Global Macro Portfolio N-CSR Certified annual shareholder report (management investment company)

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-08342

Global Macro Portfolio

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)

Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)

(617) 482-8260
(Registrant’s Telephone Number)

October 31
Date of Fiscal Year End

October 31, 2010
Date of Reporting Period

Item 1. Reports to Stockholders

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS

Foreign Government Bonds — 10.0%
		Principal
Security		Amount		Value
Bermuda — 0.5%
Government of Bermuda, 5.603%, 7/20/20(1)	USD		38,232,000	$	41,747,891
Total Bermuda (identified cost $39,761,217)				$	41,747,891
Brazil — 0.1%
Nota Do Tesouro Nacional, 6.00%, 5/15/15(2)	BRL		12,955,874	$	7,631,205
Total Brazil (identified cost $6,954,217)				$	7,631,205
Chile — 0.9%
Government of Chile, 6.00%, 3/1/17	CLP		2,390,000,000	$	4,852,058
Government of Chile, 6.00%, 3/1/18	CLP		36,935,000,000		74,812,211
Total Chile (identified cost $77,522,521)				$	79,664,269
Congo — 0.0%(5)
Republic of Congo, 3.00%, 6/30/29	USD		2,802,500	$	1,737,550
Total Congo (identified cost $1,233,799)				$	1,737,550
Costa Rica — 0.0%(5)
Titulo Propiedad Ud, 1.00%, 1/12/22(2)	CRC		1,302,739,517	$	1,904,349
Titulo Propiedad Ud, 1.63%, 7/13/16(2)	CRC		145,210,746		243,435
Total Costa Rica (identified cost $3,067,934)				$	2,147,784
Dominican Republic — 0.8%
Dominican Republic “Bonos Internos” Total Return Linked Bond (Citibank, N.A.), 16.00%, 7/10/20(3)	DOP		2,439,100,000	$	70,938,101
Total Dominican Republic (identified cost $67,563,246)				$	70,938,101
Georgia — 0.1%
Republic of Georgia, 7.50%, 4/15/13	USD		4,764,000	$	5,026,020
Total Georgia (identified cost $3,708,138)				$	5,026,020
Germany — 0.2%
Bundesrepublik Deutschland, 3.50%, 7/4/19	EUR		15,000,000	$	22,623,905
Total Germany (identified cost $20,593,055)				$	22,623,905
Greece — 0.2%
Hellenic Republic Government Bond, 3.70%, 7/20/15	EUR		5,000,000	$	5,139,639
Hellenic Republic Government Bond, 6.10%, 8/20/15	EUR		9,775,000		11,206,720
Total Greece (identified cost $17,469,570)				$	16,346,359
Israel — 0.4%
Israeli Government Bond, 3.00%, 10/31/19(2)	ILS		53,979,451	$	16,933,201
Israeli Government Bond, 5.00%, 4/30/15(2)	ILS		45,562,290		15,077,332
Total Israel (identified cost $28,942,806)				$	32,010,533
Macedonia — 0.1%
Republic of Macedonia, 4.625%, 12/8/15	EUR		6,594,000	$	8,640,644
Total Macedonia (identified cost $5,997,685)				$	8,640,644
Pakistan — 0.1%
Republic of Pakistan, 7.125%, 3/31/16(4)	USD		10,700,000	$	10,029,699
Total Pakistan (identified cost $10,112,016)				$	10,029,699
Poland — 0.3%
Poland Government Bond, 3.00%, 8/24/16(2)	PLN		84,575,416	$	30,288,696
Total Poland (identified cost $27,380,584)				$	30,288,696
Slovakia — 1.9%
Slovakia Government Bond, 0.00%, 1/27/12	EUR		125,407,000	$	171,251,016
Total Slovakia (identified cost $162,617,352)				$	171,251,016
South Africa — 0.9%
Republic of South Africa, 6.50%, 6/2/14	USD		67,231,000	$	77,651,805
Total South Africa (identified cost $73,097,349)				$	77,651,805

See notes to consolidated financial statements

17

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

		Principal
Security		Amount		Value
Sri Lanka — 0.4%
Republic of Sri Lanka, 6.25%, 10/4/20(1)	USD		36,130,000	$	37,710,687
Total Sri Lanka (identified cost $36,130,000)				$	37,710,687
Taiwan — 1.0%
Taiwan Government Bond, 0.25%, 10/21/11	TWD		287,500,000	$	9,377,655
Taiwan Government Bond, 0.25%, 2/10/12	TWD		2,450,100,000		79,897,272
Total Taiwan (identified cost $86,459,007)				$	89,274,927
Turkey — 2.0%
Turkey Government Bond, 4.00%, 4/1/20(2)	TRY		229,656,318	$	181,726,860
Total Turkey (identified cost $151,458,294)				$	181,726,860
Uruguay — 0.1%
Republic of Uruguay, 5.00%, 9/14/18(2)	UYU		181,437,225	$	10,547,538
Total Uruguay (identified cost $7,823,939)				$	10,547,538
Total Foreign Government Bonds (identified cost $827,892,729)				$	896,995,489
Foreign Corporate Bonds & Notes — 0.0%(5)
		Principal
Security		Amount		Value
Chile — 0.0%
JPMorgan Chilean Inflation Linked Note, 3.80%, 11/17/15(2)	USD		3,578,676	$	3,986,638
Total Chile (identified cost $3,000,000)				$	3,986,638
Total Foreign Corporate Bonds & Notes (identified cost $3,000,000)				$	3,986,638
Debt Obligations — United States — 35.1%
Corporate Bonds & Notes — 0.0%(5)
		Principal
Security		Amount		Value
Eaton Corp., 8.875%, 6/15/19		$	500,000	$	674,625
Total Corporate Bonds & Notes (identified cost $529,851)				$	674,625
Collateralized Mortgage Obligations — 1.5%
		Principal
Security		Amount		Value
Federal Home Loan Mortgage Corp.:
Series 4, Class D, 8.00%, 12/25/22		$	379,547	$	436,364
Series 1548, Class Z, 7.00%, 7/15/23			447,237		462,926
Series 1650, Class K, 6.50%, 1/15/24			2,848,919		3,144,592
Series 1817, Class Z, 6.50%, 2/15/26			406,022		436,201
Series 1927, Class ZA, 6.50%, 1/15/27			1,448,413		1,489,599
Series 2127, Class PG, 6.25%, 2/15/29			1,834,311		1,970,969
Series 2344, Class ZD, 6.50%, 8/15/31			2,780,882		3,079,383
Series 2458, Class ZB, 7.00%, 6/15/32			3,968,802		4,534,724
				$	15,554,758
Federal National Mortgage Association:
Series 1992-180, Class F, 1.431%, 10/25/22(6)		$	1,561,399	$	1,599,570
Series 1993-16, Class Z, 7.50%, 2/25/23			1,524,232		1,768,670
Series 1993-79, Class PL, 7.00%, 6/25/23			1,164,914		1,324,617
Series 1993-104, Class ZB, 6.50%, 7/25/23			453,320		509,888
Series 1993-121, Class Z, 7.00%, 7/25/23			6,953,284		7,892,900
Series 1993-141, Class Z, 7.00%, 8/25/23			1,180,576		1,339,415
Series 1994-42, Class ZQ, 7.00%, 4/25/24			7,275,693		8,232,336
Series 1994-79, Class Z, 7.00%, 4/25/24			1,408,577		1,604,738
Series 1994-89, Class ZQ, 8.00%, 7/25/24			946,273		1,117,621
Series 1996-35, Class Z, 7.00%, 7/25/26			362,929		416,762
Series 1998-16, Class H, 7.00%, 4/18/28			948,032		1,089,720
Series 1998-44, Class ZA, 6.50%, 7/20/28			1,643,131		1,871,996
Series 1999-25, Class Z, 6.00%, 6/25/29			2,969,700		3,303,975
Series 2000-2, Class ZE, 7.50%, 2/25/30			430,364		505,689
Series 2000-49, Class A, 8.00%, 3/18/27			1,255,506		1,492,246
Series 2001-31, Class ZA, 6.00%, 7/25/31			16,892,675		18,852,756
Series 2001-37, Class GA, 8.00%, 7/25/16			127,057		139,860
Series 2001-74, Class QE, 6.00%, 12/25/31			6,813,762		7,507,943
Series 2009-48, Class WA, 5.852%, 7/25/39(7)			15,706,365		17,375,759
Series G48, Class Z, 7.10%, 12/25/21			1,156,750		1,305,640
Series G92-60, Class Z, 7.00%, 10/25/22			3,122,913		3,512,182
Series G93-1, Class K, 6.675%, 1/25/23			1,754,602		1,989,845
Series G93-31, Class PN, 7.00%, 9/25/23			5,436,480		6,276,015

See notes to consolidated financial statements

18

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

	Principal
Security	Amount		Value
Federal National Mortgage Association (continued)
Series G93-41, Class ZQ, 7.00%, 12/25/23	$	11,169,402	$	12,897,039
Series G94-7, Class PJ, 7.50%, 5/17/24		1,764,338		2,070,910
			$	105,998,092
Government National Mortgage Association:
Series 1994-7, Class PQ, 6.50%, 10/16/24	$	1,285,171	$	1,440,203
Series 1996-22, Class Z, 7.00%, 10/16/26		989,742		1,126,980
Series 1999-42, Class Z, 8.00%, 11/16/29		2,515,331		2,895,948
Series 2001-21, Class Z, 9.00%, 3/16/30		3,723,047		4,601,604
Series 2001-35, Class K, 6.45%, 10/26/23		411,049		460,191
Series 2002-48, Class OC, 6.00%, 9/16/30		2,837,993		2,941,400
			$	13,466,326
Total Collateralized Mortgage Obligations (identified cost $127,670,403)			$	135,019,176
Commercial Mortgage-Backed Securities — 0.6%
	Principal
Security	Amount		Value
GSMS, Series 2001-LIBA, Class E, 6.733%, 2/14/16(1)	$	4,000,000	$	4,025,496
GSMS, Series 2001-ROCK, Class B, 6.771%, 5/3/18(1)		3,890,000		3,968,654
GSMS, Series 2001-ROCK, Class C, 6.878%, 5/3/18(1)		8,155,000		8,322,842
GSMS, Series 2001-ROCK, Class G, 6.878%, 5/3/18(1)(7)		3,935,000		4,016,047
JPMCC, Series 2005-LDP5, Class AM, 5.24%, 12/15/44(7)		9,960,000		10,205,449
MLMT, Series 2006-C2, Class A2, 5.756%, 8/12/43(7)		7,000,000		7,533,270
WBCMT, Series 2004-C12, Class MAD, 5.262%, 7/15/41(1)(7)		9,762,855		10,971,027
WBCMT, Series 2005-C17, Class A4, 5.083%, 3/15/42(7)		6,000,000		6,511,514
Total Commercial Mortgage-Backed Securities (identified cost $53,787,876)			$	55,554,299
Mortgage Pass-Throughs — 12.8%
	Principal
Security	Amount		Value
Federal Home Loan Mortgage Corp.:
3.179%, with maturity at 2035(8)	$	7,834,041	$	8,086,243
3.745%, with maturity at 2029(8)		1,635,937		1,679,178
3.916%, with maturity at 2023(8)		570,505		600,703
4.363%, with maturity at 2030(8)		2,144,799		2,297,725
4.50%, with maturity at 2018		6,039,942		6,445,331
5.00%, with various maturities to 2019		7,754,586		8,331,630
5.50%, with various maturities to 2019		20,909,957		22,724,988
6.00%, with various maturities to 2035		60,038,468		67,733,818
6.50%, with various maturities to 2033		73,332,737		83,155,044
6.60%, with maturity at 2030		3,255,613		3,761,934
7.00%, with various maturities to 2036		55,492,743		64,164,758
7.31%, with maturity at 2026		407,273		480,419
7.50%, with various maturities to 2035		34,254,107		40,291,066
7.95%, with maturity at 2022		566,755		671,709
8.00%, with various maturities to 2031		6,887,891		8,208,277
8.15%, with maturity at 2021		311,144		372,356
8.30%, with maturity at 2021		102,889		116,132
8.47%, with maturity at 2018		236,598		276,071
8.50%, with various maturities to 2028		1,570,375		1,896,662
9.00%, with various maturities to 2027		2,903,836		3,493,953
9.50%, with various maturities to 2027		299,489		369,678
9.75%, with various maturities to 2020		7,150		8,365
10.00%, with various maturities to 2020		940,741		1,097,353
10.50%, with maturity at 2021		499,684		594,286
11.00%, with maturity at 2016		679,301		773,844
13.25%, with maturity at 2013		370		379
			$	327,631,902
Federal National Mortgage Association:
2.525%, with maturity at 2028(8)	$	279,908	$	290,477
2.968%, with maturity at 2022(8)		3,149,451		3,236,883
3.003%, with various maturities to 2035(8)		30,388,814		31,538,774
3.033%, with maturity at 2035(8)		6,720,989		6,945,907
3.047%, with various maturities to 2033(8)		26,481,796		27,376,696
3.153%, with maturity at 2025(8)		1,789,845		1,855,468
3.353%, with maturity at 2024(8)		1,438,399		1,498,653
3.722%, with maturity at 2034(8)		4,763,199		5,046,066
3.858%, with maturity at 2035(8)		17,358,127		18,432,421
3.907%, with maturity at 2023(8)		169,389		177,954
4.49%, with maturity at 2035(8)		12,712,032		13,598,595
4.50%, with various maturities to 2018		7,737,111		8,265,132
5.00%, with various maturities to 2019(9)		40,348,757		43,347,235
5.50%, with various maturities to 2023		33,389,602		36,201,397
6.00%, with various maturities to 2033		36,784,492		40,292,752
6.322%, with maturity at 2032(8)		5,455,595		5,849,424
6.50%, with various maturities to 2036		166,885,910		186,303,558
6.85%, with maturity at 2025(8)		368,141		390,172
7.00%, with various maturities to 2036		164,569,105		191,156,612
7.50%, with various maturities to 2034		24,095,432		27,779,049
8.00%, with various maturities to 2030		9,189,443		10,975,158
8.50%, with various maturities to 2037		13,803,172		16,672,875
9.00%, with various maturities to 2032		4,937,987		5,975,019
9.038%, with maturity at 2028(7)		824,647		969,735
9.50%, with various maturities to 2031		4,273,220		5,219,760
10.50%, with maturity at 2029		414,458		504,020
10.913%, with maturity at 2027(7)		795,229		934,388
11.00%, with maturity at 2016		32,579		36,009
11.50%, with maturity at 2031		663,386		854,628
			$	691,724,817

