Parametric
Dividend Income Fund
November 30, 2023
Portfolio of Investments (Unaudited)
Common Stocks — 99.7% |
Security | Shares | Value | |
Aerospace & Defense — 1.8% | |||
General Dynamics Corp. | 1,779 | $ 439,360 | |
Lockheed Martin Corp. | 991 | 443,740 | |
RTX Corp. | 4,844 | 394,689 | |
$ 1,277,789 | |||
Automobile Components — 0.5% | |||
Gentex Corp. | 12,480 | $ 379,517 | |
$ 379,517 | |||
Banks — 3.0% | |||
Cadence Bank | 17,470 | $ 437,623 | |
CVB Financial Corp. | 24,268 | 433,912 | |
F.N.B. Corp. | 35,447 | 425,010 | |
First Interstate BancSystem, Inc., Class A | 15,514 | 401,657 | |
Prosperity Bancshares, Inc. | 7,568 | 456,426 | |
$ 2,154,628 | |||
Beverages — 2.2% | |||
Brown-Forman Corp., Class B | 7,108 | $ 417,524 | |
Coca-Cola Co. (The) | 7,215 | 421,645 | |
Keurig Dr Pepper, Inc. | 12,710 | 401,255 | |
PepsiCo, Inc. | 2,191 | 368,723 | |
$ 1,609,147 | |||
Biotechnology — 1.5% | |||
AbbVie, Inc. | 2,633 | $ 374,913 | |
Amgen, Inc. | 1,393 | 375,608 | |
Gilead Sciences, Inc. | 4,678 | 358,335 | |
$ 1,108,856 | |||
Building Products — 0.6% | |||
A.O. Smith Corp. | 5,441 | $ 410,034 | |
$ 410,034 | |||
Capital Markets — 2.8% | |||
Artisan Partners Asset Management, Inc., Class A | 9,749 | $ 367,050 | |
CME Group, Inc. | 2,008 | 438,467 | |
Janus Henderson Group PLC | 14,915 | 390,624 | |
Northern Trust Corp. | 5,506 | 436,350 | |
T. Rowe Price Group, Inc. | 3,587 | 359,166 | |
$ 1,991,657 |
Security | Shares | Value | |
Chemicals — 5.9% | |||
Air Products and Chemicals, Inc. | 1,321 | $ 357,396 | |
Corteva, Inc. | 7,519 | 339,859 | |
Dow, Inc. | 7,027 | 363,647 | |
DuPont de Nemours, Inc. | 5,473 | 391,538 | |
Eastman Chemical Co. | 4,653 | 390,061 | |
FMC Corp. | 5,654 | 303,394 | |
Huntsman Corp. | 16,531 | 406,663 | |
International Flavors & Fragrances, Inc. | 5,768 | 434,792 | |
Linde PLC | 932 | 385,634 | |
LyondellBasell Industries NV, Class A | 4,291 | 408,074 | |
RPM International, Inc. | 4,267 | 439,202 | |
$ 4,220,260 | |||
Communications Equipment — 1.1% | |||
Cisco Systems, Inc. | 7,342 | $ 355,206 | |
Juniper Networks, Inc. | 14,321 | 407,432 | |
$ 762,638 | |||
Construction & Engineering — 0.6% | |||
MDU Resources Group, Inc. | 20,781 | $ 397,748 | |
$ 397,748 | |||
Consumer Staples Distribution & Retail — 1.6% | |||
Casey's General Stores, Inc. | 1,403 | $ 386,386 | |
Costco Wholesale Corp. | 695 | 411,955 | |
Walmart, Inc. | 2,238 | 348,434 | |
$ 1,146,775 | |||
Containers & Packaging — 2.7% | |||
Amcor PLC | 37,191 | $ 352,571 | |
AptarGroup, Inc. | 3,301 | 418,864 | |
International Paper Co. | 10,554 | 389,865 | |
Packaging Corp. of America | 2,316 | 389,111 | |
Sonoco Products Co. | 6,576 | 362,732 | |
$ 1,913,143 | |||
Distributors — 1.0% | |||
Genuine Parts Co. | 2,843 | $ 377,494 | |
LKQ Corp. | 8,176 | 364,077 | |
$ 741,571 | |||
Diversified Telecommunication Services — 1.2% | |||
AT&T, Inc. | 24,365 | $ 403,728 | |
Verizon Communications, Inc. | 12,375 | 474,334 | |
$ 878,062 |
1
Parametric
Dividend Income Fund
November 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Electric Utilities — 6.2% | |||
Alliant Energy Corp. | 7,146 | $ 361,373 | |
American Electric Power Co., Inc. | 4,826 | 383,908 | |
Avangrid, Inc. | 13,703 | 423,012 | |
