Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2022
Portfolio of Investments (Unaudited)
Common Stocks — 50.6% |
Security | Shares | Value | |
Aerospace & Defense — 0.8% | |||
Boeing Co. (The)(1) | 2,494 | $ 355,420 | |
Huntington Ingalls Industries, Inc. | 4,299 | 1,105,144 | |
L3Harris Technologies, Inc. | 6,177 | 1,522,445 | |
Raytheon Technologies Corp. | 26,856 | 2,546,486 | |
$ 5,529,495 | |||
Air Freight & Logistics — 0.3% | |||
Expeditors International of Washington, Inc. | 6,721 | $ 657,650 | |
United Parcel Service, Inc., Class B | 7,637 | 1,281,259 | |
$ 1,938,909 | |||
Airlines — 0.1% | |||
Alaska Air Group, Inc.(1) | 21,033 | $ 935,127 | |
$ 935,127 | |||
Auto Components — 0.1% | |||
BorgWarner, Inc. | 11,034 | $ 414,106 | |
$ 414,106 | |||
Automobiles — 1.0% | |||
Tesla, Inc.(1) | 30,630 | $ 6,969,550 | |
$ 6,969,550 | |||
Banks — 2.2% | |||
Bank of America Corp. | 101,213 | $ 3,647,716 | |
Citigroup, Inc. | 32,214 | 1,477,334 | |
Fifth Third Bancorp | 30,206 | 1,078,052 | |
Huntington Bancshares, Inc. | 62,582 | 949,995 | |
JPMorgan Chase & Co. | 37,320 | 4,697,842 | |
KeyCorp | 28,832 | 515,228 | |
M&T Bank Corp. | 2,635 | 443,655 | |
Regions Financial Corp. | 50,835 | 1,115,828 | |
Wells Fargo & Co. | 38,259 | 1,759,531 | |
$ 15,685,181 | |||
Beverages — 1.1% | |||
Brown-Forman Corp., Class B | 5,620 | $ 382,160 | |
Coca-Cola Co. (The) | 58,009 | 3,471,839 | |
PepsiCo, Inc. | 20,344 | 3,694,063 | |
$ 7,548,062 |
Security | Shares | Value | |
Biotechnology — 1.1% | |||
AbbVie, Inc. | 25,170 | $ 3,684,888 | |
Amgen, Inc. | 8,146 | 2,202,271 | |
Moderna, Inc.(1) | 3,229 | 485,416 | |
Vertex Pharmaceuticals, Inc.(1) | 3,924 | 1,224,288 | |
$ 7,596,863 | |||
Building Products — 0.2% | |||
A.O. Smith Corp. | 16,850 | $ 923,043 | |
Carrier Global Corp. | 20,581 | 818,301 | |
$ 1,741,344 | |||
Capital Markets — 1.4% | |||
Ameriprise Financial, Inc. | 4,528 | $ 1,399,695 | |
CME Group, Inc. | 7,038 | 1,219,686 | |
Goldman Sachs Group, Inc. (The) | 5,575 | 1,920,643 | |
Invesco, Ltd. | 55,837 | 855,423 | |
Nasdaq, Inc. | 18,560 | 1,155,174 | |
S&P Global, Inc. | 6,530 | 2,097,763 | |
State Street Corp. | 17,185 | 1,271,690 | |
$ 9,920,074 | |||
Chemicals — 0.9% | |||
CF Industries Holdings, Inc. | 10,887 | $ 1,156,853 | |
FMC Corp. | 8,161 | 970,343 | |
Linde PLC | 8,650 | 2,572,077 | |
Sherwin-Williams Co. (The) | 6,320 | 1,422,190 | |
$ 6,121,463 | |||
Commercial Services & Supplies — 0.2% | |||
Republic Services, Inc. | 8,488 | $ 1,125,679 | |
$ 1,125,679 | |||
Communications Equipment — 0.6% | |||
Arista Networks, Inc.(1) | 6,778 | $ 819,189 | |
Cisco Systems, Inc. | 54,802 | 2,489,655 | |
F5, Inc.(1) | 6,035 | 862,462 | |
$ 4,171,306 | |||
Construction & Engineering — 0.1% | |||
Quanta Services, Inc. | 6,781 | $ 963,173 | |
$ 963,173 | |||
Consumer Finance — 0.3% | |||
Discover Financial Services | 9,243 | $ 965,524 |
1
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Consumer Finance (continued) | |||
