% Average Annual Total Returns1 | Inception Date | Six Months | One Year | Five Years | Ten Years |
Fund at NAV | 07/31/2007 | 11.62% | 13.68% | 7.21% | 6.69% |
Fund at Market Price | — | 14.46 | 7.73 | 6.95 | 7.36 |
S&P 500® Index | — | 16.89% | 19.59% | 12.30% | 12.86% |
Cboe S&P 500 95-110 Collar IndexSM | — | 11.45 | 8.46 | 10.94 | 9.33 |
% Premium/Discount to NAV2 | |
As of period end | (3.75)% |
Distributions3 | |
Total Distributions per share for the period | $0.347 |
Distribution Rate at NAV | 8.14% |
Distribution Rate at Market Price | 8.45 |
Sector Allocation (% of total investments)1 |
Top 10 Holdings (% of total investments)1 | |
Microsoft Corp. | 8.8% |
Apple, Inc. | 8.7 |
Amazon.com, Inc. | 4.5 |
Meta Platforms, Inc., Class A | 3.4 |
Mastercard, Inc., Class A | 2.9 |
Alphabet, Inc., Class C | 2.7 |
Eli Lilly & Co. | 2.6 |
JPMorgan Chase & Co. | 2.3 |
PepsiCo, Inc. | 2.1 |
NVIDIA Corp. | 2.0 |
Total | 40.0% |
1 | Depictions do not reflect the Fund’s option positions. Excludes cash and cash equivalents. |
1 | S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor, endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices. Cboe S&P 500 95–110 Collar IndexSM is an unmanaged index of the S&P 500® stocks with a collar option strategy of buying put options and selling call options. 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. |
2 | The shares of the Fund often trade at a discount or premium to their net asset value. The discount or premium may vary over time and may be higher or lower than what is quoted in this report. For up-to-date premium/discount information, please refer to https://funds.eatonvance.com/closed-end-fund-prices.php. |
3 | The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions may be comprised of amounts characterized for federal income tax purposes as qualified and non-qualified ordinary dividends, capital gains and nondividend distributions, also known as return of capital. For additional information about nondividend distributions, please refer to Eaton Vance Closed-End Fund Distribution Notices (19a) posted on our website, eatonvance.com. The Fund will determine the federal income tax character of distributions paid to a shareholder after the end of the calendar year. This is reported on the IRS form 1099-DIV and provided to the shareholder shortly after each year-end. For information about the tax character of distributions made in prior calendar years, please refer to Performance-Tax Character of Distributions on the Fund’s webpage available at eatonvance.com. In recent years, a significant portion of the Fund’s distributions has been characterized as a return of capital. The Fund’s distributions are determined by the investment adviser based on its current assessment of the Fund’s long-term return potential. Fund distributions may be affected by numerous factors including changes in Fund performance, the cost of financing for leverage, portfolio holdings, realized and projected returns, and other factors. As portfolio and market conditions change, the rate of distributions paid by the Fund could change. |
Fund profile subject to change due to active management. |
Important Notice to Shareholders | |
On January 26, 2023, the Fund’s Board of Trustees voted to exempt, on a going forward basis, all prior and, until further notice, new acquisitions of Fund shares that otherwise might be deemed “Control Share Acquisitions” under the Fund’s By-Laws from the Control Share Provisions of the Fund’s By-Laws. |
Common Stocks — 100.9% |
Security | Shares | Value | |
Aerospace & Defense — 2.0% | |||
HEICO Corp.(1) | 26,495 | $ 4,688,025 | |
Huntington Ingalls Industries, Inc.(1) | 29,360 | 6,682,336 | |
$ 11,370,361 | |||
Automobiles — 0.6% | |||
Tesla, Inc.(1)(2) | 13,985 | $ 3,660,853 | |
$ 3,660,853 | |||
Banks — 5.2% | |||
Bank of America Corp.(1) | 321,155 | $ 9,213,937 | |
