calvert
US
Select
Equity
ETF
Morgan
Stanley
ETF
Trust
As
a
shareholder
of
the
Fund,
you
incur
two
types
of
costs:
(1)
transactional
costs;
and
(2)
ongoing
costs,
which
may
include man-
agement
fees,
and
distribution
and
shareholder
services
fees.
This
example
is
intended
to
help
you
understand
your
ongoing
costs
(in
dollars)
of
investing
in
the
Fund
and
to
compare
these
costs
with
the
ongoing
costs
of
investing
in
other
funds.
This
example
is
based
on
an
investment
of
$1,000
invested
at
the
beginning
of
the
six-month
period
ended
September
30,
2023 and
held
for
the
entire
six-month
period.
Actual
Expenses
The
table
below
provides
information
about
actual
account
values
and
actual
expenses.
You
may
use
the
information
in
this
table,
together
with
the
amount
you
invested,
to
estimate
the
expenses
that
you
paid
over
the
period.
Simply
divide
your
account
value
by
$1,000
(for
example,
an
$8,600
account
value
divided
by
$1,000
=
8.6),
then
multiply
the
result
by
the
number
in
the
table
under
the
heading
entitled
“Actual
Expenses
Paid
During
Period”
to
estimate
the
expenses
you
paid
on
your
account
during
this
period.
Hypothetical Example
for
Comparison
Purposes
The
table
below
provides
information
about
hypothetical
account
values
and
hypothetical
expenses
based
on
the
Fund’s
actual
expense
ratio
and
an
assumed
rate
of
return
of
5%
per
year
before
expenses,
which
is
not
the
Fund’s
actual
return.
The
hypothetical
account
values
and
expenses
may
not
be
used
to
estimate
the
actual
ending
account
balance
or
expenses
you
paid
for
the
period.
You
may
use
this
information
to
compare
the
ongoing
costs
of
investing
in
the
Fund
and
other
funds.
To
do
so,
compare
this
5%
hypothetical
example
with
the
5%
hypothetical
examples
that
appear
in
the
shareholder
reports
of
the
other
funds.
Please
note
that
the
expenses
shown
in
the
table
are
meant
to
highlight
your
ongoing
costs
only
and
do
not
reflect
any
transactional
costs,
such
as
sales
charges
(loads).
Therefore,
the
information
for
each
class
in
the
table
is
useful
in
comparing
ongoing
costs
only,
and
will
not
help
you
determine
the
relative
total
costs
of
owning
different
funds.
In
addition,
if
these
transactional
costs
were
included,
your
costs
would
have
been
higher.
Beginning
Account
Value
(
4/1/23
)
Actual
Ending
Account
Value
(9/30/23)
Hypothetical
Ending
Account
Value
Actual
Expenses
Paid
During
Period
*
Hypothetical
Expenses
Paid
During
Period
*
Net
Expense
Ratio
During
Period
**
Calvert
US
Select
Equity
ETF
$1,000.00
$1,016.60
$1,023.61
$1.47
$1.47
0.29%
*
Expenses
are
calculated
using
the
Fund’s
annualized
net
expense
ratio
(as
disclosed),
multiplied
by
the
average
account
value
over
the
period
and
multiplied
by
183/365
(to
reflect
the
most
recent
one-half
year
period).
**
Annualized.
4
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
Calvert
US
Select
Equity
ETF
Morgan
Stanley
ETF
Trust
Economic
and
Market
Conditions
For
U.S.
equity
investors,
the
8-month
period
ended
September
30,
2023,
was
a
roller-coaster
ride,
driven
largely
by
shifting
perceptions
of
whether
the
U.S.
Federal
Reserve
(the
Fed)
could
bring
the
world’s
largest
economy
in
for
a
soft
landing,
and
changing
expectations
of
how
long
interest
rates
might
remain
high.
As
the
period
opened,
U.S.
stocks
were
in
the
midst
of
a
rally
that
lasted
through
July
2023.
The
initial
tailwind
was
ChatGPT,
an
artificial
intelligence
(AI)
application
that
led
investors
to
perceive
AI
might
become
the
next
big
innovation
to
drive
the
information
technology
(IT)
sector.
As
a
result,
IT
-
one
of
the
worst-performing
sectors
in
2022
-
became
the
standout
sector
during
the
first
half
of
2023.
Earlier
recession
fears
that
had
weighed
on
stock
prices
receded
as
many
inves-
tors
came
around
to
the
view
that
the
U.S.
economy
was
doing
surprisingly
well.
But
in
the
final
two
months
of
the
period,
the
bond
market
halted
the
stock
market’s
momentum.
As
it
became
clear
the
Fed
would
keep
interest
rates
higher
for
longer
than
investors
had
anticipated
just
a
few
months
earlier,
longer
term
bond
rates
rose.
Given
the
potential
for
relatively
attractive
returns
with
lower
risk
than
stocks,
many
investors
shifted
from
equity
assets
to
bonds,
and
stock
prices
ended
on
a
down
note
as
the
period
came
to
a
close.
For
the
period
as
a
whole,
however,
the
August-September
stock
market
retreat
did
not
totally
erase
previous
gains,
and
the
Russell
1000®
Index,
a
measure
of
U.S.
large-cap
stocks,
returned
a
respectable
7.55%.
Fund
Performance
For
the
8-month
period
from
inception
on
January
30,
2023,
through
September
30,
2023,
Calvert
US
Select
Equity
ETF
(the
Fund)
returned
3.00%
for
shares
based
on
net
asset
value
(NAV)
and
reinvestment
of
distributions
per
share,
net
of
fees.
The
Fund
underperformed
its
benchmark,
the
Russell
1000®
Index
(the
Index),
which
returned
7.55%.
Security
selections
in
the
Fund
detracted
most
from
returns
rel-
ative
to
the
Index
during
the
period.
Selections
in
the
consum-
er
discretionary,
financials,
and
communication
services
sectors
particularly
weighed
on
relative
performance.
Although
sector
allocations
overall
were
beneficial,
overweight
exposures
to
the
financials
and
real
estate
sectors
-
among
the
worst-performing
sectors
within
the
Index
during
the
period
-
also
detracted
from
relative
returns
during
the
period.
Within
the
Fund’s
sector
allocations,
an
overweight
exposure
to
the
information
technology
(IT)
sector
-
the
strongest
perform-
ing
sector
within
the
Index
during
the
period
-
was
especially
beneficial.
While
security
selections
overall
detracted,
selections
in
the
industrials
and
IT
sectors
also
contributed
to
relative
returns
during
the
period.
Annual
Report
—
September
30,
2023
Investment
Overview
(unaudited)
(cont’d)
Calvert
US
Select
Equity
ETF
5
Morgan
Stanley
ETF
Trust
Performance
data
quoted
represents
past
performance,
which
is
no
guaran-
tee
of
future
results,
and
current
performance
may
be
lower
or
higher
than
the
figures
shown.
Performance
assumes
that
all
dividends
and
distributions,
if
any,
were
reinvested.
For
the
most
recent
month-end
performance
figures,
please
visit
www.calvert.com.
Investment
return
and
principal
value
will
fluctu-
ate
so
that
Fund
shares,
when
sold
or redeemed,
may
be
worth
more
or
less
than
their
original
cost.
Total
returns
do
not
reflect
the
deduction
of
taxes
that
a
shareholder
would
pay
on
Fund
distributions
or
the
selling
or
redemption
of
Fund
shares.
Fund's
total
returns
are
calculated
as
of
the
last
business
day
of
the
period.
*
Minimum
Investment.
**
The
Fund’s
performance
shown
assumes
that
all
recurring
fees
(including
management
fees)
were
deducted
and
all
dividends
and
distributions
were
reinvested.
***
Commenced
Operations
on
January
30,
2023.
Performance
Compared
to
the
Russell
1000
®
Index
(1)
Cumulative
Total
Return
for
the
period
Ended
September
30,
2023
Since
Inception
(2)
Calvert
US
Select
Equity
ETF
-
NAV
(3)
3.00%
Calvert
US
Select
Equity
ETF
-
Market
Price
(3)
2.98%
Russell
1000
®
Index
7.55%
(1)
The
Russell
1000
®
Index
is
an
unmanaged
index
of
1,000
U.S.
large-
cap
stocks.
The
Russell
1000
®
Index
is
an
index
of
approximately
1,000
of
the
largest
U.S.
companies
based
on
a
combination
of
market
capitalization
and
current
index
membership.
The
Index
is
unmanaged
and
its
returns
do
not
include
any
sales
charges
or
fees.
Such
costs
would
lower
performance.
It
is
not
possible
to
invest
directly
in
an
index.
(2)
For
comparative
purposes,
average
annual
since
inception
returns
listed
for
the
Indexes
refer
to
the
inception
date
of
the
Fund,
not
the
inception
of
the
Index.
(3)
Commenced
operations
on
January
30,
2023.
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
Calvert
US
Select
Equity
ETF
6
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Common
Stocks
(99.8%)
Air
Freight
&
Logistics
(0.3%)
Expeditors
International
of
Washington,
Inc.
545
$
62,473
Automobiles
(0.8%)
General
Motors
Co.
5,367
176,950
Banks
(2.1%)
Citizens
Financial
Group,
Inc.
901
24,147
Fifth
Third
Bancorp
2,189
55,447
Huntington
Bancshares,
Inc.
5,268
54,787
KeyCorp
869
9,350
PNC
Financial
Services
Group,
Inc.
(The)
523
64,209
Regions
Financial
Corp.
2,124
36,533
Truist
Financial
Corp.
5,874
168,055
Webster
Financial
Corp.
1,435
57,845
470,373
Biotechnology
(2.8%)
Alnylam
Pharmaceuticals,
Inc.(a)
464
82,174
Amgen,
Inc.
1,001
269,029
Exact
Sciences
Corp.(a)
561
38,271
Gilead
Sciences,
Inc.
2,006
150,330
Moderna
,
Inc.(a)
63
6,507
Regeneron
Pharmaceuticals,
Inc.(a)
39
32,096
Vertex
Pharmaceuticals,
Inc.(a)
122
42,424
620,831
Broadline
Retail
(0.5%)
eBay,
Inc.
1,059
46,692
Etsy,
Inc.(a)
490
31,644
Macy's,
Inc.
3,092
35,898
114,234
Building
Products
(0.7%)
Owens
Corning
216
29,464
Trane
Technologies
plc
614
124,587
154,051
Capital
Markets
(4.7%)
Charles
Schwab
Corp.
(The)
2,311
126,874
FactSet
Research
Systems,
Inc.
137
59,905
Franklin
Resources,
Inc.
537
13,199
Intercontinental
Exchange,
Inc.
1,603
176,362
LPL
Financial
Holdings,
Inc.
119
28,280
Morningstar,
Inc.
266
62,308
MSCI,
Inc.,
Class
A
48
24,628
Nasdaq,
Inc.
1,523
74,003
S&P
Global,
Inc.
930
339,831
State
Street
Corp.
1,260
84,370
T
Rowe
Price
Group,
Inc.
391
41,004
1,030,764
Chemicals
(2.8%)
Ecolab,
Inc.
829
140,433
FMC
Corp.
1,446
96,839
Linde
plc
419
156,015
Mosaic
Co.
(The)
2,764
98,398
Sherwin-Williams
Co.
(The)
467
119,108
610,793
Commercial
Services
&
Supplies
(0.5%)
Cintas
Corp.
63
30,304
MSA
Safety,
Inc.
384
60,538
Shares
Value
Tetra
Tech,
Inc.
114
$
17,331
108,173
Communications
Equipment
(1.4%)
Ciena
Corp.(a)
227
10,728
Cisco
Systems,
Inc.
4,498
241,812
Lumentum
Holdings,
Inc.(a)
177
7,997
Motorola
Solutions,
Inc.
140
38,114
298,651
Consumer
Finance
(1.5%)
Ally
Financial,
Inc.
1,169
31,189
American
Express
Co.
796
118,755
Capital
One
Financial
Corp.
683
66,285
Discover
Financial
Services
938
81,259
Synchrony
Financial
1,343
41,056
338,544
Consumer
Staples
Distribution
&
Retail
(0.6%)
Target
Corp.