Synchrony Financial | 32,515 | $ 1,156,233 | |
$ 2,121,757 | |||
Containers & Packaging — 0.3% | |||
Avery Dennison Corp. | 5,624 | $ 953,549 | |
Packaging Corp. of America | 5,963 | 716,813 | |
Sealed Air Corp. | 14,789 | 704,252 | |
$ 2,374,614 | |||
Distributors — 0.1% | |||
LKQ Corp. | 19,666 | $ 1,094,216 | |
$ 1,094,216 | |||
Diversified Financial Services — 1.0% | |||
Berkshire Hathaway, Inc., Class B(1) | 23,104 | $ 6,817,759 | |
$ 6,817,759 | |||
Diversified Telecommunication Services — 0.3% | |||
AT&T, Inc. | 29,499 | $ 537,767 | |
Verizon Communications, Inc. | 37,411 | 1,398,049 | |
$ 1,935,816 | |||
Electric Utilities — 1.1% | |||
Alliant Energy Corp. | 17,071 | $ 890,594 | |
Duke Energy Corp. | 14,705 | 1,370,212 | |
Entergy Corp. | 9,047 | 969,295 | |
Evergy, Inc. | 15,391 | 940,852 | |
FirstEnergy Corp. | 16,698 | 629,682 | |
NextEra Energy, Inc. | 30,946 | 2,398,315 | |
Pinnacle West Capital Corp. | 6,846 | 460,120 | |
$ 7,659,070 | |||
Electrical Equipment — 0.2% | |||
Eaton Corp. PLC | 10,711 | $ 1,607,400 | |
$ 1,607,400 | |||
Electronic Equipment, Instruments & Components — 0.2% | |||
TE Connectivity, Ltd. | 11,098 | $ 1,356,509 | |
$ 1,356,509 | |||
Entertainment — 0.4% | |||
Walt Disney Co. (The)(1) | 26,553 | $ 2,828,957 | |
$ 2,828,957 |
Security | Shares | Value | |
Equity Real Estate Investment Trusts (REITs) — 1.3% | |||
Alexandria Real Estate Equities, Inc. | 7,178 | $ 1,042,963 | |
American Tower Corp. | 8,985 | 1,861,602 | |
Equity Residential | 16,445 | 1,036,364 | |
Extra Space Storage, Inc. | 5,931 | 1,052,397 | |
Healthpeak Properties, Inc. | 33,638 | 798,230 | |
Mid-America Apartment Communities, Inc. | 6,765 | 1,065,149 | |
ProLogis, Inc. | 10,041 | 1,112,041 | |
Public Storage | 4,682 | 1,450,249 | |
$ 9,418,995 | |||
Food & Staples Retailing — 1.0% | |||
Costco Wholesale Corp. | 6,395 | $ 3,207,092 | |
Kroger Co. (The) | 23,840 | 1,127,394 | |
Walmart, Inc. | 17,918 | 2,550,269 | |
$ 6,884,755 | |||
Food Products — 0.5% | |||
Campbell Soup Co. | 17,201 | $ 910,105 | |
Conagra Brands, Inc. | 30,742 | 1,128,232 | |
Hormel Foods Corp. | 13,252 | 615,555 | |
McCormick & Co., Inc., Non Voting Shares | 10,622 | 835,314 | |
$ 3,489,206 | |||
Health Care Equipment & Supplies — 1.3% | |||
Abbott Laboratories | 22,414 | $ 2,217,641 | |
Boston Scientific Corp.(1) | 36,329 | 1,566,143 | |
Cooper Cos., Inc. (The) | 3,026 | 827,278 | |
IDEXX Laboratories, Inc.(1) | 3,127 | 1,124,719 | |
Intuitive Surgical, Inc.(1) | 7,767 | 1,914,333 | |
Medtronic PLC | 15,258 | 1,332,634 | |
$ 8,982,748 | |||
Health Care Providers & Services — 1.9% | |||
AmerisourceBergen Corp. | 7,847 | $ 1,233,705 | |
Centene Corp.(1) | 13,966 | 1,188,926 | |
CVS Health Corp. | 12,270 | 1,161,969 | |
DaVita, Inc.(1) | 10,455 | 763,320 | |
Humana, Inc. | 2,205 | 1,230,566 | |
Quest Diagnostics, Inc. | 7,956 | 1,142,879 | |
UnitedHealth Group, Inc. | 11,791 | 6,545,774 | |
$ 13,267,139 | |||
Hotels, Restaurants & Leisure — 0.9% | |||
Expedia Group, Inc.(1) | 9,477 | $ 885,815 | |