See notes to consolidated financial statements

19

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

	Principal
Security	Amount		Value
Government National Mortgage Association:
3.125%, with maturity at 2024(8)	$	744,639	$	773,085
6.50%, with various maturities to 2032		6,870,742		7,841,704
7.00%, with various maturities to 2035		62,082,021		72,512,927
7.50%, with various maturities to 2031		9,499,337		11,167,402
7.75%, with maturity at 2019		37,799		44,292
8.00%, with various maturities to 2034		26,498,917		31,227,987
8.30%, with various maturities to 2020		175,055		199,440
8.50%, with various maturities to 2021		1,627,698		1,863,002
9.00%, with various maturities to 2025		560,774		666,809
9.50%, with various maturities to 2026		1,912,555		2,398,532
			$	128,695,180
Total Mortgage Pass-Throughs (identified cost $1,095,218,022)			$	1,148,051,899
U.S. Government Agency Obligations — 4.5%
	Principal
Security	Amount		Value
Federal Home Loan Bank:
4.125%, 12/13/19	$	20,000,000	$	22,063,180
4.125%, 3/13/20		65,000,000		71,938,360
4.50%, 9/13/19		48,275,000		55,137,919
4.625%, 9/11/20		19,325,000		22,033,418
5.25%, 12/11/20		11,545,000		13,802,348
5.25%, 12/9/22		12,150,000		14,536,138
5.365%, 9/9/24		12,700,000		15,277,186
5.375%, 5/15/19		27,930,000		33,859,902
5.375%, 9/30/22		49,780,000		60,175,259
5.375%, 8/15/24		22,000,000		26,554,462
5.625%, 6/11/21		12,850,000		15,772,552
5.75%, 6/12/26		14,850,000		18,341,443
			$	369,492,167
United States Agency for International Development - Israel:
5.50%, 12/4/23	$	5,000,000	$	6,150,965
5.50%, 4/26/24		22,500,000		27,804,015
			$	33,954,980
Total U.S. Government Agency Obligations (identified cost $373,774,926)			$	403,447,147
U.S. Treasury Obligations — 15.7%
	Principal
Security	Amount		Value
U.S. Treasury Bond, 7.25%, 5/15/16	$	16,000,000	$	21,027,504
U.S. Treasury Bond, 7.875%, 2/15/21(9)		1,500,000		2,205,000
U.S. Treasury Note, 0.875%, 4/30/11		95,000,000		95,341,430
U.S. Treasury Note, 1.00%, 9/30/11		100,000,000		100,703,100
U.S. Treasury Note, 1.00%, 10/31/11		100,000,000		100,761,700
U.S. Treasury Note, 1.00%, 3/31/12(9)		100,000,000		101,042,600
U.S. Treasury Note, 1.00%, 4/30/12		100,000,000		101,070,700
U.S. Treasury Note, 1.125%, 1/15/12		100,000,000		101,039,100
U.S. Treasury Note, 1.375%, 11/15/12		61,500,000		62,778,031
U.S. Treasury Note, 1.75%, 11/15/11		100,000,000		101,562,500
U.S. Treasury Note, 4.50%, 2/28/11(9)		100,000,000		101,437,500
U.S. Treasury Note, 4.625%, 8/31/11(9)		100,000,000		103,648,500
U.S. Treasury Note, 4.625%, 12/31/11		100,000,000		105,093,800
U.S. Treasury Note, 4.625%, 7/31/12(9)		50,000,000		53,798,850
U.S. Treasury Note, 4.875%, 7/31/11		100,000,000		103,488,300
U.S. Treasury Note, 4.875%, 2/15/12		50,000,000		52,974,600
U.S. Treasury Note, 5.125%, 6/30/11		100,000,000		103,269,600
Total U.S. Treasury Obligations (identified cost $1,404,113,304)			$	1,411,242,815
Total Debt Obligations — United States (identified cost $3,055,094,382)			$	3,153,989,961

Common Stocks — 0.0%(5)
Security	Shares		Value
Indonesia — 0.0%
APP China		8,155	$	326,200
Total Indonesia
(identified cost $1,522,635)			$	326,200
Total Common Stocks
(identified cost $1,522,635)			$	326,200
Precious Metals — 0.9%
	Troy
Description	Ounces		Value
Gold		61,870	$	84,004,511
Total Precious Metals
(identified cost $78,611,209)			$	84,004,511

See notes to consolidated financial statements

20

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

Currency Options Purchased — 0.1%
	Principal
	Amount of
	Contracts		Strike		Expiration
Description	(000’s omitted)		Price		Date		Value
Euro Put Option	EUR	193,597	EUR	1.17		5/3/12	$	5,395,164
Total Currency Options Purchased (identified cost $8,845,661)							$	5,395,164

Put Options Purchased — 0.1%
	Number of
	Contracts		Strike		Expiration
Description	(000’s omitted)		Price		Date		Value
KOSPI 200 Index		801,640	KRW	200		10/11/12	$	8,851,469
KOSPI 200 Index		801,640	KRW	205		10/13/11		4,684,345
Total Put Options Purchased (identified cost $14,157,741)							$	13,535,814

Short-Term Investments — 52.8%
Foreign Government Securities — 40.0%
		Principal
		Amount
Security		(000’s omitted)		Value
Brazil — 2.8%
Letras Do Tesouro Nacional, 0.00%, 1/1/11	BRL		354,480	$	204,780,113
Letras Do Tesouro Nacional, 0.00%, 7/1/11	BRL		81,476		44,695,549
Total Brazil (identified cost $247,692,538)				$	249,475,662
Croatia — 4.4%
Croatia Treasury Bill, 0.00%, 11/11/10	EUR		5,000	$	6,957,678
Croatia Treasury Bill, 0.00%, 12/2/10	EUR		1,890		2,628,792
Croatia Treasury Bill, 0.00%, 12/9/10	EUR		4,300		5,979,713
Croatia Treasury Bill, 0.00%, 12/16/10	EUR		2,000		2,780,677
Croatia Treasury Bill, 0.00%, 12/30/10	EUR		9,520		13,229,664
Croatia Treasury Bill, 0.00%, 2/17/11	EUR		300		415,941
Croatia Treasury Bill, 0.00%, 4/7/11	EUR		15,742		21,754,596
Croatia Treasury Bill, 0.00%, 4/14/11	EUR		7,500		10,358,959
Croatia Treasury Bill, 0.00%, 5/5/11	EUR		46,811		64,542,386
Croatia Treasury Bill, 0.00%, 6/2/11	EUR		33,700		46,344,571
Croatia Treasury Bill, 0.00%, 6/9/11	EUR		58,408		80,267,163
Croatia Treasury Bill, 0.00%, 6/16/11	EUR		14,581		20,023,523
Croatia Treasury Bill, 0.00%, 6/30/11	EUR		29,000		39,765,245
Croatia Treasury Bill, 0.00%, 7/7/11	EUR		4,750		6,508,249
Croatia Treasury Bill, 0.00%, 7/28/11	EUR		2,700		3,690,444
Croatia Treasury Bill, 0.00%, 8/4/11	EUR		998		1,362,945
Croatia Treasury Bill, 0.00%, 8/25/11	EUR		6,011		8,187,326
Croatia Treasury Bill, 0.00%, 9/1/11	EUR		4,450		6,055,519
Croatia Treasury Bill, 0.00%, 9/8/11	EUR		33,115		45,020,184
Croatia Treasury Bill, 0.00%, 9/15/11	EUR		9,706		13,182,844
Total Croatia (identified cost $357,257,139)				$	399,056,419
Egypt — 6.5%
Egypt Treasury Bill, 0.00%, 11/2/10	EGP		211,850	$	36,671,997
Egypt Treasury Bill, 0.00%, 11/9/10	EGP		44,900		7,758,900
Egypt Treasury Bill, 0.00%, 11/23/10	EGP		372,275		64,117,233
Egypt Treasury Bill, 0.00%, 12/7/10	EGP		159,050		27,297,604
Egypt Treasury Bill, 0.00%, 12/14/10	EGP		82,375		14,110,236
Egypt Treasury Bill, 0.00%, 12/21/10	EGP		289,350		49,474,604
Egypt Treasury Bill, 0.00%, 12/28/10	EGP		211,200		36,047,092
Egypt Treasury Bill, 0.00%, 1/4/11	EGP		109,900		18,723,441
Egypt Treasury Bill, 0.00%, 1/11/11	EGP		25,000		4,251,461
Egypt Treasury Bill, 0.00%, 2/8/11	EGP		29,675		5,009,254
Egypt Treasury Bill, 0.00%, 2/15/11	EGP		383,900		64,684,300
Egypt Treasury Bill, 0.00%, 3/1/11	EGP		140,700		23,618,888
Egypt Treasury Bill, 0.00%, 3/22/11	EGP		36,575		6,104,885
Egypt Treasury Bill, 0.00%, 3/29/11	EGP		32,350		5,389,351
Egypt Treasury Bill, 0.00%, 4/5/11	EGP		142,025		23,613,693
Egypt Treasury Bill, 0.00%, 4/12/11	EGP		101,050		16,768,027
Egypt Treasury Bill, 0.00%, 4/19/11	EGP		164,725		27,264,808
Egypt Treasury Bill, 0.00%, 4/26/11	EGP		88,750		14,666,054
Egypt Treasury Bill, 0.00%, 5/3/11	EGP		60,225		9,935,313
Egypt Treasury Bill, 0.00%, 6/7/11	EGP		168,475		27,523,734
Egypt Treasury Bill, 0.00%, 6/21/11	EGP		197,375		32,118,661
Egypt Treasury Bill, 0.00%, 7/12/11	EGP		299,250		48,390,690
Egypt Treasury Bill, 0.00%, 8/9/11	EGP		117,550		18,858,737
Total Egypt (identified cost $591,880,857)				$	582,398,963
Iceland — 0.1%
Iceland Treasury Bill, 0.00%, 11/15/10	ISK		690,000	$	5,245,014
Iceland Treasury Bill, 0.00%, 2/15/11	ISK		212,594		1,600,403
Iceland Treasury Note, 13.75%, 12/10/10	ISK		688,000		5,299,397
Total Iceland (identified cost $11,019,580)				$	12,144,814

