Global Macro Capital Opportunities Portfolio
July 31, 2020
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks — 89.0%
| | | | | | | | |
| Security | | Shares | | | Value | |
Belgium — 0.2% | |
Titan Cement International S.A.(1) | | | 19,300 | | | $ | 256,000 | |
| | | | | | | | |
| | | $ | 256,000 | |
| | | | | | | | |
China — 11.7% | |
58.com, Inc. ADR(1) | | | 1,600 | | | $ | 88,592 | |
AAC Technologies Holdings, Inc. | | | 12,500 | | | | 98,550 | |
Alibaba Group Holding, Ltd. ADR(1) | | | 12,254 | | | | 3,075,999 | |
Anhui Conch Cement Co., Ltd., Class H | | | 16,500 | | | | 124,775 | |
ANTA Sports Products, Ltd. | | | 14,000 | | | | 132,902 | |
Autohome, Inc. ADR | | | 1,000 | | | | 87,650 | |
Baidu, Inc. ADR(1) | | | 2,480 | | | | 296,112 | |
BYD Co., Ltd., Class H | | | 12,500 | | | | 117,771 | |
China Conch Venture Holdings, Ltd. | | | 25,500 | | | | 109,693 | |
China Construction Bank Corp., Class H | | | 803,000 | | | | 585,492 | |
China Evergrande Group | | | 34,000 | | | | 95,513 | |
China Gas Holdings, Ltd. | | | 23,600 | | | | 70,982 | |
China Life Insurance Co., Ltd., Class H | | | 83,000 | | | | 190,395 | |
China Mengniu Dairy Co., Ltd.(1) | | | 36,000 | | | | 168,929 | |
China Mobile, Ltd. | | | 54,500 | | | | 372,024 | |
China National Building Material Co., Ltd., Class H | | | 72,000 | | | | 111,815 | |
China Overseas Land & Investment, Ltd. | | | 44,500 | | | | 135,599 | |
China Pacific Insurance (Group) Co., Ltd., Class H | | | 36,400 | | | | 105,466 | |
China Petroleum & Chemical Corp., Class H | | | 302,000 | | | | 128,658 | |
China Resources Beer Holdings Co., Ltd. | | | 22,000 | | | | 152,988 | |
China Resources Gas Group, Ltd. | | | 16,000 | | | | 78,920 | |
China Resources Land, Ltd. | | | 37,777 | | | | 157,451 | |
China Shenhua Energy Co., Ltd., Class H | | | 49,500 | | | | 81,962 | |
China Telecom Corp., Ltd., Class H | | | 234,000 | | | | 69,481 | |
China Tower Corp., Ltd., Class H(2) | | | 596,000 | | | | 108,430 | |
China Unicom (Hong Kong), Ltd. | | | 98,000 | | | | 54,510 | |
China Vanke Co., Ltd., Class H | | | 26,700 | | | | 84,170 | |
CITIC Securities Co., Ltd., Class H | | | 39,500 | | | | 92,109 | |
CITIC, Ltd. | | | 75,000 | | | | 70,394 | |
CNOOC, Ltd. | | | 183,000 | | | | 193,157 | |
Country Garden Holdings Co., Ltd. | | | 100,000 | | | | 128,420 | |
Country Garden Services Holdings Co., Ltd. | | | 14,827 | | | | 89,457 | |
CSPC Pharmaceutical Group, Ltd. | | | 74,400 | | | | 156,698 | |
ENN Energy Holdings, Ltd. | | | 11,500 | | | | 139,400 | |
Geely Automobile Holdings, Ltd. | | | 68,000 | | | | 142,649 | |
Guangdong Investment, Ltd. | | | 42,000 | | | | 67,905 | |
Haier Electronics Group Co., Ltd. | | | 26,000 | | | | 90,345 | |
Hengan International Group Co., Ltd. | | | 11,000 | | | | 92,357 | |
Huazhu Group, Ltd. ADR | | | 2,300 | | | | 78,959 | |
Industrial & Commercial Bank of China, Ltd., Class H | | | 577,000 | | | | 338,088 | |
JD.com, Inc. ADR(1) | | | 6,424 | | | | 409,787 | |
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| Security | | Shares | | | Value | |
Lenovo Group, Ltd. | | | 136,000 | | | $ | 81,987 | |
Li Ning Co., Ltd. | | | 31,000 | | | | 99,919 | |
Longfor Group Holdings, Ltd.(2) | | | 25,000 | | | | 123,551 | |
Meituan Dianping, Class B(1) | | | 11,600 | | | | 287,059 | |
Momo, Inc. ADR | | | 2,500 | | | | 46,175 | |
NetEase, Inc. ADR | | | 681 | | | | 312,184 | |
New Oriental Education & Technology Group, Inc. ADR(1) | | | 1,474 | | | | 206,655 | |
PetroChina Co., Ltd., Class H | | | 282,000 | | | | 98,066 | |
PICC Property & Casualty Co., Ltd., Class H | | | 100,000 | | | | 79,024 | |
Pinduoduo, Inc. ADR(1) | | | 2,600 | | | | 238,680 | |
Ping An Insurance (Group) Co. of China, Ltd., Class H | | | 48,000 | | | | 506,459 | |
Semiconductor Manufacturing International Corp.(1) | | | 53,000 | | | | 207,519 | |
Shenzhou International Group Holdings, Ltd. | | | 10,100 | | | | 120,642 | |
Shimao Group Holdings, Ltd. | | | 22,000 | | | | 93,353 | |
Sino Biopharmaceutical, Ltd. | | | 133,500 | | | | 174,403 | |
Sinopharm Group Co., Ltd., Class H | | | 22,400 | | | | 53,385 | |
Sunac China Holdings, Ltd. | | | 29,000 | | | | 136,742 | |
Sunny Optical Technology Group Co., Ltd. | | | 9,200 | | | | 172,768 | |