McDonald's Corp. | 9,679 | 2,639,076 |
2
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Hotels, Restaurants & Leisure (continued) | |||
Starbucks Corp. | 21,637 | $ 1,873,548 | |
Wynn Resorts, Ltd.(1) | 10,917 | 697,596 | |
$ 6,096,035 | |||
Household Durables — 0.2% | |||
Leggett & Platt, Inc. | 2,890 | $ 97,537 | |
Lennar Corp., Class A | 13,750 | 1,109,625 | |
$ 1,207,162 | |||
Household Products — 0.7% | |||
Clorox Co. (The) | 5,620 | $ 820,745 | |
Procter & Gamble Co. (The) | 33,007 | 4,445,052 | |
$ 5,265,797 | |||
Industrial Conglomerates — 0.4% | |||
Honeywell International, Inc. | 12,426 | $ 2,535,152 | |
$ 2,535,152 | |||
Insurance — 1.1% | |||
Arthur J. Gallagher & Co. | 7,269 | $ 1,359,885 | |
Assurant, Inc. | 6,011 | 816,654 | |
Everest Re Group, Ltd. | 2,219 | 715,983 | |
Globe Life, Inc. | 7,099 | 820,076 | |
Progressive Corp. (The) | 13,267 | 1,703,483 | |
Unum Group | 46,346 | 2,112,914 | |
$ 7,528,995 | |||
Interactive Media & Services — 2.1% | |||
Alphabet, Inc., Class A(1) | 71,708 | $ 6,777,123 | |
Alphabet, Inc., Class C(1) | 63,304 | 5,992,357 | |
Meta Platforms, Inc., Class A(1) | 25,285 | 2,355,550 | |
$ 15,125,030 | |||
Internet & Direct Marketing Retail — 1.6% | |||
Amazon.com, Inc.(1) | 105,418 | $ 10,799,020 | |
eBay, Inc. | 14,642 | 583,337 | |
$ 11,382,357 | |||
IT Services — 2.4% | |||
Accenture PLC, Class A | 10,273 | $ 2,916,505 | |
Broadridge Financial Solutions, Inc. | 7,139 | 1,071,278 | |
FleetCor Technologies, Inc.(1) | 5,668 | 1,054,928 | |
Global Payments, Inc. | 10,929 | 1,248,748 | |
Mastercard, Inc., Class A | 12,486 | 4,097,655 |
Security | Shares | Value | |
IT Services (continued) | |||
PayPal Holdings, Inc.(1) | 22,400 | $ 1,872,192 | |
Visa, Inc., Class A | 22,785 | 4,720,141 | |
$ 16,981,447 | |||
Life Sciences Tools & Services — 1.1% | |||
Danaher Corp. | 9,993 | $ 2,514,938 | |
IQVIA Holdings, Inc.(1) | 6,039 | 1,266,197 | |
Thermo Fisher Scientific, Inc. | 5,748 | 2,954,300 | |
Waters Corp.(1) | 3,428 | 1,025,555 | |
$ 7,760,990 | |||
Machinery — 0.5% | |||
Flowserve Corp. | 2,794 | $ 80,132 | |
PACCAR, Inc. | 13,813 | 1,337,513 | |
Stanley Black & Decker, Inc. | 11,733 | 920,923 | |
Westinghouse Air Brake Technologies Corp. | 12,481 | 1,164,228 | |
$ 3,502,796 | |||
Media — 0.7% | |||
Comcast Corp., Class A | 76,874 | $ 2,439,981 | |
DISH Network Corp., Class A(1) | 49,834 | 743,025 | |
Omnicom Group, Inc. | 15,747 | 1,145,594 | |
Paramount Global, Class B | 40,540 | 742,693 | |
$ 5,071,293 | |||
Metals & Mining — 0.2% | |||
Freeport-McMoRan, Inc. | 43,625 | $ 1,382,476 | |
$ 1,382,476 | |||
Multiline Retail — 0.1% | |||
Kohl's Corp. | 25,362 | $ 759,592 | |
$ 759,592 | |||
Multi-Utilities — 0.3% | |||
CMS Energy Corp. | 16,513 | $ 942,066 | |
WEC Energy Group, Inc. | 11,345 | 1,036,139 | |
$ 1,978,205 | |||
Oil, Gas & Consumable Fuels — 2.7% | |||
APA Corp. | 26,833 | $ 1,219,828 | |
Chevron Corp. | 23,279 | 4,211,171 | |
ConocoPhillips | 4,209 | 530,713 | |
Devon Energy Corp. | 19,416 | 1,501,828 | |