1,097
121,295
Containers
&
Packaging
(0.4%)
Ball
Corp.
1,913
95,229
Distributors
(0.1%)
Genuine
Parts
Co.
212
30,609
Diversified
Consumer
Services
(0.4%)
Bright
Horizons
Family
Solutions,
Inc.(a)
660
53,763
Service
Corp.
International
648
37,027
90,790
Diversified
Telecommunication
Services
(1.0%)
Verizon
Communications,
Inc.
6,554
212,415
Electric
Utilities
(1.1%)
Eversource
Energy
3,091
179,742
NextEra
Energy,
Inc.
1,056
60,498
240,240
Electrical
Equipment
(2.6%)
Eaton
Corp.
plc
1,783
380,278
Emerson
Electric
Co.
1,073
103,620
Rockwell
Automation,
Inc.
322
92,050
575,948
Entertainment
(2.1%)
Electronic
Arts,
Inc.
184
22,154
Netflix,
Inc.(a)
447
168,787
Walt
Disney
Co.
(The)(a)
3,383
274,192
465,133
Financial
Services
(3.5%)
Fidelity
National
Information
Services,
Inc.
527
29,127
Mastercard
,
Inc.,
Class
A
876
346,817
MGIC
Investment
Corp.
1,108
18,493
PayPal
Holdings,
Inc.(a)
852
49,808
Rocket
Cos.,
Inc.,
Class
A(a)
1,302
10,650
Visa,
Inc.,
Class
A
1,389
319,484
774,379
Food
Products
(2.6%)
Darling
Ingredients,
Inc.(a)
1,322
69,009
General
Mills,
Inc.
4,184
267,734
J.M.
Smucker
Co.
(The)
1,076
132,251
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Select
Equity
ETF
7
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Food
Products
(cont’d)
McCormick
&
Co.,
Inc.
(Non-Voting)
1,341
$
101,433
570,427
Ground
Transportation
(0.1%)
Knight-Swift
Transportation
Holdings,
Inc.,
Class
A
335
16,800
Health
Care
Equipment
&
Supplies
(2.2%)
Boston
Scientific
Corp.(a)
822
43,401
Edwards
Lifesciences
Corp.(a)
1,312
90,895
Hologic
,
Inc.(a)
1,077
74,744
IDEXX
Laboratories,
Inc.(a)
210
91,827
ResMed
,
Inc.
487
72,013
STERIS
plc
488
107,077
479,957
Health
Care
Providers
&
Services
(1.4%)
DaVita,
Inc.(a)
211
19,946
Humana,
Inc.
472
229,637
Laboratory
Corp.
of
America
Holdings
274
55,088
Quest
Diagnostics,
Inc.
101
12,308
316,979
Health
Care
REITs
(0.1%)
Ventas,
Inc.
637
26,837
Hotel
&
Resort
REITs
(0.1%)
Host
Hotels
&
Resorts,
Inc.
815
13,097
Hotels,
Restaurants
&
Leisure
(0.9%)
Darden
Restaurants,
Inc.
535
76,623
Planet
Fitness,
Inc.,
Class
A(a)
271
13,328
Vail
Resorts,
Inc.
462
102,513
192,464
Household
Products
(0.4%)
Church
&
Dwight
Co.,
Inc.
281
25,748
Clorox
Co.
(The)
536
70,248
95,996
Industrial
REITs
(0.8%)
Prologis,
Inc.
1,629
182,790
Insurance
(4.1%)
Allstate
Corp.
(The)
188
20,945
Hartford
Financial
Services
Group,
Inc.
(The)
550
39,001
MetLife,
Inc.
4,470
281,208
Primerica,
Inc.
243
47,144
Progressive
Corp.
(The)
1,663
231,656
Prudential
Financial,
Inc.
1,449
137,496
Travelers
Cos.,
Inc.
(The)
837
136,690
894,140
IT
Services
(2.7%)
Accenture
plc,
Class
A
1,436
441,010
Akamai
Technologies,
Inc.(a)
461
49,115
Okta
,
Inc.,
Class
A(a)
462
37,658
Snowflake,
Inc.,
Class
A(a)
125
19,096
Twilio
,
Inc.,
Class
A(a)
282
16,505
VeriSign,
Inc.(a)
122
24,709
588,093
Leisure
Products
(0.5%)
Hasbro,
Inc.
1,074
71,034
Shares
Value
Mattel,
Inc.(a)
1,301
$
28,661
99,695
Life
Sciences
Tools
&
Services
(1.6%)
Agilent
Technologies,
Inc.
833
93,146
Danaher
Corp.
439
108,916
Fortrea
Holdings,
Inc.(a)
274
7,834
Waters
Corp.(a)
170
46,616
West
Pharmaceutical
Services,
Inc.
230
86,298
342,810
Machinery
(4.1%)
Caterpillar,
Inc.
721
196,833
Cummins,
Inc.
776
177,285
Deere
&
Co.
395
149,065
Illinois
Tool
Works,
Inc.
737
169,738
Parker-Hannifin
Corp.
249
96,991
Pentair
plc
712
46,102
Stanley
Black
&
Decker,
Inc.
319
26,662
Xylem,
Inc.
336
30,586
893,262
Media
(0.8%)
Interpublic
Group
of
Cos.,
Inc.
(The)
2,575
73,800
Omnicom
Group,
Inc.
1,473
109,709
183,509
Metals
&
Mining
(0.9%)
Nucor
Corp.
1,244
194,499
Multi-Utilities
(0.6%)
Consolidated
Edison,
Inc.
729
62,352
Sempra
1,078
73,336
135,688
Office
REITs
(0.0%)(b)
Boston
Properties,
Inc.
172
10,231
Personal
Care
Products
(0.7%)
Estee
Lauder
Cos.,
Inc.
(The),
Class
A
996
143,972
Pharmaceuticals
(5.3%)
Bristol-Myers
Squibb
Co.
2,459
142,720
Eli
Lilly
&
Co.
707
379,751
Merck
&
Co.,
Inc.
5,246
540,076
Pfizer,
Inc.
3,009
99,809
1,162,356
Professional
Services
(1.7%)
Automatic
Data
Processing,
Inc.
484
116,441
FTI
Consulting,
Inc.(a)
288
51,382
Genpact
Ltd.
718
25,992
ManpowerGroup
,
Inc.
370
27,128
Paylocity
Holding
Corp.(a)
59
10,720
Robert
Half,
Inc.
174
12,751
Verisk
Analytics,
Inc.,
Class
A
518
122,372
366,786
Real
Estate
Management
&
Development
(0.4%)
CBRE
Group,
Inc.,
Class
A(a)
168
12,409
Howard
Hughes
Holdings,
Inc.(a)
279
20,682
Jones
Lang
LaSalle,
Inc.(a)
451
63,672
96,763
Annual
Report
—
September
30,
2023
Portfolio
of
Investments
(cont’d)
Calvert
US
Select
Equity
ETF
8
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Shares
Value
Residential
REITs
(0.2%)
Equity
Residential
731
$
42,917
Retail
REITs
(0.4%)
Brixmor
Property
Group,
Inc.
606
12,593
Kimco
Realty
Corp.
882
15,514
Simon
Property
Group,
Inc.
607
65,574
93,681
Semiconductors
&
Semiconductor
Equipment
(6.8%)
Advanced
Micro
Devices,
Inc.(a)
1,364
140,247
Applied
Materials,
Inc.
843
116,713
First
Solar,
Inc.(a)
154
24,885
Intel
Corp.
3,840
136,512
KLA
Corp.
121
55,498
Lam
Research
Corp.
110
68,945
Micron
Technology,
Inc.
1,040
70,751
NVIDIA
Corp.
1,707
742,528
ON
Semiconductor
Corp.(a)
234
21,750
Texas
Instruments,
Inc.
693
110,194
1,488,023
Software
(13.8%)
Adobe,
Inc.(a)
376
191,722
Atlassian
Corp.,
Class
A(a)
151
30,428
Autodesk,
Inc.(a)
351
72,625
Cadence
Design
Systems,
Inc.(a)
421
98,640
Gen
Digital,
Inc.
1,663
29,402
HubSpot
,
Inc.(a)
134
65,995
Intuit,
Inc.
536
273,864
Microsoft
Corp.
5,353
1,690,210
Salesforce,
Inc.(a)
934
189,397
ServiceNow
,
Inc.(a)
319
178,308
Splunk
,
Inc.(a)
339
49,579
Synopsys,
Inc.(a)
122
55,994
VMware,
Inc.,
Class
A(a)
231
38,457
Workday,
Inc.,
Class
A(a)
306
65,744
3,030,365
Specialized
REITs
(1.3%)
American
Tower
Corp.
968
159,188
Equinix
,
Inc.
25
18,156
Extra
Space
Storage,
Inc.
71
8,632
Iron
Mountain,
Inc.
1,811
107,664
293,640
Specialty
Retail
(3.9%)
Best
Buy
Co.,
Inc.
784
54,465
Dick's
Sporting
Goods,
Inc.
88
9,555
Gap,
Inc.
(The)
1,521
16,168
Home
Depot,
Inc.
(The)
974
294,304
Lowe's
Cos.,
Inc.
829
172,300
O'Reilly
Automotive,
Inc.(a)
48
43,625
TJX
Cos.,
Inc.
(The)
924
82,125
Tractor
Supply
Co.
303
61,524
Ulta
Beauty,
Inc.(a)
260
103,857
Williams-Sonoma,
Inc.
98
15,229
853,152
Technology
Hardware,
Storage
&
Peripherals
(8.4%)
Apple,
Inc.
9,503
1,627,008
Dell
Technologies,
Inc.,
Class
C
301
20,739
Hewlett
Packard
Enterprise
Co.
7,643
132,759
Shares
Value
HP,
Inc.
2,437
$
62,631
1,843,137
Textiles,
Apparel
&
Luxury
Goods
(1.3%)
Capri
Holdings
Ltd.(a)
495
26,042
Lululemon
Athletica
,
Inc.(a)
326
125,709
NIKE,
Inc.,
Class
B
986
94,281
Ralph
Lauren
Corp.,
Class
A
117
13,582
Tapestry,
Inc.
777
22,339
281,953
Trading
Companies
&
Distributors
(0.5%)
United
Rentals,
Inc.
239
106,252
Water
Utilities
(1.3%)
American
Water
Works
Co.,
Inc.
2,215
274,283
Total
Common
Stocks
(Cost
$21,511,374)
21,906,429
Short-Term
Investment
(0.1%)
Investment
Company
(0.1%
)
Morgan
Stanley
Institutional
Liquidity
Funds
-
Government
Portfolio
-
Institutional
Class
(See
Note
G)
(Cost
$29,012)
29,012
29,012
Total
Investments
(99.9%)
(Cost
$21,540,386)
(c)
21,935,441
Other
Assets
in
Excess
of
Liabilities
(0.1%)
14,396
NET
ASSETS
(100.0%)
$21,949,837
(a)
Non-income
producing
security.
(b)
Amount
is
less
than
0.05%.
(c)
At
September
30,
2023,
the
aggregate
cost
for
federal
income
tax
purposes
is
$21,540,386.
The
aggregate
gross
unrealized
appreciation
is
$2,119,90
3
and
the
aggregate
gross
unrealized
depreciation
is
$1,724,864,
resulting
in
net
unrealized
appreciation
of
$395,039.
REIT
Real
Estate
Investment
Trust
Portfolio
Composition
Classification
Percentage
of
Total
Investments
Other*
65.7
%
Software
13.8
Technology
Hardware,
Storage
&
Peripherals
8.4
Semiconductors
&
Semiconductor
Equipment
6.8
Pharmaceuticals
5.3
Total
Investments
100.0%
*
Industries
and/or
investment
types
representing
less
than
5%
of
total
investments.