JPMorgan Chase & Co.(1) | 92,023 | 13,383,825 | |
Wells Fargo & Co.(1) | 167,915 | 7,166,612 | |
$ 29,764,374 | |||
Beverages — 2.1% | |||
PepsiCo, Inc.(1) | 66,371 | $ 12,293,237 | |
$ 12,293,237 | |||
Biotechnology — 1.4% | |||
AbbVie, Inc.(1) | 59,870 | $ 8,066,285 | |
$ 8,066,285 | |||
Broadline Retail — 4.5% | |||
Amazon.com, Inc.(1)(2) | 198,798 | $ 25,915,307 | |
$ 25,915,307 | |||
Capital Markets — 2.2% | |||
Charles Schwab Corp. (The)(1) | 93,203 | $ 5,282,746 | |
Intercontinental Exchange, Inc.(1) | 63,746 | 7,208,398 | |
$ 12,491,144 | |||
Chemicals — 1.9% | |||
FMC Corp.(1) | 27,087 | $ 2,826,258 | |
Linde PLC(1) | 21,852 | 8,327,360 | |
$ 11,153,618 | |||
Commercial Services & Supplies — 0.7% | |||
Waste Management, Inc.(1) | 23,477 | $ 4,071,381 | |
$ 4,071,381 |
Security | Shares | Value | |
Containers & Packaging — 0.6% | |||
Ball Corp.(1) | 55,039 | $ 3,203,820 | |
$ 3,203,820 | |||
Diversified Telecommunication Services — 0.8% | |||
TELUS Corp. | 231,655 | $ 4,508,006 | |
$ 4,508,006 | |||
Electric Utilities — 1.3% | |||
NextEra Energy, Inc.(1) | 96,792 | $ 7,181,966 | |
$ 7,181,966 | |||
Electrical Equipment — 3.8% | |||
AMETEK, Inc.(1) | 57,664 | $ 9,334,648 | |
Eaton Corp. PLC(1) | 31,355 | 6,305,491 | |
Rockwell Automation, Inc.(1) | 18,973 | 6,250,655 | |
$ 21,890,794 | |||
Energy Equipment & Services — 0.9% | |||
Halliburton Co.(1) | 158,951 | $ 5,243,793 | |
$ 5,243,793 | |||
Entertainment — 1.7% | |||
Netflix, Inc.(1)(2) | 22,436 | $ 9,882,834 | |
$ 9,882,834 | |||
Financial Services — 2.9% | |||
Mastercard, Inc., Class A(1) | 42,872 | $ 16,861,558 | |
$ 16,861,558 | |||
Food Products — 2.8% | |||
Hershey Co. (The)(1) | 31,265 | $ 7,806,870 | |
Mondelez International, Inc., Class A(1) | 111,351 | 8,121,942 | |
$ 15,928,812 | |||
Ground Transportation — 1.4% | |||
Uber Technologies, Inc.(1)(2) | 191,845 | $ 8,281,949 | |
$ 8,281,949 | |||
Health Care Equipment & Supplies — 3.7% | |||
Boston Scientific Corp.(1)(2) | 142,765 | $ 7,722,159 | |
Stryker Corp.(1) | 20,178 | 6,156,106 | |
Zimmer Biomet Holdings, Inc.(1) | 49,659 | 7,230,350 | |
$ 21,108,615 |
Security | Shares | Value | |
Health Care Providers & Services — 0.5% | |||
Humana, Inc.(1) | 6,217 | $ 2,779,807 | |
$ 2,779,807 | |||
Hotels, Restaurants & Leisure — 1.8% | |||
Hilton Worldwide Holdings, Inc.(1) | 41,006 | $ 5,968,423 | |
Starbucks Corp.(1) | 44,785 | 4,436,402 | |
$ 10,404,825 | |||
Household Products — 1.8% | |||
Procter & Gamble Co. (The)(1) | 68,113 | $ 10,335,467 | |
$ 10,335,467 | |||
Industrial REITs — 0.8% | |||
EastGroup Properties, Inc.(1) | 26,682 | $ 4,631,995 | |
$ 4,631,995 | |||
Insurance — 2.0% | |||
Arch Capital Group, Ltd.(1)(2) | 83,693 | $ 6,264,421 | |
Reinsurance Group of America, Inc.(1) | 35,705 | 4,951,927 | |
$ 11,216,348 | |||
Interactive Media & Services — 6.2% | |||
Alphabet, Inc., Class C(1)(2) | 127,984 | $ 15,482,224 | |
Meta Platforms, Inc., Class A(1)(2) | 69,805 | 20,032,639 | |
$ 35,514,863 | |||
IT Services — 1.9% | |||
Accenture PLC, Class A(1) | 35,759 | $ 11,034,512 | |
$ 11,034,512 | |||
Leisure Products — 0.6% | |||
Hasbro, Inc.(1) | 48,889 | $ 3,166,541 | |
$ 3,166,541 | |||
Life Sciences Tools & Services — 2.0% | |||
Danaher Corp.(1) | 21,544 | $ 5,170,560 | |
Thermo Fisher Scientific, Inc.(1) | 12,295 | 6,414,916 | |
$ 11,585,476 | |||
Machinery — 2.2% | |||
Caterpillar, Inc.(1) | 34,645 | $ 8,524,402 | |
Parker-Hannifin Corp.(1) | 10,661 | 4,158,217 | |
$ 12,682,619 |
Security | Shares | Value | |
Multi-Utilities — 0.8% | |||
CMS Energy Corp.(1) | 82,153 | $ 4,826,489 | |
$ 4,826,489 | |||
Oil, Gas & Consumable Fuels — 3.5% | |||
Chevron Corp.(1) | 59,519 | $ 9,365,315 | |
ConocoPhillips(1) | 57,389 | 5,946,074 | |
EOG Resources, Inc.(1) | 43,413 | 4,968,184 | |
$ 20,279,573 | |||
Personal Care Products — 0.6% | |||
