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, systematically selling these options in a risk-controlled manner may offer the potential for excess returns.

  • Implied Volatility
  • Realized Volatility

Average Annual Returns (%) as of Mar 31, 2012

3 Months YTD 1 Year 3 Years 5 Years Life of Fund
4/30/2012
Fund at NAV 1.63 1.73 3.32 — — 3.91
Fund w/Max Sales Charge -3.20 -3.11 -1.58 — — 0.76
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.02 0.01 0.05 0.13 1.14 0.10
3/31/2012
Fund at NAV -0.19 -0.19 2.06 — — 2.82
Fund w/Max Sales Charge -4.94 -4.94 -2.81 — — -0.47
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.01 0.01 0.06 0.13 1.23 0.10
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. Max Sales Charge: 4.75%.

Fund Facts as of Apr 30, 2012

Class A Inception 09/30/2010
Investment Objective Total return
Total Net Assets of Fund $59.1M
Minimum Investment $1000
Expense Ratio (Gross)4 1.80%
Expense Ratio (Net)4,5 1.55%
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. As of 05/01/2011, Fund name changed from Option Absolute Return Strategy Fund.
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 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. 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 4/30/13. Without the reimbursement, performance would have been lower.

Performance

Average Annual Returns (%) as of Mar 31, 2012

3 Months YTD 1 Year 3 Years 5 Years Life of Fund
4/30/2012
Fund at NAV 1.63 1.73 3.32 — — 3.91
Fund w/Max Sales Charge -3.20 -3.11 -1.58 — — 0.76
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.02 0.01 0.05 0.13 1.14 0.10
3/31/2012
Fund at NAV -0.19 -0.19 2.06 — — 2.82
Fund w/Max Sales Charge -4.94 -4.94 -2.81 — — -0.47
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 0.01 0.01 0.06 0.13 1.23 0.10
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. Max Sales Charge: 4.75%.

Calendar Year Returns (%)

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Fund at NAV — — — — — — — — — 3.87
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index3 1.78 1.15 1.33 3.06 4.83 5.03 2.06 0.21 0.13 0.10

Fund Facts

Expense Ratio (Gross)4 1.80%
Expense Ratio (Net)4,5 1.55%
Class A Inception 09/30/2010


NAV History

Date NAV NAV Change
May 15, 2012 $10.60 $-0.01
May 14, 2012 $10.61 $-0.03
May 11, 2012 $10.64 $0.01
May 10, 2012 $10.63 $0.01
May 09, 2012 $10.62 $0.00
May 08, 2012 $10.62 $-0.02
May 07, 2012 $10.64 $0.02
May 04, 2012 $10.62 $0.01
May 03, 2012 $10.61 $0.03
May 02, 2012 $10.58 $0.01

Distribution History6

Ex-Date Distribution Reinvest NAV
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
Mar 15, 2011 $0.00310 $0.01480 $10.15
Dec 29, 2010 $0.01680 $10.02
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. 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 4/30/13. 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

Asset Mix Excluding Derivatives (%)7 as of Mar 31, 2012

Agencies 35.9
Corporate 33.2
Treasuries 21.9
CMBS 5.1
MBS 1.8
Cash 1.8
ABS 0.5

Credit Quality (%)7 as of Mar 31, 2012

AAA 5.90
AA 6.20
A 23.90
BBB 3.50
U.S. Government Agency 38.30
U.S. Government 22.30
Ratings are based on Moody's, S&P or Fitch, as applicable. Credit ratings are based largely on the rating agency's investment analysis at the time of rating and the rating assigned to any particular security is not necessarily a reflection of the issuer's current financial condition. The rating assigned to a security by a rating agency 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.


Fixed Income Characteristics (%) as of Mar 31, 2012

Effective Maturity 0.57 yrs.
Effective Duration 0.55 yrs.


Fund Holdings (%)8,9 as of Mar 31, 2012

Holding % of Net Assets
Federal Home Loan Mortgage Corp 8.3038%
Federal National Mortgage Association 7.8093%
United States Treasury Note/Bond 5.6887%
United States Treasury Note/Bond 3.9516%
United States Treasury Note/Bond 3.9171%
United States Treasury Note/Bond 3.9107%
Federal National Mortgage Association 3.8965%
Federal National Mortgage Association 3.1274%
Federal Home Loan Mortgage Corp 2.9162%
Federal Farm Credit Banks Funding Corp 2.3432%
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. As a percent of fixed income holdings.
8. Percent of total net assets.
9. Includes unaudited securities holdings (which exclude any derivatives positions.) Portfolio characteristic information (such as sector weightings, top ten holdings, etc.) presented for the Fund or Portfolio (if applicable) may differ slightly from the information listed if presented as of trade date. Due to rounding, holdings of less than 0.00005% may show as 0.0000%. Portfolio profile subject to change due to active management.

Insights & Analysis

Quarterly Commentary

 

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 forshort 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
Other funds managed
 
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
Other funds managed
 
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
Other funds managed
 

Fund Literature

Fund Literature

Discover Opportunities in the Income Markets with Eaton Vance

Updated as of Apr 30, 2012

Income Markets Review

Updated as of Apr 30, 2012

Income Markets Snapshot

Updated as of Apr 30, 2012

Advisor Resource Guide

Updated as of Mar 31, 2012

Fact Sheet

Updated as of Mar 31, 2012

An alternate route to asset allocation

Updated as of Mar 31, 2011

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

Updated as of Jul 12, 2011

Summary Prospectus

Updated as of May 1, 2012

Full Prospectus

Updated as of May 1, 2012

Annual Report

Updated as of Dec 31, 2011

Semiannual Report

Updated as of Jun 30, 2011


 

Symbol:  

NAV as of  
  0.00%

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