Annual
Report
—
September
30,
2023
Calvert
US
Select
Equity
ETF
9
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Assets
and
Liabilities
September
30,
2023
Assets:
Investments
in
Securities
of
Unaffiliated
Issuers,
at
Value
(Cost
$21,511,374)
$
21,906,429
Investment
in
Security
of
Affiliated
Issuer,
at
Value
(Cost
$29,012)
29,012
Total
Investments
in
Securities,
at
Value
(Cost
$21,540,386)
21,935,441
Dividends
Receivable
19,827
Total
Assets
21,955,268
Liabilities:
Payable
for
Management
Fee
5,431
Total
Liabilities
5,431
Net
Assets
$
21,949,837
Net
Assets
Consist
of:
Paid-in-Capital
$
21,833,025
Total
Distributable
Earnings
116,812
Net
Assets
$
21,949,837
Shares
Outstanding
$0.001
Par
Value
(unlimited
shares
authorized)
430,000
Net
Asset
Value
Per
Share
$
51
.05
Annual
Report
—
September
30,
2023
Calvert
US
Select
Equity
ETF
10
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Operations
Period
from
January
30,
2023
^
to
September
30,
2023
Investment
Income:
Dividends
from
Securities
of
Unaffiliated
Issuers
(Net
of
$42
of
Foreign
Taxes
Withheld)
$
257,947
Dividends
from
Security
of
Affiliated
Issuer
(Note
G)
1,706
Total
Investment
Income
259,653
Expenses:
Management
Fee
(Note
B)
43,102
Total
Expenses
43,102
Rebate
from
Morgan
Stanley
Affiliate
(Note
G)
(
49
)
Net
Expenses
43,053
Net
Investment
Income
216,600
Realized
Gain
(Loss):
Investments
Sold
(
297,876
)
In-kind
Redemptions
on
Investments
330,001
Net
Realized
Gain
32,125
Change
in
Unrealized
Appreciation
(Depreciation):
Investments
395,055
Net
Change
in
Unrealized
Appreciation
(Depreciation)
395,055
Net
Realized
Gain
and
Change
in
Unrealized
Appreciation
(Depreciation)
427,180
Net
Increase
in
Net
Assets
Resulting
from
Operations
$
643,780
^
Commencement
of
Operations.
Annual
Report
—
September
30,
2023
Calvert
US
Select
Equity
ETF
11
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Statement
of
Changes
in
Net
Assets
Period
from
January
30,
2023
^
to
September
30,
2023
Increase
(Decrease)
in
Net
Assets:
Operations:
Net
Investment
Income
$
216,600
Net
Realized
Gain
32,125
Net
Change
in
Unrealized
Appreciation
(Depreciation)
395,055
Net
Increase
in
Net
Assets
Resulting
from
Operations
643,780
Dividends
and
Distributions
to
Shareholders:
Dividends
and
Distributions
(
196,967
)
Total
Dividends
and
Distributions
to
Shareholders
(
196,967
)
Capital
Share
Transactions:
Subscribed
(1)
20,000,000
Subscribed
In-Kind
3,042,264
Redeemed
In-Kind
(
1,539,240
)
Net
Increase
in
Net
Assets
Resulting
from
Capital
Share
Transactions
21,503,024
Total
Increase
in
Net
Assets
21,949,837
Net
Assets:
Beginning
of
Period
–
End
of
Period
$
21,949,837
Capital
Share
Transactions:
Beginning
of
Period
–
Shares
Subscribed
400,000
Shares
Subscribed
In-Kind
60,000
Shares
Redeemed
In-Kind
(
30,000
)
Shares
Outstanding,
End
of
Period
Net
Increase
in
430,000
^
Commencement
of
Operations.
(1)
Total
consists
of
subscriptions
for
seed
capital
by
the
Adviser
and
other
related
parties
of
the
Fund.
Annual
Report
—
September
30,
2023
Financial
Highlights
Calvert
US
Select
Equity
ETF
12
The
accompanying
notes
are
an
integral
part
of
the
financial
statements.
Morgan
Stanley
ETF
Trust
Selected
Per
Share
Data
and
Ratios
Period
from
January
30,
2023
(1)
to
September
30,
2023
Net
Asset
Value,
Beginning
of
Period
$
50
.00
Income
(Loss)
from
Investment
Operations:
—
Net
Investment
Income
(2)
0
.50
Net
Realized
and
Unrealized
Gain
1
.01
Total
from
Investment
Operations
1
.51
Distributions
from
and/or
in
Excess
of:
—
Net
Investment
Income
(
0
.46
)
Net
Asset
Value,
End
of
Period
$
51
.05
Total
Return
(3)
3
.00
%
(4)
Ratios
to
Average
Net
Assets
and
Supplemental
Data:
$21,950
Net
Assets,
End
of
Period
(Thousands)
$
21,950
Ratio
of
Expenses
0
.29
%
(5)
(6)
Ratio
of
Net
Investment
Income
1
.45
%
(5)
(6)
Ratio
of
Rebate
from
Morgan
Stanley
Affiliates
0
.00
%
(5)
(7)
Portfolio
Turnover
Rate
18
%
(4)
(8)
(1)
Commencement
of
Operations.
(2)
Per
share
amount
is
based
on
average
shares
outstanding.
(3)
Calculated
based
on
the
net
asset
value
as
of
the
last
business
day
of
the
period.
(4)
Not
annualized.
(5)
Annualized.
(6)
The
Ratio
of
Expenses
and
Ratio
of
Net
Investment
Income
reflect
the
rebate
of
certain
Fund
expenses
in
connection
with
the
investments
in
Morgan
Stanley
affiliates
during
the
period.
The
effect
of
the
rebate
on
the
ratios
is
disclosed
in
the
above
table
as
“Ratio
of
Rebate
from
Morgan
Stanley
Affiliates.”
(7)
Amount
is
less
than
0.005%.
(8)
In-kind
transactions
are
not
included
in
portfolio
turnover
calculations.
13
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
Morgan
Stanley
ETF
Trust
Morgan
Stanley
ETF
Trust
(the
“Trust”)
is
an
open-end,
management
investment
company
established
under
Delaware
law
as
a
Delaware
statutory
trust.
Pursuant
to
its
Declaration
of
Trust dated
May
31,
2016,
and
Amended
and
Restated
on
September
28,
2022
(the
“Declaration
of
Trust”),
the
Trust is
authorized
to establish
multiple
series.
The
Trust
is
registered
under
the
Investment
Company
Act
of
1940,
as
amended
(the
“Act”).
The
Trust
applies
investment
company
accounting
and
report-
ing
guidance
Accounting
Standard
Codification
("ASC")
Topic
946.
In
the
preparation
of
these
financial
statements,
manage-
ment
has
evaluated
subsequent
events
occurring
after
the
date
of
the
Fund's
Statement
of
Assets
and
Liabilities
through
the
date
that
the
financial
statements
were
issued.
The
accompanying
financial
statements
relate
to
the
Calvert
US
Select
Equity
ETF
(the
which
seeks
to
provide
long-term
capital
appreciation.
The
Fund
is
diversified.
A.
Significant
Accounting
Policies:
The
following
signifi-
cant
accounting
policies
are
in
conformity
with
U.S.
generally
accepted
accounting
principles
(“GAAP”).
Such
policies
are
consistently
followed
by
the Trust
in
the
preparation
of
its
financial
statements.
GAAP
may
require
management
to
make
estimates
and
assumptions
that
affect
the
reported
amounts
and
disclosures
in
the
financial
statements.
Actual
results
may
differ
from
those
estimates.
1.
Security
Valuation:
(1)
An
equity
portfolio
security
list-
ed
or
traded
on
an
exchange
is
valued
at
its
latest
reported
sales
price
(or
at
the
exchange
official
closing
price
if
such
exchange
reports
an
official
closing
price),
and
if
there
were
no
sales
on
a
given
day
and
if
there
is
no
official
ex-
change
closing
price
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
relevant
ex-
changes.
If
only
bid
prices
are
available
then
the
latest
bid
price
may
be
used.
Listed
equity
securities
not
traded
on
the
valuation
date
with
no
reported
bid
and
asked
prices
available
on
the
exchange
are
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers.
In
cases
where
a
securi-
ty
is
traded
on
more
than
one
exchange,
the
security
is
valued
on
the
exchange
designated
as
the
primary
market;
(2)
all
other
equity
portfolio
securities
for
which
over-the-
counter
(“OTC”)
market
quotations
are
readily
available
are
valued
at
the
latest
reported
sales
price
(or
at
the
mar-
ket
official
closing
price
if
such
market
reports
an
official
closing
price),
and
if
there
was
no
trading
in
the
security
on
a
given
day
and
if
there
is
no
official
closing
price
from
relevant
markets
for
that
day,
the
security
is
valued
at
the
mean
between
the
last
reported
bid
and
asked
prices
if
such
bid
and
asked
prices
are
available
on
the
rel-
evant
markets.
An
unlisted
equity
security
that
does
not
trade
on
the
valuation
date
and
for
which
bid
and
asked
prices
from
the
relevant
markets
are
unavailable
is
valued
at
the
mean
between
the
current
bid
and
asked
prices
obtained
from
one
or
more
reputable
brokers/dealers;
(3)
fixed
income
securities
may
be
valued
by
an
outside
pricing
service/vendor
approved
by
the
Trust’s
Board
of
Trustees
(the
“Trustees”).
The
pricing
service/vendor
may
employ
a
pricing
model
that
takes
into
account,
among
other
things,
bids,
yield
spreads
and/or
other
market
data
and
specific
security
characteristics.
If
Morgan
Stanley
Investment
Management
Inc.
(the
“Adviser”)
a
whol-
ly-owned
subsidiary
of
Morgan
Stanley,
determines
that
the
price
provided
by
the
outside
pricing
service/vendor
or
exchange
does
not
reflect
the
security’s
fair
value
or
is
unable
to
provide
a
price,
prices
from
brokers
or
dealers
may
also
be
utilized.
In
these
circumstances,
the
value
of
the
security
will
be
the
mean
of
bid
and
asked
prices
obtained
from
reputable brokers/dealers;
(4)
when
market
quotations
are
not
readily
available,
as
defined
by
Rule
2a-5
under
the
Act,
including
circumstances
under
which
the
Adviser
determines
that
the
closing
price,
last
sale
price
or
the
mean
between
the
last
reported
bid
and
asked
prices
are
not
reflective
of
a
security’s
market
value,
port-
folio
securities
are
valued
at
their
fair
value
as
determined
in
good
faith
under
procedures
established
by
and
under
the
general
supervision
of
the
Trustees; and
(5)
invest-
ments
in
mutual
funds,
including
the
Morgan
Stanley
Institutional
Liquidity
Funds,
are
valued
at
the
net
asset
value
(“NAV”)
as
of
the
close
of
each
business
day.
In
connection
with
Rule
2a-5
of
the
Act,
the
Trust-
ees
have
designated
the
Trust's
Adviser
as
its
valuation
designee.
The
valuation
designee
has
responsibility
for
determining
fair
value
and
to
make
the
actual
calculations
pursuant
to
the
fair
valuation
methodologies
previously
approved
by
the
Trustees.
Under
procedures
approved
by
the
Trustees,
the
Trust’s
Adviser
has
formed
a
Valuation
Committee
whose
members
are
approved
by
the
Trustees.
The
Valuation
Committee
provides
administration
and
oversight
of
the
Trust’s
valuation
policies
and
procedures,
which
are
reviewed
at
least
annually
by
the
Trustees.
These
procedures
allow
the Trust
to
utilize
independent
pricing
services,
quotations
from
securities
and
financial
instrument
dealers
and
other
market
sources
to
determine
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
14
Morgan
Stanley
ETF
Trust
fair
value.
2.
Fair
Value
Measurement:
Financial
Accounting
Stan-
dards
Board
(“FASB”)
Accounting
Standards
Codifica-
tion
TM
("ASC"),
“Fair
Value
Measurement”
(“ASC
820”),
defines
fair
value
as
the
price
that
would
be
received
to
sell
an
asset
or
pay to
transfer
a
liability
in
an orderly
transaction
between
market
participants
at
the
measure-
ment
date. ASC
820
establishes
a
three tier
hierarchy
to
distinguish
between
(1)
inputs
that
reflect
the
assump-
tions
market
participants
would
use
in
valuing
an
asset
or
liability
developed
based
on
market
data
obtained
from
sources
independent
of
the
reporting
entity
(observable
inputs)
and
(2)
inputs
that
reflect
the
reporting
entity’s
own
assumptions
about
the
assumptions
market
partici-
pants
would
use
in
valuing
an
asset
or
liability
developed
based
on
the
best
information
available
in
the
circum-
stances
(unobservable
inputs)
and
to
establish
classifica-
tion
of
fair
value
measurements
for
disclosure
purposes.
