Eaton Vance
Risk-Managed Diversified Equity Income Fund
September 30, 2022
Portfolio of Investments (Unaudited)
Common Stocks — 96.2% |
Security | Shares | Value | |
Aerospace & Defense — 1.1% | |||
Huntington Ingalls Industries, Inc.(1) | 26,580 | $ 5,887,470 | |
$ 5,887,470 | |||
Air Freight & Logistics — 0.5% | |||
C.H. Robinson Worldwide, Inc.(1) | 26,226 | $ 2,525,826 | |
$ 2,525,826 | |||
Auto Components — 0.6% | |||
Aptiv PLC(1)(2) | 41,915 | $ 3,278,172 | |
$ 3,278,172 | |||
Automobiles — 1.0% | |||
Tesla, Inc.(1)(2) | 20,553 | $ 5,451,683 | |
$ 5,451,683 | |||
Banks — 5.8% | |||
Bank of America Corp.(1) | 237,414 | $ 7,169,903 | |
JPMorgan Chase & Co.(1) | 46,859 | 4,896,765 | |
M&T Bank Corp.(1) | 50,163 | 8,844,740 | |
Wells Fargo & Co.(1) | 243,921 | 9,810,503 | |
$ 30,721,911 | |||
Beverages — 2.5% | |||
PepsiCo, Inc. | 81,626 | $ 13,326,261 | |
$ 13,326,261 | |||
Biotechnology — 1.2% | |||
AbbVie, Inc.(1) | 49,269 | $ 6,612,392 | |
$ 6,612,392 | |||
Capital Markets — 2.6% | |||
Charles Schwab Corp. (The)(1) | 97,345 | $ 6,996,185 | |
Goldman Sachs Group, Inc. (The)(1) | 23,491 | 6,884,038 | |
$ 13,880,223 | |||
Chemicals — 2.3% | |||
FMC Corp.(1) | 56,227 | $ 5,943,194 | |
Linde PLC(1) | 22,491 | 6,063,349 | |
$ 12,006,543 |
Security | Shares | Value | |
Commercial Services & Supplies — 1.4% | |||
Waste Management, Inc.(1) | 46,563 | $ 7,459,858 | |
$ 7,459,858 | |||
Containers & Packaging — 0.7% | |||
Packaging Corp. of America(1) | 31,154 | $ 3,498,283 | |
$ 3,498,283 | |||
Electric Utilities — 2.1% | |||
Constellation Energy Corp.(1) | 61,891 | $ 5,148,713 | |
NextEra Energy, Inc.(1) | 73,908 | 5,795,126 | |
$ 10,943,839 | |||
Electrical Equipment — 2.6% | |||
AMETEK, Inc.(1) | 56,455 | $ 6,402,561 | |
Eaton Corp. PLC(1) | 55,036 | 7,339,601 | |
$ 13,742,162 | |||
Energy Equipment & Services — 0.4% | |||
Halliburton Co.(1) | 87,949 | $ 2,165,304 | |
$ 2,165,304 | |||
Entertainment — 0.6% | |||
Live Nation Entertainment, Inc.(1)(2) | 40,723 | $ 3,096,577 | |
$ 3,096,577 | |||
Equity Real Estate Investment Trusts (REITs) — 2.1% | |||
EastGroup Properties, Inc.(1) | 40,117 | $ 5,790,488 | |
Mid-America Apartment Communities, Inc.(1) | 35,032 | 5,432,412 | |
$ 11,222,900 | |||
Food Products — 1.9% | |||
Hershey Co. (The) | 14,172 | $ 3,124,501 | |
Mondelez International, Inc., Class A(1) | 129,174 | 7,082,610 | |
$ 10,207,111 | |||
Health Care Equipment & Supplies — 0.8% | |||
Zimmer Biomet Holdings, Inc.(1) | 39,916 | $ 4,173,218 | |
$ 4,173,218 | |||
Health Care Providers & Services — 2.5% | |||
UnitedHealth Group, Inc.(1) | 26,024 | $ 13,143,161 | |
$ 13,143,161 | |||
Hotels, Restaurants & Leisure — 2.0% | |||
Hilton Worldwide Holdings, Inc.(1) | 37,187 | $ 4,485,496 |
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Eaton Vance
Risk-Managed Diversified Equity Income Fund
September 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Starbucks Corp. | 73,171 | $ 6,165,388 | |
$ 10,650,884 | |||
Household Products — 1.8% | |||
Procter & Gamble Co. (The)(1) | 76,482 | $ 9,655,852 | |
$ 9,655,852 | |||
Insurance — 2.2% | |||
American International Group, Inc.(1) | 124,577 | $ 5,914,916 | |
Arch Capital Group, Ltd.(1)(2) | 68,686 | 3,127,961 | |
Reinsurance Group of America, Inc. | 20,846 | 2,622,635 | |
$ 11,665,512 | |||
Interactive Media & Services — 4.8% | |||
Alphabet, Inc., Class C(1)(2) | 262,910 | $ 25,278,796 | |
$ 25,278,796 | |||
Internet & Direct Marketing Retail — 4.3% | |||
Amazon.com, Inc.(1)(2) | 200,637 | $ 22,671,981 | |
$ 22,671,981 | |||
IT Services — 5.1% | |||
Accenture PLC, Class A(1) | 35,364 | $ 9,099,157 | |
Automatic Data Processing, Inc.(1) | 33,153 | 7,498,877 | |
Mastercard, Inc., Class A(1) | 35,766 | 10,169,705 | |
$ 26,767,739 | |||
Life Sciences Tools & Services — 3.1% | |||
Danaher Corp.(1) | 36,433 | $ 9,410,280 | |
Thermo Fisher Scientific, Inc.(1) | 14,360 | 7,283,248 | |