See notes to consolidated financial statements

21

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

		Principal
		Amount
Security		(000’s omitted)		Value
Indonesia — 0.0%
Indonesia Treasury Bill, 0.00%, 2/10/11	IDR		23,378,000	$	2,576,302
Total Indonesia (identified cost $2,578,452)				$	2,576,302
Israel — 6.4%
Israeli Treasury Bill, 0.00%, 12/1/10	ILS		166,873	$	45,818,355
Israeli Treasury Bill, 0.00%, 1/5/11	ILS		379,991		104,135,616
Israeli Treasury Bill, 0.00%, 3/2/11	ILS		164,790		45,010,719
Israeli Treasury Bill, 0.00%, 4/6/11	ILS		626,217		170,683,104
Israeli Treasury Bill, 0.00%, 5/4/11	ILS		180,244		49,033,507
Israeli Treasury Bill, 0.00%, 6/1/11	ILS		472,925		128,394,162
Israeli Treasury Bill, 0.00%, 7/6/11	ILS		40,254		10,906,393
Israeli Treasury Bill, 0.00%, 8/3/11	ILS		48,930		13,222,069
Israeli Treasury Bill, 0.00%, 10/5/11	ILS		23,121		6,222,414
Total Israel (identified cost $552,059,519)				$	573,426,339
Japan — 2.3%
Japan Treasury Bill, 0.00%, 11/8/10	JPY		16,360,000	$	203,303,242
Total Japan (identified cost $191,192,395)				$	203,303,242
Lebanon — 3.9%
Lebanon Treasury Bill, 0.00%, 11/4/10	LBP		3,897,910	$	2,595,265
Lebanon Treasury Bill, 0.00%, 11/18/10	LBP		2,439,470		1,621,817
Lebanon Treasury Bill, 0.00%, 12/2/10	LBP		2,500,000		1,659,560
Lebanon Treasury Bill, 0.00%, 12/9/10	LBP		49,173,810		32,617,535
Lebanon Treasury Bill, 0.00%, 12/16/10	LBP		2,350,000		1,557,576
Lebanon Treasury Bill, 0.00%, 12/23/10	LBP		17,853,950		11,824,406
Lebanon Treasury Bill, 0.00%, 12/30/10	LBP		3,487,360		2,307,815
Lebanon Treasury Bill, 0.00%, 1/6/11	LBP		65,972,770		43,623,780
Lebanon Treasury Bill, 0.00%, 1/13/11	LBP		3,150,000		2,081,225
Lebanon Treasury Bill, 0.00%, 1/20/11	LBP		25,403,400		16,770,644
Lebanon Treasury Bill, 0.00%, 2/3/11	LBP		33,270,910		21,928,433
Lebanon Treasury Bill, 0.00%, 2/17/11	LBP		64,084,440		42,166,793
Lebanon Treasury Bill, 0.00%, 3/3/11	LBP		18,363,940		12,062,821
Lebanon Treasury Bill, 0.00%, 3/17/11	LBP		20,797,490		13,637,805
Lebanon Treasury Bill, 0.00%, 3/31/11	LBP		42,056,910		27,530,044
Lebanon Treasury Bill, 0.00%, 4/7/11	LBP		2,447,320		1,600,573
Lebanon Treasury Bill, 0.00%, 4/14/11	LBP		55,881,880		36,514,583
Lebanon Treasury Bill, 0.00%, 5/19/11	LBP		18,430,000		11,987,481
Lebanon Treasury Bill, 0.00%, 6/30/11	LBP		32,731,600		21,168,034
Lebanon Treasury Bill, 0.00%, 7/14/11	LBP		19,612,330		12,658,773
Lebanon Treasury Bill, 0.00%, 8/11/11	LBP		5,144,000		3,306,896
Lebanon Treasury Bill, 0.00%, 9/22/11	LBP		2,802,380		1,790,387
Lebanon Treasury Bill, 0.00%, 10/6/11	LBP		8,561,610		5,458,212
Lebanon Treasury Note, 4.58%, 7/28/11	LBP		22,262,480		14,822,793
Lebanon Treasury Note, 9.32%, 12/2/10	LBP		6,979,900		4,669,815
Lebanon Treasury Note, 9.32%, 12/16/10	LBP		5,000,000		3,351,798
Total Lebanon (identified cost $350,650,191)				$	351,314,864
Malaysia — 2.3%
Malaysia Treasury Bill, 0.00%, 11/2/10	MYR		66,048	$	21,220,480
Malaysia Treasury Bill, 0.00%, 11/9/10	MYR		31,455		10,100,780
Malaysia Treasury Bill, 0.00%, 11/16/10	MYR		57,630		18,496,054
Malaysia Treasury Bill, 0.00%, 12/30/10	MYR		71,803		22,966,114
Malaysia Treasury Bill, 0.00%, 1/4/11	MYR		66,276		21,190,002
Malaysia Treasury Bill, 0.00%, 1/6/11	MYR		162,988		52,102,730
Malaysia Treasury Bill, 0.00%, 1/20/11	MYR		110,244		35,203,320
Malaysia Treasury Bill, 0.00%, 2/10/11	MYR		73,128		23,312,591
Total Malaysia (identified cost $205,354,061)				$	204,592,071
Mexico — 3.5%
Mexico Treasury Bill, 0.00%, 12/2/10	MXN		1,765,975	$	142,500,796
Mexico Treasury Bill, 0.00%, 1/6/11	MXN		574,320		46,145,598
Mexico Treasury Bill, 0.00%, 1/13/11	MXN		289,578		23,241,519
Mexico Treasury Bill, 0.00%, 1/20/11	MXN		809,902		64,967,285
Mexico Treasury Bill, 0.00%, 1/27/11	MXN		482,830		38,687,790
Total Mexico (identified cost $304,882,970)				$	315,542,988
Romania — 0.4%
Romania Government Bond, 4.25%, 11/29/10	EUR		23,000	$	32,069,342
Total Romania (identified cost $29,893,947)				$	32,069,342
Slovakia — 0.3%
Slovakia Treasury Bill, 0.00%, 1/19/11	EUR		19,969	$	27,731,643
Total Slovakia (identified cost $25,013,621)				$	27,731,643
South Korea — 0.5%
Korea Monetary Stabilization Bond, 0.00%, 11/9/10	KRW		10,000,000	$	8,882,612
Korea Monetary Stabilization Bond, 0.00%, 11/9/10	KRW		8,092,920		7,188,626
Korea Monetary Stabilization Bond, 0.00%, 11/26/10	KRW		3,624,680		3,216,382
Korea Monetary Stabilization Bond, 0.00%, 12/7/10	KRW		9,212,710		8,169,425
Korea Monetary Stabilization Bond, 0.00%, 12/24/10	KRW		5,638,390		4,994,493

See notes to consolidated financial statements

22

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

		Principal
		Amount
Security		(000’s omitted)		Value
South Korea (continued)
Korea Monetary Stabilization Bond, 3.07%, 1/28/11	KRW		17,401,800	$	15,487,625
Total South Korea (identified cost $46,932,812)				$	47,939,163
Sri Lanka — 1.1%
Sri Lanka Treasury Bill, 0.00%, 11/5/10	LKR		578,870	$	5,178,929
Sri Lanka Treasury Bill, 0.00%, 11/12/10	LKR		61,630		550,558
Sri Lanka Treasury Bill, 0.00%, 1/21/11	LKR		1,264,880		11,150,883
Sri Lanka Treasury Bill, 0.00%, 2/18/11	LKR		600,000		5,261,406
Sri Lanka Treasury Bill, 0.00%, 3/11/11	LKR		1,200,590		10,485,834
Sri Lanka Treasury Bill, 0.00%, 3/18/11	LKR		545,550		4,758,378
Sri Lanka Treasury Bill, 0.00%, 3/25/11	LKR		1,911,190		16,647,295
Sri Lanka Treasury Bill, 0.00%, 4/29/11	LKR		605,800		5,241,296
Sri Lanka Treasury Bill, 0.00%, 4/29/11	LKR		65,000		562,371
Sri Lanka Treasury Bill, 0.00%, 5/13/11	LKR		210,380		1,815,260
Sri Lanka Treasury Bill, 0.00%, 7/15/11	LKR		1,773,550		15,115,443
Sri Lanka Treasury Bill, 0.00%, 7/22/11	LKR		1,255,000		10,681,607
Sri Lanka Treasury Bill, 0.00%, 8/5/11	LKR		1,161,300		9,857,476
Sri Lanka Treasury Bill, 0.00%, 10/7/11	LKR		706,080		5,921,017
Total Sri Lanka (identified cost $101,076,721)				$	103,227,753
Switzerland — 2.3%
Switzerland National Bank, 0.00%, 12/20/10	CHF		205,000	$	208,293,583
Total Switzerland (identified cost $207,916,203)				$	208,293,583
Turkey — 2.0%
Turkey Government Bond, 0.00%, 12/8/10	TRY		18,000	$	12,466,539
Turkey Government Bond, 0.00%, 2/2/11	TRY		114,525		78,578,195
Turkey Government Bond, 0.00%, 4/13/11	TRY		14,313		9,672,888
Turkey Government Bond, 0.00%, 5/11/11	TRY		103,537		69,548,120
Turkey Government Bond, 0.00%, 6/8/11	TRY		13,759		9,195,666
Total Turkey (identified cost $164,366,814)				$	179,461,408
Uruguay — 1.2%
Uruguay Sovereign Bond, 0.00%, 4/29/11	UYU		107,600	$	5,148,259
Uruguay Treasury Bill, 0.00%, 11/12/10	UYU		21,360		1,060,157
Uruguay Treasury Bill, 0.00%, 11/17/10	UYU		21,000		1,041,349
Uruguay Treasury Bill, 0.00%, 11/18/10	UYU		36,000		1,784,830
Uruguay Treasury Bill, 0.00%, 11/23/10	UYU		71,300		3,531,656
Uruguay Treasury Bill, 0.00%, 11/24/10	UYU		43,134		2,136,130
Uruguay Treasury Bill, 0.00%, 12/7/10	UYU		8,437		416,752
Uruguay Treasury Bill, 0.00%, 12/21/10	UYU		109,690		5,402,423
Uruguay Treasury Bill, 0.00%, 12/23/10	UYU		77,094		3,795,408
Uruguay Treasury Bill, 0.00%, 12/30/10	UYU		48,257		2,372,141
Uruguay Treasury Bill, 0.00%, 1/4/11	UYU		39,410		1,935,090
Uruguay Treasury Bill, 0.00%, 1/18/11	UYU		60,770		2,974,344
Uruguay Treasury Bill, 0.00%, 1/19/11	UYU		120,000		5,871,940
Uruguay Treasury Bill, 0.00%, 1/20/11	UYU		13,200		645,762
Uruguay Treasury Bill, 0.00%, 2/3/11	UYU		100,000		4,875,572
Uruguay Treasury Bill, 0.00%, 2/9/11	UYU		20,000		973,652
Uruguay Treasury Bill, 0.00%, 2/10/11	UYU		121,528		5,914,762
Uruguay Treasury Bill, 0.00%, 2/18/11	UYU		100,000		4,857,065
Uruguay Treasury Bill, 0.00%, 3/17/11	UYU		202,130		9,763,080
Uruguay Treasury Bill, 0.00%, 3/23/11	UYU		21,480		1,036,169
Uruguay Treasury Bill, 0.00%, 3/25/11	UYU		72,970		3,519,078
Uruguay Treasury Bill, 0.00%, 4/12/11	UYU		200,000		9,606,269
Uruguay Treasury Bill, 0.00%, 4/13/11	UYU		91,975		4,416,676
Uruguay Treasury Bill, 0.00%, 5/10/11	UYU		13,094		624,926
Uruguay Treasury Bill, 0.00%, 6/3/11	UYU		115,150		5,465,099
Uruguay Treasury Bill, 0.00%, 6/23/11	UYU		43,800		2,069,016
Uruguay Treasury Bill, 0.00%, 7/5/11	UYU		110,580		5,208,703
Uruguay Treasury Bill, 0.00%, 8/11/11	UYU		61,790		2,884,701
Uruguay Treasury Bill, 0.00%, 8/12/11	UYU		69,150		3,227,516
Uruguay Treasury Bill, 0.00%, 9/16/11	UYU		162,992		7,542,299
Uruguay Treasury Bill, 0.00%, 9/29/11	UYU		13,815		637,208
Uruguay Treasury Bill, 0.00%, 10/21/11	UYU		33,600		1,541,237
Total Uruguay (identified cost $111,607,493)				$	112,279,269
Zambia — 0.0%(5)
Zambia Treasury Bill, 0.00%, 1/31/11	ZMK		3,398,000	$	724,324
Total Zambia (identified cost $723,707)				$	724,324
Total Foreign Government Securities (identified cost $3,502,099,020)				$	3,605,558,149
U.S. Treasury Obligations — 11.4%
		Principal
		Amount
Security		(000’s omitted)		Value
United States Treasury Bill, 0.00%, 11/4/10		$	50,000	$	49,999,550
United States Treasury Bill, 0.00%, 11/12/10			170,000		169,994,730

See notes to consolidated financial statements

23

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

		Principal
		Amount
Security		(000’s omitted)		Value
United States Treasury Bill, 0.00%, 11/18/10(9)		$	100,000	$	99,995,200
United States Treasury Bill, 0.00%, 12/2/10			100,000		99,990,100
United States Treasury Bill, 0.00%, 12/16/10			100,000		99,984,400
United States Treasury Bill, 0.00%, 1/13/11			100,000		99,979,300
United States Treasury Bill, 0.00%, 2/10/11			100,000		99,965,800
United States Treasury Bill, 0.00%, 3/10/11			100,000		99,953,400
United States Treasury Bill, 0.00%, 3/24/11			110,000		109,943,240
United States Treasury Bill, 0.00%, 6/2/11			100,000		99,905,300
Total U.S. Treasury Obligations (identified cost $1,029,558,600)				$	1,029,711,020
Repurchase Agreements — 0.8%
		Principal
		Amount
Description		(000’s omitted)		Value
Bank of America, dated 10/29/2010 with a maturity date of 1/28/11, an interest rate of 0.55% and repurchase proceeds of EUR 15,847,001, collateralized by EUR 15,000,000 Spanish Government Bond 4.60% due 7/30/19 and a market value of $22,024,334.	EUR		15,825	$	22,025,236
Bank of America, dated 10/29/2010 with an interest rate of 0.35% collateralized by $27,000,000 Turkey Government Bond 11.875% due 1/15/2030 and a market value of $49,831,875(10)	USD		49,680		49,680,000
Total Repurchase Agreements (identified cost $71,466,267)				$	71,705,236
Other Securities — 0.6%
		Interest
Description		(000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.22%(11)(12)		$	49,009	$	49,009,091
Total Other Securities
(identified cost $49,009,091)				$	49,009,091
Total Short-Term Investments
(identified cost $4,652,132,978)				$	4,755,983,496
Total Investments — 99.0%
(identified cost $8,641,257,335)				$	8,914,217,273
Other Assets, Less Liabilities — 1.0%				$	92,807,614
Net Assets — 100.0%				$	9,007,024,887

The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.

GSMS - Goldman Sachs Mortgage Securities Corporation II

JPMCC - JPMorgan Chase Commercial Mortgage Securities Corp.

MLMT - Merrill Lynch Mortgage Trust

WBCMT - Wachovia Bank Commercial Mortgage Trust

BRL - Brazilian Real

CHF - Swiss Franc

CLP - Chilean Peso

CRC - Costa Rican Colon

DOP - Dominican Peso

EGP - Egyptian Pound

EUR - Euro

HKD - Hong Kong Dollar

IDR - Indonesian Rupiah

ILS - Israeli Shekel

ISK - Icelandic Krona

JPY - Japanese Yen

KRW - South Korean Won

LBP - Lebanese Pound

LKR - Sri Lankan Rupee

MXN - Mexican Peso

MYR - Malaysian Ringgit

PLN - Polish Zloty

TRY - New Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

UYU - Uruguayan Peso

ZMK - Zambian Kwacha

(1)	Security exempt from registration under Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At October 31, 2010, the aggregate value of these securities is $110,762,644 or 1.2% of the Portfolio’s net assets.
(2)	Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.
(3)	Security represents a structured security whose market value and interest rate are linked to the performance of the underlying security.
(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.

