Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2023
Portfolio of Investments (Unaudited)
| Common Stocks — 48.7% |
| Security | Shares | Value | |
| Aerospace & Defense — 0.7% | |||
| Boeing Co. (The)(1) | 9,564 | $ 1,786,747 | |
| Huntington Ingalls Industries, Inc. | 2,737 | 601,647 | |
| L3Harris Technologies, Inc. | 7,970 | 1,429,898 | |
| RTX Corp. | 20,401 | 1,660,437 | |
| $ 5,478,729 | |||
| Air Freight & Logistics — 0.2% | |||
| Expeditors International of Washington, Inc. | 6,721 | $ 734,269 | |
| United Parcel Service, Inc., Class B | 3,070 | 433,638 | |
| $ 1,167,907 | |||
| Automobile Components — 0.1% | |||
| BorgWarner, Inc. | 11,034 | $ 407,155 | |
| Phinia, Inc. | 2,206 | 57,091 | |
| $ 464,246 | |||
| Automobiles — 0.9% | |||
| Ford Motor Co. | 102,424 | $ 998,634 | |
| Tesla, Inc.(1) | 29,955 | 6,016,162 | |
| $ 7,014,796 | |||
| Banks — 1.6% | |||
| Bank of America Corp. | 101,213 | $ 2,665,950 | |
| Citigroup, Inc. | 32,214 | 1,272,131 | |
| Fifth Third Bancorp | 30,206 | 716,184 | |
| Huntington Bancshares, Inc. | 62,582 | 603,916 | |
| JPMorgan Chase & Co. | 37,320 | 5,189,719 | |
| Regions Financial Corp. | 50,835 | 738,633 | |
| Wells Fargo & Co. | 27,305 | 1,085,920 | |
| $ 12,272,453 | |||
| Beverages — 0.8% | |||
| Coca-Cola Co. (The) | 55,380 | $ 3,128,416 | |
| PepsiCo, Inc. | 19,637 | 3,206,330 | |
| $ 6,334,746 | |||
| Biotechnology — 0.9% | |||
| AbbVie, Inc. | 25,007 | $ 3,530,488 | |
| Amgen, Inc. | 8,294 | 2,120,776 | |
| Vertex Pharmaceuticals, Inc.(1) | 3,924 | 1,420,920 | |
| $ 7,072,184 | |||
| Security | Shares | Value | |
| Broadline Retail — 1.9% | |||
| Amazon.com, Inc.(1) | 99,047 | $ 13,182,165 | |
| eBay, Inc. | 14,642 | 574,406 | |
| Kohl's Corp.(2) | 23,030 | 519,326 | |
| $ 14,275,897 | |||
| Building Products — 0.3% | |||
| A.O. Smith Corp. | 16,850 | $ 1,175,456 | |
| Carrier Global Corp. | 20,581 | 980,890 | |
| $ 2,156,346 | |||
| Capital Markets — 1.0% | |||
| Ameriprise Financial, Inc. | 4,528 | $ 1,424,373 | |
| Cboe Global Markets, Inc. | 5,941 | 973,671 | |
| Invesco, Ltd. | 55,837 | 724,206 | |
| Nasdaq, Inc. | 22,414 | 1,111,734 | |
| S&P Global, Inc. | 6,109 | 2,133,935 | |
| State Street Corp. | 17,118 | 1,106,336 | |
| $ 7,474,255 | |||
| Chemicals — 0.8% | |||
| CF Industries Holdings, Inc. | 13,542 | $ 1,080,381 | |
| FMC Corp. | 1,702 | 90,547 | |
| Linde PLC | 8,502 | 3,249,124 | |
| Sherwin-Williams Co. (The) | 6,320 | 1,505,487 | |
| $ 5,925,539 | |||
| Commercial Services & Supplies — 0.2% | |||
| Republic Services, Inc. | 9,020 | $ 1,339,380 | |
| Veralto Corp.(1) | 3,331 | 229,839 | |
| $ 1,569,219 | |||
| Communications Equipment — 0.6% | |||
| Arista Networks, Inc.(1) | 6,778 | $ 1,358,108 | |
| Cisco Systems, Inc. | 48,909 | 2,549,626 | |
| F5, Inc.(1) | 6,035 | 914,846 | |
| $ 4,822,580 | |||
| Construction & Engineering — 0.2% | |||
| Quanta Services, Inc. | 6,781 | $ 1,133,241 | |
| $ 1,133,241 | |||
| Consumer Finance — 0.2% | |||
| Discover Financial Services | 9,243 | $ 758,665 | |
| Synchrony Financial | 32,515 | 912,046 | |
| $ 1,670,711 | |||
1