Duke Energy Corp. | 4,580 | 422,642 | |
Evergy, Inc. | 8,010 | 408,830 | |
IDACORP, Inc. | 3,830 | 369,595 | |
OGE Energy Corp. | 12,274 | 430,204 | |
Pinnacle West Capital Corp. | 5,386 | 403,627 | |
Portland General Electric Co. | 10,029 | 411,791 | |
PPL Corp. | 17,267 | 451,014 | |
Southern Co. (The) | 5,360 | 380,453 | |
$ 4,446,449 | |||
Electrical Equipment — 1.1% | |||
Eaton Corp. PLC | 1,726 | $ 392,993 | |
Emerson Electric Co. | 4,227 | 375,780 | |
$ 768,773 | |||
Electronic Equipment, Instruments & Components — 1.1% | |||
Amphenol Corp., Class A | 4,850 | $ 441,301 | |
Corning, Inc. | 11,061 | 315,128 | |
$ 756,429 | |||
Energy Equipment & Services — 1.0% | |||
Baker Hughes Co. | 10,980 | $ 370,575 | |
Helmerich & Payne, Inc. | 8,991 | 325,744 | |
$ 696,319 | |||
Entertainment — 0.6% | |||
Electronic Arts, Inc. | 3,243 | $ 447,566 | |
$ 447,566 | |||
Financial Services — 1.0% | |||
MGIC Investment Corp. | 23,912 | $ 420,612 | |
Western Union Co. (The) | 28,216 | 328,152 | |
$ 748,764 | |||
Food Products — 4.3% | |||
Archer-Daniels-Midland Co. | 5,366 | $ 395,635 | |
Bunge Global S.A. | 3,371 | 370,372 | |
General Mills, Inc. | 6,244 | 397,493 | |
Hormel Foods Corp. | 9,799 | 299,751 | |
Ingredion, Inc. | 4,107 | 420,927 | |
Kellanova | 5,894 | 309,671 | |
Kraft Heinz Co. (The) | 11,984 | 420,758 |
Security | Shares | Value | |
Food Products (continued) | |||
Mondelez International, Inc., Class A | 5,812 | $ 413,001 | |
WK Kellogg Co. | 2,037 | 22,814 | |
$ 3,050,422 | |||
Gas Utilities — 1.1% | |||
Atmos Energy Corp. | 3,294 | $ 374,890 | |
National Fuel Gas Co. | 7,821 | 397,229 | |
$ 772,119 | |||
Ground Transportation — 0.5% | |||
Landstar System, Inc. | 2,242 | $ 387,081 | |
$ 387,081 | |||
Health Care Equipment & Supplies — 2.2% | |||
Abbott Laboratories | 4,069 | $ 424,356 | |
Becton, Dickinson & Co. | 1,526 | 360,411 | |
Medtronic PLC | 5,093 | 403,722 | |
Zimmer Biomet Holdings, Inc. | 3,116 | 362,422 | |
$ 1,550,911 | |||
Health Care Providers & Services — 4.6% | |||
Cardinal Health, Inc. | 4,606 | $ 493,211 | |
Cencora, Inc. | 2,224 | 452,295 | |
Chemed Corp. | 781 | 442,827 | |
CVS Health Corp. | 5,116 | 347,632 | |
Patterson Cos., Inc. | 13,098 | 332,820 | |
Premier, Inc., Class A | 16,799 | 345,891 | |
Quest Diagnostics, Inc. | 3,073 | 421,708 | |
UnitedHealth Group, Inc. | 794 | 439,058 | |
$ 3,275,442 | |||
Hotels, Restaurants & Leisure — 2.3% | |||
Cracker Barrel Old Country Store, Inc.(1) | 5,733 | $ 384,856 | |
Darden Restaurants, Inc. | 2,632 | 411,829 | |
Texas Roadhouse, Inc. | 4,241 | 477,367 | |
Vail Resorts, Inc. | 1,660 | 360,735 | |
$ 1,634,787 | |||
Household Durables — 2.2% | |||
Garmin, Ltd. | 3,762 | $ 459,867 | |
Leggett & Platt, Inc. | 15,849 | 362,467 | |
MDC Holdings, Inc. | 9,603 | 425,029 | |
Whirlpool Corp. | 2,854 | 310,800 | |
$ 1,558,163 |
2
Parametric
Dividend Income Fund
November 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Household Products — 2.4% | |||
Church & Dwight Co., Inc. | 4,356 | $ 420,920 | |
Colgate-Palmolive Co. | 5,627 | 443,239 | |
Kimberly-Clark Corp. | 3,307 | 409,175 | |
Procter & Gamble Co. (The) | 2,704 | 415,118 | |
$ 1,688,452 | |||
Industrial Conglomerates — 1.2% | |||
3M Co. | 4,064 | $ 402,620 | |