Estee Lauder Cos., Inc. (The), Class A(1) | 17,969 | $ 3,528,752 | |
$ 3,528,752 | |||
Pharmaceuticals — 6.6% | |||
Bristol-Myers Squibb Co.(1) | 109,136 | $ 6,979,247 | |
Eli Lilly & Co.(1) | 32,230 | 15,115,225 | |
Novo Nordisk A/S ADR(1) | 33,915 | 5,488,465 | |
Sanofi | 45,512 | 4,899,629 | |
Zoetis, Inc.(1) | 31,880 | 5,490,055 | |
$ 37,972,621 | |||
Residential REITs — 0.7% | |||
Mid-America Apartment Communities, Inc.(1) | 26,441 | $ 4,015,330 | |
$ 4,015,330 | |||
Semiconductors & Semiconductor Equipment — 4.5% | |||
Analog Devices, Inc.(1) | 42,981 | $ 8,373,129 | |
NVIDIA Corp.(1) | 28,079 | 11,877,978 | |
Texas Instruments, Inc.(1) | 30,894 | 5,561,538 | |
$ 25,812,645 | |||
Software — 11.5% | |||
Intuit, Inc.(1) | 7,761 | $ 3,556,013 | |
Microsoft Corp.(1) | 149,979 | 51,073,849 | |
Palo Alto Networks, Inc.(1)(2) | 17,297 | 4,419,556 | |
Salesforce, Inc.(1)(2) | 32,755 | 6,919,821 | |
$ 65,969,239 | |||
Specialty Retail — 1.0% | |||
O'Reilly Automotive, Inc.(1)(2) | 6,246 | $ 5,966,804 | |
$ 5,966,804 | |||
Technology Hardware, Storage & Peripherals — 8.8% | |||
Apple, Inc.(1) | 260,035 | $ 50,438,989 | |
$ 50,438,989 |
Security | Shares | Value | |
Textiles, Apparel & Luxury Goods — 1.9% | |||
Lululemon Athletica, Inc.(1)(2) | 7,241 | $ 2,740,719 | |
NIKE, Inc., Class B(1) | 74,228 | 8,192,544 | |
$ 10,933,263 | |||
Wireless Telecommunication Services — 0.7% | |||
T-Mobile US, Inc.(1)(2) | 29,804 | $ 4,139,776 | |
$ 4,139,776 | |||
Total Common Stocks (identified cost $365,697,527) | $580,114,641 |
Short-Term Investments — 0.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.03%(3) | 1,622,693 | $ 1,622,693 | |
Total Short-Term Investments (identified cost $1,622,693) | $ 1,622,693 | ||
Total Purchased Put Options — 0.1% (identified cost $2,299,630) | $ 556,111 | ||
Total Investments — 101.3% (identified cost $369,619,850) | $582,293,445 | ||
Total Written Call Options — (1.0)% (premiums received $2,660,527) | $ (5,643,995) | ||
Other Assets, Less Liabilities — (0.3)% | $ (1,631,379) | ||
Net Assets — 100.0% | $575,018,071 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security (or a portion thereof) has been pledged as collateral for written options. |
(2) | Non-income producing security. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2023. |
Purchased Put Options (Exchange-Traded) — 0.1% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 105 | $ | 46,728,990 | $ | 4,140 | 7/5/23 | $ 2,625 |
S&P 500 Index | 105 | 46,728,990 | 4,150 | 7/6/23 | 3,938 | ||
S&P 500 Index | 104 | 46,283,952 | 4,190 | 7/7/23 | 6,240 | ||
S&P 500 Index | 104 | 46,283,952 | 4,180 | 7/10/23 | 8,840 | ||
S&P 500 Index | 103 | 45,838,914 | 4,390 | 7/12/23 | 19,313 | ||
S&P 500 Index | 102 | 45,393,876 | 4,300 | 7/14/23 | 43,860 | ||
S&P 500 Index | 103 | 45,838,914 | 4,250 | 7/17/23 | 35,020 | ||
S&P 500 Index | 104 | 46,283,952 | 4,250 | 7/19/23 | 46,800 | ||
S&P 500 Index | 104 | 46,283,952 | 4,235 | 7/21/23 | 53,560 | ||
S&P 500 Index | 104 | 46,283,952 | 4,225 | 7/24/23 | 57,200 |
Purchased Put Options (Exchange-Traded) (continued) | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 104 | $ | 46,283,952 | $ | 4,250 | 7/26/23 | $ 88,920 |
S&P 500 Index | 102 | 45,393,876 | 4,325 | 7/28/23 | 189,795 | ||
Total | $556,111 |
Written Call Options (Exchange-Traded) — (1.0)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 105 | $46,728,990 | $4,375 | 7/5/23 | $ (788,550) | ||
S&P 500 Index | 105 | 46,728,990 | 4,375 | 7/6/23 | (814,800) | ||
S&P 500 Index | 104 | 46,283,952 | 4,400 | 7/7/23 | (588,120) | ||
S&P 500 Index | 104 | 46,283,952 | 4,390 | 7/10/23 | (705,120) | ||
S&P 500 Index | 103 | 45,838,914 | 4,475 | 7/12/23 | (195,700) | ||
S&P 500 Index | 102 | 45,393,876 | 4,540 | 7/14/23 | (64,770) | ||
S&P 500 Index | 103 | 45,838,914 | 4,475 | 7/17/23 | (266,770) | ||
S&P 500 Index | 104 | 46,283,952 | 4,470 | 7/19/23 | (329,680) | ||