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2023
Portfolio of Investments (Unaudited) — continued
| Security | Shares | Value | |
| Consumer Staples Distribution & Retail — 1.0% | |||
| Costco Wholesale Corp. | 6,514 | $ 3,598,594 | |
| Kroger Co. (The) | 23,840 | 1,081,621 | |
| Walmart, Inc. | 17,918 | 2,927,980 | |
| $ 7,608,195 | |||
| Containers & Packaging — 0.3% | |||
| Avery Dennison Corp. | 5,624 | $ 978,970 | |
| Packaging Corp. of America | 5,963 | 912,637 | |
| Sealed Air Corp. | 14,789 | 455,353 | |
| $ 2,346,960 | |||
| Distributors — 0.1% | |||
| LKQ Corp. | 19,666 | $ 863,731 | |
| $ 863,731 | |||
| Diversified Telecommunication Services — 0.3% | |||
| AT&T, Inc. | 14,988 | $ 230,815 | |
| Verizon Communications, Inc. | 55,584 | 1,952,666 | |
| $ 2,183,481 | |||
| Electric Utilities — 1.0% | |||
| Alliant Energy Corp. | 17,071 | $ 832,894 | |
| Duke Energy Corp. | 13,551 | 1,204,548 | |
| Entergy Corp. | 9,047 | 864,803 | |
| Evergy, Inc. | 16,090 | 790,663 | |
| FirstEnergy Corp. | 16,698 | 594,449 | |
| NextEra Energy, Inc. | 30,946 | 1,804,152 | |
| NRG Energy, Inc. | 17,311 | 733,640 | |
| Pinnacle West Capital Corp. | 6,846 | 507,836 | |
| $ 7,332,985 | |||
| Electrical Equipment — 0.3% | |||
| Eaton Corp. PLC | 10,470 | $ 2,176,818 | |
| $ 2,176,818 | |||
| Electronic Equipment, Instruments & Components — 0.2% | |||
| TE Connectivity, Ltd. | 10,461 | $ 1,232,829 | |
| $ 1,232,829 | |||
| Entertainment — 0.4% | |||
| Netflix, Inc.(1) | 6,248 | $ 2,572,239 | |
| Walt Disney Co. (The)(1) | 6,074 | 495,578 | |
| $ 3,067,817 | |||
| Security | Shares | Value | |
| Financial Services — 2.4% | |||
| Berkshire Hathaway, Inc., Class B(1) | 22,369 | $ 7,635,211 | |
| FleetCor Technologies, Inc.(1) | 4,920 | 1,107,836 | |
| Mastercard, Inc., Class A | 11,540 | 4,343,079 | |
| Visa, Inc., Class A | 22,785 | 5,356,754 | |
| $ 18,442,880 | |||
| Food Products — 0.4% | |||
| Campbell Soup Co. | 17,201 | $ 695,092 | |
| Conagra Brands, Inc. | 41,972 | 1,148,354 | |
| Hormel Foods Corp. | 20,130 | 655,232 | |
| McCormick & Co., Inc., Non Voting Shares | 9,432 | 602,705 | |
| $ 3,101,383 | |||
| Ground Transportation — 0.4% | |||
| J.B. Hunt Transport Services, Inc. | 5,898 | $ 1,013,689 | |
| Union Pacific Corp. | 10,581 | 2,196,722 | |
| $ 3,210,411 | |||
| Health Care Equipment & Supplies — 1.1% | |||
| Abbott Laboratories | 21,873 | $ 2,068,092 | |
| Boston Scientific Corp.(1) | 34,345 | 1,758,120 | |
| Cooper Cos., Inc. (The) | 3,026 | 943,355 | |
| IDEXX Laboratories, Inc.(1) | 3,057 | 1,221,180 | |
| Intuitive Surgical, Inc.(1) | 7,071 | 1,854,158 | |
| Medtronic PLC | 11,119 | 784,557 | |
| $ 8,629,462 | |||
| Health Care Providers & Services — 1.4% | |||
| Cencora, Inc. | 7,142 | $ 1,322,341 | |
| DaVita, Inc.(1) | 10,455 | 807,440 | |
| Molina Healthcare, Inc.(1) | 3,204 | 1,066,772 | |
| Quest Diagnostics, Inc. | 7,345 | 955,584 | |
| UnitedHealth Group, Inc. | 11,791 | 6,314,788 | |
| $ 10,466,925 | |||
| Hotels, Restaurants & Leisure — 1.0% | |||
| Carnival Corp.(1) | 48,679 | $ 557,861 | |
| Expedia Group, Inc.(1) | 9,642 | 918,786 | |