See notes to consolidated financial statements

24

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED PORTFOLIO OF INVESTMENTS CONT’D

(5)	Rounds to less than 0.05%.
(6)	Floating-rate security.
(7)	Weighted average fixed-rate coupon that changes/updates monthly.
(8)	Adjustable rate mortgage security. Rate shown is the rate at October 31, 2010.
(9)	Security (or a portion thereof) has been pledged to cover collateral requirements on open financial contracts.
(10)	Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.
(11)	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 October 31, 2010.
(12)	Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC and Cash Management Portfolio, an affiliated investment company, for the year ended October 31, 2010 was $388,103 and $0, respectively.

Securities Sold Short — (0.5)%
Common Stocks — (0.3)%
Security		Shares			Value
China Life Insurance Co., Ltd., Class H			(1,785,000	)	$	(7,847,368	)
Industrial & Commercial Bank of China, Class H			(10,350,000	)		(8,361,696	)
Ping An Insurance Group Co. of China, Ltd., Class H			(960,000	)		(10,335,696	)
Total Common Stocks
(proceeds $22,426,098)					$	(26,544,760	)
Foreign Government Bonds — (0.2)%
		Principal
		Amount
Security		(000’s omitted)			Value
Spanish Government Bond, 4.60%, 7/30/19	EUR		(15,000	)	$	(21,781,581	)
Total Foreign Government Bonds
(proceeds $20,554,622)					$	(21,781,581	)
Total Securities Sold Short
(proceeds $42,980,720)					$	(48,326,341	)

See notes to consolidated financial statements

25

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED FINANCIAL STATEMENTS

Consolidated Statement of Assets and Liabilities

As of October 31, 2010
Assets
Unaffiliated investments, at value (identified cost, $8,592,248,244)	$	8,865,208,182
Affiliated investment, at value (identified cost, $49,009,091)		49,009,091
Cash		151,030,975
Restricted cash*		27,856,500
Foreign currency, at value (identified cost, $2,463,004)		2,405,678
Interest and dividends receivable		32,394,445
Interest receivable from affiliated investment		40,464
Receivable for investments sold		2,690,218
Receivable for open forward foreign currency exchange contracts		21,515,081
Receivable for closed forward foreign currency exchange contracts		7,277,596
Receivable for open swap contracts		27,414,636
Receivable for closed options		14,838
Premium paid on open swap contracts		93,659,977
Total assets	$	9,280,517,681
Liabilities
Payable for investments purchased	$	53,097,548
Payable for variation margin on open financial futures contracts		125,168
Payable for open forward foreign currency exchange contracts		120,085,876
Payable for closed forward foreign currency exchange contracts		5,695,428
Payable for open swap contracts		37,850,236
Premium received on open swap contracts		3,445,623
Payable for securities sold short, at value (proceeds, $42,980,720)		48,326,341
Payable to affiliates:
Investment adviser fee		3,888,495
Trustees’ fees		4,208
Interest payable for securities sold short		235,981
Accrued expenses		737,890
Total liabilities	$	273,492,794
Net Assets applicable to investors’ interest in Portfolio	$	9,007,024,887
Sources of Net Assets
Net proceeds from capital contributions and withdrawals	$	8,852,341,907
Net unrealized appreciation		154,682,980
Total	$	9,007,024,887

* Represents restricted cash on deposit at the custodian for securities sold short.

Consolidated Statement of Operations

For the Year Ended
October 31, 2010
Investment Income
Interest (net of foreign taxes, $4,634,431)	$	153,085,990
Dividends (net of foreign taxes, $19,739)		180,079
Interest allocated from affiliated investments		548,490
Expenses allocated from affiliated investments		(160,387	)
Total investment income	$	153,654,172
Expenses
Investment adviser fee	$	25,112,769
Trustees’ fees and expenses		51,696
Custodian fee		576,925
Legal and accounting services		425,510
Interest and dividends on securities sold short		482,023
Miscellaneous		324,291
Total expenses	$	26,973,214
Deduct —
Reduction of custodian fee	$	670
Total expense reductions	$	670
Net expenses	$	26,972,544
Net investment income	$	126,681,628
Realized and Unrealized Gain (Loss)
Net realized gain (loss) —
Investment transactions	$	37,859,881
Investment transactions allocated from affiliated investments		(10,052	)
Financial futures contracts		(14,055,333	)
Swap contracts		(20,984,245	)
Written options		522,711
Foreign currency and forward foreign currency exchange contract transactions		(38,382,023	)
Net realized loss	$	(35,049,061	)
Change in unrealized appreciation (depreciation) —
Investments	$	225,267,509
Securities sold short		(5,345,621	)
Financial futures contracts		(3,722,307	)
Swap contracts		(6,788,867	)
Written options		(309,320	)
Foreign currency and forward foreign currency exchange contracts		(100,996,166	)
Net change in unrealized appreciation (depreciation)	$	108,105,228
Net realized and unrealized gain	$	73,056,167
Net increase in net assets from operations	$	199,737,795

See notes to consolidated financial statements

26

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Consolidated Statements of Changes in Net Assets

Increase (Decrease)	Year Ended			Year Ended
in Net Assets	October 31, 2010			October 31, 2009
From operations —
Net investment income	$	126,681,628		$	43,997,485
Net realized loss from investment transactions, financial futures contracts, swap contracts, written options, and foreign currency and forward foreign currency exchange contract transactions		(35,049,061	)		(18,984,748	)
Net change in unrealized appreciation (depreciation) from investments, securities sold short, financial futures contracts, swap contracts, written options, foreign currency and forward foreign currency exchange contracts		108,105,228			81,089,939
Net increase in net assets from operations	$	199,737,795		$	106,102,676
Capital transactions —
Contributions	$	7,587,790,195		$	530,666,796
Withdrawals		(99,529,088	)		(162,764,389	)
Net increase in net assets from capital transactions	$	7,488,261,107		$	367,902,407
Net increase in net assets	$	7,687,998,902		$	474,005,083
Net Assets
At beginning of year	$	1,319,025,985		$	845,020,902
At end of year	$	9,007,024,887		$	1,319,025,985

See notes to consolidated financial statements

27

Global Macro Portfolioas of October 31, 2010

CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Consolidated Supplementary Data

	Year Ended October 31,
	2010			2009			2008			2007			2006
Ratios/Supplemental Data
Ratios (as a percentage of average daily net assets):
Expenses(1)		0.57	%		0.72	%		0.63	%		0.67	%		0.66	%
Net investment income		2.67	%		4.93	%		5.25	%		5.16	%		4.49	%
Portfolio Turnover		19	%		25	%		26	%		45	%		41	%
Total Return		5.31	%		12.10	%		2.97	%		10.34	%		7.60	%
Net assets, end of year (000’s omitted)	$	9,007,025		$	1,319,026		$	845,021		$	688,393		$	563,226

(1) Excludes the effect of custody fee credits, if any, of less than 0.005%.

See notes to consolidated financial statements

28

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

1Significant Accounting Policies

Global Macro Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is to seek total return. Total return is defined as income plus capital appreciation. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At October 31, 2010, Eaton Vance Global Macro Absolute Return Fund, Eaton Vance Strategic Income Fund and Eaton Vance International (Cayman Islands) Strategic Income Fund held an interest of 83.4%, 13.0% and 2.3%, respectively, in the Portfolio.

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at October 31, 2010 were $354,900,455 or 3.9% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary, which commenced operations in May 2010. Intercompany balances and transactions have been eliminated in consolidation.

The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America.

AInvestment Valuation — Debt obligations (including short-term obligations with a remaining maturity of more than sixty days and excluding most seasoned mortgage-backed securities) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Most seasoned, fixed rate 30-year mortgage-backed securities are valued through the use of the investment adviser’s matrix pricing system, which takes into account bond prices, yield differentials, anticipated prepayments and interest rates provided by dealers. Short-term debt securities purchased with a remaining maturity of sixty days or less (excluding those that are non-U.S. dollar denominated, which typically are valued by a pricing service or dealer quotes) are generally valued at amortized cost, which approximates market value. Equity securities (including common shares of closed-end investment companies) listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices or, in the case of preferred equity securities that are not listed or traded in the over-the-counter market, by a third party pricing service that will use various techniques that consider factors including, but not limited to, prices or yields of securities with similar characteristics, benchmark yields, broker/dealer quotes, quotes of underlying common stock, issuer spreads, as well as industry and economic events. Precious metals are valued at the New York Composite mean quotation reported by Bloomberg at the valuation time. Exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority for U.S. listed options or by the relevant exchange or board of trade for non-U.S. listed options. Over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial futures contracts are valued at the settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Interest rate swaps and options on interest rate swaps (“swaptions”) are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Alternatively, swaptions may be valued at the valuation provided by the counterparty, so determined using the same techniques as those employed by the pricing service. Credit default swaps are normally valued using valuations provided by a third party pricing service. The pricing services employ electronic data processing techniques to determine the present value based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the

29

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

pricing service using proprietary models. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that most fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker-dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.

BInvestment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

CIncome — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends, interest and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates.

DFederal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and any other items of income, gain, loss, deduction or credit.

The Portfolio is subject to a two percent transaction tax on foreign currency inflows for new investments in Brazil. Such tax is included in net realized gain (loss) on foreign currency.

The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal income tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.

As of October 31, 2010, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each of the Portfolio’s federal tax returns filed in the 3-year period ended October 31, 2010 remains subject to examination by the Internal Revenue Service.

EExpense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Consolidated Statement of Operations.

FForeign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases

30

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

GUse of Estimates — The preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

HIndemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

IFinancial Futures Contracts — The Portfolio may enter into financial futures contracts. The Portfolio’s investment in financial futures contracts is designed for hedging against changes in interest rates or as a substitute for the purchase of securities. Upon entering into a financial futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the purchase price (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

JForward Foreign Currency Exchange Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The Portfolio enters into forward contracts for hedging purposes as well as non-hedging purposes. The forward foreign currency exchange contract is adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts has been closed or offset by another contract with the same broker for the same settlement date and currency. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.

KWritten Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.

LPurchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with

31

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

the Portfolio’s policies on investment valuations discussed above. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds received from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid.

MInterest Rate Swaps — Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. Risk may also arise from movements in interest rates.

NSpread Lock Swap Contracts — A spread lock swap contract allows the user to lock in the forward differential (or spread) between the swap rate and a specified benchmark on an interest rate swap contract. These contracts involve commitments to pay or receive a settlement amount calculated based on the difference between the swap spread and an agreed upon fixed spread, the notional amount of the agreement and the duration of the swap. During the term of the outstanding spread lock swap contract, changes in the underlying value of the swap are recorded as unrealized gains or losses. Payments received or made at the termination of the spread lock swap contract are recorded as realized gains or losses. Upon termination, the Portfolio is obligated to enter into the interest rate swap agreement which can be closed at any time up to the maturity date at the then current value. The Portfolio is exposed to credit loss in the event of non-performance by the counterparty.

OCross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.

PCredit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no benefits from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio effectively adds leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. Up-front payments or receipts, if any, are recorded as other assets or other liabilities, respectively, and amortized over the life of the swap contract as realized gains or losses. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid

32

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction.

QTotal Return Swaps — In a total return swap, the Portfolio makes payments at a rate equal to a predetermined spread to the one or three-month LIBOR. In exchange, the Portfolio receives payments based on the rate of return of a benchmark industry index or basket of securities. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark industry index or basket of securities. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of interest rates, securities, or the index.

RWhen-Issued Securities and Delayed Delivery Transactions — The Portfolio may purchase or sell securities on a delayed delivery or when-issued basis, including TBA (To Be Announced) securities. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Portfolio maintains security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

SRepurchase Agreements — The Portfolio may enter into repurchase agreements with banks and broker-dealers determined to be creditworthy by the Portfolio’s investment adviser. Under a repurchase agreement, the Portfolio buys a security at one price and simultaneously promises to sell that same security back to the seller at a higher price for settlement at a later date. At the time the Portfolio enters into a repurchase agreement, it typically receives collateral at least equal to the repurchase price. The value of the collateral will be marked to market daily and, except in the case of a repurchase agreement entered to facilitate a short sale, the value of such collateral will at least equal 90% of such repurchase price. The terms of a repurchase agreement entered into to facilitate a short sale may provide that the value of collateral received by the Portfolio is less than the repurchase price. In such a case, the Portfolio will segregate liquid assets equal to the marked to market value of its obligation to the counterparty to the repurchase agreement. In the event of bankruptcy of the counterparty or a third party custodian, the Portfolio might experience delays in recovering its cash or experience a loss.

TSecurities Sold Short — The Portfolio may seek to hedge investments or increase total return through short sales of securities. A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.

UForward Sale Commitments — The Portfolio may enter into forward sale commitments to sell generic U.S. government agency MBS to hedge its portfolio positions and/or to enhance return. The proceeds to be received from the forward sale commitment are recorded as a liability and are subsequently valued at approximately the current market value of the underlying security in accordance with the Portfolio’s policies on investment valuations discussed above. The Portfolio records an unrealized gain or loss on investments to the extent of the difference between the proceeds to be received and the value of the open forward sale commitment on the day of determination. If the forward sale commitment is closed through the acquisition of an offsetting purchase commitment or the delivery of securities, the Portfolio realizes a gain or loss on investments based on the price established when the Portfolio entered into the commitment.

2Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. Pursuant to the investment advisory agreement between the Portfolio and BMR and the investment advisory agreement between the Subsidiary and BMR, the Portfolio and Subsidiary each pay BMR a fee at an annual rate of 0.615% of its respective average daily net assets up to $500 million,

33

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

0.595% from $500 million up to $1 billion, 0.575% from $1 billion up to $1.5 billion, 0.555% from $1.5 billion up to $2 billion, 0.520% from $2 billion up to $3 billion, and 0.490% of average daily net assets of $3 billion or more, and is payable monthly. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. Prior to its liquidation in February 2010, the portion of the adviser fee payable by Cash Management Portfolio, an affiliated investment company, on the Portfolio’s investment of cash therein was credited against the Portfolio’s investment adviser fee. The Portfolio currently invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund. For the year ended October 31, 2010, the Portfolio’s investment adviser fee totaled $25,223,179 of which $110,410 was allocated from Cash Management Portfolio and $25,112,769 was paid or accrued directly by the Portfolio. For the year ended October 31, 2010, the Portfolio’s investment adviser fee, including the portion allocated from Cash Management Portfolio, was 0.531% of the Portfolio’s consolidated average daily net assets.

Except for Trustees of the Portfolio who are not members of EVM’s or BMR’s organizations, officers and Trustees receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the year ended October 31, 2010, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

3Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations, forward sale commitments and short sale transactions, and including maturities and paydowns, for the year ended October 31, 2010 were as follows:

Purchases
Investments (non-U.S. Government)	$	1,006,514,764
U.S. Government and Agency Securities		2,292,654,734
	$	3,299,169,498
Sales
Investments (non-U.S. Government)	$	237,306,919
U.S. Government and Agency Securities		236,059,118
	$	473,366,037

4Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at October 31, 2010, as determined on a federal income tax basis, were as follows:

Aggregate cost	$	8,667,772,927
Gross unrealized appreciation	$	251,646,441
Gross unrealized depreciation		(5,202,095	)
Net unrealized appreciation	$	246,444,346

The net unrealized depreciation on futures contracts, swaps, foreign currency and forward foreign currency exchange contracts at October 31, 2010 on a federal income tax basis was $55,413,164.

5Financial Instruments

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include written options, forward foreign currency exchange contracts, financial futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.

A summary of obligations under these financial instruments at October 31, 2010 is as follows:

Forward Foreign Currency Exchange Contracts
Sales
				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
11/1/10	Euro 133,400,993	United States Dollar 187,667,184	JPMorgan Chase Bank	$	1,999,671
11/4/10	Chilean Peso 7,731,700,397	United States Dollar 15,817,718	Deutsche Bank		12,584
11/4/10	South African Rand 105,585,000	United States Dollar 15,053,465	Bank of America		(14,651	)

34

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Forward Foreign Currency Exchange Contracts (continued)
Sales
				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
11/4/10	Sri Lankan Rupee 578,870,000	United States Dollar 4,966,710	HSBC Bank USA	$	(217,309	)
11/8/10	Japanese Yen 8,500,000,000	United States Dollar 99,691,449	Barclays Bank PLC		(5,942,914	)
11/8/10	Japanese Yen 7,860,000,000	United States Dollar 92,167,520	Barclays Bank PLC		(5,513,197	)
11/10/10	Euro 3,217,000	United States Dollar 4,491,897	Credit Suisse		14,897
11/10/10	Euro 127,725,000	United States Dollar 178,595,952	Goldman Sachs, Inc.		844,981
11/10/10	Euro 127,725,000	United States Dollar 178,597,357	Standard Chartered Bank		846,386
11/10/10	South African Rand 555,056,500	United States Dollar 75,341,582	Bank of America		(3,797,092	)
11/10/10	South African Rand 53,900,000	United States Dollar 7,318,398	Deutsche Bank		(366,540	)
11/12/10	Euro 5,000,000	United States Dollar 6,746,650	Citigroup Global Markets		(211,533	)
11/12/10	Sri Lankan Rupee 61,630,000	United States Dollar 528,559	HSBC Bank USA		(23,080	)
11/16/10	Euro 133,400,993	United States Dollar 185,596,133	Bank of America		(40,869	)
11/19/10	South African Rand 369,802,480	United States Dollar 50,183,536	Barclays Bank PLC		(2,468,404	)
11/22/10	Euro 33,400,000	United States Dollar 46,633,748	Goldman Sachs, Inc.		158,538
11/22/10	Euro 14,688,524	United States Dollar 20,481,972	Goldman Sachs, Inc.		43,282
11/24/10	Euro 32,495,000	United States Dollar 45,152,290	HSBC Bank USA		(62,576	)
11/24/10	Euro 31,966,000	United States Dollar 44,417,620	Standard Chartered Bank		(61,173	)
11/29/10	Euro 23,977,500	United States Dollar 31,003,627	Deutsche Bank		(2,357,685	)
12/1/10	Euro 62,893,473	United States Dollar 86,759,030	Deutsche Bank		(746,319	)
12/1/10	Israeli Shekel 38,453,000	United States Dollar 10,072,823	Deutsche Bank		(499,486	)
12/2/10	Euro 1,300,000	United States Dollar 1,769,950	HSBC Bank USA		(38,753	)
12/2/10	Euro 590,000	United States Dollar 731,740	JPMorgan Chase Bank		(89,133	)
12/2/10	Mexican Peso 265,315,000	United States Dollar 20,095,054	Bank of America		(1,350,289	)
12/2/10	Mexican Peso 489,240,000	United States Dollar 36,619,760	Barclays Bank PLC		(2,925,384	)
12/2/10	Mexican Peso 465,760,000	United States Dollar 34,887,083	Credit Suisse		(2,760,179	)
12/2/10	Mexican Peso 465,760,000	United States Dollar 34,955,158	HSBC Bank USA		(2,692,104	)
12/3/10	South African Rand 708,160,000	United States Dollar 100,276,122	Bank of America		(332,629	)
12/8/10	New Turkish Lira 18,000,000	United States Dollar 11,062,627	Deutsche Bank		(1,407,007	)
12/9/10	Euro 1,250,000	United States Dollar 1,700,958	Goldman Sachs, Inc.		(38,013	)
12/9/10	Euro 3,050,000	United States Dollar 4,130,920	Goldman Sachs, Inc.		(112,169	)
12/16/10	Euro 2,000,000	United States Dollar 2,469,774	HSBC Bank USA		(312,312	)
12/20/10	Swiss Franc 204,959,103	United States Dollar 208,371,181	Goldman Sachs, Inc.		8,208
12/30/10	Euro 1,500,000	United States Dollar 1,902,594	Citigroup Global Markets		(183,570	)
12/30/10	Euro 1,145,000	United States Dollar 1,555,769	Deutsche Bank		(36,670	)
12/30/10	Euro 3,000,000	United States Dollar 3,722,445	HSBC Bank USA		(449,884	)
12/30/10	Euro 3,875,000	United States Dollar 4,648,973	JPMorgan Chase Bank		(740,285	)
1/5/11	Israeli Shekel 189,965,000	United States Dollar 50,263,269	Deutsche Bank		(1,945,380	)
1/19/11	Euro 19,969,000	United States Dollar 25,041,126	Deutsche Bank		(2,723,159	)
1/21/11	Sri Lankan Rupee 1,264,880,000	United States Dollar 10,876,010	HSBC Bank USA		(422,100	)
2/2/11	New Turkish Lira 50,000,000	United States Dollar 30,765,444	Deutsche Bank		(3,546,742	)
2/2/11	New Turkish Lira 64,525,000	United States Dollar 39,488,984	Deutsche Bank		(4,790,892	)
2/17/11	Euro 300,000	United States Dollar 406,061	Goldman Sachs, Inc.		(10,854	)
2/18/11	Sri Lankan Rupee 600,000,000	United States Dollar 4,936,240	HSBC Bank USA		(419,734	)
3/2/11	Israeli Shekel 39,800,000	United States Dollar 10,530,493	Credit Suisse		(398,492	)
3/2/11	Israeli Shekel 98,830,000	United States Dollar 25,902,241	Deutsche Bank		(1,236,242	)
3/2/11	Israeli Shekel 26,160,000	United States Dollar 6,866,502	Deutsche Bank		(316,972	)
3/11/11	Sri Lankan Rupee 1,200,590,000	United States Dollar 9,881,399	HSBC Bank USA		(829,612	)
3/18/11	Sri Lankan Rupee 545,550,000	United States Dollar 4,482,744	HSBC Bank USA		(383,417	)
3/25/11	Sri Lankan Rupee 800,000,000	United States Dollar 6,608,839	Standard Chartered Bank		(525,572	)
3/25/11	Sri Lankan Rupee 1,111,190,000	United States Dollar 9,179,595	Standard Chartered Bank		(730,013	)
4/6/11	Israeli Shekel 137,380,000	United States Dollar 36,907,289	Barclays Bank PLC		(789,862	)
4/6/11	Israeli Shekel 137,240,000	United States Dollar 36,862,745	Citigroup Global Markets		(795,989	)
4/6/11	Israeli Shekel 274,601,000	United States Dollar 73,797,635	Deutsche Bank		(1,553,036	)

35

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Forward Foreign Currency Exchange Contracts (continued)
Sales
				Net Unrealized
Settlement				Appreciation
Date	Deliver	In Exchange For	Counterparty	(Depreciation)
4/6/11	Israeli Shekel 45,831,000	United States Dollar 11,778,720	Deutsche Bank	$	(797,332	)
4/6/11	Israeli Shekel 31,165,000	United States Dollar 8,005,394	Citigroup Global Markets		(546,299	)
4/7/11	Euro 15,742,000	United States Dollar 21,092,234	HSBC Bank USA		(765,832	)
4/14/11	Euro 7,500,000	United States Dollar 10,185,375	JPMorgan Chase Bank		(227,238	)
4/29/11	Sri Lankan Rupee 605,800,000	United States Dollar 5,377,719	Standard Chartered Bank		(19,609	)
4/29/11	Sri Lankan Rupee 65,000,000	United States Dollar 543,024	Standard Chartered Bank		(36,088	)
5/4/11	Israeli Shekel 21,804,000	United States Dollar 5,836,970	Barclays Bank PLC		(142,614	)
5/4/11	Israeli Shekel 98,440,000	United States Dollar 26,159,979	Citigroup Global Markets		(836,455	)
5/4/11	Israeli Shekel 60,000,000	United States Dollar 15,837,403	Deutsche Bank		(617,148	)
5/5/11	Euro 2,152,000	United States Dollar 2,737,344	Bank of America		(249,270	)
5/5/11	Euro 3,000,000	United States Dollar 3,899,082	Citigroup Global Markets		(264,413	)
5/5/11	Euro 5,000,000	United States Dollar 6,212,490	Citigroup Global Markets		(726,668	)
5/5/11	Euro 24,659,000	United States Dollar 32,313,154	HSBC Bank USA		(1,909,388	)
5/5/11	Euro 10,000,000	United States Dollar 12,355,130	HSBC Bank USA		(1,523,187	)
5/5/11	Euro 2,000,000	United States Dollar 2,521,396	HSBC Bank USA		(254,267	)
5/11/11	New Turkish Lira 50,000,000	United States Dollar 30,024,620	Deutsche Bank		(3,701,218	)
5/13/11	Sri Lankan Rupee 210,380,000	United States Dollar 1,761,239	HSBC Bank USA		(112,222	)
6/1/11	Israeli Shekel 79,000,000	United States Dollar 20,376,580	Bank of America		(1,275,477	)
6/1/11	Israeli Shekel 77,000,000	United States Dollar 20,172,911	Barclays Bank PLC		(930,993	)
6/1/11	Israeli Shekel 36,000,000	United States Dollar 9,420,385	Citigroup Global Markets		(446,375	)
6/2/11	Euro 33,700,000	United States Dollar 41,225,210	HSBC Bank USA		(5,520,075	)
6/8/11	New Turkish Lira 13,759,000	United States Dollar 8,288,554	Deutsche Bank		(946,524	)
6/9/11	Euro 9,158,000	United States Dollar 11,379,731	Deutsche Bank		(1,321,662	)
6/9/11	Euro 49,250,000	United States Dollar 59,224,603	Deutsche Bank		(9,081,097	)
6/16/11	Euro 14,581,000	United States Dollar 17,981,435	Citigroup Global Markets		(2,238,550	)
6/30/11	Euro 29,000,000	United States Dollar 35,434,897	JPMorgan Chase Bank		(4,769,833	)
7/6/11	Israeli Shekel 3,144,000	United States Dollar 850,764	Deutsche Bank		(10,282	)
7/7/11	Euro 4,750,000	United States Dollar 5,978,730	Deutsche Bank		(605,661	)
7/15/11	Sri Lankan Rupee 1,773,550,000	United States Dollar 14,925,103	HSBC Bank USA		(832,554	)
7/22/11	Sri Lankan Rupee 1,255,000,000	United States Dollar 10,658,174	Standard Chartered Bank		(489,438	)
7/28/11	Euro 2,700,000	United States Dollar 3,510,675	Deutsche Bank		(230,554	)
8/3/11	Israeli Shekel 48,930,000	United States Dollar 13,561,530	Barclays Bank PLC		169,231
8/4/11	Euro 998,000	United States Dollar 1,316,152	Deutsche Bank		(66,532	)
8/5/11	Sri Lankan Rupee 1,161,300,000	United States Dollar 9,989,677	HSBC Bank USA		(320,413	)
8/25/11	Euro 6,011,000	United States Dollar 7,574,461	Deutsche Bank		(750,093	)
9/1/11	Euro 4,450,000	United States Dollar 5,644,736	Deutsche Bank		(517,166	)
9/8/11	Euro 33,115,000	United States Dollar 42,050,752	Citigroup Global Markets		(3,797,217	)
9/15/11	Euro 9,706,000	United States Dollar 12,603,629	Deutsche Bank		(832,562	)
10/5/11	Israeli Shekel 23,121,000	United States Dollar 6,380,847	Barclays Bank PLC		62,621
10/7/11	Sri Lankan Rupee 706,080,000	United States Dollar 6,240,212	HSBC Bank USA		(14,149	)
1/27/12	Euro 67,367,000	United States Dollar 93,784,969	Deutsche Bank		781,595
1/27/12	Euro 24,280,000	United States Dollar 30,267,448	Deutsche Bank		(3,252,256	)
1/27/12	Euro 33,760,000	United States Dollar 41,519,640	Deutsche Bank		(5,087,659	)
			(108,333,653)
Purchases
				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
11/1/10	New Turkish Lira 3,000,000	United States Dollar 2,065,831	HSBC Bank USA	$	25,709
11/2/10	Chilean Peso 1,775,670,608	United States Dollar 3,587,213	Citigroup Global Markets		42,901
11/2/10	Swedish Krona 37,000,000	Euro 3,932,952	Citigroup Global Markets		65,329
11/2/10	Swedish Krona 37,188,787	Euro 3,988,501	Goldman Sachs, Inc.		(16,279	)
11/2/10	Ukraine Hryvnia 79,600,500	United States Dollar 9,994,413	Barclays Bank PLC		18,229