Various
inputs
are
used
in
determining
the
value
of
the
Fund’s
investments.
The
inputs
are
summarized
in
the
three
broad
levels
listed
below:
Level
1
–
unadjusted
quoted
prices
in
active
markets
for
identical
investments.
Level
2
-
other
significant
observable
inputs
(includ-
ing
quoted
prices
for
similar
investments,
interest
rates,
prepayment
speeds,
credit
risk,
etc.)
Level
3
-
significant
unobservable
inputs
including
the
Fund’s
own
assumptions
in
determin-
ing
the
fair
value
of
investments.
Factors
considered
in
making
this
determination
may
include,
but
are
not
limited
to,
infor-
mation
obtained
by
contacting
the
issuer,
analysts,
or
the
appropriate
stock
exchange
(for
exchange-traded
securities),
analysis
of
the
issuer’s
financial
statements
or
other
available
documents
and,
if
necessary,
available
information
concerning
other
securities
in
similar
circumstances.
The
inputs
or
methodology
used
for
valuing
securities
are
not
necessarily
an
indication
of
the
risk
associated
with
investing
in
those
securities
and
the
determination
of
the
significance
of
a
particular
input
to
the
fair
value
mea-
surement
in
its
entirety
requires
judgment
and
considers
factors
specific
to
each
security.
The
following
is
a
summary
of
the
inputs
used
to
value
the
Fund's
investments
as
of
September
30,
2023:
Transfers
between
investment
levels
may
occur
as
the
markets
fluctuate
and/or
the
availability
of
data
used
in
an
investment’s
valuation
changes.
3.
Indemnifications:
The Trust
enters
into
contracts
that
contain
a
variety
of
indemnification
clauses.
The
Trust’s
maximum
exposure
under
these
arrangements
is
un-
known
as
this
would
involve
future
claims
that
may
be
made
against
the
Fund
that
have
not yet
occurred.
4.
Dividends
and
Distributions
to
Shareholders:
Divi-
dends
and
distributions
to
shareholders
are
recorded
on
the
ex-dividend
date.
Dividends
from
net
investment
in-
come,
if
any,
are
declared
and
paid
quarterly.
Net
realized
capital
gains,
if
any,
are
distributed
at
least
annually.
5.
Security
Transactions,
Income
and
Expenses:
Security
transactions
are
accounted
for
on
the
trade
date
(date
the
order
to
buy
or
sell
is
executed).
Realized
gains
and
losses
on
the
sale
of
investment
securities
are
deter-
mined
on
the
specific
identified
cost
method.
Dividend
income
and
other
distributions
are
recorded
on
the
ex-dividend
date
(except
for
certain
foreign
dividends
which
may
be
recorded
as
soon
as
the
Fund
is
informed
of
such
dividends)
net
of
applicable
withholding
taxes.
Non-cash
dividends
received
in
the
form
of
stock,
if
any,
are
recognized
on
the
ex-dividend
date
and
recorded
as
non-cash
dividend
at
fair
value.
B.
Management Fees:
The
Adviser
provides
investment
advice
and
portfolio
management
services
pursuant
to
a
Management
Agreement
(the
“Agreement”)
and,
subject
to
the
supervision
of
the
Trust’s
Trustees,
makes
or
oversees
the
Fund’s
day-to-day
investment
decisions,
arranges
for
the
execution
of
portfolio
transactions
and
generally
manages
the
Fund’s
invest-
Investment
Type
Level
1
Unadjusted
quoted
prices
(000)
Level
2
Other
significant
observable
inputs
(000)
Level
3
Significant
unobservable
Inputs
(000)
Total
(000)
Assets:
Common
Stocks
$
21,906
(1)
$
—
$
—
$
21,906
Short-Term
Investment
Investment
Company
29
—
—
29
Total
Assets
$21,935
$—
$—
$21,935
(1)
The
level
classification
by
major
category
of
investments
is
the
same
as
the
category
presentation
in
the
Portfolio
of
Investments.
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
15
Morgan
Stanley
ETF
Trust
ments.
As
compensation
for
its
services,
the
Adviser
is paid
monthly
at
the
annual
rate
of
0.29% of
the
average
daily
net
assets
of
the
Fund.
Under
the
Agreement,
the
Adviser pays sub-
stantially
all
the
expenses
of
the
Fund
(including
expenses
of
the
Trust
relating
to
the
Fund),
except
for
the
distribution
fees,
if
any,
brokerage
expenses,
acquired
fund
fees
and
expenses,
taxes,
interest,
litigation
expenses,
and
other
extraordinary
expenses,
including
the
costs
of
proxies,
not
incurred
in
the
ordinary
course
of
the
Fund’s
business.
C.
Distribution
and
Shareholder Services
Plan:
The
Trustees
have
adopted
a
distribution
and
services
plan
("Plan")
pursuant
Rule
12b-1
under the
Act.
Under the
Plan,
the
Fund
is
authorized
to
pay
distribution
fees
in
connection
with
the
sale
of
its
shares
and
pay
service
fees
in
connection
with
the
provision
of
ongoing
services
to
shareholders
of
the
Fund
and
the
maintenance
of
shareholder
accounts
in
an
amount
up
to
0.25%
of
its
average
daily
net
assets.
No
Rule
12b-1
fees
are
currently
paid
by
the
Fund
and
there
are
no
current
plans
to
impose
these
fees.
D.
Dividend
Disbursing
and
Transfer
Agent:
The
Trust’s
dividend
disbursing
and
transfer
agent
is
JPMorgan
Chase
Bank,
N.A.
("JPMorgan").
E.
Custodian
and
Administrator:
JPMorgan also
serves
as
Custodian
and
Administrator for
the
Trust in
accordance
with
a
Custodian
and
Administration Agreement.
F.
Issuance
and
Redemption
of
Fund
Shares:
The
Fund
is
an
exchange-traded
fund
or
ETF.
Individual
Fund
shares
may
only
be
purchased
and
sold
on
a
national
securi-
ties
exchange
through
a
broker-dealer
and
investors
may
pay
a
commission
to
such
broker-dealers
in
connection
with
their
purchase
or
sale.
The
price
of
Fund
shares
is
based
on
market
price,
and
because
ETF
shares
trade
at
market
prices
rather
than
NAV,
shares
may
trade
at
a
price
greater
than
NAV
(a
premium)
or
less
than
NAV
(a
discount).
The
Fund
will
only
issue
or
redeem
shares
aggregated
into
blocks
of 30,000
shares
or
multiples
thereof
(“Creation
Units”)
to
Authorized
Participants
who
have
entered
into
agreements
with
the
Funds’
Distributor.
An
Authorized
Participant
is
either
(1)
a
“Participating
Party,”
(i.e.,
a
broker-dealer
or
other
participant
in
the
clearing
process
of
the
Continuous
Net
Settlement
System
of
the
National
Securities
Clearing
Corpo-
ration)
(“Clearing
Process”),
or
(2)
a
participant
of
Depository
Trust
Company (“DTC
Participant”),
and,
in
each
case,
must
have
executed
an
agreement
(“Participation
Agreement”)
with
the
Distributor
with
respect
to
creations
and
redemptions
of
Creation
Units.
The
Fund
will
issue
or
redeem
Creation
Units
in
return
for
a
basket
of
assets
that
the
Fund
specifies
each
day.
Shares
are
listed
on
the
New
York
Stock
Exchange Arca
("NYSE
Arca") and
are
publicly
traded.
If an
investor buys
or
sells
Fund
shares
on
the
secondary
market, the
investor will
pay
or
receive
the
market
price,
which
may
be
higher
or
lower
than
NAV. The
investor's transaction
will
be
priced
at
NAV
if the
investor purchases
or
redeems
Fund
shares
in
Creation
Units.
Authorized
Participants
purchasing
and
redeeming
Creation
Units
may
pay
a
purchase
transaction
fee
and
a
redemption
transaction
fee
directly
to
the
Fund's
Administrator
to
offset
transfer
and
other
transaction
costs
associated
with
the
issuance
and
redemption
of
Creation
Units,
including
Creation
Units
for
cash.
Additionally,
a
portion
of
the
transaction
fee
is
used
to
offset
transactional
costs
typically
accrued
in
the
Fund's
cus-
tody
expenses
directly
related
to
the
issuance
and
redemption
of
Creation
Units.
An
additional
variable
fee
may
be
charged
for
certain
transactions.
Such
fees
would
be
included
in
the
re-
ceivable
for
capital
shares
issued
on
the
Statement
of
Assets
and
Liabilities
if
they
are
outstanding
as
of
year-
end. Transaction
fees
assessed
during
the
period
are
included
in
the
proceeds
from
shares
issued
on
the
Statements
of
Changes
in
Net
Assets.
G.
Security
Transactions
and
Transactions
with
Af-
filiates:
For
the
year ended
September
30,
2023 purchases
and
sales
of
investment
securities
for
the
Fund,
other
than
long-term
U.S.
Government
securities,
short-term
investments
and
In-Kind transactions were $24,113,144
and
$4,069,723,
respectively.
There
were
no
purchases
and
sales
of
long-term
U.S.
Government
securities
for
the
year
ended
September
30,
2023. Purchase
and
Sales
related
to
In-Kind
transactions
were
$2,994,812 and
$1,557,371 for
year end.
The
Fund
invests
in
the
Institutional
Class
of
the
Morgan
Stanley
Institutional
Liquidity
Funds
—
Government
Portfolio
(the
“Liquidity
Fund”),
an
open-end
management
investment
company
managed
by
the
Adviser. Management fees
paid
by
the
Fund
are
reduced
by
an
amount
equal
to
its
pro-rata
share
of
the management
fees
paid
by
the
Fund
due
to
its
invest-
ment
in
the
Liquidity
Fund.
For
the
year ended
September
30,
2023, management
fees
paid
were
reduced
by $49 relating
to
the
Fund’s
investment
in
the
Liquidity
Fund.
A
summary
of
the
Fund’s
transactions
in
shares
of
affiliated
investments
during
the
year ended
September
30,
2023 is
as
follows:
Affiliated
Investment
Company
Value
January
30,
2023
Purchases
at
Cost
Proceeds
from
Sales
Dividend
Income
Liquidity
Fund
$
–
$
293,565
$
264,553
$
1,706
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
16
Morgan
Stanley
ETF
Trust
H.
Federal
Income
Taxes:
It
is
the
Fund’s
intention
to
continue
to
qualify
as
a
regulated
investment
company
and
distribute
all
of
its
taxable
and
tax
exempt income.
Accordingly,
no
provision
for
federal
income
taxes
is
required
in
the
finan-
cial
statements.
The
Fund
may
be
subject
to
taxes
imposed
by
countries
in
which
it
invests.
Such
taxes
are
generally
based
on
income
and/
or
capital
gains
earned
or
repatriated.
Taxes
are
accrued
based
on
net
investment
income,
net
realized
gains
and
net
unreal-
ized
appreciation
as
such
income
and/or
gains
are
earned.
Taxes
may
also
be
based
on
transactions
in
foreign
currency
and
are
accrued
based
on
the
value
of
investments
denominated
in
such
currency.
FASB
ASC
740-10,
“Income
Taxes—Overall”,
sets
forth
a
minimum
threshold
for
financial
statement
recognition
of
the
benefit
of
a
tax
position
taken
or
expected
to
be
taken
in
a
tax
return.
Management
has
concluded
there
are
no
significant
uncertain
tax
positions
that
would
require
recognition
in
the
financial
statements.
If
applicable,
the
Fund
recognizes
inter-
est
accrued
related
to
unrecognized
tax
benefits
in
“Interest
Expense”
and
penalties
in
“Other
Expenses”
in
the
Statement
of
Operations.
The
Fund
files
tax
returns
with
the
U.S.
Internal
Revenue
Service,
New
York
and
various
states.
The
tax
year
ended
September
30,
2023 remains
subject
to
examination
by
taxing
authorities.
The
tax
character
of
distributions
paid
may
differ
from
the
character
of
distributions
shown
for
GAAP
purposes
due
to
short-term
capital
gains
being
treated
as
ordinary
income
for
tax
purposes.