| McDonald's Corp. | 9,679 | 2,537,544 | |
| Norwegian Cruise Line Holdings, Ltd.(1)(2) | 17,293 | 235,185 | |
| Starbucks Corp. | 21,637 | 1,995,797 | |
| Wynn Resorts, Ltd. | 10,917 | 958,294 | |
| $ 7,203,467 | |||
| Household Durables — 0.2% | |||
| Leggett & Platt, Inc. | �� 2,890 | $ 67,712 | |
2
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2023
Portfolio of Investments (Unaudited) — continued
| Security | Shares | Value | |
| Household Durables (continued) | |||
| Lennar Corp., Class A | 13,510 | $ 1,441,247 | |
| $ 1,508,959 | |||
| Household Products — 0.6% | |||
| Procter & Gamble Co. (The) | 31,813 | $ 4,772,904 | |
| $ 4,772,904 | |||
| Industrial Conglomerates — 0.3% | |||
| Honeywell International, Inc. | 12,134 | $ 2,223,677 | |
| $ 2,223,677 | |||
| Industrial REITs — 0.1% | |||
| ProLogis, Inc. | 10,041 | $ 1,011,631 | |
| $ 1,011,631 | |||
| Insurance — 1.0% | |||
| Arthur J. Gallagher & Co. | 7,052 | $ 1,660,675 | |
| Assurant, Inc. | 6,011 | 895,038 | |
| Everest Group, Ltd. | 2,641 | 1,044,832 | |
| Globe Life, Inc. | 7,099 | 826,040 | |
| Progressive Corp. (The) | 13,267 | 2,097,380 | |
| Unum Group | 26,445 | 1,293,161 | |
| $ 7,817,126 | |||
| Interactive Media & Services — 3.1% | |||
| Alphabet, Inc., Class A(1) | 71,060 | $ 8,817,125 | |
| Alphabet, Inc., Class C(1) | 59,582 | 7,465,625 | |
| Match Group, Inc.(1) | 29,665 | 1,026,409 | |
| Meta Platforms, Inc., Class A(1) | 20,724 | 6,243,519 | |
| $ 23,552,678 | |||
| IT Services — 0.4% | |||
| Accenture PLC, Class A | 9,807 | $ 2,913,562 | |
| $ 2,913,562 | |||
| Life Sciences Tools & Services — 0.8% | |||
| Danaher Corp. | 9,993 | $ 1,918,856 | |
| IQVIA Holdings, Inc.(1) | 6,039 | 1,092,032 | |
| Thermo Fisher Scientific, Inc. | 5,748 | 2,556,538 | |
| Waters Corp.(1) | 3,206 | 764,727 | |
| $ 6,332,153 | |||
| Machinery — 0.6% | |||
| Flowserve Corp. | 2,794 | $ 102,596 | |
| PACCAR, Inc. | 20,719 | 1,709,939 | |
| Security | Shares | Value | |
| Machinery (continued) | |||
| Pentair PLC | 5,259 | $ 305,653 | |
| Stanley Black & Decker, Inc. | 12,546 | 1,067,037 | |
| Westinghouse Air Brake Technologies Corp. | 10,792 | 1,144,168 | |
| $ 4,329,393 | |||
| Media — 0.5% | |||
| Comcast Corp., Class A | 61,260 | $ 2,529,425 | |
| Omnicom Group, Inc. | 15,747 | 1,179,608 | |
| Paramount Global, Class B | 40,540 | 441,075 | |
| $ 4,150,108 | |||
| Metals & Mining — 0.2% | |||
| Freeport-McMoRan, Inc. | 43,625 | $ 1,473,652 | |
| $ 1,473,652 | |||
| Multi-Utilities — 0.2% | |||
| CMS Energy Corp. | 15,289 | $ 830,804 | |
| WEC Energy Group, Inc. | 11,345 | 923,370 | |
| $ 1,754,174 | |||
| Office REITs — 0.1% | |||
| Alexandria Real Estate Equities, Inc. | 11,446 | $ 1,065,966 | |
| $ 1,065,966 | |||
| Oil, Gas & Consumable Fuels — 2.2% | |||
| APA Corp. | 26,833 | $ 1,065,807 | |
| Chevron Corp. | 23,279 | 3,392,449 | |
| Devon Energy Corp. | 24,290 | 1,131,185 | |
| EOG Resources, Inc. | 13,580 | 1,714,475 | |
| Exxon Mobil Corp. | 52,082 | 5,512,880 | |
| HF Sinclair Corp. | 23,402 | 1,296,003 | |
| Marathon Oil Corp. | 40,551 | 1,107,448 | |
| ONEOK, Inc. | 20,513 | 1,337,447 | |
| $ 16,557,694 | |||
