Eaton Vance
Risk-Managed Diversified Equity Income Fund
March 31, 2023
Portfolio of Investments (Unaudited)
Common Stocks — 101.4% |
Security | Shares | Value | |
Aerospace & Defense — 1.4% | |||
HEICO Corp.(1) | 19,003 | $ 3,250,273 | |
Huntington Ingalls Industries, Inc.(1) | 22,626 | 4,684,035 | |
$ 7,934,308 | |||
Automobile Components — 0.9% | |||
Aptiv PLC(1)(2) | 41,923 | $ 4,703,341 | |
$ 4,703,341 | |||
Automobiles — 0.8% | |||
Tesla, Inc.(1)(2) | 22,337 | $ 4,634,034 | |
$ 4,634,034 | |||
Banks — 5.4% | |||
Bank of America Corp.(1) | 329,231 | $ 9,416,006 | |
JPMorgan Chase & Co.(1) | 94,028 | 12,252,789 | |
M&T Bank Corp.(1) | 24,596 | 2,940,944 | |
Wells Fargo & Co.(1) | 130,888 | 4,892,593 | |
$ 29,502,332 | |||
Beverages — 2.4% | |||
PepsiCo, Inc.(1) | 71,550 | $ 13,043,565 | |
$ 13,043,565 | |||
Biotechnology — 1.8% | |||
AbbVie, Inc.(1) | 61,407 | $ 9,786,434 | |
$ 9,786,434 | |||
Broadline Retail — 3.8% | |||
Amazon.com, Inc.(1)(2) | 203,265 | $ 20,995,242 | |
$ 20,995,242 | |||
Capital Markets — 1.9% | |||
Charles Schwab Corp. (The)(1) | 75,201 | $ 3,939,029 | |
Intercontinental Exchange, Inc.(1) | 63,746 | 6,648,070 | |
$ 10,587,099 | |||
Chemicals — 2.0% | |||
FMC Corp.(1) | 27,999 | $ 3,419,518 | |
Linde PLC(1) | 21,852 | 7,767,075 | |
$ 11,186,593 |
Security | Shares | Value | |
Commercial Services & Supplies — 1.0% | |||
Waste Management, Inc.(1) | 32,275 | $ 5,266,312 | |
$ 5,266,312 | |||
Communications Equipment — 1.7% | |||
Cisco Systems, Inc.(1) | 175,679 | $ 9,183,620 | |
$ 9,183,620 | |||
Containers & Packaging — 0.6% | |||
Packaging Corp. of America(1) | 24,691 | $ 3,427,852 | |
$ 3,427,852 | |||
Diversified Telecommunication Services — 0.6% | |||
TELUS Corp. | 165,464 | $ 3,286,115 | |
$ 3,286,115 | |||
Electric Utilities — 1.8% | |||
Constellation Energy Corp.(1) | 61,891 | $ 4,858,443 | |
NextEra Energy, Inc.(1) | 68,060 | 5,246,065 | |
$ 10,104,508 | |||
Electrical Equipment — 3.3% | |||
AMETEK, Inc.(1) | 58,974 | $ 8,570,691 | |
Eaton Corp. PLC(1) | 56,428 | 9,668,374 | |
$ 18,239,065 | |||
Energy Equipment & Services — 0.7% | |||
Halliburton Co.(1) | 120,639 | $ 3,817,018 | |
$ 3,817,018 | |||
Entertainment — 1.9% | |||
Netflix, Inc.(1)(2) | 22,436 | $ 7,751,190 | |
Walt Disney Co. (The)(1)(2) | 28,971 | 2,900,866 | |
$ 10,652,056 | |||
Financial Services — 3.4% | |||
Mastercard, Inc., Class A(1) | 43,475 | $ 15,799,250 | |
Shift4 Payments, Inc., Class A(2) | 38,659 | 2,930,352 | |
$ 18,729,602 | |||
Food Products — 3.2% | |||
Hershey Co. (The)(1) | 37,741 | $ 9,601,688 | |
Mondelez International, Inc., Class A(1) | 114,592 | 7,989,354 | |
$ 17,591,042 |
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Eaton Vance
Risk-Managed Diversified Equity Income Fund
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Ground Transportation — 1.4% | |||
Uber Technologies, Inc.(1)(2) | 247,923 | $ 7,859,159 | |
$ 7,859,159 | |||
Health Care Equipment & Supplies — 3.3% | |||
Boston Scientific Corp.(1)(2) | 142,765 | $ 7,142,533 | |
Stryker Corp.(1) | 15,344 | 4,380,252 | |
