Overview

 

A hedge against inflation, and diversification for a portfolio.2

Commodities have shown a high correlation to inflation, but negative correlation to stocks and bonds. (January 1973-December 2013)

  • Commodities
  • Stocks
  • Bonds

Not based on the return of any specific fund.

Average Annual Returns (%) as of Mar 31, 2014

1 Month 3 Months YTD 1 Year 3 Years 5 Years Life of Fund
Fund at NAV 0.00 5.27 5.27 -3.50 -6.24
Dow Jones-UBS Commodity Index Total Return3 0.41 6.99 6.99 -2.10 -7.36 4.24 -6.62
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 Mar 31, 2014

Institutional Class Inception 05/25/2011
Investment Objective Total return
Total Net Assets $93.8M
Minimum Investment $50000
Expense Ratio (Gross)4 1.18%
Expense Ratio (Net)4,5 0.75%
CUSIP 277923223


Portfolio Management

David Stein, Ph.D Managed Fund since inception
Thomas Seto Managed Fund since inception

About Risk 

The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, including weather, embargoes, tariffs, or health, political, international and regulatory developments. 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. As interest rates rise, the value of certain income investments is likely to decline. Because the Fund may invest significantly in a particular sector, the Fund share value may fluctuate more than a fund with less exposure to such sector. A non-diversified fund may be subject to greater risk by investing in a smaller number of investments than a diversified fund. 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.


Performance

Average Annual Returns (%) as of Mar 31, 2014

1 Month 3 Months YTD 1 Year 3 Years 5 Years Life of Fund
Fund at NAV 0.00 5.27 5.27 -3.50 -6.24
Dow Jones-UBS Commodity Index Total Return3 0.41 6.99 6.99 -2.10 -7.36 4.24 -6.62
Morningstar™ Commodities Broad Basket Category6 0.20 4.62 4.62 -3.17 -6.92 5.29
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 (%)

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Fund at NAV 2.30 -10.39
Dow Jones-UBS Commodity Index Total Return3 9.15 21.36 2.07 16.23 -35.65 18.91 16.83 -13.32 -1.06 -9.52

Fund Facts

Expense Ratio (Gross)4 1.18%
Expense Ratio (Net)4,5 0.75%
Institutional Class Inception 05/25/2011
Distribution Frequency Annually


NAV History

Date NAV NAV Change
Apr 22, 2014 $8.21 $0.05
Apr 21, 2014 $8.16 $-0.05
Apr 17, 2014 $8.21 $0.04
Apr 16, 2014 $8.17 $0.03
Apr 15, 2014 $8.14 $-0.06
Apr 14, 2014 $8.20 $0.05
Apr 11, 2014 $8.15 $-0.02
Apr 10, 2014 $8.17 $0.05
Apr 09, 2014 $8.12 $0.03

Distribution History7

Ex-Date Distribution Reinvest NAV
Dec 20, 2012 $0.32410 $8.46
Dec 28, 2011 $0.02260 $8.56
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 History7

Ex-Date Short-Term Long-Term Reinvest NAV
Dec 20, 2012 $0.00210 $8.46
Mar 13, 2012 $0.00120 $9.18
No records in this table indicates that there has not been a capital gain greater than .0001 within the past 3 years.
Fund prospectus

About Risk 

The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, including weather, embargoes, tariffs, or health, political, international and regulatory developments. 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. As interest rates rise, the value of certain income investments is likely to decline. Because the Fund may invest significantly in a particular sector, the Fund share value may fluctuate more than a fund with less exposure to such sector. A non-diversified fund may be subject to greater risk by investing in a smaller number of investments than a diversified fund. 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.


Portfolio

Portfolio Statistics as of Mar 31, 2014

Average Duration 0.44 yrs.