36

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Forward Foreign Currency Exchange Contracts (continued)
Purchases
				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
11/2/10	Ukraine Hryvnia 68,820,950	United States Dollar 8,632,292	Deutsche Bank	$	24,431
11/3/10	Russian Ruble 560,000,000	United States Dollar 18,363,365	Goldman Sachs, Inc.		(210,701	)
11/4/10	Chilean Peso 3,800,000,000	United States Dollar 7,839,901	Credit Suisse		(71,945	)
11/4/10	Chilean Peso 3,929,050,000	United States Dollar 8,105,312	Standard Chartered Bank		(73,552	)
11/4/10	Czech Koruna 1,457,000,056	Euro 59,283,072	Barclays Bank PLC		(177,703	)
11/4/10	Polish Zloty 33,467,375	Euro 8,377,106	Barclays Bank PLC		82,089
11/4/10	Qatari Rial 181,393,500	United States Dollar 49,821,061	Deutsche Bank		28,159
11/4/10	Ukraine Hryvnia 35,590,000	United States Dollar 4,459,900	HSBC Bank USA		14,391
11/5/10	Australian Dollar 29,900,000	New Zealand Dollar 39,268,866	Citigroup Global Markets		(651,345	)
11/5/10	Indonesian Rupiah 188,850,000,000	United States Dollar 20,981,002	Deutsche Bank		144,931
11/8/10	Colombian Peso 42,800,000,000	United States Dollar 23,826,092	Bank of America		(557,529	)
11/8/10	Czech Koruna 359,967,500	Euro 14,708,160	Bank of America		(129,781	)
11/8/10	Czech Koruna 444,846,000	Euro 18,206,024	Barclays Bank PLC		(201,794	)
11/8/10	Czech Koruna 318,644,500	Euro 13,035,214	Deutsche Bank		(136,453	)
11/8/10	Czech Koruna 467,880,000	Euro 19,117,431	HSBC Bank USA		(168,688	)
11/8/10	Indian Rupee 722,055,000	United States Dollar 16,255,178	Barclays Bank PLC		(15,355	)
11/8/10	Indian Rupee 776,460,000	United States Dollar 16,481,851	Credit Suisse		981,601
11/8/10	Indian Rupee 664,455,000	United States Dollar 14,958,465	Credit Suisse		(14,130	)
11/8/10	Indian Rupee 776,460,000	United States Dollar 16,481,851	Deutsche Bank		981,601
11/8/10	Indian Rupee 260,524,000	United States Dollar 5,530,121	Goldman Sachs, Inc.		329,354
11/8/10	Indonesian Rupiah 117,160,000,000	United States Dollar 12,878,971	Citigroup Global Markets		224,709
11/8/10	Malaysian Ringgit 50,218,000	United States Dollar 16,165,980	Barclays Bank PLC		(21,309	)
11/8/10	Malaysian Ringgit 59,018,000	United States Dollar 18,999,453	Credit Suisse		(25,654	)
11/8/10	Malaysian Ringgit 50,218,000	United States Dollar 16,165,460	Deutsche Bank		(20,788	)
11/8/10	Malaysian Ringgit 30,810,000	United States Dollar 9,864,566	JPMorgan Chase Bank		40,594
11/10/10	Qatari Rial 27,022,075	United States Dollar 7,420,385	Bank of America		5,050
11/10/10	Qatari Rial 270,457,000	United States Dollar 74,291,169	Deutsche Bank		28,104
11/10/10	Russian Ruble 560,000,000	United States Dollar 18,494,666	Deutsche Bank		(374,897	)
11/12/10	Indonesian Rupiah 118,008,000,000	United States Dollar 13,214,782	Credit Suisse		(19,702	)
11/12/10	Indonesian Rupiah 20,745,000,000	United States Dollar 2,299,889	Deutsche Bank		19,716
11/12/10	Indonesian Rupiah 80,710,000,000	United States Dollar 8,952,856	HSBC Bank USA		71,743
11/12/10	New Turkish Lira 13,066,141	United States Dollar 9,154,767	Bank of America		(62,585	)
11/12/10	New Turkish Lira 4,490,328	United States Dollar 3,180,119	HSBC Bank USA		(55,487	)
11/12/10	Polish Zloty 262,766,860	Euro 65,967,128	Bank of America		329,382
11/12/10	South Korean Won 20,432,810,000	United States Dollar 18,228,607	Credit Suisse		(76,866	)
11/12/10	South Korean Won 26,160,890,000	United States Dollar 23,339,183	JPMorgan Chase Bank		(98,830	)
11/15/10	Indonesian Rupiah 63,155,000,000	United States Dollar 6,959,229	Goldman Sachs, Inc.		101,074
11/15/10	Malaysian Ringgit 16,170,000	United States Dollar 5,175,725	Goldman Sachs, Inc.		24,747
11/15/10	Malaysian Ringgit 40,810,000	United States Dollar 13,078,451	HSBC Bank USA		46,549
11/15/10	Malaysian Ringgit 34,010,000	United States Dollar 10,885,987	HSBC Bank USA		52,049
11/15/10	New Turkish Lira 120,303,288	United States Dollar 78,491,086	Bank of America		5,179,687
11/15/10	New Turkish Lira 2,400,000	United States Dollar 1,641,082	Standard Chartered Bank		28,115
11/15/10	Polish Zloty 242,711,500	Euro 61,397,764	Credit Suisse		(358,748	)
11/18/10	Ukraine Hryvnia 103,015,412	United States Dollar 12,889,010	Credit Suisse		12,645
11/18/10	Ukraine Hryvnia 109,149,552	United States Dollar 13,660,770	Deutsche Bank		9,125
11/18/10	Ukraine Hryvnia 144,300,000	United States Dollar 18,048,780	HSBC Bank USA		23,358
11/19/10	Indian Rupee 519,589,000	United States Dollar 11,718,290	Barclays Bank PLC		(49,956	)
11/19/10	Indian Rupee 732,321,000	United States Dollar 16,516,035	Credit Suisse		(70,409	)
11/19/10	Indonesian Rupiah 100,424,800,000	United States Dollar 11,245,778	Goldman Sachs, Inc.		(21,891	)
11/19/10	Norwegian Krone 747,585,075	Euro 92,153,720	Goldman Sachs, Inc.		(697,456	)
11/19/10	Norwegian Krone 30,900,000	Euro 3,795,090	Goldman Sachs, Inc.		(9,474	)

37

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Forward Foreign Currency Exchange Contracts (continued)
Purchases
				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
11/19/10	Swedish Krona 543,560,100	Euro 58,677,749	Citigroup Global Markets	$	(317,264	)
11/19/10	Swedish Krona 35,400,000	Euro 3,813,077	Deutsche Bank		(9,000	)
11/23/10	Czech Koruna 1,661,462,000	Euro 67,895,077	Credit Suisse		(612,041	)
11/23/10	Ukraine Hryvnia 28,800,000	United States Dollar 3,600,000	Bank of America		2,026
11/24/10	Malaysian Ringgit 36,345,000	United States Dollar 11,725,328	Bank of America		(30,686	)
11/24/10	Malaysian Ringgit 49,295,000	United States Dollar 15,903,152	Citigroup Global Markets		(41,619	)
11/24/10	Qatari Rial 18,700,000	United States Dollar 5,136,516	Deutsche Bank		1,163
11/26/10	Indian Rupee 800,000,000	United States Dollar 17,925,162	Barclays Bank PLC		22,923
11/26/10	Indian Rupee 800,000,000	United States Dollar 17,925,162	Citigroup Global Markets		22,923
11/26/10	Indian Rupee 916,400,000	United States Dollar 20,533,274	Deutsche Bank		26,258
11/26/10	Indian Rupee 916,400,000	United States Dollar 20,533,274	Standard Chartered Bank		26,258
11/26/10	Indonesian Rupiah 92,655,600,000	United States Dollar 10,352,581	Credit Suisse		(1,736	)
11/26/10	Indonesian Rupiah 125,489,400,000	United States Dollar 14,024,296	HSBC Bank USA		(5,483	)
11/29/10	Indian Rupee 578,950,000	United States Dollar 12,951,902	Barclays Bank PLC		31,515
11/29/10	Indian Rupee 578,950,000	United States Dollar 12,954,800	Deutsche Bank		28,616
11/29/10	Indonesian Rupiah 82,285,000,000	United States Dollar 9,226,845	Deutsche Bank		(36,327	)
11/29/10	South Korean Won 18,592,450,000	United States Dollar 16,493,489	Bank of America		12,959
11/29/10	South Korean Won 24,008,650,000	United States Dollar 21,299,370	Citigroup Global Markets		15,600
11/30/10	Colombian Peso 48,411,322,500	United States Dollar 26,207,949	Credit Suisse		105,484
11/30/10	Israeli Shekel 25,700,000	United States Dollar 7,020,707	Bank of America		45,388
11/30/10	Israeli Shekel 3,000,000	United States Dollar 828,592	Bank of America		(3,756	)
11/30/10	Israeli Shekel 181,044,570	United States Dollar 49,138,142	Deutsche Bank		639,217
11/30/10	Polish Zloty 191,000,000	Euro 47,812,156	Deutsche Bank		359,744
12/1/10	Georgian Lari 927,050	United States Dollar 500,000	Liberty Capital Market		20,965
12/1/10	Israeli Shekel 35,393,000	United States Dollar 9,834,530	Bank of America		(103,542	)
12/1/10	Qatari Rial 187,196,000	United States Dollar 51,414,760	Citigroup Global Markets		11,253
12/2/10	Brazilian Real 14,100,000	United States Dollar 8,191,007	Standard Chartered Bank		50,807
12/2/10	Czech Koruna 1,200,000,000	Euro 48,697,504	Barclays Bank PLC		30,453
12/2/10	Czech Koruna 1,217,947,417	Euro 49,461,802	Credit Suisse		(19,136	)
12/2/10	Australian Dollar 48,289,100	New Zealand Dollar 61,196,776	Credit Suisse		591,796
12/2/10	Australian Dollar 50,000,000	New Zealand Dollar 64,635,000	Standard Chartered Bank		(353,084	)
12/2/10	Qatari Rial 167,515,000	United States Dollar 45,999,121	Bank of America		19,587
12/2/10	South Korean Won 23,916,900,000	United States Dollar 21,247,191	Bank of America		(16,032	)
12/2/10	South Korean Won 23,916,900,000	United States Dollar 21,246,813	Credit Suisse		(15,655	)
12/2/10	Swedish Krona 605,010,000	Euro 64,854,279	Goldman Sachs, Inc.		261,408
12/3/10	New Turkish Lira 120,784,064	United States Dollar 83,518,230	Bank of America		227,383
12/6/10	Czech Koruna 2,266,574,408	Euro 92,028,682	HSBC Bank USA		(8,152	)
12/6/10	Indonesian Rupiah 75,606,000,000	United States Dollar 8,454,210	Citigroup Global Markets		(13,096	)
12/6/10	Indonesian Rupiah 158,685,000,000	United States Dollar 17,738,095	Deutsche Bank		(21,537	)
12/6/10	Indonesian Rupiah 147,881,000,000	United States Dollar 16,534,101	HSBC Bank USA		(23,767	)
12/6/10	South Korean Won 3,749,000,000	United States Dollar 3,363,237	Goldman Sachs, Inc.		(35,710	)
12/8/10	Malaysian Ringgit 59,018,000	United States Dollar 18,981,732	Credit Suisse		13,058
12/8/10	Malaysian Ringgit 50,218,000	United States Dollar 16,149,863	Deutsche Bank		12,670
12/9/10	South Korean Won 11,750,000,000	United States Dollar 10,465,841	HSBC Bank USA		(37,937	)
12/17/10	Colombian Peso 13,574,303,631	United States Dollar 7,574,101	Credit Suisse		(193,534	)
12/20/10	Indonesian Rupiah 131,599,750,000	United States Dollar 14,720,330	Credit Suisse		(38,491	)
12/20/10	Indonesian Rupiah 76,870,000,000	United States Dollar 8,598,434	JPMorgan Chase Bank		(22,483	)
12/28/10	Swedish Krona 91,645,000	Euro 9,830,887	Deutsche Bank		22,562
12/28/10	Swedish Krona 94,280,000	Euro 10,112,191	HSBC Bank USA		25,096
12/28/10	Swedish Krona 119,935,000	Euro 12,866,353	Standard Chartered Bank		28,471
12/31/10	New Turkish Lira 39,082,000	United States Dollar 26,485,497	Deutsche Bank		482,857
12/31/10	Polish Zloty 190,795,500	Euro 47,707,224	Citigroup Global Markets		313,937