TAL Education Group ADR(1) | | | 3,648 | | | | 285,164 | |
Tencent Holdings, Ltd. | | | 44,600 | | | | 3,059,478 | |
Trip.com Group, Ltd. ADR(1) | | | 5,600 | | | | 152,320 | |
Vipshop Holdings, Ltd. ADR(1) | | | 7,998 | | | | 182,114 | |
Want Want China Holdings, Ltd. | | | 103,000 | | | | 76,225 | |
Wuxi Biologics Cayman, Inc.(1)(2) | | | 9,000 | | | | 185,795 | |
Xiaomi Corp., Class B(1)(2) | | | 115,200 | | | | 220,845 | |
Yum China Holdings, Inc. | | | 3,700 | | | | 189,588 | |
ZTO Express Cayman, Inc. ADR | | | 4,100 | | | | 151,905 | |
| | | | | | | | |
| | | $ | 16,516,559 | |
| | | | | | | | |
Colombia — 3.0% | |
Bancolombia S.A. | | | 79,900 | | | $ | 573,619 | |
Bancolombia S.A., PFC Shares | | | 149,500 | | | | 1,061,278 | |
Ecopetrol S.A. | | | 1,629,300 | | | | 907,834 | |
Grupo Argos S.A. | | | 95,900 | | | | 262,036 | |
Grupo Aval Acciones y Valores S.A., PFC Shares | | | 1,315,700 | | | | 306,632 | |
Grupo de Inversiones Suramericana S.A. | | | 76,200 | | | | 396,003 | |
Interconexion Electrica S.A. | | | 149,300 | | | | 767,897 | |
| | | | | | | | |
| | | $ | 4,275,299 | |
| | | | | | | | |
Cyprus — 0.7% | |
Bank of Cyprus Holdings PLC(1)(3) | | | 1,716,590 | | | $ | 1,009,224 | |
Bank of Cyprus Holdings PLC(1)(3) | | | 45,800 | | | | 27,133 | |
| | | | | | | | |
| | | $ | 1,036,357 | |
| | | | | | | | |
Egypt — 3.0% | |
Commercial International Bank Egypt SAE | | | 372,590 | | | $ | 1,478,556 | |
Credit Agricole Egypt SAE | | | 231,630 | | | | 392,274 | |
Eastern Co. SAE | | | 592,750 | | | | 447,079 | |
Egypt Kuwait Holding Co. SAE | | | 334,620 | | | | 351,620 | |
Egyptian Financial Group-Hermes Holding Co. | | | 368,320 | | | | 317,437 | |
ElSewedy Electric Co. | | | 818,720 | | | | 348,181 | |
Juhayna Food Industries | | | 494,710 | | | | 243,492 | |
Talaat Moustafa Group | | | 1,058,890 | | | | 387,505 | |
Telecom Egypt | | | 283,480 | | | | 231,527 | |
| | | | | | | | |
| | | $ | 4,197,671 | |
| | | | | | | | |
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Georgia — 3.1% | |
Bank of Georgia Group PLC(1) | | | 178,860 | | | $ | 1,819,536 | |
Georgia Capital PLC(1) | | | 16,200 | | | | 77,142 | |
TBC Bank Group PLC(1) | | | 234,386 | | | | 2,405,991 | |
| | | | | | | | |
| | | $ | 4,302,669 | |
| | | | | | | | |
Greece — 5.2% | |
Aegean Airlines S.A.(1) | | | 15,000 | | | $ | 63,891 | |
Alpha Bank AE(1) | | | 649,300 | | | | 408,321 | |
Athens Water Supply & Sewage Co. S.A. | | | 20,000 | | | | 156,028 | |
Eurobank Ergasias Services and Holdings S.A.(1) | | | 1,215,600 | | | | 519,482 | |
GEK Terna Holding Real Estate Construction S.A.(1) | | | 33,800 | | | | 231,025 | |
Hellenic Exchanges - Athens Stock Exchange S.A. | | | 26,900 | | | | 96,324 | |
Hellenic Telecommunications Organization S.A. | | | 112,200 | | | | 1,650,858 | |
Holding Co. ADMIE IPTO S.A. | | | 54,300 | | | | 143,067 | |
JUMBO S.A. | | | 51,100 | | | | 997,011 | |
LAMDA Development S.A.(1) | | | 29,024 | | | | 194,948 | |
Motor Oil (Hellas) Corinth Refineries S.A. | | | 28,500 | | | | 389,267 | |
Mytilineos S.A. | | | 46,900 | | | | 438,401 | |
National Bank of Greece S.A.(1) | | | 257,100 | | | | 341,009 | |
OPAP S.A. | | | 90,307 | | | | 818,080 | |
Piraeus Bank S.A.(1) | | | 132,800 | | | | 183,227 | |
Piraeus Port Authority S.A. | | | 3,500 | | | | 67,945 | |
Public Power Corp. S.A.(1) | | | 48,900 | | | | 227,289 | |
Sarantis S.A. | | | 14,700 | | | | 146,557 | |
Terna Energy S.A. | | | 21,300 | | | | 279,558 | |
| | | | | | | | |
| | | $ | 7,352,288 | |
| | | | | | | | |
India — 5.3% | |
Adani Ports and Special Economic Zone, Ltd. | | | 1,003 | | | $ | 4,213 | |
Asian Paints, Ltd. | | | 4,890 | | | | 112,254 | |
Avenue Supermarts, Ltd.(1)(2) | | | 2,445 | | | | 67,203 | |
Axis Bank, Ltd. | | | 32,434 | | | | 187,126 | |
Bajaj Auto, Ltd. | | | 1,548 | | | | 61,995 | |
Bajaj Finance, Ltd. | | | 2,852 | | | | 124,085 | |
Bajaj Finserv, Ltd. | | | 652 | | | | 54,030 | |
Bandhan Bank, Ltd.(2) | | | 7,986 | | | | 36,644 | |
Bharat Petroleum Corp., Ltd. | | | 11,979 | | | | 66,125 | |
Bharti Airtel, Ltd.(1) | | | 34,127 | | | | 252,876 | |
Britannia Industries, Ltd. | | | 1,222 | | | | 62,489 | |
Coal India, Ltd. | | | 24,017 | | | | 41,542 | |