S&P 500 Index | 104 | 46,283,952 | 4,440 | 7/21/23 | (547,040) | ||
S&P 500 Index | 104 | 46,283,952 | 4,430 | 7/24/23 | (638,560) | ||
S&P 500 Index | 104 | 46,283,952 | 4,460 | 7/26/23 | (511,160) | ||
S&P 500 Index | 102 | 45,393,876 | 4,540 | 7/28/23 | (193,725) | ||
Total | $(5,643,995) |
Abbreviations: | |
ADR | – American Depositary Receipt |
REITs | – Real Estate Investment Trusts |
June 30, 2023 | |
Assets | |
Unaffiliated investments, at value (identified cost $367,997,157) | $580,670,752 |
Affiliated investments, at value (identified cost $1,622,693) | 1,622,693 |
Foreign currency, at value (identified cost $31,478) | 31,603 |
Dividends receivable | 261,020 |
Dividends receivable from affiliated investments | 4,074 |
Receivable for premiums on written options | 193,725 |
Tax reclaims receivable | 6,580 |
Total assets | $582,790,447 |
Liabilities | |
Written options outstanding, at value (premiums received $2,660,527) | $5,643,995 |
Payable for investments purchased | 1,317,959 |
Payable to affiliates: | |
Investment adviser fee | 467,289 |
Trustees' fees | 9,000 |
Accrued expenses | 334,133 |
Total liabilities | $7,772,376 |
Net Assets | $575,018,071 |
Sources of Net Assets | |
Common shares, $0.01 par value, unlimited number of shares authorized | $673,018 |
Additional paid-in capital | 391,483,199 |
Distributable earnings | 182,861,854 |
Net Assets | $575,018,071 |
Common Shares Issued and Outstanding | 67,301,787 |
Net Asset Value Per Common Share | |
Net assets ÷ common shares issued and outstanding | $8.54 |
Six Months Ended | |
June 30, 2023 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $47,096) | $4,207,691 |
Dividend income from affiliated investments | 46,851 |
Total investment income | $4,254,542 |
Expenses | |
Investment adviser fee | $2,748,943 |
Trustees’ fees and expenses | 16,516 |
Custodian fee | 108,521 |
Transfer and dividend disbursing agent fees | 9,049 |
Legal and accounting services | 43,571 |
Printing and postage | 136,543 |
Miscellaneous | 31,032 |
Total expenses | $3,094,175 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $1,545 |
Total expense reductions | $1,545 |
Net expenses | $3,092,630 |
Net investment income | $1,161,912 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $(1,263,726) |
Written options | (917,337) |
Foreign currency transactions | (4,104) |
Net realized loss | $(2,185,167) |
Change in unrealized appreciation (depreciation): | |
Investments | $67,344,563 |
Written options | (5,399,008) |
Foreign currency | 4,363 |
Net change in unrealized appreciation (depreciation) | $61,949,918 |
Net realized and unrealized gain | $59,764,751 |
Net increase in net assets from operations | $60,926,663 |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $1,161,912 | $2,307,547 |
Net realized gain (loss) | (2,185,167) | 34,275,880 |
Net change in unrealized appreciation (depreciation) | 61,949,918 | (137,486,081) |
Net increase (decrease) in net assets from operations | $60,926,663 | $(100,902,654) |
Distributions to shareholders | $(23,380,641)* | $(38,873,009) |
Tax return of capital to shareholders | $— | $(19,622,680) |
Capital share transactions: | ||
Proceeds from shelf offering, net of offering costs (see Note 5) | $— | $16,042,117 |
Reinvestment of distributions | — | 3,783,607 |
Net increase in net assets from capital share transactions | $— | $19,825,724 |
Net increase (decrease) in net assets | $37,546,022 | $(139,572,619) |
Net Assets | ||
At beginning of period | $537,472,049 | $677,044,668 |
At end of period | $575,018,071 | $537,472,049 |
* | A portion of the distributions may be deemed a tax return of capital at year-end. See Note 2. |
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, | |||||
2022 | 2021 | 2020 | 2019 | 2018 | ||