Zimmer Biomet Holdings, Inc.(1) | 52,837 | 6,826,540 | |
$ 18,349,325 | |||
Health Care Providers & Services — 0.6% | |||
UnitedHealth Group, Inc.(1) | 6,476 | $ 3,060,493 | |
$ 3,060,493 | |||
Hotels, Restaurants & Leisure — 2.5% | |||
Hilton Worldwide Holdings, Inc.(1) | 38,363 | $ 5,404,196 | |
Starbucks Corp.(1) | 79,228 | 8,250,011 | |
$ 13,654,207 | |||
Household Products — 1.8% | |||
Procter & Gamble Co. (The)(1) | 68,113 | $ 10,127,722 | |
$ 10,127,722 | |||
Industrial REITs — 0.8% | |||
EastGroup Properties, Inc.(1) | 26,682 | $ 4,411,068 | |
$ 4,411,068 | |||
Insurance — 2.0% | |||
Arch Capital Group, Ltd.(1)(2) | 85,968 | $ 5,834,648 | |
Reinsurance Group of America, Inc.(1) | 37,024 | 4,915,306 | |
$ 10,749,954 | |||
Interactive Media & Services — 5.4% | |||
Alphabet, Inc., Class C(1)(2) | 142,251 | $ 14,794,104 | |
Meta Platforms, Inc., Class A(1)(2) | 69,805 | 14,794,472 | |
$ 29,588,576 | |||
IT Services — 1.9% | |||
Accenture PLC, Class A(1) | 36,707 | $ 10,491,228 | |
$ 10,491,228 | |||
Life Sciences Tools & Services — 2.8% | |||
Danaher Corp.(1) | 31,996 | $ 8,064,272 | |
Thermo Fisher Scientific, Inc.(1) | 13,150 | 7,579,265 | |
$ 15,643,537 |
Security | Shares | Value | |
Machinery — 1.2% | |||
Caterpillar, Inc.(1) | 28,723 | $ 6,572,971 | |
$ 6,572,971 | |||
Multi-Utilities — 0.7% | |||
CMS Energy Corp.(1) | 64,282 | $ 3,945,629 | |
$ 3,945,629 | |||
Oil, Gas & Consumable Fuels — 4.1% | |||
Chevron Corp.(1) | 59,519 | $ 9,711,120 | |
ConocoPhillips(1) | 57,389 | 5,693,563 | |
EOG Resources, Inc.(1) | 38,676 | 4,433,430 | |
Pioneer Natural Resources Co.(1) | 14,185 | 2,897,144 | |
$ 22,735,257 | |||
Pharmaceuticals — 6.3% | |||
Bristol-Myers Squibb Co.(1) | 115,521 | $ 8,006,760 | |
Eli Lilly & Co.(1) | 33,637 | 11,551,618 | |
Novo Nordisk A/S ADR(1) | 33,915 | 5,397,233 | |
Sanofi | 38,473 | 4,173,502 | |
Zoetis, Inc.(1) | 33,513 | 5,577,904 | |
$ 34,707,017 | |||
Residential REITs — 0.8% | |||
Mid-America Apartment Communities, Inc.(1) | 27,958 | $ 4,222,776 | |
$ 4,222,776 | |||
Semiconductors & Semiconductor Equipment — 4.8% | |||
Analog Devices, Inc.(1) | 44,532 | $ 8,782,601 | |
NVIDIA Corp.(1) | 41,464 | 11,517,455 | |
Texas Instruments, Inc.(1) | 32,664 | 6,075,831 | |
$ 26,375,887 | |||
Software — 11.1% | |||
Intuit, Inc.(1) | 12,031 | $ 5,363,781 | |
Microsoft Corp.(1) | 159,479 | 45,977,796 | |
Palo Alto Networks, Inc.(1)(2) | 14,638 | 2,923,794 | |
Salesforce, Inc.(1)(2) | 35,203 | 7,032,855 | |
$ 61,298,226 | |||
Specialty Retail — 0.7% | |||
O'Reilly Automotive, Inc.(2) | 4,357 | $ 3,699,006 | |
$ 3,699,006 |
2
Eaton Vance
Risk-Managed Diversified Equity Income Fund
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Technology Hardware, Storage & Peripherals — 7.9% | |||
Apple, Inc.(1) | 264,335 | $ 43,588,842 | |
$ 43,588,842 | |||
Textiles, Apparel & Luxury Goods — 1.7% | |||
NIKE, Inc., Class B(1) | 76,215 | $ 9,347,008 | |
$ 9,347,008 | |||
Wireless Telecommunication Services — 1.0% | |||
T-Mobile US, Inc.(1)(2) | 39,085 | $ 5,661,071 | |
