Overview

 

An arbitrage opportunity.2

Historically, the implied volatility of equity-index options has generally exceeded realized volatility. Because equity-index options are priced based on implied volatility, we believe systematically selling these options in a risk-managed manner may offer the potential for excess returns.

Average Annual Returns (%) as of Mar 31, 2013

1 Month 3 Months YTD 1 Year 3 Years 5 Years Life of Fund
4/30/2013
Fund at NAV 0.60 0.20 -1.57 4.07 — — 3.97
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.01 0.03 0.03 0.12 0.11 0.33 0.11
3/31/2013
Fund at NAV -0.40 -2.16 -2.16 5.44 — — 3.86
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.02 0.02 0.02 0.12 0.11 0.34 0.11
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) with all distributions reinvested. Returns for other classes of shares offered by the Fund are different. Performance less than one year is cumulative.

Fund Facts as of Apr 30, 2013

Investor Class Inception 09/30/2010
Investment Objective Total return
Total Net Assets of Fund $67.4M
Minimum Investment $1000
Expense Ratio (Gross)4 1.82%
Expense Ratio (Net)4,5 1.45%
CUSIP 277905295


Portfolio Management

Thomas H. Luster, CFA Managed Fund since inception
Maria Cappellano Managed Fund since inception
Ken Everding, Ph.D Managed Fund since inception
Jonathan Orseck Managed Fund since inception

 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding.

About Risk 

The effectiveness of the Fund's option strategy is dependent upon a general imbalance of natural buyers over natural sellers of index options. This imbalance could decrease or be eliminated, which could have an adverse effect on the Fund. Derivatives instruments can be used to take both long and short positions, be highly volatile, result in economic leverage (which can magnify losses), and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. If a counterparty is unable to honor its commitments, the value of Fund shares may decline and/or the Fund could experience delays in the return of collateral or other assets held by the counterparty. An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the market. As interest rates rise, the value of certain income investments is likely to decline. Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to the risk of non–payment of principal and interest. The value of income securities also may decline because of real or perceived concerns about the issuer's ability to make principal and interest payments. No Fund is a complete investment program and you may lose money investing in a Fund. The Fund may engage in other investment practices that may involve additional risks and you should review the Fund prospectus for a complete description.


1. Prior to 3/1/13, the Fund name was Eaton Vance Parametric Option Absolute Return Strategy Fund, the Investor Class was named Class A (and was sold subject to a sales charge) and the Institutional Class was named Class I.
2. Source: FactSet. "Arbitrage" is defined here as attempting to profit by exploiting pricing inefficiencies for securities in the market. "Realized Volatility" is represented by the 30-day volatility of the S&P 500 Index as measured by standard deviation. "Implied Volatility" is represented by the CBOE Volatility Index (VIX). S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. The CBOE Volatility Index (VIX) tracks the implied volatilities of a wide range of S&P 500 Index options. 2BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. 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. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. 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. BofA Merrill Lynch™ indices not for redistribution or other uses; provided "as is", without warranties, and with no liability. Eaton Vance has prepared this report, BofAML does not endorse it, or guarantee, review, or endorse Eaton Vance's products.
4. Source: Fund prospectus.
5. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/14. Without the reimbursement, performance would have been lower.

Performance

Average Annual Returns (%) as of Mar 31, 2013

1 Month 3 Months YTD 1 Year 3 Years 5 Years Life of Fund
4/30/2013
Fund at NAV 0.60 0.20 -1.57 4.07 — — 3.97
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.01 0.03 0.03 0.12 0.11 0.33 0.11
3/31/2013
Fund at NAV -0.40 -2.16 -2.16 5.44 — — 3.86
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.02 0.02 0.02 0.12 0.11 0.34 0.11
Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance is for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) with all distributions reinvested. Returns for other classes of shares offered by the Fund are different. Performance less than one year is cumulative.