EOG Resources, Inc. | 13,580 | 1,853,942 | |
Exxon Mobil Corp. | 52,082 | 5,771,206 |
3
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Oil, Gas & Consumable Fuels (continued) | |||
HF Sinclair Corp. | 23,402 | $ 1,431,500 | |
Marathon Oil Corp. | 40,551 | 1,234,778 | |
ONEOK, Inc. | 18,990 | 1,126,487 | |
$ 18,881,453 | |||
Pharmaceuticals — 2.5% | |||
Bristol-Myers Squibb Co. | 24,337 | $ 1,885,387 | |
Eli Lilly & Co. | 11,288 | 4,087,272 | |
Johnson & Johnson | 33,395 | 5,809,728 | |
Merck & Co., Inc. | 26,997 | 2,732,097 | |
Pfizer, Inc. | 68,667 | 3,196,449 | |
$ 17,710,933 | |||
Professional Services — 0.3% | |||
Jacobs Solutions, Inc. | 8,461 | $ 974,876 | |
Verisk Analytics, Inc. | 6,747 | 1,233,554 | |
$ 2,208,430 | |||
Road & Rail — 0.4% | |||
J.B. Hunt Transport Services, Inc. | 5,898 | $ 1,008,971 | |
Union Pacific Corp. | 11,252 | 2,218,219 | |
$ 3,227,190 | |||
Semiconductors & Semiconductor Equipment — 2.4% | |||
Advanced Micro Devices, Inc.(1) | 5,866 | $ 352,312 | |
Broadcom, Inc. | 6,357 | 2,988,553 | |
Intel Corp. | 53,598 | 1,523,791 | |
KLA Corp. | 4,329 | 1,369,912 | |
NVIDIA Corp. | 34,678 | 4,680,490 | |
Qorvo, Inc.(1) | 6,352 | 546,780 | |
QUALCOMM, Inc. | 18,464 | 2,172,474 | |
SolarEdge Technologies, Inc.(1) | 1,760 | 404,853 | |
Teradyne, Inc. | 11,103 | 903,229 | |
Texas Instruments, Inc. | 15,104 | 2,426,155 | |
$ 17,368,549 | |||
Software — 4.2% | |||
Adobe, Inc.(1) | 8,293 | $ 2,641,320 | |
Cadence Design Systems, Inc.(1) | 4,330 | 655,519 | |
Intuit, Inc. | 5,248 | 2,243,520 | |
Microsoft Corp. | 86,065 | 19,978,268 | |
Oracle Corp. | 29,281 | 2,285,968 | |
Salesforce, Inc.(1) | 13,746 | 2,234,962 | |
$ 30,039,557 |
Security | Shares | Value | |
Specialty Retail — 1.1% | |||
Advance Auto Parts, Inc. | 5,517 | $ 1,047,788 | |
Bath & Body Works, Inc. | 20,278 | 676,880 | |
Home Depot, Inc. (The) | 13,992 | 4,143,451 | |
Lowe's Cos., Inc. | 7,523 | 1,466,609 | |
Ross Stores, Inc. | 5,254 | 502,755 | |
Victoria's Secret & Co.(1) | 7,225 | 271,660 | |
$ 8,109,143 | |||
Technology Hardware, Storage & Peripherals — 3.8% | |||
Apple, Inc. | 172,166 | $ 26,399,934 | |
Western Digital Corp.(1) | 4,402 | 151,297 | |
Xerox Holdings Corp. | 4,728 | 69,171 | |
$ 26,620,402 | |||
Textiles, Apparel & Luxury Goods — 0.3% | |||
NIKE, Inc., Class B | 18,161 | $ 1,683,162 | |
Ralph Lauren Corp., Class A | 3,952 | 366,311 | |
Under Armour, Inc., Class C(1) | 24,947 | 163,652 | |
$ 2,213,125 | |||
Tobacco — 0.3% | |||
Philip Morris International, Inc. | 25,805 | $ 2,370,189 | |
$ 2,370,189 | |||
Trading Companies & Distributors — 0.2% | |||
Fastenal Co. | 13,915 | $ 672,512 | |
W.W. Grainger, Inc. | 1,959 | 1,144,742 | |
$ 1,817,254 | |||
Water Utilities — 0.1% | |||
American Water Works Co., Inc. | 5,314 | $ 772,337 | |
$ 772,337 | |||
Total Common Stocks (identified cost $218,690,813) | $358,415,162 |
Short-Term Investments — 55.2% |
Affiliated Fund — 2.3% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 2.88%(2) | 16,028,052 | $ 16,028,052 | |