Dabur India, Ltd. | | | 9,942 | | | | 68,025 | |
Dr. Reddy’s Laboratories, Ltd. | | | 2,037 | | | | 123,432 | |
Eicher Motors, Ltd. | | | 244 | | | | 67,135 | |
GAIL (India), Ltd. | | | 32,278 | | | | 41,777 | |
Godrej Consumer Products, Ltd. | | | 6,846 | | | | 63,331 | |
Grasim Industries, Ltd. | | | 5,705 | | | | 48,156 | |
Havells India, Ltd. | | | 5,216 | | | | 40,617 | |
HCL Technologies, Ltd. | | | 18,300 | | | | 172,248 | |
HDFC Life Insurance Co., Ltd.(1)(2) | | | 9,208 | | | | 77,146 | |
Hero MotoCorp, Ltd. | | | 1,793 | | | | 63,716 | |
Hindalco Industries, Ltd. | | | 22,328 | | | | 49,100 | |
Hindustan Petroleum Corp., Ltd. | | | 15,400 | | | | 44,236 | |
Hindustan Unilever, Ltd. | | | 10,105 | | | | 298,103 | |
Housing Development Finance Corp., Ltd. | | | 24,928 | | | | 594,363 | |
ICICI Bank, Ltd.(1) | | | 75,622 | | | | 352,323 | |
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| Security | | Shares | | | Value | |
ICICI Lombard General Insurance Co., Ltd.(2) | | | 3,586 | | | $ | 62,152 | |
ICICI Prudential Life Insurance Co., Ltd.(2) | | | 8,900 | | | | 53,718 | |
Indian Oil Corp., Ltd. | | | 36,214 | | | | 42,814 | |
Infosys, Ltd. | | | 53,225 | | | | 685,614 | |
ITC, Ltd. | | | 56,188 | | | | 145,632 | |
JSW Steel, Ltd. | | | 17,195 | | | | 50,807 | |
Larsen & Toubro, Ltd. | | | 7,945 | | | | 96,982 | |
Lupin, Ltd. | | | 5,700 | | | | 70,328 | |
Mahindra & Mahindra, Ltd. | | | 12,957 | | | | 105,461 | |
Maruti Suzuki India, Ltd. | | | 1,711 | | | | 142,943 | |
Nestle India, Ltd. | | | 407 | | | | 89,719 | |
NTPC, Ltd. | | | 44,820 | | | | 52,021 | |
Oil & Natural Gas Corp., Ltd. | | | 45,390 | | | | 47,552 | |
Power Grid Corporation of India, Ltd. | | | 32,679 | | | | 77,857 | |
Reliance Industries, Ltd. | | | 43,516 | | | | 1,205,149 | |
SBI Life Insurance Co., Ltd.(1)(2) | | | 6,438 | | | | 78,333 | |
Shree Cement, Ltd. | | | 163 | | | | 47,151 | |
Shriram Transport Finance Co., Ltd. | | | 5,787 | | | | 53,459 | |
State Bank of India(1) | | | 29,826 | | | | 75,908 | |
Sun Pharmaceutical Industries, Ltd. | | | 14,669 | | | | 105,392 | |
Tata Consultancy Services, Ltd. | | | 14,144 | | | | 431,408 | |
Tata Motors, Ltd.(1) | | | 29,419 | | | | 40,929 | |
Tech Mahindra, Ltd. | | | 8,400 | | | | 76,260 | |
Titan Co., Ltd. | | | 5,542 | | | | 77,466 | |
UltraTech Cement, Ltd. | | | 1,793 | | | | 98,796 | |
United Spirits, Ltd.(1) | | | 6,031 | | | | 46,811 | |
UPL, Ltd.(1) | | | 10,227 | | | | 65,215 | |
Vedanta, Ltd. | | | 34,552 | | | | 52,703 | |
Wipro, Ltd. | | | 21,339 | | | | 79,762 | |
Zee Entertainment Enterprises, Ltd. | | | 16,100 | | | | 29,760 | |
| | | | | | | | |
| | | $ | 7,462,392 | |
| | | | | | | | |
Indonesia — 1.6% | |
Astra International Tbk PT | | | 531,000 | | | $ | 187,052 | |
Bank Central Asia Tbk PT | | | 244,700 | | | | 524,141 | |
Bank Mandiri Persero Tbk PT | | | 489,700 | | | | 194,631 | |
Bank Negara Indonesia Persero Tbk PT | | | 212,400 | | | | 67,149 | |
Bank Rakyat Indonesia Persero Tbk PT | | | 1,370,100 | | | | 297,606 | |
Barito Pacific Tbk PT(1) | | | 844,800 | | | | 55,275 | |
Charoen Pokphand Indonesia Tbk PT | | | 211,100 | | | | 90,143 | |
Gudang Garam Tbk PT | | | 16,300 | | | | 55,889 | |
Indocement Tunggal Prakarsa Tbk PT(1) | | | 55,900 | | | | 47,466 | |
Indofood CBP Sukses Makmur Tbk PT | | | 77,000 | | | | 48,526 | |
Indofood Sukses Makmur Tbk PT | | | 136,100 | | | | 60,321 | |
Kalbe Farma Tbk PT | | | 670,700 | | | | 72,149 | |
Semen Indonesia Persero Tbk PT | | | 88,500 | | | | 56,109 | |
Telekomunikasi Indonesia Persero Tbk PT | | | 1,271,500 | | | | 265,209 | |
Unilever Indonesia Tbk PT | | | 217,000 | | | | 125,080 | |
United Tractors Tbk PT | | | 50,300 | | | | 73,715 | |
| | | | | | | | |
| | | $ | 2,220,461 | |
| | | | | | | | |
Kuwait — 4.3% | |
Agility Public Warehousing Co. KSC | | | 180,560 | | | $ | 382,118 | |
Boubyan Bank KSCP | | | 171,179 | | | | 302,458 | |
Burgan Bank SAK | | | 127,900 | | | | 75,562 | |
Gulf Bank KSCP | | | 247,300 | | | | 154,581 | |
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Kuwait Finance House KSCP | | | 798,075 | | | $ | 1,533,315 | |
Mabanee Co. SAK | | | 99,984 | | | | 198,211 | |
Mobile Telecommunications Co. | | | 353,583 | | | | 638,405 | |