Calendar Year Returns (%)

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Fund at NAV — — — — — — — — 3.87 7.56
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 1.15 1.33 3.06 4.83 5.03 2.06 0.21 0.13 0.10 0.11

Fund Facts

Expense Ratio (Gross)4 1.82%
Expense Ratio (Net)4,5 1.45%
Investor Class Inception 09/30/2010


NAV History

Date NAV NAV Change
May 16, 2013 $9.67 $0.04
May 15, 2013 $9.63 $-0.07
May 14, 2013 $9.70 $-0.12
May 13, 2013 $9.82 $-0.02
May 10, 2013 $9.84 $0.00
May 09, 2013 $9.84 $0.00
May 08, 2013 $9.84 $-0.05
May 07, 2013 $9.89 $-0.05
May 06, 2013 $9.94 $-0.01
May 03, 2013 $9.95 $-0.10

Distribution History6

Ex-Date Distribution Reinvest NAV
Dec 20, 2012 $0.00950 $10.08
Fund prospectus
No records in this table indicates that there has not been a distribution greater than .0001 within the past 3 years.
Fund prospectus

Capital Gain History6

Ex-Date Short-Term Long-Term Reinvest NAV
Dec 20, 2012 $0.33670 $0.63890 $10.08
Mar 15, 2011 $0.00310 $0.01480 $10.15
Dec 29, 2010 $0.01680 $10.02
Fund prospectus
No records in this table indicates that there has not been a capital gain greater than .0001 within the past 3 years.
Fund prospectus

Past performance is no guarantee of future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Performance is as of month-end for the stated time period only; due to market volatility, the Fund's current performance may be lower or higher than quoted. For the Eaton Vance Fund's performance as of the most recent month end, please refer to www.eatonvance.com. Returns are historical and are calculated by determining the percentage change in net asset value (NAV) with all distributions reinvested. Returns shown at NAV unless noted otherwise. Returns for other classes of shares offered by the Fund are different. It is not possible to invest in an index.

 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding.

About Risk 

The effectiveness of the Fund's option strategy is dependent upon a general imbalance of natural buyers over natural sellers of index options. This imbalance could decrease or be eliminated, which could have an adverse effect on the Fund. Derivatives instruments can be used to take both long and short positions, be highly volatile, result in economic leverage (which can magnify losses), and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. If a counterparty is unable to honor its commitments, the value of Fund shares may decline and/or the Fund could experience delays in the return of collateral or other assets held by the counterparty. An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the market. As interest rates rise, the value of certain income investments is likely to decline. Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to the risk of non–payment of principal and interest. The value of income securities also may decline because of real or perceived concerns about the issuer's ability to make principal and interest payments. No Fund is a complete investment program and you may lose money investing in a Fund. The Fund may engage in other investment practices that may involve additional risks and you should review the Fund prospectus for a complete description.


3. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index of U.S. Treasury securities maturing in 90 days. 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. BofA Merrill Lynch™ indices not for redistribution or other uses; provided "as is", without warranties, and with no liability. Eaton Vance has prepared this report, BofAML does not endorse it, or guarantee, review, or endorse Eaton Vance's products.
4. Source: Fund prospectus.
5. Net expense ratio reflects a contractual expense reimbursement that continues through 4/30/14. Without the reimbursement, performance would have been lower.
6. A portion of the Fund's returns may be comprised of return of capital or short term capital gains. The Fund will determine the tax characteristics of all Fund distributions after the end of the calendar year and will provide shareholders such information at that time. Please consult your tax advisor for further information.

Portfolio

Underlying Fixed Income Portfolio (%)7 as of Mar 31, 2013

Agencies 21.8
Corporate 24.5
Treasuries 46.6
MBS 4.3
CMBS 2.4
ABS 0.4

Credit Quality (%)8 as of Mar 31, 2013

Government 46.63
Government Agency 26.05
AAA 3.70
AA 5.40
A 16.15
BBB 2.07
BB 0.00
B 0.00
CCC or Lower 0.00
Ratings are based on Moody’s, S&P or Fitch, as applicable. Ratings, which are subject to change, apply to the creditworthiness of the issuers of the underlying securities and not to the Fund or its shares. Credit ratings measure the quality of a bond based on the issuer’s creditworthiness, with ratings ranging from AAA, being the highest, to D, being the lowest based on S&P’s measures. Ratings of BBB or higher by Standard and Poor's or Fitch (Baa or higher by Moody's) are considered to be investment grade quality. Credit ratings are based largely on the rating agency's analysis at the time of rating. The rating assigned to any particular security is not necessarily a reflection of the issuer's current financial condition and does not necessarily reflect its assessment of the volatility of a security's market value or of the liquidity of an investment in the security. If securities are rated differently by the rating agencies, the higher rating is applied. Holdings designated as “Not Rated” are not rated by the national rating agencies stated above.


Fixed Income Characteristics (%) as of Mar 31, 2013

Effective Maturity 0.98 yrs.
Effective Duration 0.93 yrs.