Total Affiliated Fund (identified cost $16,028,052) | $ 16,028,052 |
4
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Securities Lending Collateral — 5.4% |
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 3.12%(3) | 38,128,219 | $ 38,128,219 | |
Total Securities Lending Collateral (identified cost $38,128,219) | $ 38,128,219 |
U.S. Treasury Obligations — 47.5% |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Bills: | |||
0.00%, 12/1/22(4) | $ | 17,500 | $ 17,449,870 |
0.00%, 12/29/22 | 4,000 | 3,975,414 | |
0.00%, 1/26/23(4) | 34,000 | 33,676,533 | |
0.00%, 2/23/23(4) | 48,000 | 47,378,067 | |
0.00%, 3/9/23(4) | 41,518 | 40,900,950 | |
0.00%, 3/23/23 | 18,392 | 18,087,805 | |
0.00%, 4/20/23 | 7,910 | 7,747,515 | |
0.00%, 5/18/23(5) | 22,715 | 22,195,437 | |
0.00%, 6/15/23(5) | 16,450 | 16,017,043 | |
0.00%, 7/13/23 | 14,160 | 13,738,394 | |
0.00%, 8/10/23 | 16,450 | 15,900,419 | |
U.S. Treasury Notes: | |||
0.125%, 5/15/23 | 4,080 | 3,984,958 | |
0.125%, 5/31/23 | 8,110 | 7,903,039 | |
0.25%, 4/15/23 | 7,910 | 7,764,332 | |
1.625%, 12/15/22 | 8,880 | 8,858,579 | |
1.625%, 4/30/23 | 6,470 | 6,382,962 | |
1.625%, 5/31/23 | 16,450 | 16,174,977 | |
1.75%, 5/15/23 | 14,355 | 14,145,094 | |
2.00%, 11/30/22(4) | 8,850 | 8,838,445 |
Security | Principal Amount (000's omitted) | Value | |
U.S. Treasury Notes: (continued) | |||
2.625%, 2/28/23 | $ | 11,500 | $ 11,439,485 |
2.625%, 6/30/23 | 14,160 | 13,993,410 | |
Total U.S. Treasury Obligations (identified cost $339,286,840) | $336,552,728 | ||
Total Short-Term Investments (identified cost $393,443,111) | $390,708,999 | ||
Total Investments — 105.8% (identified cost $612,133,924) | $749,124,161 | ||
Total Written Options — (0.5)% (premiums received $3,325,686) | $ (3,329,550) | ||
Other Assets, Less Liabilities — (5.3)% | $(37,608,148) | ||
Net Assets — 100.0% | $708,186,463 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2022. |
(3) | Represents investment of cash collateral received in connection with securities lending. |
(4) | Security (or a portion thereof) has been pledged as collateral for written options. |
(5) | All or a portion of this security was on loan at October 31, 2022. The aggregate market value of securities on loan at October 31, 2022 was $37,353,177 and the total market value of the collateral received by the Fund was $38,128,219, comprised of cash. |
Written Call Options (Exchange-Traded) — (0.4)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 70 | $27,103,860 | $3,980 | 11/2/22 | $ (36,750) | ||
S&P 500 Index | 70 | 27,103,860 | 3,890 | 11/4/22 | (304,150) | ||
S&P 500 Index | 70 | 27,103,860 | 3,985 | 11/4/22 | (88,550) | ||
S&P 500 Index | 70 | 27,103,860 | 3,840 | 11/7/22 | (518,700) | ||
S&P 500 Index | 70 | 27,103,860 | 4,000 | 11/7/22 | (88,900) | ||
S&P 500 Index | 70 | 27,103,860 | 4,050 | 11/9/22 | (72,450) | ||
S&P 500 Index | 70 | 27,103,860 | 3,910 | 11/11/22 | (425,250) | ||