The
tax
character
of
distributions
paid
during
fiscal
year 2023
was
as
follows:
The
amount
and
character
of
income
and
gains
to
be
distrib-
uted
are
determined
in
accordance
with
income
tax
regulations
which
may
differ
from
GAAP.
These
book/tax
differences
are
either
considered
temporary
or
permanent
in
nature.
Temporary
differences
are
attributable
to
differing
book
and
tax
treatments
for
the
timing
of
the
recognition
of
gains
(loss-
es)
on
certain
investment
transactions
and
the
timing
of
the
deductibility
of
certain
expenses.
Permanent
differences,
due
to
a
tax
adjustment
related
to
an
in-kind
redemption,
resulted
in
the
following
reclassifications
among
the
components
of
net
assets
at
September
30,
2023:
At
September
30,
2023,
the
components
of
distributable
earn-
ings
for
the
Fund
on
a
tax
basis
were
as
follows:
At
September
30,
2023,
the
Fund
had
available
for
fed-
eral
income
tax
purposes
unused
short-term
capital
losses
of $297,876 that
do
not
have
an
expiration
date.
To
the
extent
that
capital
loss
carryforwards
are
used
to
offset
any
future
capital
gains
realized,
no
capital
gains
tax
liability
will
be
incurred
by
the
Fund
for
gains
realized
and
not
distrib-
uted.
To
the
extent
that
capital
gains
are
offset,
such
gains
will
not
be
distributed
to
the
shareholders.
I.
Principal
Risks:
Market
Risk:
An
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
governments.
The
risks
associated
with
these
developments
may
be
magnified
if
social,
political,
economic
and
other
conditions
and
events
(such
as
war,
natural
disasters,
health
emergencies
(e.g.,
epidemics
and
pandemics),
terrorism,
conflicts,
social
unrest,
recessions,
inflation,
rapid
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,
adverse-
Affiliated
Investment
Company
(cont'd)
Realized
Gain
(Loss)
Change
in
Unrealized
Appreciation
(Depreciation)
Value
September
30,
2023
Liquidity
Fund
$
–
$
–
$
29,012
2023
Distributions
Paid
From:
Ordinary
Long-Term
Income
Capital
Gain
$196,967
$–
Total
Distributable
Paid-In
Earnings
Capital
$(330,001)
$330,001
Undistributed
Undistributed
Ordinary
Long-Term
Income
Capital
Gain
$19,633
$–
Annual
Report
—
September
30,
2023
Notes
to
Financial
Statements
(cont’d)
17
Morgan
Stanley
ETF
Trust
ly
affect
and
increase
the
volatility
of
the
Fund’s
share
price
and
exacerbate
pre-existing
risks
to
the
Fund.
The
occurrence,
duration
and
extent
of
these
or
other
types
of
adverse
econom-
ic
and
market
conditions
and
uncertainty
over
the
long
term
cannot
be
reasonably
projected
or
estimated
at
this
time.
The
ultimate
impact
of
public
health
emergencies
or
other
adverse
economic
or
market
developments
and
the
extent
to
which
the
associated
conditions
impact
the
Fund
and
its
investments
will
also
depend
on
other
future
developments,
which
are
highly
uncertain,
difficult
to
accurately
predict
and
subject
to
change
at
any
time.
The
financial
performance
of
the
Fund’s
invest-
ments
(and,
in
turn,
the
Fund’s
investment
results)
as
well
as
their
liquidity
may
be
adversely
affected
because
of
these
and
similar
types
of
factors
and
developments.
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.
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
and
no
other
authorized
participant
creates
or
redeems,
shares
may
trade
at
a
discount
to 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.
Disrup-
tions
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
oth-
er
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.
Buying
or
selling
shares
in
the
secondary
market
may
require
paying
brokerage
com-
missions
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.
Large
Shareholder
Transaction
Risk:
The
Fund
may
experience
adverse
effects
when
certain
shareholders
purchase
or
redeem
large
amounts
of
shares
of the
Fund.
In
addition,
a
third
party
investor,
the
Adviser
or
an
affiliate
of
the
Adviser,
an
authorized
participant,
a
lead
market
maker,
or
another
entity
(i.e.,
a
seed
investor)
may
invest
in
the
Fund
and
hold
its
investment
solely
to
facilitate
commencement
of
the
Fund
or
to
facilitate
the
Fund’s
achieving
a
specified
size
or
scale.
Any
such
investment
may
be
held
for
a
limited
period
of
time.
There
can
be
no
assurance
that
any
large
shareholder
would
not
redeem
its
investment,
that
the
size
of
the
Fund
would
be
maintained
at
such
levels
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
negative-
ly
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.
These
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
circumstanc-
es, 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.
J.
Other:
At
September
30,
2023,
the
Fund
had
record
own-
ers
of
10%
or
greater,
which
are
related
parties
of
the
Fund.
In-
vestment
activities
of
these
shareholders
could
have
a
material
impact
on
the
Fund.
The
aggregate
percentage
of
such
owners
was
93.0%.
18
Annual
Report
—
September
30,
2023
Report
of
Independent
Registered
Public
Accounting
Firm
Morgan
Stanley
ETF
Trust
To
the
Shareholders
and
Board
of
Trustees
of
Morgan
Stanley
ETF
Trust
–
Calvert
US
Select
Equity
ETF
Opinion
on
the
Financial
Statements
We
have
audited
the
accompanying
statement
of
assets
and
liabilities
of
Calvert
US
Select
Equity
ETF
(the
“Fund”)
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust
(the
“Trust”)),
including
the
portfolio
of
investments,
as
of
September
30,
2023,
and
the
related
statements
of
operations
and
changes
in
net
assets
and
the
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
and
the
related
notes
(collectively
referred
to
as
the
“financial
state-
ments”).
In
our
opinion,
the
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Fund
(one
of
the
funds
constituting
Morgan
Stanley
ETF
Trust)
at
September
30,
2023,
and
the
results
of
its
operations,
the
changes
in
its
net
assets
and
its
financial
highlights
for
the
period
from
January
30,
2023
(commencement
of
operations)
through
September
30,
2023,
in
conformity
with
U.S.
generally
accepted
accounting
principles.
Basis
for
Opinion
These
financial
statements
are
the
responsibility
of
the
Trust’s
management.
Our
responsibility
is
to
express
an
opinion
on
the
Fund’s
financial
statements
based
on
our
audit.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(“PCAOB”)
and
are
required
to
be
independent
with
respect
to
the
Trust
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audit
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Trust
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
the
Trust’s
internal
control
over
financial
reporting.
As
part
of
our
audit,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting,
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Trust’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audit
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
financial
statements.
Our
procedures
included
confirmation
of
securities
owned
as
of
September
30,
2023,
by
correspondence
with
the
custodian,
brokers
and
others;
when
replies
were
not
received
from
brokers
and
others,
we
performed
other
auditing
procedures.
Our
audit
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
financial
statements.
We
believe
that
our
audit
provides
a
reasonable
basis
for
our
opinion.
We
have
served
as
the
auditor
of
one
or
more
Morgan
Stanley
investment
companies
since
2000.
Boston,
Massachusetts
November
27,
2023
19
Annual
Report
—
September
30,
2023
Federal
Tax
Notice
(unaudited)
Morgan
Stanley
ETF
Trust
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
distributions
paid
by
the
Fund
during
its
taxable
year
ended
September
30,
2023.
For
corporate
shareholders
100%
of
the
dividends
qualified
for
the
dividends
received
deduction.
For
federal
income
tax
purposes,
the
following
information
is
furnished
with
respect
to
the
Fund’s
earnings
for
its
taxable
year
ended
September
30,
2023.
When
distributed,
certain
earnings
may
be
subject
to
a
maximum
tax
rate
of
15%
as
provided
for
by
the
Jobs
and
Growth
Tax
Relief
Reconciliation
Act
of
2003.
The
Fund
designated
up
to
a
maximum
of $196,967
as
taxable
at
this
lower
rate.
In
January,
the
Fund
provides
tax
information
to
shareholders
for
the
preceding
calendar
year.
20
Annual
Report
—
September
30,
2023
Important
Notices
(unaudited)
Morgan
Stanley
ETF
Trust
Reporting
to
Shareholders
The
Fund’s
portfolio
holdings
are
publicly
disseminated
each
day
the
Fund
is
open
for
business
through
financial
reporting
and
news
services,
including
publicly
accessible
Internet
web
sites.
In
addition,
a
basket
composition
file,
which
includes
the
securi-
ty
names
and
share
quantities
to
deliver
in
exchange
for
Creation
Units,
together
with
estimates
and
actual
cash
components
is
publicly
disseminated
daily
prior
to
the
opening
of
the
Exchange
via
the
National
Securities
Clearing
Corporation
(the
“NSCC”),
a
clearing
agency
that
is
registered
with
the
SEC.
The
basket
represents
one
Creation
Unit
of
the
Fund.
The
Trust,
Adviser,
Custo-
dian
and
Distributor
will
not
disseminate
non-public
information
concerning
the
Trust.
The
Trust
provides
a
complete
schedule
of
portfolio
holdings
for
the
second
and
fourth
fiscal
quarters
in
its
Semi-Annual
and
Annual
reports,
and
for
the
first
and
third
fiscal
quarters
in
its
filings
with
the
SEC
as
an
exhibit
to
Form
N-PORT.
The
Fund's
portfolio
holdings
will
be
available
on
the
Fund’s
public
website,
www.calvert.com.
Proxy
Voting
Policy
and
Proxy
Voting
Record
The
Board
of
Trustees
believes
that
the
voting
of
proxies
on
securities
held
by
the
Trust
is
an
important
element
of
the
overall
invest-
ment
process.
As
such,
the
Trustees
have
delegated
the
responsibility
to
vote
such
proxies
to
the
Adviser.
The
Adviser
has
engaged
Calvert
to
provide
proxy
voting
services
with
respect
to
the
Trust.
The
Adviser’s
Proxy
Voting
Policy
speci-
fies
that
each
Fund
will
follow
Calvert’s
Proxy
Voting
Policies
and
Procedures
and
Global
Proxy
Voting
Guidelines.
When
available,
the
Trust’s
proxy
voting
record
for
the
most
recent
12-month
period
ending
June
30,
as
filed
with
the
SEC,
will
be
available
without
charge
on
our
web
site
at
www.calvert.com.
The
Trust’s
proxy
voting
record
will
also
be
available
without
charge
on
the
SEC’s
web
site
at
http://www.sec.gov.
Tailored
Shareholder
Reports
Effective
January
24,
2023,
the
SEC
adopted
rule
and
form
amendments
to
require
open-end
mutual
funds
and
ETFs
to
transmit
concise
and
visually
engaging
streamlined
annual
and
semiannual
reports
to
shareholders
that
highlight
key
information.
Other
information,
including
financial
statements,
will
no
longer
appear
in
a
streamlined
shareholder
report
but
must
be
available
on-
line,
delivered
free
of
charge
upon
request,
and
filed
on
a
semiannual
basis
on
Form
N-CSR.
The
rule
and
form
amendments
have
a
compliance
date
of
July
24,
2024.
At
this
time,
management
is
evaluating
the
impact
of
these
amendments
on
the
shareholder
reports
for
the
Morgan
Stanley
Funds.
21
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
April
2021
Morgan
Stanley
ETF
Trust
FACTS
WHAT
DOES
MSIM
DO
WITH
YOUR
PERSONAL
INFORMATION?
Why?
Financial
companies
choose
how
they
share
your
personal
information.
Federal
law
gives
consumers
the
right
to
limit
some
but
not
all
sharing.
Federal
law
also
requires
us
to
tell
you
how
we
collect,
share,
and
protect
your
personal
information.
Please
read
this
notice
carefully
to
understand
what
we
do.
What?
The
types
of
personal
information
we
collect
and
share
depend
on
the
product
or
service
you
have
with
us.
This
information
can
include:
Social
Security
number
and
income
investment
experience
and
risk
tolerance
checking
account
number
and
wire
transfer
instructions
How?
All
financial
companies
need
to
share
customers’
personal
information
to
run
their
everyday
business.
