Overview

Parametric Volatility Risk Premium - Defensive Fund Hero Chart

S&P 500 Index options have traded with positive volatility risk premium (VRP) over 86% of the time.1

Historical Returns (%) as of Jun 30, 2021

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 or equal to one year is cumulative. The share class has no sales charge.
 

Fund Facts as of Jun 30, 2021

Institutional Class Inception 02/09/2017
Investment Objective Total return
Total Net Assets $1.1B
Minimum Investment $50000
Expense Ratio5 0.47%
CUSIP 27826A144

Top 10 Holdings (%)6,7 as of Mar 31, 2021

Apple Inc. 6.12
Microsoft Corporation 5.81
Amazon.com Inc. 4.31
Facebook Inc. Class A 2.43
Alphabet Inc. Class C 2.17
Alphabet Inc. Class A 2.06
Berkshire Hathaway Inc. Class B 1.84
JPMorgan Chase & Co. 1.61
Johnson & Johnson 1.56
UnitedHealth Group Incorporated 1.51
Total 29.41
 

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

About Risk: 

The value of investments held by the Fund may increase or decrease in response to economic, and financial events (whether real, expected or perceived) in the U.S. and global markets. 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. The value of equity securities is sensitive to stock market volatility. Calls and puts written by the Fund will be based on the S&P 500 Index or a substitute for the S&P 500 Index. If the S&P 500 Index appreciates or depreciates sufficiently over the period to offset the net premium received, the Fund will incur a net loss. The Fund's exposure to derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other investments. Derivatives instruments can be highly volatile, result in leverage (which can increase both the risk and return potential of the Fund), 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. The Fund is exposed to liquidity risk when trading volume, lack of a market maker or trading partner, large position size, market conditions, or legal restrictions impair its ability to sell particular investments or to sell them at advantageous market prices. The sub-adviser uses proprietary investment techniques and analyses in making investment decisions for the Fund. A systematic investment process is dependent on the sub-adviser’s skill in developing and maintaining that process. The impact of the coronavirus on global markets could last for an extended period and could adversely affect the Fund’s performance. 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

Historical Returns (%) as of Jun 30, 2021

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 or equal to one year is cumulative. The share class has no sales charge.
 

Calendar Year Returns (%)

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Institutional Class at NAV -3.08 15.79 4.73
Benchmark 12 5.72 5.20 13.26 5.64 5.24 7.07 13.00 -4.77 15.68 -2.75
Benchmark 2 1.39 7.93 15.29 6.74 0.93 6.12 10.91 -1.02 16.26 10.07
 

Fund Facts

Expense Ratio5 0.47%
Institutional Class Inception 02/09/2017
Distribution Frequency Annually
 

NAV History

Date NAV NAV Change
Jul 28, 2021 $13.84 $0.01
Jul 27, 2021 $13.83 -$0.03
Jul 26, 2021 $13.86 $0.02
Jul 23, 2021 $13.84 $0.05
Jul 22, 2021 $13.79 $0.02
Jul 21, 2021 $13.77 $0.06
Jul 20, 2021 $13.71 $0.13
Jul 19, 2021 $13.58 -$0.13
Jul 16, 2021 $13.71 -$0.05
Jul 15, 2021 $13.76 -$0.02
 

Distribution History8

Ex-Date Distribution Reinvest NAV
Dec 15, 2020 $0.08340 $12.24
Dec 12, 2019 $0.14730 $11.84
Dec 13, 2018 $0.12940 $10.83
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 History8

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

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

About Risk: 

The value of investments held by the Fund may increase or decrease in response to economic, and financial events (whether real, expected or perceived) in the U.S. and global markets. 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. The value of equity securities is sensitive to stock market volatility. Calls and puts written by the Fund will be based on the S&P 500 Index or a substitute for the S&P 500 Index. If the S&P 500 Index appreciates or depreciates sufficiently over the period to offset the net premium received, the Fund will incur a net loss. The Fund's exposure to derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other investments. Derivatives instruments can be highly volatile, result in leverage (which can increase both the risk and return potential of the Fund), 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. The Fund is exposed to liquidity risk when trading volume, lack of a market maker or trading partner, large position size, market conditions, or legal restrictions impair its ability to sell particular investments or to sell them at advantageous market prices. The sub-adviser uses proprietary investment techniques and analyses in making investment decisions for the Fund. A systematic investment process is dependent on the sub-adviser’s skill in developing and maintaining that process. The impact of the coronavirus on global markets could last for an extended period and could adversely affect the Fund’s performance. 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

Asset Mix (%)7 as of Mar 31, 2021

Portfolio Statistics as of Mar 31, 2021

Median Market Cap $31.9B
Price/Earnings Ratio 28.46
Number of Holdings 188
Price/Book Ratio 3.88
 

GICS Sector Breakdown (%)9 as of Mar 31, 2021

 