National Bank of Kuwait SAK | | | 1,049,643 | | | | 2,747,425 | |
| | | | | | | | |
| | | $ | 6,032,075 | |
| | | | | | | | |
Mauritius — 0.7% | |
MCB Group, Ltd. | | | 166,308 | | | $ | 921,256 | |
| | | | | | | | |
| | | $ | 921,256 | |
| | | | | | | | |
Peru — 1.6% | |
Cia de Minas Buenaventura SAA ADR | | | 33,200 | | | $ | 393,752 | |
Credicorp, Ltd. | | | 10,400 | | | | 1,322,568 | |
Southern Copper Corp. | | | 13,100 | | | | 572,601 | |
| | | | | | | | |
| | | $ | 2,288,921 | |
| | | | | | | | |
Romania — 2.0% | |
Banca Transilvania S.A.(1) | | | 2,186,800 | | | $ | 1,066,855 | |
BRD-Groupe Societe Generale S.A.(1) | | | 109,400 | | | | 304,588 | |
Digi Communications N.V.(2) | | | 18,400 | | | | 151,565 | |
OMV Petrom S.A. | | | 5,927,200 | | | | 449,303 | |
Societatea Energetica Electrica S.A. | | | 72,300 | | | | 183,414 | |
Societatea Nationala de Gaze Naturale ROMGAZ S.A. | | | 60,100 | | | | 417,145 | |
Transelectrica S.A. | | | 15,900 | | | | 84,399 | |
Transgaz S.A. Medias | | | 2,500 | | | | 168,833 | |
| | | | | | | | |
| | | $ | 2,826,102 | |
| | | | | | | | |
Serbia — 4.7% | |
Energoprojekt Holding AD Beograd(1) | | | 74,772 | | | $ | 291,806 | |
Komercijalna Banka AD Beograd(1) | | | 131,568 | | | | 3,066,834 | |
Metalac AD(1) | | | 67,357 | | | | 1,292,547 | |
NIS AD Novi Sad | | | 361,854 | | | | 1,987,252 | |
| | | | | | | | |
| | | $ | 6,638,439 | |
| | | | | | | | |
Singapore — 1.3% | |
Yoma Strategic Holdings, Ltd.(1) | | | 8,240,033 | | | $ | 1,782,180 | |
| | | | | | | | |
| | | $ | 1,782,180 | |
| | | | | | | | |
South Korea — 14.9% | |
AMOREPACIFIC Corp. | | | 1,035 | | | $ | 144,638 | |
Celltrion Healthcare Co., Ltd.(1) | | | 1,864 | | | | 148,017 | |
Celltrion, Inc.(1) | | | 2,629 | | | | 655,385 | |
Coway Co., Ltd. | | | 2,500 | | | | 161,166 | |
E-MART, Inc. | | | 830 | | | | 79,465 | |
Hana Financial Group, Inc. | | | 11,229 | | | | 278,650 | |
HLB, Inc.(1) | | | 1,593 | | | | 112,063 | |
Hotel Shilla Co., Ltd. | | | 1,568 | | | | 92,774 | |
Hyundai Engineering & Construction Co., Ltd. | | | 4,244 | | | | 122,592 | |
Hyundai Heavy Industries Holdings Co., Ltd. | | | 540 | | | | 107,398 | |
Hyundai Mobis Co., Ltd. | | | 2,240 | | | | 387,602 | |
Hyundai Motor Co. | | | 4,968 | | | | 529,891 | |
Hyundai Motor Co., Second PFC Shares | | | 1,868 | | | | 108,781 | |
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Kakao Corp. | | | 1,631 | | | $ | 473,178 | |
Kangwon Land, Inc. | | | 5,568 | | | | 106,896 | |
KB Financial Group, Inc. | | | 12,727 | | | | 376,659 | |
Kia Motors Corp. | | | 9,714 | | | | 330,629 | |
Korea Electric Power Corp.(1) | | | 8,936 | | | | 143,361 | |
Korea Investment Holdings Co., Ltd. | | | 2,414 | | | | 98,878 | |
Korea Shipbuilding & Offshore Engineering Co., Ltd.(1) | | | 1,652 | | | | 124,059 | |
Korea Zinc Co., Ltd. | | | 357 | | | | 124,139 | |
KT&G Corp. | | | 4,303 | | | | 292,061 | |
LG Chem, Ltd. | | | 1,528 | | | | 731,667 | |
LG Corp. | | | 3,522 | | | | 218,707 | |
LG Display Co., Ltd.(1) | | | 10,343 | | | | 109,482 | |
LG Electronics, Inc. | | | 4,150 | | | | 246,779 | |
LG Household & Health Care, Ltd. | | | 284 | | | | 327,545 | |
LG Uplus Corp. | | | 10,402 | | | | 100,134 | |
Lotte Chemical Corp. | | | 660 | | | | 93,601 | |
Mirae Asset Daewoo Co., Ltd. | | | 22,054 | | | | 146,437 | |
Naver Corp. | | | 4,057 | | | | 1,030,688 | |
NCsoft Corp. | | | 457 | | | | 311,398 | |
Netmarble Corp.(1)(2) | | | 1,056 | | | | 113,596 | |
Orion Corp. of Republic of Korea | | | 978 | | | | 110,003 | |
POSCO | | | 2,637 | | | | 425,531 | |
S-Oil Corp. | | | 2,125 | | | | 109,209 | |
Samsung Biologics Co., Ltd.(1)(2) | | | 522 | | | | 321,843 | |
Samsung C&T Corp. | | | 2,968 | | | | 264,378 | |
Samsung Electro-Mechanics Co., Ltd. | | | 2,007 | | | | 237,431 | |
Samsung Electronics Co., Ltd. | | | 136,770 | | | | 6,684,475 | |
Samsung Electronics Co., Ltd., PFC Shares | | | 24,522 | | | | 1,024,230 | |
Samsung Fire & Marine Insurance Co., Ltd. | | | 1,143 | | | | 164,523 | |
Samsung Life Insurance Co., Ltd. | | | 2,939 | | | | 117,407 | |
Samsung SDI Co., Ltd. | | | 1,673 | | | | 560,089 | |
Samsung SDS Co., Ltd. | | | 1,208 | | | | 169,307 | |
Shinhan Financial Group Co., Ltd. | | | 15,151 | | | | 380,188 | |