In
the
section
below,
we
list
the
reasons
financial
companies
can
share
their
customers’
personal
information;
the
reasons
MSIM
chooses
to
share;
and
whether
you
can
limit
this
sharing.
Reasons
we
can
share
your
personal
information
Does
MSIM
share?
Can
you
limit
this
sharing?
For
our
everyday
business
purposes
—
such
as
to
process
your
transactions,
maintain
your
account(s),
respond
to
court
orders
and
legal
investigations,
or
report
to
credit
bureaus
Yes
No
For
our
marketing
purposes
—
to
offer
our
products
and
services
to
you
Yes
No
For
joint
marketing
with
other
financial
companies
No
We
don’t
share
For
our
investment
management
affiliates’
everyday
business
purposes
—
information
about
your
transactions,
experiences,
and
creditworthiness
Yes
Yes
For
our
affiliates’
everyday
business
purposes
—
information
about
your
transactions
and
experiences
Yes
No
For
our
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
No
We
don’t
share
For
our
investment
management
affiliates
to
market
to
you
Yes
Yes
For
our
affiliates
to
market
to
you
No
We
don’t
share
For
non-affiliates
to
market
to
you
No
We
don’t
share
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
22
April
2021
Morgan
Stanley
ETF
Trust
To
limit
our
sharing
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Please
note:
If
you
are
a
new
customer,
we
can
begin
sharing
your
information
30
days
from
the
date
we
sent
this
notice.
When
you
are
no
longer
our
customer,
we
continue
to
share
your
information
as
described
in
this
notice.
However,
you
can
contact
us
at
any
time
to
limit
our
sharing.
Questions?
Call
toll-free
(844)
312-6327
or
email:
imprivacyinquiries@morganstanley.com
Who
we
are
Who
is
providing
this
notice?
Morgan
Stanley
Investment
Management
Inc.
and
its
investment
management
affiliates
(“MSIM”)
(see
Investment
Management
Affiliates
definition
below)
What
we
do
How
does
MSIM
protect
my
personal
information?
To
protect
your
personal
information
from
unauthorized
access
and
use,
we
use
security
measures
that
comply
with
federal
law.
These
measures
include
computer
safeguards
and
secured
files
and
buildings.
We
have
policies
governing
the
proper
handling
of
customer
information
by
personnel
and
requiring
third
parties
that
provide
support
to
adhere
to
appropriate
security
standards
with
respect
to
such
information.
How
does
MSIM
collect
my
personal
information?
We
collect
your
personal
information,
for
example,
when
you
open
an
account
or
make
deposits
or
withdrawals
from
your
account
buy
securities
from
us
or
make
a
wire
transfer
give
us
your
contact
information
We
also
collect
your
personal
information
from
others,
such
as
credit
bureaus,
affiliates,
or
other
companies.
Why
can’t
I
limit
all
sharing?
Federal
law
gives
you
the
right
to
limit
only
sharing
for
affiliates’
everyday
business
purposes
—
information
about
your
creditworthiness
affiliates
from
using
your
information
to
market
to
you
sharing
for
non-affiliates
to
market
to
you
State
laws
and
individual
companies
may
give
you
additional
rights
to
limit
sharing.
See
below
for
more
on
your
rights
under
state
law.
Annual
Report
—
September
30,
2023
U.S.
Customer
Privacy
Notice
(unaudited)
(cont’d)
23
April
2021
Morgan
Stanley
ETF
Trust
Definitions
Investment
Management
Affiliates
MSIM
Investment
Management
Affiliates
include
registered
investment
advisers,
registered
broker-dealers,
and
registered
and
unregistered
funds
in
the
Investment
Management
Division.
Investment
Management
Affiliates
does
not
include
entities
associated
with
Morgan
Stanley
Wealth
Management,
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Affiliates
Companies
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
Our
affiliates
include
companies
with
a
Morgan
Stanley
name
and
financial
companies
such
as
Morgan
Stanley
Smith
Barney
LLC
and
Morgan
Stanley
&
Co.
Non-affiliates
Companies
not
related
by
common
ownership
or
control.
They
can
be
financial
and
non-financial
companies.
MSIM
does
not
share
with
non-affiliates
so
they
can
market
to
you.
Joint
marketing
A
formal
agreement
between
non-affiliated
financial
companies
that
together
market
financial
products
or
services
to
you.
MSIM
doesn’t
jointly
market
Other
Important
Information
Vermont:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
Vermont
residents
with
Non-affiliates
unless
you
provide
us
with
your
written
consent
to
share
such
information.
California:
Except
as
permitted
by
law,
we
will
not
share
personal
information
we
collect
about
California
residents
with
Non-affiliates
and
we
will
limit
sharing
such
personal
information
with
our
Affiliates
to
comply
with
California
privacy
laws
that
apply
to
us.
24
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
Morgan
Stanley
ETF
Trust
Independent
Trustees:
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Frank
L.
Bowman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1944
Trustee
Since
August
2006
President,
Strategic
Decisions,
LLC
(consulting)
(since
February
2009);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
Chairperson
of
the
Compliance
and
Insurance
Committee
(since
October
2015);
formerly,
Chairperson
of
the
Insurance
Sub-
Committee
of
the
Compliance
and
Insurance
Committee
(2007-2015);
served
as
President
and
Chief
Executive
Officer
of
the
Nuclear
Energy
Institute
(policy
organization)
(February
2005-November
2008);
retired
as
Admiral,
U.S.
Navy
after
serving
over
38
years
on
active
duty
including
8
years
as
Director
of
the
Naval
Nuclear
Propulsion
Program
in
the
Department
of
the
Navy
and
the
U.S.
Department
of
Energy
(1996-2004);
served
as
Chief
of
Naval
Personnel
(July
1994-September
1996)
and
on
the
Joint
Staff
as
Director
of
Political
Military
Affairs
(June
1992-July
1994);
knighted
as
Honorary
Knight
Commander
of
the
Most
Excellent
Order
of
the
British
Empire;
awarded
the
Officier
de
l’Orde
National
du
Mérite
by
the
French
Government;
elected
to
the
National
Academy
of
Engineering
(2009).
86
Director
of
Naval
and
Nuclear
Technologies
LLP;
Director
Emeritus
of
the
Armed
Services
YMCA;
Member
of
the
National
Security
Advisory
Council
of
the
Center
for
U.S.
Global
Engagement
and
a
member
of
the
CNA
Military
Advisory
Board;
Chairman
of
Fairhaven
United
Methodist
Church;
Member
of
the
Board
of
Advisors
of
the
Dolphin
Scholarship
Foundation;
Director
of
other
various
nonprofit
organizations;
formerly,
Director
of
BP,
plc
(November
2010-
May
2019).
Frances.
L
Cashman
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1961
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Chief
Executive
Officer,
Asset
Management
Division,
Euromoney
Institutional
Investor
PLC
(financial
information)
(May
2021-Present);
Executive
Vice
President
and
various
other
roles,
Legg
Mason
&
Co.
(asset
management)
(2010-2020);
Managing
Director,
Stifel
Nicolaus
(2005-2010).
87
Trustee
and
Investment
Committee
Member,
Georgia
Tech
Foundation
(Since
June
2019);
Trustee
and
Chair
of
Marketing
Committee,
Loyola
Blakefield
(Since
September
2017);
Trustee,
MMI
Gateway
Foundation
(since
September
2017);
Director
and
Investment
Committee
Member,
Catholic
Community
Foundation
Board
(2012–2018);
Director
and
Investment
Committee
Member,
St.
Ignatius
Loyola
Academy
(2011-
2017).
Kathleen
A.
Dennis
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1953
Trustee
Since
August
2006
Chairperson
of
the
Governance
Committee
(since
January
2021),
Chairperson
of
the
Liquidity
and
Alternatives
Sub-
Committee
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
President,
Cedarwood
Associates
(mutual
fund
and
investment
management
consulting)
(since
July
2006);
formerly,
Senior
Managing
Director
of
Victory
Capital
Management
(1993-2006).
86
Board
Member,
University
of
Albany
Foundation
(2012-present);
Board
Member,
Mutual
Funds
Directors
Forum
(2014-present);
Director
of
various
non-profit
organizations.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
25
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Nancy
C.
Everett
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
January
2015
Chairperson
of
the
Equity
Investment
Committee
(since
January
2021);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chief
Executive
Officer,
Virginia
Commonwealth
University
Investment
Company
(since
November
2015);
Owner,
OBIR,
LLC
(institutional
investment
management
consulting)
(since
June
2014);
formerly,
Managing
Director,
BlackRock,
Inc.
(February
2011-December
2013)
and
Chief
Executive
Officer,
General
Motors
Asset
Management
(a/k/a
Promark
Global
Advisors,
Inc.)
(June
2005-May
2010).
87
Formerly,
Member
of
Virginia
Commonwealth
University
School
of
Business
Foundation
(2005-2016);
Member
of
Virginia
Commonwealth
University
Board
of
Visitors
(2013-2015);
Member
of
Committee
on
Directors
for
Emerging
Markets
Growth
Fund,
Inc.
(2007-2010);
Chairperson
of
Performance
Equity
Management,
LLC
(2006-2010);
and
Chairperson,
GMAM
Absolute
Return
Strategies
Fund,
LLC
(2006-2010).
Eddie
A.
Grier
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1955
Trustee
Since
February
2022
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
February
2022);
Dean
Santa
Clara
University
Leavey
School
of
Business
(since
April
2021);
Dean,
Virginia
Commonwealth
University
School
of
Business
(2010-2021);
President
and
various
other
roles,
Walt
Disney
Company
(entertainment
and
media)
(1981-2010).
87
Director,
Witt/Kieffer,
Inc.
(executive
search)
(since
2016);
Director,
NuStar
GP,
LLC
(energy)
(since
August
2021);
Director,
Sonida
Senior
Living,
Inc.
(residential
community
operator)
(2016-2021);
Director,
NVR,
Inc.
(home
building)
(2013-2020);
Director,
Middleburg
Trust
Company
(wealth
management)
(2014-
2019);
Director,
Colonial
Williamsburg
Company
(since2012);
Regent,
University
of
Massachusetts
Global
(since
2021);
Director
and
Chair,
Child
Fund
International
(2012-2021);
Trustee,
Brandman
University
(2010-2021);
Director,
Richmond
Forum
(2012-2019).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
26
Morgan
Stanley
ETF
Trust
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Jakki
L.
Hassler
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1957
Trustee
Since
January
2015
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2015);
Chairperson
of
the
Audit
Committee
(since
January
2023)
Chairman,
Opus
Capital
Group
(since
1996);
formerly,
Chief
Executive
Officer,
Opus
Capital
Group
(1996-2019);
Director,
Capvest
Venture
Fund,
LP
(May
2000-December
2011);
Partner,
Adena
Ventures,
LP
(July
1999
December
2010);
Director,
The
Victory
Funds
(February
2005-
July
2008).
87
Director
of
Cincinnati
Bell
Inc.
and
Member,
Audit
Committee
and
Chairman,
Governance
and
Nominating
Committee;
Director
of
Service
Corporation
International
and
Member,
Audit
Committee
and
Investment
Committee;
Director,
Barnes
Group
Inc.
(since
July
2021);
Director
of
Northern
Kentucky
University
Foundation
and
Member,
Investment
Committee;
Member
of
Chase
College
of
Law
Transactional
Law
Practice
Center
Board
of
Advisors;
Director
of
Best
Transport;
Director
of
Chase
College
of
Law
Board
of
Visitors;
formerly,
Member,
University
of
Cincinnati
Foundation
Investment
Committee.
Dr.
Manuel
H.
Johnson
c/o
Johnson
Smick
International,
Inc.
2201
I
Street,
NE
Suite
200
Washington,
D.C.
20002
Birth
Year:
1949
Trustee
Since
July
1991
Senior
Partner,
Johnson
Smick
International,
Inc.
(consulting
firm);
Chairperson
of
the
Fixed
Income,
Liquidity
and
Alternatives
Investment
Committee
(since
January
2021),
Chairperson
of
the
Investment
Committee
(2006-2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
July
1991);
Co-Chairman
and
a
founder
of
the
Group
of
Seven
Council
(G7C)
(international
economic
commission);
formerly,
Chairperson
of
the
Audit
Committee
(July
1991-
September
2006);
Vice
Chairman
of
the
Board
of
Governors
of
the
Federal
Reserve
System
and
Assistant
Secretary
of
the
U.S.
