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, 2020

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, 2020

Institutional Class Inception 02/09/2017
Investment Objective Total return
Total Net Assets $848.0M
Minimum Investment $50000
Expense Ratio5 0.48%
CUSIP 27826A144

Top 10 Holdings (%)6,7 as of Jun 30, 2020

Microsoft Corporation 6.38
Apple Inc. 6.08
Amazon.com, Inc. 4.68
Facebook, Inc. Class A 2.29
Alphabet Inc. Class C 1.84
Alphabet Inc. Class A 1.76
Johnson & Johnson 1.76
Berkshire Hathaway Inc. Class B 1.66
Visa Inc. Class A 1.58
Procter & Gamble Company 1.47
Total 29.51
 

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, 2020

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 (%)

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Institutional Class at NAV -3.08 15.79
Benchmark 12 5.86 5.72 5.20 13.26 5.64 5.24 7.07 13.00 -4.77 15.68
Benchmark 2 7.81 1.39 7.93 15.29 6.74 0.93 6.12 10.91 -1.02 16.26
 

Fund Facts

Expense Ratio5 0.48%
Institutional Class Inception 02/09/2017
Distribution Frequency Annually
 

NAV History

Date NAV NAV Change
Jul 13, 2020 $11.22 -$0.05
Jul 10, 2020 $11.27 $0.06
Jul 09, 2020 $11.21 -$0.02
Jul 08, 2020 $11.23 $0.05
Jul 07, 2020 $11.18 -$0.05
Jul 06, 2020 $11.23 $0.08
Jul 02, 2020 $11.15 $0.03
Jul 01, 2020 $11.12 $0.04
Jun 30, 2020 $11.08 $0.09
Jun 29, 2020 $10.99 $0.12
 

Distribution History8

Ex-Date Distribution Reinvest NAV
Dec 12, 2019 $0.14730 $11.84
Dec 13, 2018 $0.12940 $10.83
Dec 14, 2017 $0.05820 $10.87
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 Jun 30, 2020

Portfolio Statistics as of Jun 30, 2020

Median Market Cap $23.9B
Price/Earnings Ratio 21.96
Number of Holdings 187
Price/Book Ratio 3.18
 

GICS Sector Breakdown (%)9 as of Jun 30, 2020

 

Fund Holdings (%)7,11 as of May 31, 2020

Holding % of Net Assets
United States Treasury Bill 6.04%
United States Treasury Bill 5.05%
United States Treasury Bill 5.02%
United States Treasury Note/Bond 3.60%
United States Treasury Note/Bond 3.59%
United States Treasury Note/Bond 3.51%
United States Treasury Bill 3.33%
United States Treasury Bill 3.20%
Microsoft Corp 3.14%
United States Treasury Note/Bond 3.07%
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 Seto

Thomas 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

 

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

 

Jay Strohmaier, CFA

Managing Director, Investment Strategy
Joined Parametric Portfolio Associates 2009

Biography

Jay leads a team of investment professionals responsible for developing and managing institutional portfolios with an emphasis on Defensive Equity, Global Defensive Equity, and related options-based Volatility Risk Premium Strategies. He has extensive experience with futures and options and has been active in the investment industry since 1984.

Prior to rejoining the firm in 2009 (originally as an employee of the Clifton Group, which was acquired by Parametric in 2012), Jay worked for Cargill, Peregrine Capital Management, and Advantus Capital Management.

He earned a BS degree in agricultural economics from Washington State University and an MS in applied economics from the University of Minnesota. A CFA charterholder, Jay is a member of the CFA Society of Minnesota.

Education
  • B.S. Washington State University
  • M.S. University of Minnesota - Twin Cities

Experience
  • Managed Fund since inception

 

Literature

Literature

Fact Sheet

Download - Last updated: Mar 31, 2020

Commentary

Download - Last updated: Mar 31, 2020

Annual Report

Download - Last updated: Jan 31, 2020

Full Prospectus

Download - Last updated: Jun 1, 2020

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

Download

SAI

Download - Last updated: Jun 1, 2020

Semi-Annual Report

Download - Last updated: Jul 31, 2019

Summary Prospectus

Download - Last updated: Jun 1, 2020

XBRL

Download - Last updated: Jun 15, 2020