S&P 500 Index | 70 | 27,103,860 | 4,050 | 11/14/22 | (135,450) | ||
S&P 500 Index | 70 | 27,103,860 | 3,900 | 11/16/22 | (514,850) | ||
S&P 500 Index | 70 | 27,103,860 | 4,000 | 11/21/22 | (295,750) |
5
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
Written Call Options (Exchange-Traded) (continued) | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 70 | $27,103,860 | $4,100 | 11/25/22 | $ (155,400) | ||
Total | $(2,636,200) |
Written Put Options (Exchange-Traded) — (0.1)% | |||||||
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
S&P 500 Index | 70 | $27,103,860 | $3,725 | 11/4/22 | $ (53,200) | ||
S&P 500 Index | 70 | 27,103,860 | 3,740 | 11/7/22 | (91,000) | ||
S&P 500 Index | 70 | 27,103,860 | 3,695 | 11/9/22 | (85,400) | ||
S&P 500 Index | 70 | 27,103,860 | 3,690 | 11/14/22 | (154,350) | ||
S&P 500 Index | 70 | 27,103,860 | 3,425 | 11/16/22 | (24,150) | ||
S&P 500 Index | 70 | 27,103,860 | 3,550 | 11/21/22 | (84,000) | ||
S&P 500 Index | 70 | 27,103,860 | 3,650 | 11/25/22 | (201,250) | ||
Total | $(693,350) |
At October 31, 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 objective. The Fund employs a systematic, rules based options strategy of writing call and put options on the S&P 500 Index, that seeks to take advantage of the volatility risk premium (i.e., the tendency for volatility priced into an option to be higher, on average, than the volatility actually experienced on the securities underlying the option). Premiums received from writing options can offset the equity risk premium foregone.
Affiliated Investments
At October 31, 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 $16,028,052, which represents 2.3% of the Fund's net assets. Transactions in funds that may be deemed to be affiliated by the Fund for the fiscal year to date ended October 31, 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 | $47,485,101 | $162,515,083 | $(210,000,559) | $375 | $ — | $ — | $5,183 | — |
Liquidity Fund | — | 345,005,410 | (328,977,358) | — | — | 16,028,052 | 253,105 | 16,028,052 |
Total | $375 | $ — | $16,028,052 | $258,288 |
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.) |
6
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2022
Portfolio of Investments (Unaudited) — continued
• | 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 October 31, 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 | $358,415,162* | $ — | $ — | $358,415,162 |
Short-Term Investments: | ||||
Affiliated Fund | 16,028,052 | — | — | 16,028,052 |
Securities Lending Collateral | 38,128,219 | — | — | 38,128,219 |
U.S. Treasury Obligations | — | 336,552,728 | — | 336,552,728 |
Total Investments | $412,571,433 | $336,552,728 | $ — | $749,124,161 |
Liability Description | ||||
Written Call Options | $ (2,636,200) | $ — | $ — | $ (2,636,200) |
Written Put Options | (693,350) | — | — | (693,350) |
Total | $ (3,329,550) | $ — | $ — | $ (3,329,550) |
* | 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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