Commodity Exposure (%)8 as of Mar 31, 2014

Agriculture 25.70
Cocoa 1.90
Coffee 3.53
Corn 3.65
Cotton 1.87
Kansas Wheat 0.01
Soybean Meal 0.02
Soybean Oil 3.61
Soybeans 3.69
Sugar 3.70
Wheat 3.73
Energy 25.81
Crude Oil-Brent 1.80
Crude Oil-WTI 1.77
Gas Oil 7.48
Heating Oil 0.02
Natural Gas 7.30
Unleaded Gas 7.44
Industrial Metals 25.21
Aluminum 7.45
Copper 7.43
Lead 1.91
New York Copper 0.03
Nickel 3.75
Tin 0.95
Zinc 3.70
Livestock 6.03
Feeder Cattle 0.48
Lean Hogs 1.84
Live Cattle 3.71
Precious Metals 17.25
Gold 7.19
Palladium 0.95
Platinum 1.87
Silver 7.24


About Risk 

The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, including weather, embargoes, tariffs, or health, political, international and regulatory developments. 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. As interest rates rise, the value of certain income investments is likely to decline. Because the Fund may invest significantly in a particular sector, the Fund share value may fluctuate more than a fund with less exposure to such sector. A non-diversified fund may be subject to greater risk by investing in a smaller number of investments than a diversified fund. 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.


Insights & Analysis

Quarterly Commentary

A Word On The Markets  as of Mar 31, 2014

Commodity markets, as measured by the Dow Jones-UBS Commodity Index Total Return (the Index)3, returned 6.99% for the first quarter of 2014.

Index returns were primarily driven by steep increases in natural gas and grain prices. The jump in natural gas prices primarily arose from the lingering effects of the frigid winter in the eastern and Midwest United States, which resulted in record withdrawals from natural gas inventories. The cold weather also impacted wheat prices, as winter wheat crops were damaged by the combination of bitter cold and lack of snow cover.

Weather further impacted commodity prices in the form of a drought in Brazil. As Brazil is one of the largest soybean exporters in the world, this drove soybean prices higher. In addition, with Brazil accounting for nearly one-third of global coffee production, this drought has made coffee the standout performer in the commodities universe, with prices climbing 58.1% over the course of the quarter.

Lean hogs also rallied strongly over the quarter, due to an outbreak of the PED virus, which dramatically tightened hog supply in the face of record pork demand.

Performance Summary 

Parametric Commodity Strategy Fund (the Fund) underperformed the Index at net asset value for the quarter.

  • The Fund primarily relies on three actions in pursuing its investment objectives: reweighting versus the Index, rebalancing and commodity curve positioning.9
  • The Fund’s reweighting decision had the most impact on returns during the quarter, with the bulk of the underperformance arising from notable overweights to gasoline and gasoil, and underweights to corn and aluminum.
  • The Fund’s emphasis on rebalancing back to target weights mildly contributed to performance, due to the presence of reversion among commodities in the Index. Reversion describes the situation where recent relative outperformers become relative underperformers and vice versa. Rebalancing requires one to sell a portion of the outperforming assets, and is beneficial during times of reversion.
  • Curve positioning also detracted from Fund performance for the quarter.

Average Annual Returns (%) as of Mar 31, 2014

1 Month 3 Months YTD 1 Year 3 Years 5 Years Life of Fund
Fund at NAV 0.00 5.27 5.27 -3.50 -6.24
Dow Jones-UBS Commodity Index Total Return3 0.41 6.99 6.99 -2.10 -7.36 4.24 -6.62
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 Mar 31, 2014

Institutional Class Inception 05/25/2011
Expense Ratio (Gross)4 1.18%
Expense Ratio (Net)4,5 0.75%


Contributors 

Factors contributing to the Fund’s relative performance compared to the Index during the quarter:

  • An underweight in Brent crude oil contributed to the Fund’s performance versus the Index, as prices fell in reaction to slower growth in China and growing inventories.
  • An overweight in nickel also lifted performance relative to the Index due to supply constraints, as Indonesia has placed export bans on nickel ore and Russian supplies are being impacted by international trade sanctions.
  • An overweight in coffee further aided relative performance, as drought conditions in Brazil have had dire consequences on future coffee supplies.

Detractors 

Factors detracting from the Fund’s relative performance compared to the Index during the quarter:

  • An overweight in distillates (primarily gasoil and gasoline) detracted from the Fund’s performance versus the Index, due to increasing inventories and falling Brent crude oil prices.
  • An underweight in corn also detracted from performance relative to the Index. Corn prices rose on reports that cold weather in the U.S. Midwest has hurt early-planted corn crops, and indications that farmers are moving acreage from corn to soybeans for the 2014 growing season.
  • Non-Index positions were a detractor overall to relative performance, primarily due to positions in lead.