Net asset value — Beginning of period | $7.990 | $10.380 | $10.080 | $9.340 | $8.950 | $10.080 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $0.017 | $0.035 | $0.045 | $0.067 | $0.066 | $0.059 |
Net realized and unrealized gain (loss) | 0.880 | (1.555) | 1.159 | 1.585 | 1.236 | (0.277) |
Total income (loss) from operations | $0.897 | $(1.520) | $1.204 | $1.652 | $1.302 | $(0.218) |
Less Distributions | ||||||
From net investment income | $(0.347)* | $(0.033) | $(0.045) | $(0.080) | $(0.066) | $(0.486) |
From net realized gain | — | (0.549) | (0.181) | (0.194) | — | — |
Tax return of capital | — | (0.294) | (0.686) | (0.638) | (0.846) | (0.426) |
Total distributions | $(0.347) | $(0.876) | $(0.912) | $(0.912) | $(0.912) | $(0.912) |
Premium from common shares sold through shelf offering (see Note 5)(1) | $— | $0.006 | $0.008 | $— | $— | $— |
Net asset value — End of period | $8.540 | $7.990 | $10.380 | $10.080 | $9.340 | $8.950 |
Market value — End of period | $8.220 | $7.500 | $10.690 | $10.370 | $9.330 | $8.120 |
Total Investment Return on Net Asset Value(2) | 11.62%(3) | (14.93)% | 12.35% | 18.78% | 15.18% | (2.13)% |
Total Investment Return on Market Value(2) | 14.46%(3) | (22.46)% | 12.47% | 22.33% | 26.82% | (7.06)% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $575,018 | $537,472 | $677,045 | $643,771 | $595,471 | $570,021 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 1.12%(4)(5) | 1.12%(5) | 1.10% | 1.11% | 1.11% | 1.10% |
Net investment income | 0.42%(4) | 0.39% | 0.44% | 0.70% | 0.71% | 0.60% |
Portfolio Turnover | 24%(3) | 55% | 41% | 52% | 57% | 53% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Distributions are assumed to be reinvested at prices obtained under the Fund's dividend reinvestment plan. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund’s investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2023 and the year ended December 31, 2022). |
* | A portion of the distributions may be deemed from net realized gain or a tax return of capital at year-end. See Note 2. |
Aggregate cost | $367,727,798 |
Gross unrealized appreciation | $217,581,388 |
Gross unrealized depreciation | (8,659,736) |
Net unrealized appreciation | $208,921,652 |
Fair Value | ||
Derivative | Asset Derivative(1) | Liability Derivative(2) |
Purchased options | $556,111 | $ — |
Written options | — | (5,643,995) |
Total | $556,111 | $(5,643,995) |
(1) | Statement of Assets and Liabilities location: Unaffiliated investments, at value. |
(2) | Statement of Assets and Liabilities location: Written options outstanding, at value. |
Derivative | Realized Gain (Loss) on Derivatives Recognized in Income(1) | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income(2) |
Purchased options | $(20,213,618) | $(1,442,374) |
Written options | (917,337) | (5,399,008) |
Total | $(21,130,955) | $(6,841,382) |
(1) | Statement of Operations location: Net realized gain (loss) - Investment transactions and Written options, respectively. |
(2) | Statement of Operations location: Change in unrealized appreciation (depreciation) - Investments and Written options, respectively. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $1,728,958 | $55,765,003 | $(55,871,268) | $ — | $ — | $1,622,693 | $46,851 | 1,622,693 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | ||||
Communication Services | $ 54,045,479 | $ — | $ — | $ 54,045,479 |
Consumer Discretionary | 60,047,593 | — | — | 60,047,593 |
Consumer Staples | 42,086,268 | — | — | 42,086,268 |
Energy | 25,523,366 | — | — | 25,523,366 |
Financials | 70,333,424 | — | — | 70,333,424 |
Health Care | 76,613,175 | 4,899,629 | — | 81,512,804 |
Industrials | 58,297,104 | — | — | 58,297,104 |
Information Technology | 153,255,385 | — | — | 153,255,385 |
Materials | 14,357,438 | — | — | 14,357,438 |
Real Estate | 8,647,325 | — | — | 8,647,325 |
Utilities | 12,008,455 | — | — | 12,008,455 |
