Overview

 

Attractive risk-adjusted returns since Investor class performance inception date as of 10/31/2011 (as measured by Sharpe ratio).5

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 -1.18 -0.59 -0.20 0.46 — — 0.77
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index6 0.01 0.03 0.03 0.12 0.11 0.33 0.09
3/31/2013
Fund at NAV 0.39 0.99 0.99 1.65 — — 1.66
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index6 0.02 0.02 0.02 0.12 0.11 0.34 0.09
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. Total return prior to the commencement of the class reflects returns of another Fund class. Prior returns are adjusted to reflect applicable sales charge (but were not adjusted for other expenses). If adjusted for other expenses, returns would be lower.

Fund Facts as of Apr 30, 2013

Investor Class Inception 12/09/2011
Performance Inception 10/31/2011
Investment Objective Total return
Total Net Assets of Fund $54.8M
Minimum Investment $1000
Expense Ratio (Gross)7 2.34%
Expense Ratio (Net)7,8 1.55%
CUSIP 277923215


Portfolio Management

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

 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding. Fund primarily invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund and may also invest directly. References to investments are to the aggregate holdings of the Fund and the Portfolio.

About Risk 

Fund share values are sensitive to stock market volatility. The value of foreign currencies as measured in U.S. dollars will fluctuate and may be unpredictably affected by changes in foreign currency rates and exchange control regulations, application of foreign tax laws, governmental administration of economic or monetary policies, intervention by U.S. or foreign governments or central banks, and relations between nations. Investments in foreign instruments or currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic, political, regulatory, geopolitical or other conditions. 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. 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.


1. Prior to 3/1/13, the Fund name was Eaton Vance Parametric Structured Absolute Return 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. Alpha measures risk-adjusted performance, showing excess return delivered at the same risk level as the benchmark.
3. Diversification cannot assure a profit or eliminate the risk of loss.
4. Beta measures the volatility of a fund relative to the overall market.
5. Source: Morningstar. Investor Class at net asset value. Sharpe ratio is a standard measure of risk-adjusted performance. Returns measure average annualized total return. Volatility is measured by standard deviation of monthly returns.
6. 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.
7. Source: Fund prospectus.
8. Net expense ratio reflects a contractual expense reimbursement that continues through 2/28/14. 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 -1.18 -0.59 -0.20 0.46 — — 0.77
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index6 0.01 0.03 0.03 0.12 0.11 0.33 0.09
3/31/2013
Fund at NAV 0.39 0.99 0.99 1.65 — — 1.66
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index6 0.02 0.02 0.02 0.12 0.11 0.34 0.09
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. Total return prior to the commencement of the class reflects returns of another Fund class. Prior returns are adjusted to reflect applicable sales charge (but were not adjusted for other expenses). If adjusted for other expenses, returns would be lower.

Calendar Year Returns (%)

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012
Fund at NAV — — — — — — — — — 1.46
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index6 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)7 2.34%
Expense Ratio (Net)7,8 1.55%
Investor Class Inception 12/09/2011
Performance Inception 10/31/2011


NAV History

Date NAV NAV Change
May 21, 2013 $9.96 $-0.01
May 20, 2013 $9.97 $-0.01
May 17, 2013 $9.98 $-0.01
May 16, 2013 $9.99 $-0.03
May 15, 2013 $10.02 $0.00
May 14, 2013 $10.02 $-0.01
May 13, 2013 $10.03 $-0.03
May 10, 2013 $10.06 $0.01
May 09, 2013 $10.05 $-0.01
May 08, 2013 $10.06 $-0.02

Distribution History9

Ex-Date Distribution Reinvest NAV
Dec 20, 2012 $0.05600 $10.09
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 History9

Ex-Date Short-Term Long-Term Reinvest NAV
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. Fund primarily invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund and may also invest directly. References to investments are to the aggregate holdings of the Fund and the Portfolio.