$ 16,693,528 | |||
Machinery — 0.5% | |||
Westinghouse Air Brake Technologies Corp.(1) | 34,993 | $ 2,846,681 | |
$ 2,846,681 | |||
Multiline Retail — 2.1% | |||
Dollar Tree, Inc.(2) | 31,917 | $ 4,343,904 | |
Target Corp.(1) | 44,041 | 6,535,244 | |
$ 10,879,148 | |||
Multi-Utilities — 1.0% | |||
CMS Energy Corp.(1) | 93,444 | $ 5,442,179 | |
$ 5,442,179 |
Security | Shares | Value | |
Oil, Gas & Consumable Fuels — 4.9% | |||
Chevron Corp.(1) | 74,476 | $ 10,699,967 | |
ConocoPhillips(1) | 61,032 | 6,246,015 | |
EOG Resources, Inc.(1) | 48,483 | 5,417,006 | |
Pioneer Natural Resources Co.(1) | 16,357 | 3,541,781 | |
$ 25,904,769 | |||
Personal Products — 0.6% | |||
Estee Lauder Cos., Inc. (The), Class A(1) | 14,745 | $ 3,183,445 | |
$ 3,183,445 | |||
Pharmaceuticals — 7.1% | |||
Bristol-Myers Squibb Co.(1) | 115,521 | $ 8,212,388 | |
Eli Lilly & Co.(1) | 37,968 | 12,276,953 | |
Novo Nordisk A/S ADR(1) | 44,208 | 4,404,443 | |
Pfizer, Inc.(1) | 206,048 | 9,016,660 | |
Zoetis, Inc.(1) | 24,679 | 3,659,649 | |
$ 37,570,093 | |||
Road & Rail — 1.4% | |||
CSX Corp.(1) | 132,791 | $ 3,537,552 | |
Uber Technologies, Inc.(1)(2) | 147,591 | 3,911,162 | |
$ 7,448,714 | |||
Semiconductors & Semiconductor Equipment — 3.3% | |||
Micron Technology, Inc. | 96,689 | $ 4,844,119 | |
NVIDIA Corp.(1) | 16,811 | 2,040,687 | |
QUALCOMM, Inc.(1) | 47,703 | 5,389,485 | |
Texas Instruments, Inc.(1) | 33,311 | 5,155,877 | |
$ 17,430,168 | |||
Software — 9.8% | |||
Intuit, Inc.(1) | 16,655 | $ 6,450,815 | |
Microsoft Corp.(1) | 165,347 | 38,509,316 | |
Salesforce, Inc.(1)(2) | 46,740 | 6,723,081 | |
$ 51,683,212 | |||
Technology Hardware, Storage & Peripherals — 7.4% | |||
Apple, Inc.(1) | 282,099 | $ 38,986,082 | |
$ 38,986,082 | |||
Textiles, Apparel & Luxury Goods — 0.6% | |||
Capri Holdings, Ltd.(1)(2) | 85,764 | $ 3,296,768 | |
$ 3,296,768 |
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Eaton Vance
Risk-Managed Diversified Equity Income Fund
September 30, 2022
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Wireless Telecommunication Services — 1.5% | |||
T-Mobile US, Inc.(1)(2) | 60,317 | $ 8,092,732 | |
$ 8,092,732 | |||
Total Common Stocks (identified cost $401,051,434) | $509,491,177 |
Short-Term Investments — 1.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.80%(3) | 6,734,948 | $ 6,734,948 | |
Total Short-Term Investments (identified cost $6,734,948) | $ 6,734,948 | ||
Total Purchased Put Options — 3.0% (identified cost $4,642,728) | $ 15,817,095 | ||
Total Investments — 100.5% (identified cost $412,429,110) | $532,043,220 | ||
Total Written Call Options — (0.1)% (premiums received $5,010,877) | $ (789,268) | ||
Other Assets, Less Liabilities — (0.4)% | $ (1,818,959) | ||
Net Assets — 100.0% | $529,434,993 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Security (or a portion thereof) has been pledged as collateral for written options. |
(2) | Non-income producing security. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of September 30, 2022. |
Purchased Put Options (Exchange-Traded) — 3.0% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 113 | $ | 40,517,506 | $ | 3,700 | 10/3/22 | $ 1,250,910 |
S&P 500 Index | 112 | 40,158,944 | 3,700 | 10/5/22 | 1,330,000 | ||
S&P 500 Index | 110 | 39,441,820 | 3,830 | 10/7/22 | 2,657,600 | ||
S&P 500 Index | 109 | 39,083,258 | 3,860 | 10/10/22 | 2,950,085 | ||
S&P 500 Index | 112 | 40,158,944 | 3,700 | 10/12/22 | 1,557,920 | ||
S&P 500 Index | 114 | 40,876,068 | 3,610 | 10/14/22 | 1,080,150 | ||
S&P 500 Index | 114 | 40,876,068 | 3,650 | 10/17/22 | 1,360,020 | ||
S&P 500 Index | 112 | 40,158,944 | 3,650 | 10/19/22 | 1,399,440 | ||
S&P 500 Index | 115 | 41,234,630 | 3,450 | 10/21/22 | 595,700 | ||
S&P 500 Index | 114 | 40,876,068 | 3,450 | 10/24/22 | 615,030 | ||
S&P 500 Index | 115 | 41,234,630 | 3,400 | 10/26/22 | 531,300 | ||
S&P 500 Index | 116 | 41,593,192 | 3,380 | 10/28/22 | 488,940 | ||