Honeywell International, Inc. | 2,164 | 423,971 | |
$ 826,591 | |||
Insurance — 4.5% | |||
Aflac, Inc. | 4,534 | $ 375,007 | |
Cincinnati Financial Corp. | 3,757 | 386,182 | |
Fidelity National Financial, Inc. | 9,171 | 411,228 | |
Hanover Insurance Group, Inc. (The) | 3,676 | 456,927 | |
Old Republic International Corp. | 14,929 | 437,569 | |
Principal Financial Group, Inc. | 4,916 | 362,948 | |
Prudential Financial, Inc. | 3,767 | 368,337 | |
Travelers Cos., Inc. (The) | 2,361 | 426,444 | |
$ 3,224,642 | |||
IT Services — 2.3% | |||
Accenture PLC, Class A | 1,239 | $ 412,761 | |
Amdocs, Ltd. | 4,521 | 378,724 | |
Cognizant Technology Solutions Corp., Class A | 5,907 | 415,735 | |
International Business Machines Corp. | 2,861 | 453,640 | |
$ 1,660,860 | |||
Leisure Products — 0.4% | |||
Hasbro, Inc. | 5,678 | $ 263,516 | |
$ 263,516 | |||
Life Sciences Tools & Services — 0.6% | |||
Agilent Technologies, Inc. | 3,374 | $ 431,197 | |
$ 431,197 | |||
Machinery — 1.6% | |||
Cummins, Inc. | 1,761 | $ 394,746 | |
Donaldson Co., Inc. | 5,774 | 351,290 | |
Snap-on, Inc. | 1,562 | 429,066 | |
$ 1,175,102 | |||
Media — 1.8% | |||
Interpublic Group of Cos., Inc. (The) | 13,188 | $ 405,399 |
Security | Shares | Value | |
Media (continued) | |||
New York Times Co. (The), Class A | 9,415 | $ 442,411 | |
Omnicom Group, Inc. | 5,223 | 421,131 | |
$ 1,268,941 | |||
Metals & Mining — 2.3% | |||
Newmont Corp. | 11,056 | $ 444,341 | |
Reliance Steel & Aluminum Co. | 1,480 | 407,385 | |
Royal Gold, Inc. | 3,519 | 428,614 | |
Southern Copper Corp. | 5,208 | 374,611 | |
$ 1,654,951 | |||
Multi-Utilities — 3.9% | |||
Avista Corp. | 11,769 | $ 399,558 | |
Consolidated Edison, Inc. | 4,744 | 427,482 | |
Dominion Energy, Inc. | 7,977 | 361,677 | |
DTE Energy Co. | 4,085 | 425,289 | |
Public Service Enterprise Group, Inc. | 7,171 | 447,685 | |
Sempra | 5,334 | 388,689 | |
WEC Energy Group, Inc. | 4,322 | 361,406 | |
$ 2,811,786 | |||
Oil, Gas & Consumable Fuels — 9.4% | |||
Antero Midstream Corp. | 33,003 | $ 439,600 | |
Chevron Corp. | 2,098 | 301,273 | |
ConocoPhillips | 3,343 | 386,350 | |
Coterra Energy, Inc. | 14,071 | 369,364 | |
Devon Energy Corp. | 7,344 | 330,260 | |
DHT Holdings, Inc. | 38,770 | 386,149 | |
Diamondback Energy, Inc. | 2,411 | 372,282 | |
DT Midstream, Inc. | 7,591 | 434,888 | |
EOG Resources, Inc. | 2,841 | 349,642 | |
Exxon Mobil Corp. | 3,428 | 352,193 | |
HF Sinclair Corp. | 6,795 | 356,602 | |
Kinder Morgan, Inc. | 21,505 | 377,843 | |
ONEOK, Inc. | 6,140 | 422,739 | |
Phillips 66 | 3,070 | 395,692 | |
Pioneer Natural Resources Co. | 1,751 | 405,602 | |
Texas Pacific Land Corp. | 209 | 349,437 | |
Valero Energy Corp. | 2,613 | 327,566 | |
Williams Cos., Inc. (The) | 10,457 | 384,713 | |
$ 6,742,195 | |||
Pharmaceuticals — 2.1% | |||
Bristol-Myers Squibb Co. | 6,927 | $ 342,055 | |
Johnson & Johnson | 2,556 | 395,311 |
3
Parametric
Dividend Income Fund
November 30, 2023
Portfolio of Investments (Unaudited) — continued
Security | Shares | Value | |
Pharmaceuticals (continued) | |||
Merck & Co., Inc. | 3,820 | $ 391,474 | |
Pfizer, Inc. | 11,759 | 358,297 | |
$ 1,487,137 | |||
Professional Services — 2.2% | |||
Automatic Data Processing, Inc. | 1,545 | $ 355,226 | |