About Risk 

Fund share values are sensitive to stock market volatility. The value of foreign currencies as measured in U.S. dollars will fluctuate and may be unpredictably affected by changes in foreign currency rates and exchange control regulations, application of foreign tax laws, governmental administration of economic or monetary policies, intervention by U.S. or foreign governments or central banks, and relations between nations. Investments in foreign instruments or currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic, political, regulatory, geopolitical or other conditions. 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. 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.


6. 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.
7. Source: Fund prospectus.
8. Net expense ratio reflects a contractual expense reimbursement that continues through 2/28/14. Without the reimbursement, performance would have been lower.
9. 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

Strategy Weights (%)10,11 as of Mar 31, 2013

Strategy
Commodity Market Neutral 33.1
Currency Market Neutral 33.3
Emerging Markets Equity Market Neutral 8.4
International Equity Market Neutral 8.3
US Dividend Income Equity Market Neutral 8.4
US Equity Market Neutral 8.4
Total 100.0

Commodity Weights (%) as of Mar 31, 2013

Commodity Fund DJ-UBS12
Aluminum 7.9 4.5
Cocoa 2.0 0.0
Coffee 2.0 2.2
Copper 7.8 6.7
Corn 3.7 7.1
Cotton 2.0 2.0
Crude Oil-Brent 2.0 5.7
Crude Oil-WTI 2.0 9.5
GasOil 8.0 3.5
Gasoline 7.9 3.8
Gold 7.9 10.4
Lead 3.9 0.0
Lean Hogs 2.0 2.0
Live Cattle 4.0 3.0
Nat Gas 7.9 12.7
Nickel 3.9 2.2
Platinum 2.0 0.0
Silver 3.9 3.6
Soy Oil 3.9 2.7
Soybeans 3.8 5.5
Soy Meal 0.0 2.6
Sugar 3.9 3.6
Wheat 3.7 4.3
Zinc 3.9 2.3
Total 100.0 100.0


Currency Weights (%) as of Mar 31, 2013

Country Fund U.S. Dollar Index13
Australia 9.1 0.0
Canada 9.1 9.1
Euro 9.1 57.6
Israel 9.1 0.0
Japan 9.1 13.6
New Zealand 9.1 0.0
Norway 9.1 0.0
Singapore 9.1 0.0
Sweden 9.1 4.2
Switzerland 9.1 3.6
United Kingdom 9.1 11.9
Total 100.0 100.0

Emerging Markets Equity Country Weights (%) as of Mar 31, 2013

Country Fund MSCI EM14
Brazil 7.3 12.7
Chile 3.6 2.0
China 10.7 18.1
Colombia 1.8 1.2
Czech Republic 1.8 0.2
Egypt 1.8 0.3
Hungary 1.8 0.2
India 7.2 6.6
Indonesia 3.7 3.0
Korea (South) 7.2 14.9
Kuwait 1.8 0.0
Malaysia 3.6 3.5
Mexico 7.4 5.5
Morocco 0.2 0.1
Peru 1.8 0.6
Philippines 1.9 1.1
Poland 3.6 1.5
Qatar 1.8 0.0
Russia 7.2 5.9
South Africa 7.2 7.1
Taiwan 7.2 10.8
Thailand 3.7 2.8
Turkey 3.7 2.2
United Arab Emirates 1.8 0.0
Total 100.0 100.0


International Equity Country Weights (%) as of Mar 31, 2013

Country Fund MSCI EAFE15
Australia 7.0 9.2
Austria 1.4 0.3
Belgium 3.6 1.2
Denmark 3.9 1.1
Finland 2.9 0.8
France 7.1 9.2
Germany 6.9 8.4
Greece 0.4 0.1
Hong Kong 5.0 3.1
Ireland 1.3 0.3
Israel 2.4 0.5
Italy 3.8 1.9
Japan 12.3 21.3
Netherlands 4.3 2.4
New Zealand 0.8 0.1
Norway 3.1 0.9
Portugal 0.7 0.2
Singapore 4.7 1.8
Spain 4.3 2.7
Sweden 4.4 3.3
Switzerland 7.0 9.2
United Kingdom 12.9 21.9
Total 100.0 100.0