Total Common Stocks | $575,215,012 | $4,899,629* | $ — | $580,114,641 |
Short-Term Investments | $ 1,622,693 | $ — | $ — | $ 1,622,693 |
Purchased Put Options | 556,111 | — | — | 556,111 |
Total Investments | $577,393,816 | $ 4,899,629 | $ — | $582,293,445 |
Liability Description | Level 1 | Level 2 | Level 3 | Total |
Written Call Options | $ (5,643,995) | $ — | $ — | $ (5,643,995) |
Total | $ (5,643,995) | $ — | $ — | $ (5,643,995) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Number of Shares | ||||
Nominees for Trustee | For | Withheld | ||
Thomas E. Faust Jr. | 47,656,482 | 1,962,490 | ||
Cynthia E. Frost | 47,494,392 | 2,124,580 | ||
Keith Quinton | 47,790,897 | 1,828,075 | ||
Scott E. Wennerholm | 47,660,384 | 1,958,588 |
Officers | |
R. Kelly Williams, Jr. President | Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer | Richard F. Froio Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
George J. Gorman Chairperson | |
Alan C. Bowser(1) | |
Mark R. Fetting | |
Cynthia E. Frost | |
Valerie A. Mosley | |
Anchal Pachnanda*(2) |
Keith Quinton | |
Marcus L. Smith | |
Susan J. Sutherland | |
Scott E. Wennerholm | |
Nancy A. Wiser |
* | Interested Trustee |
(1) | Mr. Bowser began serving as Trustee effective January 4, 2023. |
(2) | Ms. Pachnanda began serving as Trustee effective April 1, 2023. |
Privacy Notice | April 2021 |
FACTS | WHAT DOES EATON VANCE 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 Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does Eaton Vance 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 nonaffiliates to market to you | No | We don’t share |
To limit our sharing | Call toll-free 1-800-262-1122 or email: EVPrivacy@eatonvance.comPlease 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 1-800-262-1122 or email: EVPrivacy@eatonvance.com |
Privacy Notice — continued | April 2021 |
Who we are | |
Who is providing this notice? | Eaton Vance Management, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Global Advisors Limited, Eaton Vance Management’s Real Estate Investment Group, Boston Management and Research, Calvert Research and Management, Eaton Vance and Calvert Fund Families and our investment advisory affiliates (“Eaton Vance”) (see Investment Management Affiliates definition below) |
What we do | |
How does Eaton Vance 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 Eaton Vance 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 informationWe 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 nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
Definitions | |
Investment Management Affiliates | Eaton Vance Investment Management Affiliates include registered investment advisers, registered broker- dealers, and registered and unregistered funds. 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 nonfinancial companies.■ Our affiliates include companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance 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 Nonaffiliates 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 Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
Two International Place
Boston, MA 02110
One Congress Street, Suite 1
Boston, MA 02114-2016
6201 15th Avenue
Brooklyn, NY 11219
Boston, MA 02110
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not required in this filing.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not required in this filing.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Eaton Vance Management (“EVM” or “Eaton Vance”) is the investment adviser of the Fund. Charles B. Gaffney and Douglas R. Rogers, CFA, CMT are responsible for the overall and day-to-day management of the Fund’s investments. Messrs. Gaffney and Rogers are Vice Presidents of Eaton Vance, have managed other Eaton Vance portfolios for more than five years, and have been portfolio managers of the Fund since May 2023.