SK Holdings Co., Ltd. | | | 1,290 | | | | 240,451 | |
SK Hynix, Inc. | | | 16,246 | | | | 1,137,484 | |
SK Innovation Co., Ltd. | | | 2,192 | | | | 234,523 | |
SK Telecom Co., Ltd. | | | 834 | | | | 154,465 | |
Woori Financial Group, Inc. | | | 21,225 | | | | 151,806 | |
Yuhan Corp. | | | 1,935 | | | | 93,053 | |
| | | | | | | | |
| | | $ | 21,008,712 | |
| | | | | | | | |
Sri Lanka — 0.2% | |
Softlogic Life Insurance PLC(1) | | | 2,152,000 | | | $ | 353,521 | |
| | | | | | | | |
| | | $ | 353,521 | |
| | | | | | | | |
Taiwan — 13.0% | |
Accton Technology Corp. | | | 12,000 | | | $ | 94,008 | |
Advantech Co., Ltd. | | | 10,667 | | | | 112,262 | |
ASE Technology Holding Co., Ltd. | | | 95,358 | | | | 244,305 | |
Asia Cement Corp. | | | 72,000 | | | | 98,147 | |
Asustek Computer, Inc. | | | 20,000 | | | | 147,507 | |
Catcher Technology Co., Ltd. | | | 18,000 | | | | 132,906 | |
Cathay Financial Holding Co., Ltd. | | | 194,087 | | | | 262,371 | |
Chailease Holding Co., Ltd. | | | 31,200 | | | | 130,572 | |
Chang Hwa Commercial Bank, Ltd. | | | 190,000 | | | | 123,172 | |
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| Security | | Shares | | | Value | |
China Development Financial Holding Corp. | | | 363,000 | | | $ | 107,066 | |
China Steel Corp. | | | 338,000 | | | | 228,659 | |
Chunghwa Telecom Co., Ltd. | | | 101,000 | | | | 377,450 | |
Compal Electronics, Inc. | | | 136,000 | | | | 86,374 | |
CTBC Financial Holding Co., Ltd. | | | 476,000 | | | | 315,228 | |
Delta Electronics, Inc. | | | 47,680 | | | | 325,915 | |
E.Sun Financial Holding Co., Ltd. | | | 288,278 | | | | 266,745 | |
Far Eastern New Century Corp. | | | 99,700 | | | | 87,185 | |
Far EasTone Telecommunications Co., Ltd. | | | 53,000 | | | | 114,187 | |
First Financial Holding Co., Ltd. | | | 253,000 | | | | 203,879 | |
Formosa Chemicals & Fibre Corp. | | | 94,000 | | | | 216,263 | |
Formosa Petrochemical Corp. | | | 35,000 | | | | 97,552 | |
Formosa Plastics Corp. | | | 112,000 | | | | 299,959 | |
Fubon Financial Holding Co., Ltd. | | | 169,000 | | | | 240,687 | |
Globalwafers Co., Ltd. | | | 7,000 | | | | 100,203 | |
Hon Hai Precision Industry Co., Ltd. | | | 307,508 | | | | 821,855 | |
Hotai Motor Co., Ltd. | | | 7,000 | | | | 160,096 | |
Hua Nan Financial Holdings Co., Ltd. | | | 228,000 | | | | 156,375 | |
Largan Precision Co., Ltd. | | | 3,000 | | | | 391,465 | |
Lite-On Technology Corp. | | | 62,000 | | | | 104,891 | |
MediaTek, Inc. | | | 28,000 | | | | 668,586 | |
Mega Financial Holding Co., Ltd. | | | 280,000 | | | | 309,107 | |
Nan Ya Plastics Corp. | | | 130,000 | | | | 271,091 | |
Novatek Microelectronics Corp., Ltd. | | | 16,000 | | | | 158,606 | |
Pegatron Corp. | | | 52,000 | | | | 109,088 | |
President Chain Store Corp. | | | 17,000 | | | | 162,386 | |
Quanta Computer, Inc. | | | 67,000 | | | | 187,196 | |
Realtek Semiconductor Corp. | | | 12,000 | | | | 153,098 | |
Shanghai Commercial & Savings Bank, Ltd. (The) | | | 94,606 | | | | 136,709 | |
Shin Kong Financial Holding Co., Ltd.(1) | | | 362,352 | | | | 105,299 | |
SinoPac Financial Holdings Co., Ltd. | | | 309,000 | | | | 112,324 | |
Taishin Financial Holding Co., Ltd. | | | 289,000 | | | | 131,708 | |
Taiwan Cement Corp. | | | 130,867 | | | | 201,013 | |
Taiwan Cooperative Financial Holding Co., Ltd. | | | 237,000 | | | | 173,103 | |
Taiwan Mobile Co., Ltd. | | | 48,000 | | | | 171,988 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | | | 576,000 | | | | 8,382,872 | |
Uni-President Enterprises Corp. | | | 120,960 | | | | 295,221 | |
United Microelectronics Corp. | | | 307,000 | | | | 232,797 | |
Win Semiconductors Corp. | | | 11,000 | | | | 118,621 | |
Yageo Corp. | | | 7,000 | | | | 92,951 | |
Yuanta Financial Holding Co., Ltd. | | | 293,675 | | | | 180,692 | |
| | | | | | | | |
| | | $ | 18,401,740 | |
| | | | | | | | |
United Arab Emirates — 2.0% | |
Abu Dhabi Commercial Bank PJSC | | | 259,100 | | | $ | 358,229 | |
Aldar Properties PJSC | | | 359,800 | | | | 170,951 | |
Dubai Islamic Bank PJSC | | | 169,500 | | | | 173,248 | |
Emaar Malls PJSC(1) | | | 253,900 | | | | 92,402 | |
Emaar Properties PJSC(1) | | | 334,300 | | | | 236,425 | |
Emirates NBD Bank PJSC | | | 116,800 | | | | 283,265 | |