Treasury.
86
Director
of
NVR,
Inc.
(home
construction).
Joseph
J.
Kearns
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1942
Trustee
Since
August
1994
Senior
Adviser,
Kearns
&
Associates
LLC
(investment
consulting);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(August
1994
December
2022);
formerly,
Deputy
Chairperson
of
the
Audit
Committee
(July
2003-September
2006)
and
Chairperson
of
the
Audit
Committee
of
various
Morgan
Stanley
Funds
(since
August
1994);
CFO
of
the
J.
Paul
Getty
Trust
(1982-1999).
87
Director,
Rubicon
Investments
(since
February
2019);
Prior
to
August
2016,
Director
of
Electro
Rent
Corporation
(equipment
leasing).
Prior
to
December
31,
2013,
Director
of
The
Ford
Family
Foundation.
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
27
Morgan
Stanley
ETF
Trust
*
This
is
the
earliest
date
the Trustee
began
serving
the
Morgan
Stanley
Funds.
Each Trustee
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
**
The
Fund
Complex
includes
(as
of
December
31,
2022)
all
open-end
and
closed-end
funds
(including
all
of
their
portfolios)
advised
by
Morgan
Stanly
Investment
Management
Inc.
(the
"Adviser")
and
any
funds
that
have
an
adviser
that
is
an
affiliated
person
of
the
Adviser
(including,
but
not
limited
to,
Morgan
Stanley
AIP
GP
LP).
***
This
includes
any
directorships
at
public
companies
and
registered
investment
companies
held
by
the
Trustee
at
any
time
during
the
past
five
years.
Name,
Address
and
Birth
Year
of
Independent
Trustee
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
and
Other
Relevant
Professional
Experience
Number
of
Funds
in
Fund
Complex
Overseen
by
Independent
Trustee**
Other
Directorships
Held
by
Independent
Trustee
During
Past
5
Years***
Michael
F.
Klein
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1958
Trustee
Since
August
2006
Chairperson
of
the
Risk
Committee
(since
January
2021);
Managing
Director,
Aetos
Alternatives
Management,
LP
(since
March
2000);
Co-President,
Aetos
Alternatives
Management,
LP
(since
January
2004)
and
Co-Chief
Executive
Officer
of
Aetos
Alternatives
Management,
LP
(since
August
2013);
Chairperson
of
the
Fixed
Income
Sub-Committee
of
the
Investment
Committee
(2006-
2020)
and
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Managing
Director,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Stanley
Dean
Witter
Investment
Management
and
President,
various
Morgan
Stanley
Funds
(June
1998-March
2000);
Principal,
Morgan
Stanley
&
Co.
Inc.
and
Morgan
Dean
Witter
Investment
Management
(August
1997-December
1999).
86
Director
of
certain
investment
funds
managed
or
sponsored
by
Aetos
Alternatives
Management,
LP;
Director
of
Sanitized
AG
and
Sanitized
Marketing
AG
(specialty
chemicals).
Patricia
A.
Maleski
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1960
Trustee
Since
January
2017
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
January
2017);
Managing
Director,
JPMorgan
Asset
Management
(2004-2016);
Oversight
and
Control
Head
of
Fiduciary
and
Conflicts
of
Interest
Program
(2015-2016);
Chief
Control
Officer—Global
Asset
Management
(2013-
2015);
President,
JPMorgan
Funds
(2010-
2013);
Chief
Administrative
Officer
(2004-2013);
various
other
positions
including
Treasurer
and
Board
Liaison
(since
2001).
87
Trustee,
Nutley
Family
Service
Bureau,
Inc.
(since
January
2022).
W.
Allen
Reed
c/o
Perkins
Coie
LLP
Counsel
to
the
Independent
Trustees
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
NY
10036
Birth
Year:
1947
Chair
of
the
Board
and
Trustee
Chair
of
the
Board
since
August
2020
and
Director
since
August
2006
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(since
August
2020);
Director
or
Trustee
of
various
Morgan
Stanley
Funds
(since
August
2006);
formerly,
Vice
Chair
of
the
Boards
of
various
Morgan
Stanley
Funds
(January
2020-August
2020);
President
and
Chief
Executive
Officer
of
General
Motors
Asset
Management;
Chairman
and
Chief
Executive
Officer
of
the
GM
Trust
Bank
and
Corporate
Vice
President
of
General
Motors
Corporation
(August
1994-December
2005).
86
Formerly,
Director
of
Legg
Mason,
Inc.
(2006-2019);
and
Director
of
the
Auburn
University
Foundation
(2010-
2015).
Annual
Report
—
September
30,
2023
Trustees
and
Officers
Information
(unaudited)
(cont’d)
28
Morgan
Stanley
ETF
Trust
Executive
Officers:
The
Fund’s
statement
of
additional
information
incudes
further
information
about
the
Fund’s
Trustees
and
Officers,
and
is
available
without
charge
by
visiting
www.calvert.com
or
upon
request
by
calling
1
(800)
836-2414.
*This
is
the
earliest
date
the
officer
began
serving
the
Morgan
Stanley
Funds.
Each
officer
serves
an
indefinite
term,
until
his
or
her
successor
is
elected.
Name,
Address
and
Birth
Year
of
Executive
Officer
Position(s)
Held
with
Registrant
Length
of
Time
Served*
Principal
Occupation(s)
During
Past
5
Years
John
H.
Gernon
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1963
President
and
Principal
Executive
Officer
Since
September
2013
President
and
Principal
Executive
Officer
of
the
Equity
and
Fixed
Income
Funds
and
the
Morgan
Stanley
AIP
Funds
(since
September
2013)
and
the
Liquidity
Funds
and
various
money
market
funds
(since
May
2014)
in
the
Fund
Complex;
Managing
Director
of
the
Adviser.
Deidre
A.
Downes
1633
Broadway
New
York,
NY
10019
Birth
Year:
1977
Chief
Compliance
Officer
Since
November
2021
Executive
Director
of
the
Adviser
(since
January
2021)
and
Chief
Compliance
Officer
of
various
Morgan
Stanley
Funds
(since
November
2021).
Formerly,
Vice
President
and
Corporate
Counsel
at
PGIM
and
Prudential
Financial
(October
2016-December
2020).
Francis
J.
Smith
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1965
Treasurer
and
Principal
Financial
Officer
Treasurer
since
July
2003
and
Principal
Financial
Officer
since
September
2002
Managing
Director
of
the
Adviser
and
various
entities
affiliated
with
the
Adviser;
Treasurer
(since
July
2003)
and
Principal
Financial
Officer
of
various
Morgan
Stanley
Funds
(since
September
2002).
Mary
E.
Mullin
1633
Broadway
New
York,
NY
10019
Birth
Year:
1967
Secretary
Since
June
1999
Managing
Director
of
the
Adviser;
Secretary
of
various
Morgan
Stanley
Funds
(since
June
1999).
Michael
J.
Key
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1979
Vice
President
Since
June
2017
Vice
President
of
the
Equity
and
Fixed
Income
Funds,
Liquidity
Funds,
various
money
market
funds
and
the
Morgan
Stanley
AIP
Funds
in
the
Fund
Complex
(since
June
2017);
Executive
Director
of
the
Adviser;
Head
of
Product
Development
for
Equity
and
Fixed
Income
Funds
(since
August
2013).
Anthony
R.
Rochte
522
Fifth
Avenue
New
York,
NY
10036
Birth
Year:
1968
Vice
President,
Morgan
Stanley
ETF
Trust
Since
September
2022
Managing
Director
and
Global
Head
of
Exchange-Traded
Funds
at
Morgan
Stanley
Investment
Management
(since
March
2022);
Co-Head
of
Goldman
Sachs
Private
Bank
Select
(January
2020
–
March
2022);
Head
of
Fidelity
Institutional
Investments
&
Technology
Solutions
(August
2017
–
January
2020).
29
Morgan
Stanley
ETF
Trust
Annual
Report
—
September
30,
2023
Adviser
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
Distributor
Foreside
Fund
Services,
LLC
3
Canal
Plaza
Suite
100
Portland,
Maine
04101
Dividend
Disbursing
and
Transfer
Agent
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Custodian
and
Administrator
JPMorgan
Chase
Bank,
N.A.
1111
Polaris
Parkway
Columbus,
Ohio
43240
Legal
Counsel
Dechert
LLP
1095
Avenue
of
the
Americas
New
York,
New
York
10036
Counsel
to
the
Independent
Trustees
Perkins
Coie
LLP
1155
Avenue
of
the
Americas
22nd
Floor
New
York,
New
York
10036
Independent
Registered
Public
Accounting
Firm
Ernst
&
Young
LLP
200
Clarendon
Street
Boston,
MA
02116
ETFCALUSELEQTYANN
6057905
EXP
11.30.24
Printed
in
U.S.A.
This
Report
has
been
prepared
for
shareholders
and
may
be
distributed
to
others
only
if
preceded
or
accompanied
by
a
current
prospectus.
Morgan
Stanley
Investment
Management
Inc.
522
Fifth
Avenue
New
York,
New
York
10036
©
2023
Morgan
Stanley.
Morgan
Stanley
Distribution,
Inc.
Item 2. Code of Ethics.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) No information need be disclosed pursuant to this paragraph.
(c) Not applicable.
(d) Not applicable.
(e) Not applicable.
(f)
(1) The registrant’s Code of Ethics is attached hereto as Exhibit 13 A.
(2) Not applicable.
(3) Not applicable.
Item 3. Audit Committee Financial Expert.
The registrant's Board of Trustees have determined that Jakki L. Haussler, an “independent” Trustee, is an “audit committee financial expert" serving on its audit committee. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification
Item 4. Principal Accountant Fees and Services.
(a)(b)(c)(d) and (g). Based on fees billed for the periods shown:
2023
Registrant | Covered Entities(1) | |
Audit Fees…………………… | $213,000 | N/A |
Non-Audit Fees | ||
Audit-Related Fees…... | $ - (2) | $ - (2) |
Tax Fees…………….… | $ - (3) | $ - (4) |
All Other Fees……….. | $ - | $ 1,586,712 (5) |
Total Non-Audit Fees………. | $ - | $ 1,586,712 |
Total………………………… | $213,000 | $ 1,586,712 |
2022
Registrant | Covered Entities(1) | |
Audit Fees…………………… | $- | N/A |
Non-Audit Fees | ||
Audit-Related Fees….. | $ - (2) | $ - (2) |
Tax Fees……………… | $ - (3) | $ - (4) |
All Other Fees……….. | $ - | $ - (5) |
Total Non-Audit Fees……… | $ - | $ - |
Total………………………… | $ - | $ - |
N/A- Not applicable, as not required by Item 4.
(1)
Covered Entities include the Adviser (excluding sub-advisors) and any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Registrant.
(2)
Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements of the Covered Entities' and funds advised by the Adviser or its affiliates, specifically data verification and agreed-upon procedures related to asset securitizations and agreed-upon procedures engagements.
(3)
Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the preparation and review of the Registrant’s tax returns.
(4)
Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the review of Covered Entities' tax returns.
(5)
The fees included under “All Other Fees” are for services provided by Ernst & Young LLP related to surprise examinations for certain investment accounts to satisfy SEC Custody Rules and consulting services related to merger integration for sister entity to the Adviser.
(e)(1) The audit committee’s pre-approval policies and procedures are as follows:
AUDIT COMMITTEE
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY AND PROCEDURES
OF THE
MORGAN STANLEY FUNDS
AS ADOPTED AND AMENDED JULY 23, 2004 AND JUNE 12 AND 13, 2019
3
1. Statement of Principles
The Audit Committee of the Board is required to review and, in its sole discretion, pre-approve all Covered Services to be provided by the Independent Auditors to the Fund and Covered Entities in order to assure that services performed by the Independent Auditors do not impair the auditor’s independence from the Fund.