Fund Holdings7,9 as of Mar 31, 2013

Holding Coupon Rate Maturity Date % of Net Assets
United States Treasury Note/Bond 1.75% 01/31/2014 7.72%
Federal National Mortgage Association 0.39% 01/27/2015 7.65%
United States Treasury Note/Bond 0.50% 11/15/2013 7.63%
United States Treasury Note/Bond 0.25% 04/30/2014 7.62%
United States Treasury Note/Bond 0.75% 06/15/2014 6.90%
United States Treasury Note/Bond 0.13% 08/31/2013 6.09%
Federal Home Loan Mortgage Corp 0.38% 11/27/2013 3.81%
United States Treasury Note/Bond 0.13% 07/31/2014 3.80%
United States Treasury Note/Bond 0.50% 05/31/2013 2.29%
Federal Home Loan Mortgage Corp 0.35% 11/26/2014 2.29%
View All

 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding.

About Risk 

The effectiveness of the Fund's option strategy is dependent upon a general imbalance of natural buyers over natural sellers of index options. This imbalance could decrease or be eliminated, which could have an adverse effect on the Fund. Derivatives instruments can be used to take both long and short positions, be highly volatile, result in economic leverage (which can magnify losses), and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. If a counterparty is unable to honor its commitments, the value of Fund shares may decline and/or the Fund could experience delays in the return of collateral or other assets held by the counterparty. An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the market. As interest rates rise, the value of certain income investments is likely to decline. Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to the risk of non–payment of principal and interest. The value of income securities also may decline because of real or perceived concerns about the issuer's ability to make principal and interest payments. No Fund is a complete investment program and you may lose money investing in a Fund. The Fund may engage in other investment practices that may involve additional risks and you should review the Fund prospectus for a complete description.


7. Percent of total net assets.
8. As a percent of fixed income holdings.
9. The following list reflects unaudited securities holdings. Holdings information may differ if presented as of trade date. Due to rounding, holdings of less than 0.005% may show as 0.00%. Portfolio information subject to change due to active management.

Insights & Analysis

Quarterly Commentary

 

No commentary information is available.

 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding.

About Risk 

The effectiveness of the Fund's option strategy is dependent upon a general imbalance of natural buyers over natural sellers of index options. This imbalance could decrease or be eliminated, which could have an adverse effect on the Fund. Derivatives instruments can be used to take both long and short positions, be highly volatile, result in economic leverage (which can magnify losses), and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. If a counterparty is unable to honor its commitments, the value of Fund shares may decline and/or the Fund could experience delays in the return of collateral or other assets held by the counterparty. An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the market. As interest rates rise, the value of certain income investments is likely to decline. Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to the risk of non–payment of principal and interest. The value of income securities also may decline because of real or perceived concerns about the issuer's ability to make principal and interest payments. No Fund is a complete investment program and you may lose money investing in a Fund. The Fund may engage in other investment practices that may involve additional risks and you should review the Fund prospectus for a complete description.


Attribution

 

No attribution information is available.

 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding.

About Risk 

The effectiveness of the Fund's option strategy is dependent upon a general imbalance of natural buyers over natural sellers of index options. This imbalance could decrease or be eliminated, which could have an adverse effect on the Fund. Derivatives instruments can be used to take both long and short positions, be highly volatile, result in economic leverage (which can magnify losses), and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. If a counterparty is unable to honor its commitments, the value of Fund shares may decline and/or the Fund could experience delays in the return of collateral or other assets held by the counterparty. An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the market. As interest rates rise, the value of certain income investments is likely to decline. Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to the risk of non–payment of principal and interest. The value of income securities also may decline because of real or perceived concerns about the issuer's ability to make principal and interest payments. No Fund is a complete investment program and you may lose money investing in a Fund. The Fund may engage in other investment practices that may involve additional risks and you should review the Fund prospectus for a complete description.


Management

Biography
Thomas H. Luster, CFA

Thomas H. Luster, CFA

Vice President, Eaton Vance Management
Joined Eaton Vance 1995

Tom Luster is a vice president of Eaton Vance Management, director of Investment-Grade Fixed Income and portfolio manager on Eaton Vance's investment-grade fixed-income team.

Tom joined Eaton Vance in 1995. Prior to joining Eaton Vance, Tom was associated with Deloitte & Touche Consulting and the Naval Center for Space Technology.