United States Equity Sector Weights (%) as of Mar 31, 2013

Barra USE2L Sector Fund Russell 3000 Index16
Basic Materials 5.4 5.0
Consumer Services 6.2 3.6
Consumer (Cyclical) 7.3 7.5
Consumer (Non-Cyc.) 9.7 8.8
Commercial Services 6.4 5.9
Energy 9.3 9.3
Financial 13.2 17.9
Health Care 11.0 12.0
Industrials 5.6 4.0
Technology 12.6 17.8
Telecommunications 3.6 2.6
Transport 3.3 2.2
Utility 6.5 3.5
Total 100.0 100.0


United States Dividend Income Equity Sector Weights (%) as of Mar 31, 2013

Barra USE2L Sector Fund S&P 500 Index17
Basic Materials 11.7 4.6
Consumer Services 5.6 2.8
Consumer (Cyclical) 2.8 6.6
Consumer (Non-Cyc.) 10.9 10.1
Commercial Services 6.2 5.6
Energy 9.5 10.3
Financial 11.8 17.0
Health Care 11.2 12.4
Industrials 3.2 3.7
Technology 10.6 18.6
Telecommunications 2.7 2.9
Transport 2.7 2.0
Utility 11.2 3.6
Total 100.0 100.0


 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding. Fund primarily invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund and may also invest directly. References to investments are to the aggregate holdings of the Fund and the Portfolio.

About Risk 

Fund share values are sensitive to stock market volatility. The value of foreign currencies as measured in U.S. dollars will fluctuate and may be unpredictably affected by changes in foreign currency rates and exchange control regulations, application of foreign tax laws, governmental administration of economic or monetary policies, intervention by U.S. or foreign governments or central banks, and relations between nations. Investments in foreign instruments or currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic, political, regulatory, geopolitical or other conditions. 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. 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.


10. Percent of total net assets.
11. "Market Neutral" reflects both long and short positions for each strategy.
12. Dow Jones-UBS Commodity Index Total Return is designed to provide diversified commodity exposure, with weightings based on each underlying commodity's liquidity and economic significance. 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.
13. The U.S. Dollar Index is an index of the value of the United States dollar relative to a basket of foreign currencies.
14. MSCI Emerging Markets Index is an unmanaged index of emerging markets common stocks. 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. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
15. MSCI EAFE Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. 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. Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
16. Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. stocks. 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.
17. S&P 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. 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.

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. Fund primarily invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund and may also invest directly. References to investments are to the aggregate holdings of the Fund and the Portfolio.

About Risk 

Fund share values are sensitive to stock market volatility. The value of foreign currencies as measured in U.S. dollars will fluctuate and may be unpredictably affected by changes in foreign currency rates and exchange control regulations, application of foreign tax laws, governmental administration of economic or monetary policies, intervention by U.S. or foreign governments or central banks, and relations between nations. Investments in foreign instruments or currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic, political, regulatory, geopolitical or other conditions. 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. 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.

 

Portfolio profile subject to change due to active management. Percentages may not total 100% due to rounding. Fund primarily invests in an affiliated investment company (Portfolio) with the same objective(s) and policies as the Fund and may also invest directly. References to investments are to the aggregate holdings of the Fund and the Portfolio.

About Risk 

Fund share values are sensitive to stock market volatility. The value of foreign currencies as measured in U.S. dollars will fluctuate and may be unpredictably affected by changes in foreign currency rates and exchange control regulations, application of foreign tax laws, governmental administration of economic or monetary policies, intervention by U.S. or foreign governments or central banks, and relations between nations. Investments in foreign instruments or currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic, political, regulatory, geopolitical or other conditions. 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. 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

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

Fact Sheet

Think Performance Think Eaton Vance.pdf

Summary Prospectus

Full Prospectus

XBRL

XBRL

Annual Report

Semiannual Report

SAI

Tim Atwill on Systematic Alpha

Parametric Market Neutral Holdings


 

Symbol:  

NAV as of  
  0.00%

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