The SEC has issued rules specifying the types of services that an independent auditor may not provide to its audit client, as well as the audit committee’s administration of the engagement of the independent auditor. The SEC’s rules establish two different approaches to pre-approving services, which the SEC considers to be equally valid. Proposed services either: may be pre-approved without consideration of specific case-by-case services by the Audit Committee (“general pre-approval”); or require the specific pre-approval of the Audit Committee or its delegate (“specific pre-approval”). The Audit Committee believes that the combination of these two approaches in this Policy will result in an effective and efficient procedure to pre-approve services performed by the Independent Auditors. As set forth in this Policy, unless a type of service has received general pre-approval, it will require specific pre-approval by the Audit Committee (or by any member of the Audit Committee to which pre-approval authority has been delegated) if it is to be provided by the Independent Auditors. Any proposed services exceeding pre-approved cost levels or budgeted amounts will also require specific pre-approval by the Audit Committee.
The appendices to this Policy describe the Audit, Audit-related, Tax and All Other services that have the general pre-approval of the Audit Committee. The term of any general pre-approval is 12 months from the date of pre-approval, unless the Audit Committee considers and provides a different period and states otherwise. The Audit Committee will annually review and pre-approve the services that may be provided by the Independent Auditors without obtaining specific pre-approval from the Audit Committee. The Audit Committee will add to or subtract from the list of general pre-approved services from time to time, based on subsequent determinations.
The purpose of this Policy is to set forth the policy and procedures by which the Audit Committee intends to fulfill its responsibilities. It does not delegate the Audit Committee’s responsibilities to pre-approve services performed by the Independent Auditors to management.
The Fund’s Independent Auditors have reviewed this Policy and believes that implementation of the Policy will not adversely affect the Independent Auditors’ independence.
____________________
3
This Audit Committee Audit and Non-Audit Services Pre-Approval Policy and Procedures (the “Policy”), adopted as of the date above, supersedes and replaces all prior versions that may have been adopted from time to time.
2. Delegation
As provided in the Act and the SEC’s rules, the Audit Committee may delegate either type of pre-approval authority to one or more of its members. The member to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next scheduled meeting.
3. Audit Services
The annual Audit services engagement terms and fees are subject to the specific pre-approval of the Audit Committee. Audit services include the annual financial statement audit and other procedures required to be performed by the Independent Auditors to be able to form an opinion on the Fund’s financial statements. These other procedures include information systems and procedural reviews and testing performed in order to understand and place reliance on the systems of internal control, and consultations relating to the audit. The Audit Committee will approve, if necessary, any changes in terms, conditions and fees resulting from changes in audit scope, Fund structure or other items.
In addition to the annual Audit services engagement approved by the Audit Committee, the Audit Committee may grant general pre-approval to other Audit services, which are those services that only the Independent Auditors reasonably can provide. Other Audit services may include statutory audits and services associated with SEC registration statements (on Forms N-1A, N-2, N-3, N-4, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings.
The Audit Committee has pre-approved the Audit services in Appendix A. All other Audit services not listed in Appendix A must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
4. Audit-related Services
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or review of the Fund’s financial statements and, to the extent they are Covered Services, the Covered Entities or that are traditionally performed by the Independent Auditors. Because the Audit Committee believes that the provision of Audit-related services does not impair the independence of the auditor and is consistent with the SEC’s rules on auditor independence, the Audit Committee may grant general pre-approval to Audit-related services. Audit-related services include, among others, accounting consultations related to accounting, financial reporting or disclosure matters not classified as “Audit services”; assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Forms N-CEN and/or N-CSR.
The Audit Committee has pre-approved the Audit-related services in Appendix A. All other Audit-related services not listed in Appendix A must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
5. Tax Services
The Audit Committee believes that the Independent Auditors can provide Tax services to the Fund and, to the extent they are Covered Services, the Covered Entities, such as tax compliance, tax planning and tax advice without impairing the auditor’s independence, and the SEC has stated that the Independent Auditors may provide such services.
Pursuant to the preceding paragraph, the Audit Committee has pre-approved the Tax Services in Appendix A. All Tax services in Appendix A must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
6. All Other Services
The Audit Committee believes, based on the SEC’s rules prohibiting the Independent Auditors from providing specific non-audit services, that other types of non-audit services are permitted. Accordingly, the Audit Committee believes it may grant general pre-approval to those permissible non-audit services classified as All Other services that it believes are routine and recurring services, would not impair the independence of the auditor and are consistent with the SEC’s rules on auditor independence.
The Audit Committee has pre-approved the All Other services in Appendix A. Permissible All Other services not listed in Appendix A must be specifically pre-approved by the Audit Committee (or by any member of the Audit Committee to which pre-approval has been delegated).
7. Pre-Approval Fee Levels or Budgeted Amounts
Pre-approval fee levels or budgeted amounts for all services to be provided by the Independent Auditors will be established annually by the Audit Committee. Any proposed services exceeding these levels or amounts will require specific pre-approval by the Audit Committee. The Audit Committee is mindful of the overall relationship of fees for audit and non-audit services in determining whether to pre-approve any such services.
8. Procedures
All requests or applications for services to be provided by the Independent Auditors that do not require specific approval by the Audit Committee will be submitted to the Fund’s Principal Financial and Accounting Officer and must include a detailed description of the services to be rendered. The Fund’s Principal Financial and Accounting Officer will determine whether such services are included within the list of services that have received the general pre-approval of the Audit Committee. The Audit Committee will be informed on a timely basis of any such services rendered by the Independent Auditors. Requests or applications to provide services that require specific approval by the Audit Committee or Chairperson of the Audit Committee will be submitted to the Audit Committee by the Fund’s Principal Financial and Accounting Officer, who, after consultation with the Independent Auditors, will discuss whether the request or application is consistent with the SEC’s rules on auditor independence.
The Audit Committee has designated the Fund’s Principal Financial and Accounting Officer to monitor the performance of all services provided by the Independent Auditors and to determine whether such services are in compliance with this Policy. The Fund’s Principal Financial and Accounting Officer will report to the Audit Committee on a periodic basis on the results of its monitoring. Both the Fund’s Principal Financial and Accounting Officer and management will immediately report to the Chairperson of the Audit Committee any breach of this Policy that comes to the attention of the Fund’s Principal Financial and Accounting Officer or any member of management.
9. Additional Requirements
The Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the Independent Auditors and to assure the auditor’s independence from the Fund, such as reviewing a formal written statement from the Independent Auditors delineating all relationships between the Independent Auditors and the Fund, consistent with the PCAOB’s Ethics and Independence Rule 3526, and discussing with the Independent Auditors its methods and procedures for ensuring independence.
10. Covered Entities
Covered Entities include the Fund’s investment adviser(s) and any entity controlling, controlled by or under common control with the Fund’s investment adviser(s) that provides ongoing services to the Fund(s). Beginning with non-audit service contracts entered into on or after May 6, 2003, the Fund’s audit committee must pre-approve non-audit services provided not only to the Fund but also to the Covered Entities if the engagements relate directly to the operations and financial reporting of the Fund. This list of Covered Entities would include:
Morgan Stanley Funds
Morgan Stanley & Co. LLC
Morgan Stanley Investment Management Inc.
Morgan Stanley Investment Management Limited
Morgan Stanley Investment Management Private Limited
Morgan Stanley Asset & Investment Trust Management Co., Limited
Morgan Stanley Investment Management Company
Morgan Stanley Services Company, Inc.
Morgan Stanley Distribution, Inc.
Morgan Stanley AIP GP LP
Morgan Stanley Alternative Investment Partners LP
Morgan Stanley Smith Barney LLC
Morgan Stanley Capital Management LLC
Morgan Stanley Asia Limited
Morgan Stanley Services Group
(e)(2)
Beginning with non-audit service contracts entered into on or after May 6, 2003, the audit committee also is required to pre-approve services to Covered Entities to the extent that the services are determined to have a direct impact on the operations or financial reporting of the Registrant. 100% of such services were pre-approved by the audit committee pursuant to the Audit Committee’s pre-approval policies and procedures (attached hereto).
(f) Not applicable.
(g) See table above.
(h) The audit committee of the Board of Trustees have considered whether the provision of services other than audit services performed by the auditors to the Registrant and Covered Entities is compatible with maintaining the auditors' independence in performing audit services.
APPENDIX A
Pre-Approved Audit Services
Service Range of Fees | ||
The Fund(s) | Covered Entities | |
Statutory audits or financial audits for the Funds | For a complete list of fees, please contact the legal department ** | N/A |
Services associated with SEC registration statements (including new fund filings/seed audits), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., comfort letters for closed-end fund offerings, consents), and assistance in responding to SEC comment letters | * | * |
Consultations by the Fund’s management as to the accounting or disclosure treatment of transactions or events and/or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard setting bodies (Note: Under SEC rules, some consultations may be “audit related” services rather than “audit” services) | * | * |
Pre-Approved Audit-Related Services
Service Range of Fees | ||
The Fund(s) | Covered Entities | |
Attest procedures not required by statute or regulation | * | * |
Due diligence services pertaining to potential fund mergers | * | * |
Consultations by the Fund’s management as to the accounting or disclosure treatment of transactions or events and/or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies (Note: Under SEC rules, some consultations may be “audit” services rather than “audit-related” services) | * | * |
General assistance with implementation of the requirements of SEC rules or listing standards promulgated pursuant to the Sarbanes-Oxley Act | * | * |
Pre-Approved Tax Services
Servi ce Range of Fees | ||
The Fund(s) | Covered Entities | |
U.S. federal, state and local tax planning and advice | * | * |
U.S. federal, state and local tax compliance | * | * |
International tax planning and advice | * | * |
International tax compliance | * | * |
Review/preparation of federal, state, local and international income, franchise, and other tax returns | $450,000 PwC | N/A |
Identification of Passive Foreign Investment Companies PwC ITV Tool – assist in determining which Fund holdings have foreign capital gains tax exposure | $175,000 PwC $125,000 PwC | * * |
Foreign Tax Services - Preparation of local foreign tax returns and assistance with local tax compliance issues (including maintenance of transaction schedules, assistance in periodic tax remittances, tax registration, representing funds before foreign revenue authorities and assistance with assessment orders) | $500,000 PwC | * |
Assistance with tax audits and appeals before the IRS and similar state, local and foreign agencies | * | * |
Tax advice and assistance regarding statutory, regulatory or administrative developments (e.g., excise tax reviews, evaluation of Fund’s tax compliance function) | * | * |
Pre-Approved All Other Services
Service Range of Fees | ||
The Fund(s) | Covered Entities | |
Risk management advisory services, e.g., assessment and testing of security infrastructure controls | * | * |
*
Aggregate fees related to the pre-approved services will be limited to 10% of the 2023/2024 annual fees for audit and tax services. ** Audit and tax services for new funds/portfolios will be subject to the maximum audit and tax fee for a fund/portfolio on fee schedule distributed by the Auditors.
Prohibited Non-Audit Services
- Bookkeeping or other services related to the accounting records or financial statements of the audit client
- Financial information systems design and implementation
- Appraisal or valuation services, fairness opinions or contribution-in-kind reports
- Actuarial services
- Internal audit outsourcing services
- Management functions
- Human resources
- Broker-dealer, investment adviser or investment banking services
- Legal services
- Expert services unrelated to the audit
(i) Not Applicable.
(j) Not Applicable.
Item 5. Audit Committee of Listed Registrants.
(a) The registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act whose members are:
Joseph J. Kearns, Nancy C. Everett, Eddie A. Grier and Jakki L. Haussler.
(b) Not applicable.
Item 6. Schedule of Investments
(a) Refer to Item 1.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Applicable only to reports filed by closed-end funds.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Applicable only to reports filed by closed-end funds.
Item 9. Closed-End Fund Repurchases
Applicable only to reports filed by closed-end funds.
Item 10. Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominee to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
Item 11. Controls and Procedures
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
(b) There were no changes in the registrant's internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed End Management Investment Companies.
Not Applicable
Item 13. Exhibits
(a) The Code of Ethics for Principal Executive and Senior Financial Officers (insert hyperlink here)
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Morgan Stanley ETF Trust
/s/ John H. Gernon
John H. Gernon
Principal Executive Officer
November 20, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ John H. Gernon
John H. Gernon
Principal Executive Officer
November 20, 2023
/s/ Francis J. Smith
Francis J. Smith
Principal Financial Officer
November 20, 2023