Fund Holdings (%)7,10 as of May 31, 2021

Holding % of Net Assets
United States Treasury Bill 9.92%
United States Treasury Bill 4.45%
United States Treasury Bill 4.43%
United States Treasury Bill 3.80%
United States Treasury Note/Bond 3.28%
United States Treasury Bill 2.99%
Apple Inc 2.90%
Microsoft Corp 2.85%
United States Treasury Note/Bond 2.49%
United States Treasury Bill 2.44%
View All

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

About Risk: 

The value of investments held by the Fund may increase or decrease in response to economic, and financial events (whether real, expected or perceived) in the U.S. and global markets. 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. The value of equity securities is sensitive to stock market volatility. Calls and puts written by the Fund will be based on the S&P 500 Index or a substitute for the S&P 500 Index. If the S&P 500 Index appreciates or depreciates sufficiently over the period to offset the net premium received, the Fund will incur a net loss. The Fund's exposure to derivatives involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other investments. Derivatives instruments can be highly volatile, result in leverage (which can increase both the risk and return potential of the Fund), 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. The Fund is exposed to liquidity risk when trading volume, lack of a market maker or trading partner, large position size, market conditions, or legal restrictions impair its ability to sell particular investments or to sell them at advantageous market prices. The sub-adviser uses proprietary investment techniques and analyses in making investment decisions for the Fund. A systematic investment process is dependent on the sub-adviser’s skill in developing and maintaining that process. The impact of the coronavirus on global markets could last for an extended period and could adversely affect the Fund’s performance. 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

Thomas B. Lee, CFA

Thomas B. Lee, CFA

Chief Investment Officer
Joined Parametric 1994

Biography

Tom is a member of Parametric's Executive Committee and leads Parametric's Research, Strategy, Portfolio Management, and Trading Teams, coordinating resources, aligning priorities, and establishing processes for achieving clients' investment objectives. Tom has coauthored articles on topics ranging from liability-driven investing to the volatility risk premium. He is a voting member of all the firm's investment committees.

Prior to joining Parametric in 1994 (originally as an employee of the Clifton Group, which was acquired by Parametric in 2012), Tom spent two years working for the Board of Governors of the Federal Reserve in Washington, DC.

He earned a BS in economics and an MBA in finance from the University of Minnesota. A CFA charterholder, Tom is a member of the CFA Society of Minnesota.

Education
  • B.S. and MBA University of Minnesota

Experience
  • Managed Fund since inception

 
Thomas C. Seto

Thomas C. Seto

Head of Investment Management
Parametric Seattle Investment Center
Joined Parametric Portfolio Associates 1998

Biography

Thomas Seto is head of investment management with Parametric Portfolio Associates LLC, an investment adviser and majority-owned subsidiary of Eaton Vance Corp. Tom is responsible for all portfolio management and trading at the Seattle Investment Center, and is a member of the executive committee. He joined Parametric in 1998.

Tom began his career in the investment management industry in 1991. Before joining Parametric, he served as the head of U.S. equity index investments at Barclays Global Investors.

Tom earned a B.S. in electrical engineering from the University of Washington and an MBA from the University of Chicago Booth School of Business.

Education
  • B.S. University of Washington
  • M.B.A Booth School of Business, University of Chicago

Experience
  • Managed Fund since inception

 

Alex Zweber, CFA

Institutional Portfolio Manager, Eaton Vance Management (International) Limited
Joined Eaton Vance in 2018

Biography

Alex Zweber is an institutional portfolio manager for Eaton Vance Management (International) Limited. He is responsible for supporting the development and distribution of Eaton Vance's strategies in Europe, with a focus on investment solutions from Parametric Portfolio Associates, an investment adviser and majority-owned subsidiary of Eaton Vance. He joined Eaton Vance in 2018 from Parametric, which he joined in 2006.

Alex began his career in the investment management industry in 2006 with The Clifton Group (acquired by Parametric in 2012). Before joining Eaton Vance, he was a senior portfolio manager at Parametric, working on volatility risk premium solutions, including defensive equity and global defensive equity strategies. He has over 10 years of experience with portfolio construction, trading and portfolio management across both futures and options, and works closely with institutional clients and consultants to address their investment and risk management needs.

Alex earned a B.A. in economics from Macalester College. He is a CFA charterholder and a member of the CFA Society of the UK.

Education
  • B.A. Macalester College

Experience
  • Managed Fund since 2021

 

Literature

Literature

Fact Sheet

Download - Last updated: Jun 30, 2021

Commentary

Download - Last updated: Mar 31, 2021

Annual Report

Download - Last updated: Jan 31, 2021

Full Prospectus

Download - Last updated: Jun 1, 2021

Q1 Holdings

Download - Last updated: Apr 30, 2021

Q3 Holdings

Download - Last updated: Oct 31, 2020

Holdings - Form N-PORT

Download

SAI

Download - Last updated: Jun 1, 2021

Semi-Annual Report

Download - Last updated: Jul 31, 2020

Summary Prospectus

Download - Last updated: Jun 1, 2021