Total | $15,817,095 |
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Eaton Vance
Risk-Managed Diversified Equity Income Fund
September 30, 2022
Portfolio of Investments (Unaudited) — continued
Written Call Options (Exchange-Traded) — (0.1)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 113 | $40,517,506 | $4,050 | 10/3/22 | $ (283) | ||
S&P 500 Index | 112 | 40,158,944 | 4,100 | 10/5/22 | (280) | ||
S&P 500 Index | 110 | 39,441,820 | 4,200 | 10/7/22 | (550) | ||
S&P 500 Index | 109 | 39,083,258 | 4,300 | 10/10/22 | (545) | ||
S&P 500 Index | 112 | 40,158,944 | 4,110 | 10/12/22 | (1,960) | ||
S&P 500 Index | 114 | 40,876,068 | 4,020 | 10/14/22 | (10,830) | ||
S&P 500 Index | 114 | 40,876,068 | 4,000 | 10/17/22 | (17,670) | ||
S&P 500 Index | 112 | 40,158,944 | 4,050 | 10/19/22 | (14,280) | ||
S&P 500 Index | 115 | 41,234,630 | 3,880 | 10/21/22 | (120,175) | ||
S&P 500 Index | 114 | 40,876,068 | 3,850 | 10/24/22 | (180,120) | ||
S&P 500 Index | 115 | 41,234,630 | 3,900 | 10/26/22 | (129,375) | ||
S&P 500 Index | 116 | 41,593,192 | 3,820 | 10/28/22 | (313,200) | ||
Total | $(789,268) |
Abbreviations: | |
ADR | – American Depositary Receipt |
At September 30, 2022, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund pursues a “collared” options strategy which consists of buying S&P 500 index put options below the current value of the index and writing S&P 500 index call options above the current value of the index with the same expiration. The strategy uses the premium income from the written call options to buy an equal number of put options. In buying put options on an index, the Fund in effect, acquires protection against decline in the value of the applicable index below the exercise price in exchange for the option premium paid. In writing index call options, the Fund in effect, sells potential appreciation in the value of the applicable index above the exercise price. The Fund retains the risk of lost appreciation, minus the premium received, should the price of the underlying index rise above the exercise price. Under normal market conditions, the Fund’s use of option collars is expected to provide a more consistent level of market exposure and market protection.
Affiliated Investments
At September 30, 2022, the value of the Fund's investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio (Liquidity Fund) and Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund) was $6,734,948, which represents 1.3% of the Fund's net assets. Transactions in affiliated funds by the Fund for the fiscal year to date ended September 30, 2022 were as follows:
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Units/Shares, end of period |
Short-Term Investments | ||||||||
Cash Reserves Fund | $4,018,093 | $47,769,081 | $(51,786,602) | $(572) | $ — | $ — | $1,685 | — |
Liquidity Fund | — | 75,100,960 | (68,366,012) | — | — | 6,734,948 | 42,214 | 6,734,948 |
Total | $(572) | $ — | $6,734,948 | $43,899 |
4
Eaton Vance
Risk-Managed Diversified Equity Income Fund
September 30, 2022
Portfolio of Investments (Unaudited) — continued
Fair Value Measurements
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At September 30, 2022, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks* | $509,491,177 | $ — | $ — | $509,491,177 |
Short-Term Investments | 6,734,948 | — | — | 6,734,948 |
Purchased Put Options | 15,817,095 | — | — | 15,817,095 |
Total Investments | $532,043,220 | $ — | $ — | $532,043,220 |
Liability Description | ||||
Written Call Options | $ (789,268) | $ — | $ — | $ (789,268) |
Total | $ (789,268) | $ — | $ — | $ (789,268) |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |
For information on the Fund's policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent financial statements included in its semiannual or annual report to shareholders.
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