The following table shows, as of June 30, 2023, the number of accounts each portfolio manager managed in each of the listed categories and the total assets (in millions of dollars) in the accounts managed within each category. The table also shows the number of accounts with respect to which the advisory fee is based on the performance of the account, if any, and the total assets (in millions of dollars) in those accounts.
Number of All Accounts | Total Assets of All Accounts | Number of Accounts Paying a Performance Fee | Total Assets of Accounts Paying a Performance Fee | |||||||||||||
Charles B. Gaffney(1) | ||||||||||||||||
Registered Investment Companies | 12 | $ | 10,189.6 | 0 | $ | 0 | ||||||||||
Other Pooled Investment Vehicles | 0 | $ | 0 | 0 | $ | 0 | ||||||||||
Other Accounts | 0 | $ | 0 | 0 | $ | 0 | ||||||||||
Douglas R. Rogers, CFA, CMT(1)(2) | ||||||||||||||||
Registered Investment Companies | 12 | $ | 8,641.2 | 0 | $ | 0 | ||||||||||
Other Pooled Investment Vehicles | 1 | $ | 16.6 | 0 | $ | 0 | ||||||||||
Other Accounts | 5 | $ | 46.6 | 0 | $ | 0 |
(1) | This portfolio manager serves as portfolio manager of one or more registered investment companies that invests or may invest in one or more underlying registered investment companies in the Eaton Vance family of funds or other pooled investment vehicles sponsored by Eaton Vance. The underlying investment companies may be managed by this portfolio manager or another portfolio manager. |
(2) | This portfolio manager may provide advisory services for certain of the “Other Accounts” on a nondiscretionary or model basis. For “Other Accounts” that are part of a wrap account program, the number of accounts is the number of sponsors for which the portfolio manager provides advisory services rather than the number of individual customer accounts within each wrap account program. The assets managed may include assets advised on a nondiscretionary or model basis. |
The following table shows, as of June 30, 2023, the dollar range of Fund shares beneficially owned by each portfolio manager.
Portfolio Manager | Dollar Range of Equity Securities Beneficially Owned in the Fund | |
Charles B. Gaffney | None | |
Douglas R. Rogers, CFA, CMT | None |
Potential for Conflicts of Interest. It is possible that conflicts of interest may arise in connection with a portfolio manager’s management of the Fund’s investments on the one hand and the investments of other accounts for which a portfolio manager is responsible on the other. For example, a portfolio manager may have conflicts of interest in allocating management time, resources and investment opportunities among the Fund and other accounts he or she advises. In addition, due to differences in the investment strategies or restrictions between the Fund and the other accounts, the portfolio manager may take action with respect to another account that differs from the action taken with respect to the Fund. In some cases, another account managed by a portfolio manager may compensate the investment adviser based on the performance of the securities held by that account. The existence of such a performance based fee may create additional conflicts of interest for the portfolio manager in the allocation of management time, resources and investment opportunities. Whenever conflicts of interest arise, the portfolio manager will endeavor to exercise his or her discretion in a manner that he or she believes is equitable to all interested persons. EVM has adopted several policies and procedures designed to address these potential conflicts including a code of ethics and policies that govern the investment adviser’s trading practices, including among other things the aggregation and allocation of trades among clients, brokerage allocations, cross trades and best execution.
Compensation Structure for EVM
The compensation structure of Eaton Vance and its affiliates that are investment advisers (for purposes of this section “Eaton Vance”) is based on a total reward system of base salary and incentive compensation, which is paid either in the form of cash bonus, or for employees meeting the specified deferred compensation eligibility threshold, partially as a cash bonus and partially as mandatory deferred compensation. Deferred compensation granted to Eaton Vance employees is generally granted as a mix of deferred cash awards under the Investment Management Alignment Plan (IMAP) and equity-based awards in the form of stock units. The portion of incentive compensation granted in the form of a deferred compensation award and the terms of such awards are determined annually by the Compensation, Management Development and Succession Committee of the Board of Directors of Eaton Vance’s parent company, Morgan Stanley.