Investment Outlook And Fund Positioning 

Commentators demonstrate a wide range of opinions regarding the commodity asset class. Regardless of the near-term forecast, the secular trend of increasing demand for raw materials from emerging economies is believed by many to be a permanent feature in the global economy. While commodities may continue to demonstrate remarkable volatility, they may do so against a background of increasing prices.

How does one invest in this space with so much short-term uncertainty? We seek to manage risk through broad diversification10, avoiding concentrations and by rebalancing – all key factors to consider when making investment decisions. Parametric’s commodity investment strategy relies on a rules-based approach, in combination with a rebalancing discipline to avoid concentration, and is aimed to seek total return.

 

The views expressed in this report are those of portfolio manager(s) and are current only through the date stated at the top of this page. These views are subject to change at any time based upon market or other conditions, and Eaton Vance disclaims any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. This commentary may contain statements that are not historical facts, referred to as "forward looking statements". The Fund's actual future results may differ significantly from those stated in any forward-looking statement, depending on factors such as changes in securities or financial markets or general economic conditions, the volume of sales and purchases of Fund shares, the continuation of investment advisory, administrative and service contracts, and other risks discussed from time to time in the Fund's filings with the Securities and Exchange Commission.

About Risk 

The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, including weather, embargoes, tariffs, or health, political, international and regulatory developments. 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. As interest rates rise, the value of certain income investments is likely to decline. Because the Fund may invest significantly in a particular sector, the Fund share value may fluctuate more than a fund with less exposure to such sector. A non-diversified fund may be subject to greater risk by investing in a smaller number of investments than a diversified fund. 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.

About Risk 

The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity, including weather, embargoes, tariffs, or health, political, international and regulatory developments. 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. As interest rates rise, the value of certain income investments is likely to decline. Because the Fund may invest significantly in a particular sector, the Fund share value may fluctuate more than a fund with less exposure to such sector. A non-diversified fund may be subject to greater risk by investing in a smaller number of investments than a diversified fund. 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
David Stein, Ph.D

David Stein, Ph.D

Chief Investment Officer, Parametric Portfolio Associates
Joined Parametric Portfolio Associates 1996

David Stein is chief investment officer of Parametric Portfolio Associates LLC, an investment adviser and majority-owned subsidiary of Eaton Vance Corp., leading the firm's investment, research and technology activities. He maintains a focus on Parametric's intellectual capital, and is dedicated to advancing the art and science of investment management in the presence of taxes.

David's experience in the investment industry dates to 1987. Prior to joining Parametric in 1996, he held senior research, development and portfolio management positions at GTE Investment Management Corp., The Vanguard Group and IBM Retirement Funds. He has additional experience as a research scientist with IBM Research Laboratories, where he designed computer hardware and software systems.

David earned both a B.S. and an M.S. from the University of Witwatersrand, South Africa, and a Ph.D. in applied mathematics from Harvard University.

David holds a number of patents and is published in multiple academic journals, including Mathematics of Operations Research, The Journal of Wealth Management and the Journal of Portfolio Management, among others. He is on the After-Tax Subcommittee of the AIMR-PPS standards committee and on the advisory board of the Journal of Wealth Management.

Education
  • B.S. and M.S., University of Witwatersrand, South Africa
  • Ph.D. Harvard University
Experience
  • Managed Fund since inception
Biography
Thomas Seto

Thomas Seto

Director of Portfolio Management, Parametric Portfolio Associates
Joined Parametric Portfolio Associates 1998

Tom Seto is managing director of portfolio management and a portfolio manager at Parametric Portfolio Associates LLC, an investment adviser and majority-owned subsidiary of Eaton Vance Corp. He is responsible for all portfolio management activity at Parametric, including tax-managed core, OverlayOne and institutional structured equity strategies.

Prior to joining Parametric in 1998, Tom served as the head of U.S. Equity Index Investments at Barclays Global Investors, where he was responsible for portfolio management of all U.S. equity index strategies.

Tom earned a B.S. in electrical engineering from the University of Washington in 1985 and an M.B.A. in finance from the University of Chicago Booth School of Business in 1991.

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

Fund Literature

Fund Literature

Report of Organizational Actions Affecting Basis of Securities

Annual Report

Commentary

Fact Sheet

Full Prospectus

Parametric Commodity Strategy Holdings

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

SAI

Semi-Annual Report

Summary Prospectus

XBRL


 

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