Emirates Telecommunications Group Co. PJSC | | | 160,200 | | | | 724,340 | |
First Abu Dhabi Bank PJSC | | | 253,600 | | | | 769,025 | |
| | | | | | | | |
| | | $ | 2,807,885 | |
| | | | | | | | |
7
| | | | | | | | |
| Security | | Shares | | | Value | |
Vietnam — 10.5% | |
FPT Corp. | | | 680,925 | | | $ | 1,398,928 | |
Ho Chi Minh City Development Joint Stock Commercial Bank(1) | | | 240,700 | | | | 248,950 | |
Hoa Phat Group JSC | | | 1,461,938 | | | | 1,369,827 | |
Imexpharm Pharmaceutical JSC | | | 48,678 | | | | 90,676 | |
Masan Group Corp.(1) | | | 197,050 | | | | 428,804 | |
Military Commercial Joint Stock Bank(1) | | | 1,977,440 | | | | 1,343,355 | |
Mobile World Investment Corp.(1) | | | 53,333 | | | | 170,859 | |
No Va Land Investment Group Corp.(1) | | | 201,690 | | | | 566,428 | |
PetroVietnam Gas JSC | | | 84,800 | | | | 240,183 | |
PetroVietnam Power Corp.(1) | | | 704,100 | | | | 277,467 | |
Phat Dat Real Estate Development Corp. | | | 50,522 | | | | 52,522 | |
Phu Nhuan Jewelry JSC | | | 565,090 | | | | 1,327,309 | |
Refrigeration Electrical Engineering Corp. | | | 143,700 | | | | 201,215 | |
Saigon Beer Alcohol Beverage Corp. | | | 60,300 | | | | 436,232 | |
SSI Securities Corp. | | | 72,996 | | | | 42,707 | |
Viet Capital Securities JSC | | | 282,825 | | | | 244,694 | |
Vietnam Dairy Products JSC | | | 370,408 | | | | 1,710,290 | |
Vietnam National Petroleum Group | | | 125,200 | | | | 227,863 | |
Vietnam Prosperity JSC Bank(1) | | | 1,755,487 | | | | 1,583,585 | |
Vietnam Technological & Commercial Joint Stock Bank(1) | | | 1,608,600 | | | | 1,347,909 | |
Vingroup JSC(1) | | | 399,041 | | | | 1,509,660 | |
| | | | | | | | |
| | | $ | 14,819,463 | |
| | | | | | | | |
| | |
Total Common Stocks
(identified cost $116,281,205) | | | | | | $ | 125,499,990 | |
| | | | | | | | |
|
Foreign Government Bonds — 3.6% | |
| | |
| Security | | Principal Amount (000’s omitted) | | | Value | |
Ukraine — 3.6% | |
Ukraine Government International Bond, 0.00%, GDP-Linked, 5/31/40(2)(4)(5) | | $ | 5,813 | | | $ | 5,132,589 | |
| | | | | | | | |
| | | $ | 5,132,589 | |
| | | | | | | | |
| | |
Total Foreign Government Bonds
(identified cost $5,326,808) | | | | | | $ | 5,132,589 | |
| | | | | | | | |
|
Short-Term Investments — 4.8% | |
|
U.S. Treasury Obligations — 1.1% | |
| | |
| Security | | Principal Amount (000’s omitted) | | | Value | |
U.S. Treasury Bill, 0.00%, 8/6/20(6) | | $ | 1,500 | | | $ | 1,499,991 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(identified cost $1,499,969) | | | | | | $ | 1,499,991 | |
| | | | | | | | |
8
| | | | | | | | |
Other — 3.7% | | | | | | | | |
| | |
| Description | | Units | | | Value | |
Eaton Vance Cash Reserves Fund, LLC, 0.22%(7) | | | 5,252,851 | | | $ | 5,252,325 | |
| | | | | | | | |
| | |
Total Other
(identified cost $5,252,842) | | | | | | $ | 5,252,325 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(identified cost $6,752,811) | | | | | | $ | 6,752,316 | |
| | | | | | | | |
| | |
Total Investments — 97.4%
(identified cost $128,360,824) | | | | | | $ | 137,384,895 | |
| | | | | | | | |
| |
Other Assets, Less Liabilities — 2.6% | | | $ | 3,636,349 | |
| | | | | | | | |
| |
Net Assets — 100.0% | | | $ | 141,021,244 | |
| | | | | | | | |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
| (1) | Non-income producing security. |
| (2) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At July 31, 2020, the aggregate value of these securities is $6,733,410 or 4.8% of the Portfolio’s net assets. |
| (3) | Securities are traded on separate exchanges for the same entity. |
| (4) | Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At July 31, 2020, the aggregate value of these securities is $5,132,589 or 3.6% of the Portfolio’s net assets. |
| (5) | Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine’s GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment. |
| (6) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts. |
| (7) | Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of July 31, 2020. |
9
Sector Classification of Portfolio
| | | | | | | | |
| Sector | | Percentage of
Net Assets | | | Value | |
Financials | | | 27.7 | % | | $ | 39,056,550 | |
Information Technology | | | 18.6 | | | | 26,213,893 | |
Consumer Discretionary | | | 9.5 | | | | 13,399,733 | |