$ 5,661,071 | |||
Total Common Stocks (identified cost $386,352,605) | $558,759,097 |
Short-Term Investments — 0.8% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 4.73%(3) | 4,100,203 | $ 4,100,203 | |
Total Short-Term Investments (identified cost $4,100,203) | $ 4,100,203 | ||
Total Purchased Put Options — 0.1% (identified cost $3,760,990) | $ 602,005 | ||
Total Investments — 102.3% (identified cost $394,213,798) | $563,461,305 | ||
Total Written Call Options — (1.7)% (premiums received $4,184,587) | $ (9,165,235) | ||
Other Assets, Less Liabilities — (0.6)% | $ (3,453,079) | ||
Net Assets — 100.0% | $550,842,991 |
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 March 31, 2023. |
Purchased Put Options (Exchange-Traded) — 0.1% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 107 | $ | 43,969,617 | $ | 3,880 | 4/3/23 | $ 1,338 |
S&P 500 Index | 108 | 44,380,548 | 3,800 | 4/5/23 | 2,700 | ||
S&P 500 Index | 109 | 44,791,479 | 3,675 | 4/6/23 | 2,725 | ||
S&P 500 Index | 109 | 44,791,479 | 3,600 | 4/10/23 | 3,815 | ||
S&P 500 Index | 110 | 45,202,410 | 3,600 | 4/12/23 | 8,250 | ||
S&P 500 Index | 109 | 44,791,479 | 3,720 | 4/14/23 | 23,707 | ||
S&P 500 Index | 108 | 44,380,548 | 3,700 | 4/17/23 | 25,110 |
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Eaton Vance
Risk-Managed Diversified Equity Income Fund
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Purchased Put Options (Exchange-Traded) (continued) | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 107 | $ | 43,969,617 | $ | 3,800 | 4/19/23 | $ 60,990 |
S&P 500 Index | 108 | 44,380,548 | 3,710 | 4/21/23 | 46,440 | ||
S&P 500 Index | 107 | 43,969,617 | 3,790 | 4/24/23 | 81,320 | ||
S&P 500 Index | 107 | 43,969,617 | 3,840 | 4/26/23 | 130,005 | ||
S&P 500 Index | 107 | 43,969,617 | 3,900 | 4/28/23 | 215,605 | ||
Total | $602,005 |
Written Call Options (Exchange-Traded) — (1.7)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 107 | $43,969,617 | $4,200 | 4/3/23 | $ (1,070) | ||
S&P 500 Index | 108 | 44,380,548 | 4,125 | 4/5/23 | (193,320) | ||
S&P 500 Index | 109 | 44,791,479 | 4,040 | 4/6/23 | (855,105) | ||
S&P 500 Index | 109 | 44,791,479 | 4,010 | 4/10/23 | (1,201,180) | ||
S&P 500 Index | 110 | 45,202,410 | 4,000 | 4/12/23 | (1,394,250) | ||
S&P 500 Index | 109 | 44,791,479 | 4,065 | 4/14/23 | (899,250) | ||
S&P 500 Index | 108 | 44,380,548 | 4,050 | 4/17/23 | (1,036,260) | ||
S&P 500 Index | 107 | 43,969,617 | 4,150 | 4/19/23 | (438,700) | ||
S&P 500 Index | 108 | 44,380,548 | 4,060 | 4/21/23 | (1,072,440) | ||
S&P 500 Index | 107 | 43,969,617 | 4,100 | 4/24/23 | (805,175) | ||
S&P 500 Index | 107 | 43,969,617 | 4,100 | 4/26/23 | (849,045) | ||
S&P 500 Index | 107 | 43,969,617 | 4,190 | 4/28/23 | (419,440) | ||
Total | $(9,165,235) |
Abbreviations: | |
ADR | – American Depositary Receipt |
REITs | – Real Estate Investment Trusts |