Tom earned a B.S. in mechanical engineering from George Washington University and an M.B.A. in finance from the University of Chicago. He is a CFA charterholder. Tom is also a member of the Fixed Income Management Society of Boston and the Boston Security Analysts Society, and was formerly chairman and a Governor's appointee to the Board of Trustees of Health Care Security, which oversees the investment of Tobacco Litigation Settlement funds for the Commonwealth of Massachusetts.

Tom's commentary has appeared in The Wall Street Journal, Reuters, Investor's Business Daily and American Banker, and he has been featured on New England Cable News and Bloomberg Radio.

Education
  • B.S. George Washington University
  • M.B.A. Booth School of Business, University of Chicago
Experience
  • Managed Fund since inception
 
Biography
Maria Cappellano

Maria Cappellano

Vice President, Eaton Vance Management
Joined Eaton Vance in 1998

Maria Cappellano is a vice president of Eaton Vance Management, and a fixed-income trader and portfolio manager on Eaton Vance's investment grade fixed-income team.

Maria joined Eaton Vance in 1998. She is the primary trader for money market funds and short duration portfolios and is involved in the planning and implementation of investment strategy for short duration and money market portfolios.

Maria earned a B.S. in business administration with a concentration in finance, summa cum laude, from Northeastern University.

Education
  • B.S. Northeastern University
Experience
  • Managed Fund since inception
 
Biography
Ken Everding, Ph.D

Ken Everding, Ph.D

Managing Director, Parametric Risk Advisors, LLC
Joined Parametric Risk Advisors 2005

Ken Everding is managing director of Parametric Risk Advisors, an investment adviser and subsidiary of Parametric Portfolio Associates, LLC, a majority-owned subsidiary of Eaton Vance Corp.

Prior to joining Parametric in 2005, Ken was a managing director at Zurich Capital Markets and BNP Paribas, following Zurich's acquisition. At Zurich, Ken's team was the pioneer in creating structured hedge fund products. Before Zurich, Ken was a founding member of Donaldson, Lufkin & Jenrette's credit derivative group and subsequently moved to London to form and run DLJ's European credit derivatives business. There, he was responsible for its trading, structuring and marketing efforts.

Ken earned a B.S. with honors in physics from Iowa State University and holds a doctorate in theoretical particle physics from Yale University. The title of his Ph.D. thesis is "Aspects of Non-Perturbative Quantum Electrodynamics," excerpts of which have been published in leading academic journals.

Education
  • B.S. Iowa State University
  • Ph.D. Yale University
Experience
  • Managed Fund since inception
 
Biography
Jonathan Orseck

Jonathan Orseck

Managing Director, Parametric Risk Advisors, LLC
Joined Parametric Risk Advisors 2006

Jon Orseck is managing director of Parametric Risk Advisors, an investment adviser and subsidiary of Parametric Portfolio Associates, LLC, a majority-owned subsidiary of Eaton Vance Corp.

Prior to joining Parametric in 2006, Jon was a managing director at Banc of America Securities, where he founded and managed the Equity Linked Solutions Group. He was responsible for the development, structuring, marketing and sales of equity and commodity index-linked structured investments. Before Bank of America, Jon was an executive director at Morgan Stanley responsible for structuring and marketing structured notes to institutional clients. He also managed their high- net-worth, over-the-counter equity derivative business for hedging and investment purposes for the eastern half of North America. From 1993-1996, Jon held similar roles at Kidder, Peabody and Royal Bank of Canada.

Jon earned a B.S. in computer science from the University of Pennsylvania and an M.B.A. from New York University Stern School of Business.

Education
  • B.S. University of Pennsylvania
  • M.B.A. Stern School of Business, New York University
Experience
  • Managed Fund since inception
 

Fund Literature

Fund Literature

Income Markets Review.pdf

Income Markets Snapshot.pdf

Discover Opportunities in the Income Markets with Eaton Vance.pdf

Holdings-1st or 3rd fiscal quarters-www.sec.gov

Fact Sheet

Think Performance Think Eaton Vance.pdf

Summary Prospectus

Full Prospectus

Annual Report

Semi-Annual Report

SAI

Tim Atwill on Systematic Alpha


 

Symbol:  

NAV as of  
  0.00%

Consider for:
Portfolio Diversification
All Weather
Hedging Rising Rates
Tax Efficiency
Inflation Protection
Investment Income