Communication Services | | | 8.0 | | | | 11,286,260 | |
Energy | | | 5.0 | | | | 7,011,757 | |
Materials | | | 4.8 | | | | 6,815,528 | |
Consumer Staples | | | 4.6 | | | | 6,535,544 | |
Real Estate | | | 4.4 | | | | 6,146,031 | |
Foreign Government Bonds | | | 3.6 | | | | 5,132,589 | |
Industrials | | | 2.7 | | | | 3,752,613 | |
Utilities | | | 2.1 | | | | 3,031,525 | |
Health Care | | | 1.6 | | | | 2,250,556 | |
Short-Term Investments | | | 4.8 | | | | 6,752,316 | |
| | | | | | | | |
Total Investments | | | 97.4 | % | | $ | 137,384,895 | |
| | | | | | | | |
10
Centrally Cleared Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Settlement
Date | | | Value/Unrealized
Appreciation
(Depreciation) | |
| EUR | | | 6,854,555 | | | USD | | | 7,939,631 | | | | 8/3/20 | | | $ | 134,696 | |
| EUR | | | 4,629,131 | | | USD | | | 5,361,922 | | | | 8/3/20 | | | | 90,965 | |
| EUR | | | 2,702,488 | | | USD | | | 3,130,292 | | | | 8/3/20 | | | | 53,106 | |
| USD | | | 3,041,340 | | | EUR | | | 2,702,488 | | | | 8/3/20 | | | | (142,058 | ) |
| USD | | | 5,209,554 | | | EUR | | | 4,629,131 | | | | 8/3/20 | | | | (243,333 | ) |
| USD | | | 7,714,013 | | | EUR | | | 6,854,555 | | | | 8/3/20 | | | | (360,314 | ) |
| | | | | | | | | | | | | | | | | | |
| | | $ | (466,938 | ) |
| | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
(Depreciation) | |
| EUR | | | 5,844,555 | | | USD | | | 6,764,330 | | | Goldman Sachs International | | | 8/4/20 | | | $ | 120,267 | | | $ | — | |
| EUR | | | 4,419,131 | | | USD | | | 5,114,583 | | | Goldman Sachs International | | | 8/4/20 | | | | 90,935 | | | | — | |
| EUR | | | 1,440,000 | | | USD | | | 1,619,584 | | | Goldman Sachs International | | | 8/4/20 | | | | 76,665 | | | | — | |
| EUR | | | 1,010,000 | | | USD | | | 1,135,958 | | | Goldman Sachs International | | | 8/4/20 | | | | 53,772 | | | | — | |
| EUR | | | 2,092,858 | | | USD | | | 2,422,218 | | | Goldman Sachs International | | | 8/4/20 | | | | 43,066 | | | | — | |
| EUR | | | 1,262,488 | | | USD | | | 1,461,170 | | | Goldman Sachs International | | | 8/4/20 | | | | 25,979 | | | | — | |
| EUR | | | 210,000 | | | USD | | | 236,189 | | | Goldman Sachs International | | | 8/4/20 | | | | 11,181 | | | | — | |
| USD | | | 2,353,861 | | | EUR | | | 2,092,858 | | | Goldman Sachs International | | | 8/4/20 | | | | — | | | | (111,423 | ) |
| USD | | | 3,130,346 | | | EUR | | | 2,702,488 | | | State Street Bank and Trust Company | | | 8/4/20 | | | | — | | | | (53,052 | ) |
| USD | | | 5,362,015 | | | EUR | | | 4,629,131 | | | State Street Bank and Trust Company | | | 8/4/20 | | | | — | | | | (90,873 | ) |
| USD | | | 7,939,768 | | | EUR | | | 6,854,555 | | | State Street Bank and Trust Company | | | 8/4/20 | | | | — | | | | (134,559 | ) |
| USD | | | 38,373 | | | EUR | | | 32,741 | | | Bank of America, N.A. | | | 8/27/20 | | | | — | | | | (213 | ) |
| USD | | | 2,617,266 | | | EUR | | | 2,251,487 | | | Bank of America, N.A. | | | 8/27/20 | | | | — | | | | (36,158 | ) |
| USD | | | 201,000 | | | EUR | | | 172,653 | | | HSBC Bank USA, N.A. | | | 8/27/20 | | | | — | | | | (2,474 | ) |
| USD | | | 64,493 | | | EUR | | | 54,834 | | | UBS AG | | | 8/27/20 | | | | — | | | | (130 | ) |
| USD | | | 1,462,011 | | | EUR | | | 1,262,488 | | | Goldman Sachs International | | | 8/31/20 | | | | — | | | | (25,984 | ) |
| USD | | | 2,423,612 | | | EUR | | | 2,092,858 | | | Goldman Sachs International | | | 8/31/20 | | | | — | | | | (43,075 | ) |
| USD | | | 5,117,526 | | | EUR | | | 4,419,131 | | | Goldman Sachs International | | | 8/31/20 | | | | — | | | | (90,953 | ) |
| USD | | | 6,768,222 | | | EUR | | | 5,844,555 | | | Goldman Sachs International | | | 8/31/20 | | | | — | | | | (120,290 | ) |
| USD | | | 2,855,790 | | | AED | | | 10,547,575 | | | Standard Chartered Bank | | | 7/7/22 | | | | — | | | | (3,944 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 421,865 | | | $ | (713,128 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
Description | | Number of
Contracts | | | Position | | | Expiration
Date | | | Notional
Amount | | | Value/Unrealized
Appreciation
(Depreciation) | |
Equity Futures | | | | | | | | | | | | | | | | | | | | |