38

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Forward Foreign Currency Exchange Contracts (continued)
Purchases
				Net Unrealized
Settlement				Appreciation
Date	In Exchange For	Deliver	Counterparty	(Depreciation)
1/26/11	Colombian Peso 11,707,035,000	United States Dollar 6,421,851	Bank of America	$	(55,080	)
1/26/11	Colombian Peso 9,550,520,000	United States Dollar 5,238,903	Barclays Bank PLC		(44,934	)
1/26/11	Colombian Peso 10,265,120,000	United States Dollar 5,621,643	Credit Suisse		(39,044	)
1/26/11	Colombian Peso 11,019,940,000	United States Dollar 6,051,587	Deutsche Bank		(58,486	)
1/31/11	Czech Koruna 135,045,000	Euro 5,481,279	Credit Suisse		2,070
2/3/11	Colombian Peso 16,150,000,000	United States Dollar 8,822,726	Credit Suisse		(40,302	)
3/2/11	Georgian Lari 931,850	United States Dollar 500,000	Liberty Capital Market		21,074
4/8/11	Yuan Renminbi 66,250,000	United States Dollar 10,000,000	HSBC Bank USA		108,651
4/8/11	Yuan Renminbi 66,250,000	United States Dollar 10,000,000	JPMorgan Chase Bank		108,651
5/31/11	Georgian Lari 936,300	United States Dollar 500,000	Liberty Capital Market		20,930
6/15/11	Yuan Renminbi 36,900,000	United States Dollar 5,586,677	Citigroup Global Markets		70,312
6/15/11	Yuan Renminbi 77,900,000	United States Dollar 11,785,174	HSBC Bank USA		157,359
7/18/11	Yuan Renminbi 105,300,000	United States Dollar 15,817,936	Citigroup Global Markets		356,042
8/9/11	Yuan Renminbi 61,650,000	United States Dollar 9,212,493	Bank of America		271,703
8/9/11	Yuan Renminbi 62,310,000	United States Dollar 9,315,294	Goldman Sachs, Inc.		270,435
8/9/11	Yuan Renminbi 66,850,000	United States Dollar 9,989,540	Standard Chartered Bank		294,620
8/12/11	Yuan Renminbi 53,085,000	United States Dollar 7,955,193	Bank of America		213,799
8/12/11	Yuan Renminbi 66,775,000	United States Dollar 10,012,746	Credit Suisse		262,933
8/24/11	Yuan Renminbi 35,120,000	United States Dollar 5,259,060	Bank of America		151,826
8/31/11	Georgian Lari 940,800	United States Dollar 500,000	Liberty Capital Market		20,888
9/2/11	Yuan Renminbi 31,143,000	United States Dollar 4,639,899	Bank of America		162,549
9/13/11	Yuan Renminbi 53,072,000	United States Dollar 7,903,500	Credit Suisse		289,496
10/12/11	Yuan Renminbi 91,200,000	United States Dollar 14,099,096	Deutsche Bank		20,659
1/17/12	Yuan Renminbi 50,000,000	United States Dollar 7,908,890	Citigroup Global Markets		(118,284	)
1/19/12	Yuan Renminbi 48,750,000	United States Dollar 7,701,422	Barclays Bank PLC		(104,724	)
6/18/12	Yuan Renminbi 203,360,000	United States Dollar 30,580,451	Goldman Sachs, Inc.		1,381,341
				$	9,762,858

At October 31, 2010, closed forward foreign currency purchases and sales contracts excluded above amounted to a receivable of $7,277,596 and a payable of $5,695,428.

Futures Contracts
									Net
									Unrealized
Expiration			Aggregate						Appreciation
Date	Contracts	Position	Cost			Value			(Depreciation)
12/10	348 Euro-Bobl	Short	$	(58,397,648	)	$	(57,947,206	)	$	450,442
12/10	43 Euro-Bund	Short		(7,808,291	)		(7,734,080	)		74,211
12/10	141 Japan 10-Year Bond	Short		(248,284,205	)		(250,915,869	)		(2,631,664	)
12/10	705 U.S. 5-Year Treasury Note	Short		(84,805,978	)		(85,712,579	)		(906,601	)
12/10	779 U.S. 10-Year Treasury Note	Short		(97,437,875	)		(98,373,094	)		(935,219	)
									$	(3,948,831	)

Euro-Bobl: Medium-term debt securities issued by the Federal Republic of Germany with a term to maturity of 4.5 to 5 years.

Euro-Bund: Long-term debt securities issued by the Federal Republic of Germany with a term to maturity of 8.5 to 10.5 years.

Japan 10-Year Bond: Japanese Government Bonds (JGB) having a maturity of 7 years or more but less than 11 years.

39

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Interest Rate Swaps
		Portfolio
	Notional	Pays/							Net
	Amount	Receives							Unrealized
	(000’s	Floating	Floating	Annual			Termination		Appreciation
Counterparty	omitted)	Rate	Rate Index	Fixed Rate			Date		(Depreciation)
Bank of America	ILS 15,220	Receive	3-Month ILS TELBOR		4.20	%		11/19/14	$	(264,786	)
Bank of America	ILS 29,000	Receive	3-Month ILS TELBOR		4.54			1/6/15		(600,925	)
Barclays Bank PLC	ILS 29,208	Receive	3-Month ILS TELBOR		5.15			3/5/20		(706,710	)
Barclays Bank PLC	ILS 29,182	Receive	3-Month ILS TELBOR		5.16			3/8/20		(709,585	)
JPMorgan Chase Bank	BRL 86,633	Pay	Brazil Interbank Deposit Rate		9.67			1/3/11		112,501
									$	(2,169,505	)

BRL - Brazlian Real

ILS - Israeli Shekel

Credit Default Swaps — Sell Protection
									Current
		Notional		Contract					Market			Net
		Amount*		Annual					Annual			Unrealized
Reference		(000’s		Fixed			Termination		Fixed			Appreciation
Entity	Counterparty	omitted)		Rate**			Date		Rate***			(Depreciation)
Iceland	Barclays Bank PLC	$	5,000		1.70	%		3/20/18		2.82	%	$	(321,613	)
Iceland	Credit Suisse		5,000		1.70			3/20/18		2.82			(321,613	)
Iceland	JPMorgan Chase Bank		6,600		1.75			3/20/18		2.82			(404,569	)
Iceland	JPMorgan Chase Bank		5,000		2.10			3/20/23		2.48			(149,565	)
Iceland	JPMorgan Chase Bank		5,000		2.45			3/20/23		2.48			817
Mexico	Citigroup Global Markets		92,840		1.00	(1)		12/20/10		0.46			141,175
South Africa	Bank of America		5,575		1.00	(1)		9/20/15		1.15			56,182
South Africa	Bank of America		16,990		1.00	(1)		12/20/15		1.18			10,487
South Africa	Barclays Bank PLC		10,000		1.00	(1)		6/20/15		1.17			367,358
South Africa	Barclays Bank PLC		12,000		1.00	(1)		9/20/15		1.15			363,095
South Africa	Barclays Bank PLC		12,010		1.00	(1)		12/20/15		1.18			24,691
South Africa	Citigroup Global Markets		5,000		1.00	(1)		6/20/15		1.12			115,466
South Africa	Credit Suisse		5,000		1.00	(1)		6/20/15		1.12			117,542
South Africa	Credit Suisse		10,000		1.00	(1)		6/20/15		1.12			359,204
South Africa	Credit Suisse		10,450		1.00	(1)		12/20/15		1.18			146,051
South Africa	Credit Suisse		16,990		1.00	(1)		12/20/15		1.18			35,162
South Africa	Deutsche Bank		1,450		1.00	(1)		9/20/15		1.15			22,607
South Africa	Deutsche Bank		12,500		1.00	(1)		9/20/15		1.15			217,777
South Africa	Deutsche Bank		5,500		1.00	(1)		9/20/15		1.15			99,541
South Africa	Deutsche Bank		5,575		1.00	(1)		9/20/15		1.15			61,206
South Africa	Deutsche Bank		13,005		1.00	(1)		12/20/15		1.18			26,737
South Africa	Goldman Sachs, Inc.		17,335		1.00	(1)		12/20/15		1.18			44,006
South Africa	JPMorgan Chase Bank		5,000		1.00	%(1)		6/20/15		1.12			113,387
South Africa	JPMorgan Chase Bank		5,000		1.00	(1)		6/20/15		1.12			185,716
												$	1,310,847

Credit Default Swaps — Buy Protection
		Notional		Contract					Net
		Amount		Annual					Unrealized
Reference		(000’s		Fixed			Termination		Appreciation
Entity	Counterparty	omitted)		Rate**			Date		(Depreciation)
Austria	Barclays Bank PLC	$	8,800		0.44	%		12/20/13	$	22,243
Austria	Barclays Bank PLC		3,700		1.42			3/20/14		(112,038	)
Brazil	Bank of America		18,450		1.00	(1)		6/20/20		(276,777	)
Brazil	Bank of America		11,450		1.00	(1)		6/20/20		(277,678	)
Brazil	Bank of America		51,475		1.00	(1)		12/20/20		(775,480	)
Brazil	Bank of America		22,575		1.00	(1)		12/20/20		(321,461	)
Brazil	Bank of America		7,450		1.00	(1)		12/20/20		(94,150	)
Brazil	Barclays Bank PLC		47,170		1.00	(1)		12/20/20		(752,195	)
Brazil	Barclays Bank PLC		9,000		1.65			9/20/19		(307,494	)
Brazil	Citigroup Global Markets		9,440		1.00	(1)		12/20/20		(123,212	)
Brazil	Credit Suisse		20,000		1.00	(1)		6/20/20		(351,535	)
Brazil	Credit Suisse		14,225		1.00	(1)		6/20/20		(460,196	)
Brazil	Deutsche Bank		10,600		1.00	(1)		12/20/20		(14,838	)
Brazil	Deutsche Bank		11,580		1.00	(1)		12/20/20		(198,978	)
Brazil	HSBC Bank USA		14,225		1.00	(1)		6/20/20		(428,928	)
Brazil	HSBC Bank USA		9,710		1.00	(1)		12/20/20		(126,736	)
Brazil	Standard Chartered Bank		9,440		1.00	(1)		12/20/20		(123,212	)
Egypt	Bank of America		4,550		1.00	(1)		6/20/15		(40,756	)
Egypt	Bank of America		7,050		1.00	(1)		9/20/15		38,582
Egypt	Barclays Bank PLC		4,770		1.00	(1)		6/20/15		51,197
Egypt	Barclays Bank PLC		7,000		1.00	(1)		6/20/15		44,964
Egypt	Barclays Bank PLC		9,000		1.00	(1)		9/20/15		49,254
Egypt	Citigroup Global Markets		5,000		1.00	(1)		6/20/15		33,262
Egypt	Citigroup Global Markets		4,550		1.00	(1)		6/20/20		(30,660	)
Egypt	Citigroup Global Markets		4,550		1.00	(1)		6/20/20		(6,146	)
Egypt	Credit Suisse		10,000		1.00	(1)		9/20/15		54,727
Egypt	Deutsche Bank		4,550		1.00	(1)		6/20/15		(45,770	)
Egypt	Deutsche Bank		4,700		1.00	(1)		6/20/15		(38,533	)
Egypt	Deutsche Bank		9,550		1.00	(1)		6/20/15		(18,260	)
Egypt	Deutsche Bank		9,540		1.00	(1)		6/20/15		106,282
Egypt	Deutsche Bank		2,375		1.00	(1)		6/20/15		15,800
Egypt	Deutsche Bank		7,000		1.00	(1)		6/20/15		30,732
Egypt	Deutsche Bank		4,175		1.00	(1)		9/20/15		(32,453	)
Egypt	Deutsche Bank		8,200		1.00	(1)		9/20/15		36,808
Egypt	Deutsche Bank		5,700		1.00	(1)		9/20/15		(2,629	)