| Passenger Airlines — 0.1% | |||
| Alaska Air Group, Inc.(1) | 18,881 | $ 597,206 | |
| $ 597,206 | |||
| Pharmaceuticals — 2.2% | |||
| Bristol-Myers Squibb Co. | 22,871 | $ 1,178,543 | |
| Eli Lilly & Co. | 11,288 | 6,252,762 | |
| Johnson & Johnson | 31,685 | 4,700,153 | |
3
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2023
Portfolio of Investments (Unaudited) — continued
| Security | Shares | Value | |
| Pharmaceuticals (continued) | |||
| Merck & Co., Inc. | 26,997 | $ 2,772,592 | |
| Pfizer, Inc. | 56,774 | 1,735,013 | |
| $ 16,639,063 | |||
| Professional Services — 0.4% | |||
| Jacobs Solutions, Inc. | 8,461 | $ 1,127,851 | |
| Robert Half, Inc. | 8,419 | 629,489 | |
| Verisk Analytics, Inc. | 6,411 | 1,457,605 | |
| $ 3,214,945 | |||
| Residential REITs — 0.3% | |||
| Equity Residential | 15,400 | $ 852,082 | |
| Mid-America Apartment Communities, Inc. | 8,714 | 1,029,559 | |
| $ 1,881,641 | |||
| Retail REITs — 0.1% | |||
| Kimco Realty Corp. | 35,858 | $ 643,293 | |
| $ 643,293 | |||
| Semiconductors & Semiconductor Equipment — 3.5% | |||
| Broadcom, Inc. | 6,294 | $ 5,295,583 | |
| First Solar, Inc.(1) | 3,078 | 438,461 | |
| Intel Corp. | 41,145 | 1,501,792 | |
| KLA Corp. | 4,203 | 1,974,149 | |
| NVIDIA Corp. | 30,549 | 12,457,882 | |
| Qorvo, Inc.(1) | 6,352 | 555,292 | |
| QUALCOMM, Inc. | 18,728 | 2,041,165 | |
| Teradyne, Inc. | 6,334 | 527,432 | |
| Texas Instruments, Inc. | 15,104 | 2,144,919 | |
| $ 26,936,675 | |||
| Software — 5.2% | |||
| Adobe, Inc.(1) | 7,575 | $ 4,030,354 | |
| Intuit, Inc. | 5,019 | 2,484,154 | |
| Microsoft Corp. | 82,763 | 27,982,998 | |
| Oracle Corp. | 29,281 | 3,027,655 | |
| Salesforce, Inc.(1) | 10,444 | 2,097,469 | |
| $ 39,622,630 | |||
| Specialized REITs — 0.4% | |||
| American Tower Corp. | 7,254 | $ 1,292,590 | |
| Extra Space Storage, Inc. | 5,931 | 614,392 | |
| Public Storage | 5,399 | 1,288,796 | |
| $ 3,195,778 | |||
| Security | Shares | Value | |
| Specialty Retail — 0.8% | |||
| Bath & Body Works, Inc. | 20,278 | $ 601,243 | |
| Home Depot, Inc. (The) | 13,992 | 3,983,382 | |
| Lowe's Cos., Inc. | 7,523 | 1,433,658 | |
| Victoria's Secret & Co.(1) | 7,225 | 129,183 | |
| $ 6,147,466 | |||
| Technology Hardware, Storage & Peripherals — 3.7% | |||
| Apple, Inc. | 165,952 | $ 28,339,623 | |
| $ 28,339,623 | |||
| Textiles, Apparel & Luxury Goods — 0.3% | |||
| NIKE, Inc., Class B | 18,161 | $ 1,866,406 | |
| Ralph Lauren Corp., Class A | 3,952 | 444,719 | |
| Under Armour, Inc., Class C(1) | 24,947 | 160,409 | |
| $ 2,471,534 | |||
| Tobacco — 0.3% | |||
| Philip Morris International, Inc. | 25,165 | $ 2,243,711 | |
| $ 2,243,711 | |||
| Trading Companies & Distributors — 0.3% | |||
| Fastenal Co. | 13,915 | $ 811,801 | |
| W.W. Grainger, Inc. | 1,898 | 1,385,217 | |
| $ 2,197,018 | |||
| Water Utilities — 0.1% | |||
| American Water Works Co., Inc. | 5,314 | $ 625,192 | |
| $ 625,192 | |||
| Total Common Stocks (identified cost $198,189,727) | $370,919,645 | ||
| Short-Term Investments — 50.8% |
| Affiliated Fund — 0.4% |
| Security | Shares | Value | |
| Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.25%(3) | 3,354,748 | $ 3,354,748 | |
| Total Affiliated Fund (identified cost $3,354,748) | $ 3,354,748 | ||
4
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2023
Portfolio of Investments (Unaudited) — continued
| U.S. Treasury Obligations — 50.4% |
| Security | Principal Amount (000's omitted) | Value | |
| U.S. Treasury Bills: | |||
| 0.00%, 11/2/23 | $ | 16,613 | $ 16,610,578 |
| 0.00%, 11/9/23 | 12,000 | 11,985,891 | |
| 0.00%, 11/21/23 | 35,800 | 35,694,813 | |
| 0.00%, 11/24/23 | 25,000 | 24,915,623 | |
| 0.00%, 12/5/23 | 9,600 | 9,552,072 | |
| 0.00%, 12/21/23 | 10,000 | 9,926,424 | |
| 0.00%, 12/28/23 | 18,387 | 18,232,266 | |
| 0.00%, 1/2/24 | 6,250 | 6,192,951 | |
| 0.00%, 1/4/24 | 18,850 | 18,672,559 | |
| 0.00%, 1/11/24 | 18,850 | 18,653,244 | |
| 0.00%, 1/25/24 | 20,800 | 20,539,629 | |
| 0.00%, 2/15/24(2) | 6,250 | 6,152,438 | |
| 0.00%, 2/22/24 | 17,140 | 16,854,319 | |
| 0.00%, 2/29/24 | 6,250 | 6,139,479 | |
| 0.00%, 3/21/24 | 19,125 | 18,726,592 | |
| 0.00%, 4/11/24 | 4,500 | 4,392,594 | |
| 0.00%, 4/18/24(2)(4) | 14,500 | 14,137,854 | |
| 0.00%, 4/25/24 | 4,500 | 4,382,791 | |
| 0.00%, 5/16/24(2)(4) | 20,050 | 19,474,364 | |
| 0.00%, 6/13/24(4) | 16,300 | 15,773,051 | |
| 0.00%, 7/11/24(2)(4) | 9,600 | 9,251,855 | |
| 0.00%, 8/8/24(4) | 15,850 | 15,208,110 | |
| 0.00%, 9/5/24 | 4,500 | 4,299,816 | |
| 0.00%, 10/3/24 | 4,500 | 4,282,003 | |
| U.S. Treasury Notes: | |||
| 0.125%, 1/15/24 | 8,200 | 8,112,636 | |
| 0.125%, 2/15/24 | 8,200 | 8,075,513 | |
| 0.25%, 3/15/24 | 6,625 | 6,499,606 | |
| Security | Principal Amount (000's omitted) | Value | |
| U.S. Treasury Notes: (continued) | |||
| 0.375%, 8/15/24 | $ | 6,250 | $ 6,005,601 |
| 0.625%, 10/15/24 | 4,500 | 4,299,457 | |
| 1.25%, 8/31/24 | 10,750 | 10,382,987 | |
| 3.00%, 7/31/24(4) | 10,750 | 10,554,279 | |
| Total U.S. Treasury Obligations (identified cost $384,179,597) | $383,981,395 | ||
| Total Short-Term Investments (identified cost $387,534,345) | $387,336,143 | ||
| Total Investments — 99.5% (identified cost $585,724,072) | $758,255,788 | ||
| Total Written Options — (0.2)% (premiums received $2,377,139) | $ (1,798,695) | ||
| Other Assets, Less Liabilities — 0.7% | $ 5,799,017 | ||
| Net Assets — 100.0% | $762,256,110 | ||
| The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
| (1) | Non-income producing security. |
| (2) | All or a portion of this security was on loan at October 31, 2023. The aggregate market value of securities on loan at October 31, 2023 was $14,788,345 and the total market value of the collateral received by the Fund was $15,081,680, comprised of U.S. government and/or agencies securities. |
| (3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of October 31, 2023. |
| (4) | Security (or a portion thereof) has been pledged as collateral for written options. |
| Written Call Options (Exchange-Traded) — (0.1)% | |||||||
| Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