MSCI Emerging Markets Index | | | 142 | | | | Long | | | | 9/18/20 | | | $ | 7,592,030 | | | $ | 308,988 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 308,988 | |
| | | | | | | | | | | | | | | | | | | | |
11
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Notional
Amount
(000’s omitted) | | | Portfolio Receives | | Portfolio Pays | | Termination
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| UBS AG | | | CNY | | | | 29,672 | | | Total Return on Shenzhen Stock Exchange Composite Index (pays quarterly) | | 3-month USD-LIBOR minus 11.50% on $4,199,927 (pays quarterly) | | | 9/24/20 | | | $ | 738,746 | |
| UBS AG | | | CNY | | | | 29,713 | | | Total Return on Shenzhen Stock Exchange Composite Index (pays quarterly) | | 3-month USD-LIBOR minus 11.50% on $4,200,102 (pays quarterly) | | | 9/29/20 | | | | 738,777 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 1,477,523 | |
| | | | | | | | | | | | | | | | | | | | |
Abbreviations:
| | | | |
| | |
ADR | | - | | American Depositary Receipt |
| | |
GDP | | - | | Gross Domestic Product |
| | |
PFC Shares | | - | | Preference Shares |
|
Currency Abbreviations: |
| | |
AED | | - | | United Arab Emirates Dirham |
| | |
CNY | | - | | Yuan Renminbi |
| | |
EUR | | - | | Euro |
| | |
USD | | - | | United States Dollar |
12
In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:
Equity Price Risk: The Portfolio enters into equity futures contracts and total return swaps to enhance total return, to manage certain investment risks and/or as a substitute for the purchase of securities.
Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts and currency options to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.
At July 31, 2020, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.
At July 31, 2020, the value of the Portfolio’s investment in affiliated funds was $5,252,325, which represents 3.7% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended July 31, 2020 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Name of affiliated fund | | Value,
beginning of
period | | | Purchases | | | Sales
proceeds | | | Net realized
gain (loss) | | | Change in
unrealized
appreciation
(depreciation) | | | Value, end of
period | | | Dividend
income | | | Units, end
of period | |
Short-Term Investments | |
Eaton Vance Cash Reserves Fund, LLC | | $ | 5,701,355 | | | $ | 70,920,217 | | | $ | (71,362,141 | ) | | $ | (6,071 | ) | | $ | (1,035 | ) | | $ | 5,252,325 | | | $ | 71,771 | | | | 5,252,851 | |
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.
13
At July 31, 2020, the hierarchy of inputs used in valuing the Portfolio’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 | | | | | | | | | | | | | | | | |
Asia/Pacific | | $ | 5,801,884 | | | $ | 76,763,144 | | | $ | — | | | $ | 82,565,028 | |
Developed Europe | | | — | | | | 256,000 | | | | — | | | | 256,000 | |
Emerging Europe | | | — | | | | 22,155,855 | | | | — | | | | 22,155,855 | |
Latin America | | | 6,564,220 | | | | — | | | | — | | | | 6,564,220 | |
Middle East/Africa | | | — | | | | 13,958,887 | | | | — | | | | 13,958,887 | |
Total Common Stocks | | $ | 12,366,104 | | | $ | 113,133,886 | * | | $ | — | | | $ | 125,499,990 | |
Foreign Government Bonds | | $ | — | | | $ | 5,132,589 | | | $ | — | | | $ | 5,132,589 | |
Short-Term Investments - | | | | | | | | | | | | | | | | |
U.S. Treasury Obligations | | | — | | | | 1,499,991 | | | | — | | | | 1,499,991 | |
Other | | | — | | | | 5,252,325 | | | | — | | | | 5,252,325 | |
Total Investments | | $ | 12,366,104 | | | $ | 125,018,791 | | | $ | — | | | $ | 137,384,895 | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 700,632 | | | $ | — | | | $ | 700,632 | |
Futures Contracts | | | 308,988 | | | | — | | | | — | | | | 308,988 | |
Swap Contracts | | | — | | | | 1,477,523 | | | | — | | | | 1,477,523 | |
Total | | $ | 12,675,092 | | | $ | 127,196,946 | | | $ | — | | | $ | 139,872,038 | |
| | | | |
| Liability Description | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (1,458,833 | ) | | $ | — | | | $ | (1,458,833 | ) |
Total | | $ | — | | | $ | (1,458,833 | ) | | $ | — | | | $ | (1,458,833 | ) |
| * | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended July 31, 2020 is not presented.
For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.
14