ManpowerGroup, Inc. | 4,836 | 358,880 | |
Paychex, Inc. | 3,437 | 419,211 | |
Robert Half, Inc. | 5,343 | 438,019 | |
$ 1,571,336 | |||
Semiconductors & Semiconductor Equipment — 1.6% | |||
Analog Devices, Inc. | 2,035 | $ 373,178 | |
Skyworks Solutions, Inc. | 3,856 | 373,762 | |
Texas Instruments, Inc. | 2,604 | 397,657 | |
$ 1,144,597 | |||
Software — 1.9% | |||
Dolby Laboratories, Inc., Class A | 4,752 | $ 409,290 | |
Microsoft Corp. | 1,301 | 492,962 | |
Roper Technologies, Inc. | 799 | 430,061 | |
$ 1,332,313 | |||
Specialty Retail — 1.6% | |||
Best Buy Co., Inc. | 5,414 | $ 384,069 | |
Home Depot, Inc. (The) | 1,228 | 384,966 | |
TJX Cos., Inc. (The) | 4,063 | 357,991 | |
$ 1,127,026 | |||
Textiles, Apparel & Luxury Goods — 2.9% | |||
Carter's, Inc. | 5,494 | $ 374,636 | |
Columbia Sportswear Co. | 5,371 | 420,711 | |
Kontoor Brands, Inc. | 8,555 | 470,268 | |
Steven Madden, Ltd. | 12,008 | 455,343 | |
VF Corp. | 19,897 | 332,877 | |
$ 2,053,835 |
Security | Shares | Value | |
Tobacco — 0.6% | |||
Altria Group, Inc. | 9,533 | $ 400,767 | |
$ 400,767 | |||
Trading Companies & Distributors — 1.7% | |||
Fastenal Co. | 7,351 | $ 440,840 | |
MSC Industrial Direct Co., Inc., Class A | 4,096 | 399,032 | |
Watsco, Inc. | 1,039 | 397,137 | |
$ 1,237,009 | |||
Total Common Stocks (identified cost $60,425,866) | $71,187,303 |
Short-Term Investments — 0.4% |
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.26%(2) | 288,390 | $ 288,390 | |
Total Short-Term Investments (identified cost $288,390) | $ 288,390 | ||
Total Investments — 100.1% (identified cost $60,714,256) | $71,475,693 | ||
Other Assets, Less Liabilities — (0.1)% | $ (64,838) | ||
Net Assets — 100.0% | $71,410,855 |
The percentage shown for each investment category in the Portfolio of Investments is based on net assets. | |
(1) | All or a portion of this security was on loan at November 30, 2023. The aggregate market value of securities on loan at November 30, 2023 was $380,963 and the total market value of the collateral received by the Fund was $439,248, comprised of U.S. government and/or agencies securities. |
(2) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of November 30, 2023. |
4
Parametric
Dividend Income Fund
November 30, 2023
Portfolio of Investments (Unaudited) — continued
The Fund did not have any open derivative instruments at November 30, 2023.
Affiliated Investments
At November 30, 2023, the value of the Fund’s investment in funds that may be deemed to be affiliated was $288,390, which represents 0.4% of the Fund’s net assets. Transactions in such investments by the Fund for the fiscal year to date ended November 30, 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) | $1,601,137 | $22,999,290 | $(24,312,037) | $ — | $ — | $288,390 | $18,863 | 288,390 |
(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.
At November 30, 2023, the hierarchy of inputs used in valuing the Fund's investments, which are carried at fair value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $71,187,303* | $ — | $ — | $71,187,303 |
Short-Term Investments | 288,390 | — | — | 288,390 |
Total Investments | $71,475,693 | $ — | $ — | $71,475,693 |
* | 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.
5