At March 31, 2023, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund pursues a “collared” options strategy which consists of buying S&P 500 index put options below the current value of the index and writing S&P 500 index call options above the current value of the index with the same expiration. The strategy uses the premium income from the written call options to buy an equal number of put options. In buying put options on an index, the Fund in effect, acquires protection against decline in the value of the applicable index below the exercise price in exchange for the option premium paid. In writing index call options, the Fund in effect, sells potential appreciation in the value of the applicable index above the exercise price. The Fund retains the risk of lost appreciation, minus the premium received, should the price of the underlying index rise above the exercise price. Under normal market conditions, the Fund’s use of option collars is expected to provide a more consistent level of market exposure and market protection.
4
Eaton Vance
Risk-Managed Diversified Equity Income Fund
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Affiliated Investments
At March 31, 2023, the value of the Fund's investment in funds that may be deemed to be affiliated was $4,100,203, which represents 0.8% of the Fund's net assets. Transactions in such funds by the Fund for the fiscal year to date ended March 31, 2023 were as follows:
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, Institutional Class(1) | $1,728,958 | $29,804,045 | $(27,432,800) | $ — | $ — | $4,100,203 | $27,761 | 4,100,203 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | 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) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At March 31, 2023, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks: | ||||
Communication Services | $ 49,187,818 | $ — | $ — | $ 49,187,818 |
Consumer Discretionary | 57,032,838 | — | — | 57,032,838 |
Consumer Staples | 40,762,329 | — | — | 40,762,329 |
Energy | 26,552,275 | — | — | 26,552,275 |
Financials | 69,568,987 | — | — | 69,568,987 |
Health Care | 77,373,304 | 4,173,502 | — | 81,546,806 |
Industrials | 45,871,815 | — | — | 45,871,815 |
Information Technology | 150,937,803 | — | — | 150,937,803 |
Materials | 14,614,445 | — | — | 14,614,445 |
Real Estate | 8,633,844 | — | — | 8,633,844 |
Utilities | 14,050,137 | — | — | 14,050,137 |
Total Common Stocks | $554,585,595 | $4,173,502* | $ — | $558,759,097 |
Short-Term Investments | $ 4,100,203 | $ — | $ — | $ 4,100,203 |
Purchased Put Options | 602,005 | — | — | 602,005 |
Total Investments | $559,287,803 | $4,173,502 | $ — | $563,461,305 |
5
Eaton Vance
Risk-Managed Diversified Equity Income Fund
March 31, 2023
Portfolio of Investments (Unaudited) — continued
Liability Description | Level 1 | Level 2 | Level 3 | Total |
Written Call Options | $ (9,165,235) | $ — | $ — | $ (9,165,235) |
Total | $ (9,165,235) | $ — | $ — | $ (9,165,235) |
* | 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. |
For information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements included in its semiannual or annual report to shareholders.
6