| S&P 500 Index | 75 | $31,453,500 | $4,245.00 | 11/3/23 | $ (84,750) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,240.00 | 11/6/23 | (123,375) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,310.00 | 11/8/23 | (37,500) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,265.00 | 11/13/23 | (159,375) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,400.00 | 11/20/23 | (28,125) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,290.00 | 11/24/23 | (218,625) | ||
| Total | $(651,750) | ||||||
5
Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2023
Portfolio of Investments (Unaudited) — continued
| Written Put Options (Exchange-Traded) — (0.1)% | |||||||
| Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value | ||
| S&P 500 Index | 75 | $31,453,500 | $4,060.00 | 11/3/23 | $ (18,375) | ||
| S&P 500 Index | 76 | 31,872,880 | 4,100.00 | 11/3/23 | (43,320) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,050.00 | 11/6/23 | (27,750) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,125.00 | 11/6/23 | (97,125) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,050.00 | 11/8/23 | (52,125) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,175.00 | 11/10/23 | (287,250) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,010.00 | 11/13/23 | (62,625) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,150.00 | 11/15/23 | (287,250) | ||
| S&P 500 Index | 75 | 31,453,500 | 4,070.00 | 11/20/23 | (186,000) | ||
| S&P 500 Index | 75 | 31,453,500 | 3,930.00 | 11/24/23 | (85,125) | ||
| Total | $(1,146,945) | ||||||
| Abbreviations: | |
| REITs | – Real Estate Investment Trusts |
At October 31, 2023, 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, 2023, the value of the Fund’s investment in funds that may be deemed to be affiliated was $3,354,748, which represents 0.4% of the Fund’s net assets. Transactions in such investments by the Fund for the fiscal year to date ended October 31, 2023 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 | Shares, end of period |
| Short-Term Investments | ||||||||
| Liquidity Fund, Institutional Class(1) | $41,696,705 | $501,236,753 | $(539,578,710) | $ — | $ — | $3,354,748 | $702,346 | 3,354,748 |
| (1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
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.
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Parametric
Volatility Risk Premium - Defensive Fund
October 31, 2023
Portfolio of Investments (Unaudited) — continued
At October 31, 2023, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at fair value, were as follows:
| Asset Description | Level 1 | Level 2 | Level 3 | Total |
| Common Stocks | $370,919,645* | $ — | $ — | $370,919,645 |
| Short-Term Investments: | ||||
| Affiliated Fund | 3,354,748 | — | — | 3,354,748 |
| U.S. Treasury Obligations | — | 383,981,395 | — | 383,981,395 |
| Total Investments | $374,274,393 | $383,981,395 | $ — | $758,255,788 |
| Liability Description | ||||
| Written Call Options | $ (651,750) | $ — | $ — | $ (651,750) |
| Written Put Options | (1,146,945) | — | — | (1,146,945) |
| Total | $ (1,798,695) | $ — | $ — | $ (1,798,695) |
| * | 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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