Base salary compensation. Generally, portfolio managers and research analysts receive base salary compensation based on the level of their position with the adviser.
Incentive compensation. In addition to base compensation, portfolio managers and research analysts may receive discretionary year-end compensation. Incentive compensation may include:
• | Cash bonus |
• | Deferred compensation: |
• | A mandatory program that defers a portion of incentive compensation into restricted stock units or other awards based on Morgan Stanley common stock or other plans that are subject to vesting and other conditions. |
• | IMAP is a cash-based deferred compensation plan designed to increase the alignment of participants’ interests with the interests of clients. For eligible employees, a portion of their deferred compensation is mandatorily deferred into IMAP on an annual basis. Awards granted under IMAP are notionally invested in referenced funds available pursuant to the plan, which are funds advised by MSIM and its affiliates including Eaton Vance. Portfolio managers are required to notionally invest a minimum of 40% of their account balance in the designated funds that they manage and are included in the IMAP notional investment fund menu. |
• | Deferred compensation awards are typically subject to vesting over a multi-year period and are subject to cancellation through the payment date for competition, cause (i.e., any act or omission that constitutes a breach of obligation to the Funds, including failure to comply with internal compliance, ethics or risk management standards, and failure or refusal to perform duties satisfactorily, including supervisory and management duties), disclosure of proprietary information, and solicitation of employees or clients. Awards are also subject to clawback through the payment date if an employee’s act or omission |
(including with respect to direct supervisory responsibilities) causes a restatement of the firm’s consolidated financial results, constitutes a violation of the firm’s global risk management principles, policies and standards, or causes a loss of revenue associated with a position on which the employee was paid and the employee operated outside of internal control policies. |
Eaton Vance compensates employees based on principles of pay-for-performance, market competitiveness and risk management. Eligibility for, and the amount of any, discretionary compensation is subject to a multi-dimensional process. Specifically, consideration is given to one or more of the following factors, which can vary by portfolio management team and circumstances:
• | Revenue and profitability of the business and/or each fund/account managed by the portfolio manager |
• | Individual contribution and performance |
• | Contribution to client objectives |
• | Revenue and profitability of the firm |
• | Return on equity and risk factors of both the business units and Morgan Stanley |
• | Assets managed by the portfolio manager |
• | External market conditions |
• | New business development and business sustainability |
• | Team, product and/or Eaton Vance performance |
• | The pre-tax investment performance of the funds/accounts managed by the portfolio manager(1) (which may, in certain cases, be measured against the applicable benchmark(s) and/or peer group(s) over one, three and five-year periods),(2) provided that for funds that are tax-managed or otherwise have an objective of after-tax returns, performance net of taxes will be considered |
Further, the firm’s Global Incentive Compensation Discretion Policy requires compensation managers to consider Further the only legitimate, business related factors when exercising discretion in determining variable incentive compensation, including adherence to Morgan Stanley’s core values, conduct, disciplinary actions in the current performance year, risk management and risk outcomes.
(1) Generally, this is total return performance, provided that consideration may also be given to relative risk-adjusted performance.
(2) When a fund’s peer group as determined by Lipper or Morningstar is deemed by the relevant Eaton Vance Chief Investment Officer, or in the case of the sub-advised Funds, the Director of Product Development and Sub-Advised Funds, not to provide a fair comparison, performance may instead be evaluated primarily against a custom peer group or market index.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
No such purchases this period.
Item 10. Submission of Matters to a Vote of Security Holders
No material changes.
Item 11. Controls and Procedures
(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant’s internal controls over financial reporting 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
No activity to report for the registrant’s most recent fiscal year end.
Item 13. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Treasurer’s Section 302 certification. | |
(a)(2)(ii) | President’s Section 302 certification. | |
(b) | Combined Section 906 certification. | |
(c) | Registrant’s notices to shareholders pursuant to Registrant’s exemptive order granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 thereunder regarding distributions paid pursuant to the Registrant’s Managed Distribution Plan. |
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.
Eaton Vance Risk-Managed Diversified Equity Income Fund
By: | /s/ R. Kelly Williams, Jr. | |
R. Kelly Williams, Jr. | ||
President |
Date: August 22, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer |
Date: August 22, 2023
By: | /s/ R. Kelly Williams, Jr. | |
R. Kelly Williams, Jr. | ||
President |
Date: August 22, 2023