40

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Credit Default Swaps — Buy Protection (continued)
		Notional		Contract					Net
		Amount		Annual					Unrealized
Reference		(000’s		Fixed			Termination		Appreciation
Entity	Counterparty	omitted)		Rate**			Date		(Depreciation)
Egypt	Deutsche Bank	$	10,000		1.00	%(1)		9/20/15	$	54,727
Egypt	Deutsche Bank		2,855		1.00	(1)		12/20/15		(19,874	)
Egypt	Deutsche Bank		5,100		1.00	(1)		6/20/20		53,499
Egypt	Deutsche Bank		4,600		1.00	(1)		6/20/20		(8,551	)
Egypt	Deutsche Bank		4,550		1.00	(1)		6/20/20		(9,115	)
Egypt	Goldman Sachs, Inc.		9,700		1.00	(1)		9/20/15		29,412
Egypt	JPMorgan Chase Bank		4,550		1.00	(1)		6/20/15		(40,756	)
Greece	Citigroup Global Markets		9,775		1.00	(1)		6/20/15		1,051,876
Greece	Credit Suisse		20,000		0.20			6/20/20		7,503,930
Greece	Deutsche Bank		5,000		1.00	(1)		6/20/15		321,567
Greece	JPMorgan Chase Bank		20,000		0.13			9/20/17		6,556,494
Guatemala	Citigroup Global Markets		18,256		1.00	(1)		9/20/20		(196,192	)
Italy	Credit Suisse		18,200		0.20			12/20/16		1,502,677
Kazakhstan	Citigroup Global Markets		9,100		1.00	(1)		6/20/15		(29,117	)
Kazakhstan	Deutsche Bank		9,100		1.00	(1)		6/20/15		(25,389	)
Lebanon	Barclays Bank PLC		4,200		1.00	(1)		12/20/14		24,801
Lebanon	Barclays Bank PLC		4,900		1.00	(1)		3/20/15		11,385
Lebanon	Barclays Bank PLC		4,900		1.00	(1)		3/20/15		55,776
Lebanon	Barclays Bank PLC		6,700		1.00	(1)		3/20/15		83,689
Lebanon	Citigroup Global Markets		5,500		1.00	(1)		12/20/14		27,193
Lebanon	Citigroup Global Markets		4,500		1.00	(1)		12/20/14		32,330
Lebanon	Citigroup Global Markets		4,300		1.00	(1)		12/20/14		25,392
Lebanon	Citigroup Global Markets		2,800		1.00	(1)		3/20/15		53,904
Lebanon	Citigroup Global Markets		6,000		1.00	(1)		9/20/15		(80,705	)
Lebanon	Citigroup Global Markets		15,000		1.00	(1)		9/20/15		(97,634	)
Lebanon	Citigroup Global Markets		4,600		3.30			9/20/14		(97,410	)
Lebanon	Credit Suisse		8,800		1.00	(1)		3/20/15		110,229
Lebanon	Credit Suisse		4,600		1.00	(1)		3/20/15		55,963
Lebanon	Credit Suisse		9,900		1.00	(1)		6/20/15		177,920
Lebanon	Credit Suisse		5,000		1.00	(1)		9/20/15		(33,359	)
Lebanon	Credit Suisse		8,300		1.00	(1)		12/20/15		8,477
Lebanon	Credit Suisse		4,450		1.00	(1)		12/20/15		5,410
Lebanon	Deutsche Bank		6,100		1.00	(1)		3/20/15		103,398
Lebanon	Deutsche Bank		5,000		1.00	(1)		6/20/15		85,839
Lebanon	Deutsche Bank		4,900		1.00	(1)		6/20/15		88,064
Lebanon	Deutsche Bank		6,700		1.00	(1)		9/20/15		21,966
Lebanon	Deutsche Bank		3,085		1.00	(1)		12/20/15		(8,376	)
Lebanon	Goldman Sachs, Inc.		3,600		1.00	(1)		9/20/15		(24,019	)
Malaysia	Bank of America		3,900		0.83			12/20/14		(40,144	)
Malaysia	Barclays Bank PLC		7,800		0.82			12/20/14		(77,007	)
Malaysia	Barclays Bank PLC		7,400		2.40			3/20/14		(487,357	)
Malaysia	Citigroup Global Markets		7,300		2.45			3/20/14		(493,490	)
Philippines	Bank of America		9,300		1.00	(1)		9/20/15		(95,261	)
Philippines	Bank of America		3,500		1.00	%(1)		12/20/15		(28,244	)
Philippines	Barclays Bank PLC		9,131		1.00	(1)		3/20/15		(183,216	)
Philippines	Barclays Bank PLC		10,000		1.00	(1)		6/20/15		(185,210	)
Philippines	Barclays Bank PLC		8,200		1.70			12/20/14		(218,705	)
Philippines	Barclays Bank PLC		8,000		1.84			12/20/14		(259,965	)
Philippines	Barclays Bank PLC		8,700		1.85			12/20/14		(286,329	)
Philippines	Citigroup Global Markets		10,000		1.00	(1)		6/20/15		(208,138	)
Philippines	Citigroup Global Markets		3,800		1.84			12/20/14		(123,484	)
Philippines	Citigroup Global Markets		8,700		1.86			12/20/14		(289,945	)
Philippines	Citigroup Global Markets		5,000		1.88			6/20/11		(58,982	)
Philippines	Credit Suisse		5,000		1.88			6/20/11		(58,982	)
Philippines	Deutsche Bank		9,750		1.00	(1)		3/20/15		(217,080	)
Philippines	Deutsche Bank		10,000		1.00	(1)		6/20/15		(177,304	)
Philippines	Deutsche Bank		10,000		1.00	(1)		9/20/15		(151,524	)
Philippines	Deutsche Bank		9,500		1.00	(1)		9/20/15		(149,164	)
Philippines	Goldman Sachs, Inc.		10,000		1.00	(1)		3/20/15		(241,598	)
Philippines	Goldman Sachs, Inc.		10,000		1.00	(1)		6/20/15		(180,522	)
Philippines	Goldman Sachs, Inc.		7,200		1.00	(1)		9/20/15		(67,543	)
Philippines	HSBC Bank USA		10,000		1.00	(1)		6/20/15		(177,304	)
Philippines	HSBC Bank USA		10,000		1.00	(1)		9/20/15		(195,989	)
Philippines	HSBC Bank USA		10,000		1.00	(1)		9/20/15		(178,794	)
Philippines	HSBC Bank USA		5,000		1.00	(1)		9/20/15		(51,216	)
Philippines	HSBC Bank USA		4,400		1.00	(1)		9/20/15		(61,435	)
Philippines	JPMorgan Chase Bank		9,131		1.00	(1)		3/20/15	��	(183,216	)
Philippines	JPMorgan Chase Bank		10,000		1.00	(1)		6/20/15		(200,020	)
Philippines	JPMorgan Chase Bank		5,000		1.88			6/20/11		(58,982	)
Philippines	JPMorgan Chase Bank		8,200		1.69			12/20/14		(215,296	)
Philippines	Standard Chartered Bank		10,000		1.00	(1)		9/20/15		(174,270	)
Philippines	Standard Chartered Bank		5,500		1.00	(1)		12/20/15		(44,383	)
Russia	Bank of America		8,460		1.00	(1)		6/20/15		(291,371	)
Russia	Bank of America		5,500		1.00	(1)		6/20/15		(27,094	)
Russia	Bank of America		14,540		1.00	(1)		12/20/20		(130,007	)
Russia	Barclays Bank PLC		8,510		1.00	(1)		12/20/20		(69,394	)
Russia	Citigroup Global Markets		9,200		1.00	(1)		6/20/15		21,101
Russia	Citigroup Global Markets		5,000		1.00	(1)		6/20/15		(172,205	)
Russia	Credit Suisse		9,000		1.00	(1)		3/20/15		15,708
Russia	Credit Suisse		9,000		1.00	(1)		6/20/15		27,722
Russia	Deutsche Bank		9,300		1.00	(1)		6/20/15		28,646
Russia	Deutsche Bank		11,475		1.00	(1)		9/20/20		(142,303	)
Russia	Deutsche Bank		8,200		1.00	(1)		12/20/20		(73,318	)
Russia	Goldman Sachs, Inc.		9,000		1.00	(1)		6/20/15		(309,970	)
Russia	Goldman Sachs, Inc.		12,425		1.00	(1)		9/20/20		(163,282	)
Russia	JPMorgan Chase Bank		10,000		1.00	(1)		6/20/15		(207,823	)

41

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Credit Default Swaps — Buy Protection (continued)
			Notional		Contract					Net
			Amount		Annual					Unrealized
Reference			(000’s		Fixed			Termination		Appreciation
Entity	Counterparty		omitted)		Rate**			Date		(Depreciation)
Serbia	HSBC Bank USA		$	7,000		1.30	%		5/20/11	$	10,617
South Africa	Bank of America			6,300		1.00	(1)		12/20/19		(78,411	)
South Africa	Bank of America			5,575		1.00	(1)		9/20/20		(52,424	)
South Africa	Bank of America			16,990		1.00	(1)		12/20/20		(66,408	)
South Africa	Barclays Bank PLC			6,300		1.00	(1)		12/20/19		(120,053	)
South Africa	Barclays Bank PLC			5,000		1.00	(1)		3/20/20		(57,232	)
South Africa	Barclays Bank PLC			5,000		1.00	(1)		3/20/20		(149,171	)
South Africa	Barclays Bank PLC			5,000		1.00	(1)		3/20/20		(31,184	)
South Africa	Barclays Bank PLC			10,000		1.00	(1)		6/20/20		(549,554	)
South Africa	Barclays Bank PLC			12,000		1.00	(1)		9/20/20		(521,001	)
South Africa	Barclays Bank PLC			12,010		1.00	(1)		12/20/20		(45,203	)
South Africa	Citigroup Global Markets			3,910		1.00	(1)		12/20/19		(100,740	)
South Africa	Citigroup Global Markets			4,600		1.00	(1)		3/20/20		(134,059	)
South Africa	Citigroup Global Markets			5,300		1.00	(1)		3/20/20		(144,496	)
South Africa	Citigroup Global Markets			5,000		1.00	(1)		6/20/20		(155,455	)
South Africa	Credit Suisse			4,600		1.00	(1)		3/20/20		(86,332	)
South Africa	Credit Suisse			5,100		1.00	(1)		3/20/20		(50,294	)
South Africa	Credit Suisse			10,000		1.00	(1)		6/20/20		(528,655	)
South Africa	Credit Suisse			5,000		1.00	(1)		6/20/20		(159,049	)
South Africa	Credit Suisse			16,990		1.00	(1)		12/20/20		(108,346	)
South Africa	Credit Suisse			10,450		1.00	(1)		12/20/20		(193,142	)
South Africa	Deutsche Bank			12,500		1.00	(1)		9/20/20		(279,281	)
South Africa	Deutsche Bank			1,450		1.00	(1)		9/20/20		(26,483	)
South Africa	Deutsche Bank			5,500		1.00	(1)		9/20/20		(100,186	)
South Africa	Deutsche Bank			5,575		1.00	(1)		9/20/20		(50,243	)
South Africa	Deutsche Bank			13,005		1.00	(1)		12/20/20		(70,284	)
South Africa	Goldman Sachs, Inc.			17,335		1.00	(1)		12/20/20		(107,880	)
South Africa	JPMorgan Chase Bank	��		4,590		1.00	(1)		12/20/19		(182,550	)
South Africa	JPMorgan Chase Bank			5,200		1.00	(1)		12/20/19		(146,364	)
South Africa	JPMorgan Chase Bank			5,000		1.00	(1)		3/20/20		(52,919	)
South Africa	JPMorgan Chase Bank			5,100		1.00	(1)		3/20/20		(46,605	)
South Africa	JPMorgan Chase Bank			5,200		1.00	(1)		3/20/20		(138,147	)
South Africa	JPMorgan Chase Bank			5,000		1.00	(1)		6/20/20		(148,253	)
South Africa	JPMorgan Chase Bank			5,000		1.00	(1)		6/20/20		(278,252	)
Spain	Bank of America			15,000		1.00	(1)		6/20/20		989,619
Spain	Bank of America			7,500		1.00	(1)		9/20/20		111,117
Spain	Barclays Bank PLC			11,400		1.00	(1)		3/20/20		865,934
Spain	Barclays Bank PLC			10,000		1.00	(1)		6/20/20		71,124
Spain	Barclays Bank PLC			7,412		1.00	(1)		9/20/20		(40,970	)
Spain	Barclays Bank PLC			4,700		1.00	(1)		12/20/20		(50,861	)
Spain	Barclays Bank PLC			5,200		1.00	(1)		12/20/20		(54,313	)
Spain	Barclays Bank PLC			44,330		1.00	(1)		12/20/20		(549,108	)
Spain	Citigroup Global Markets			11,400		1.00	(1)		3/20/20		701,085
Spain	Citigroup Global Markets			11,800		1.00	%(1)		3/20/20		404,085
Spain	Citigroup Global Markets			5,000		1.00	(1)		9/20/20		175,036
Spain	Deutsche Bank			11,400		1.00	(1)		3/20/20		717,424
Spain	Deutsche Bank			11,800		1.00	(1)		3/20/20		404,085
Spain	Deutsche Bank			10,000		1.00	(1)		6/20/20		376,635
Spain	Deutsche Bank			13,950		1.00	(1)		6/20/20		290,884
Spain	Deutsche Bank			12,825		1.00	(1)		12/20/20		33,128
Spain	Deutsche Bank			43,055		1.00	(1)		12/20/20		(533,314	)
Spain	Goldman Sachs, Inc.			5,000		1.00	(1)		6/20/20		32,240
Spain	Goldman Sachs, Inc.			8,543		1.00	(1)		9/20/20		(64,791	)
Spain	JPMorgan Chase Bank			15,000		1.00	(1)		9/20/20		(254,554	)
Spain	JPMorgan Chase Bank			5,000		1.00	(1)		9/20/20		182,389
Thailand	Bank of America			4,000		1.00	(1)		9/20/15		(54,033	)
Thailand	Barclays Bank PLC			7,500		0.97			9/20/19		40,780
Thailand	Citigroup Global Markets			7,700		0.86			12/20/14		(32,050	)
Thailand	Citigroup Global Markets			3,700		0.95			9/20/19		26,073
Thailand	Credit Suisse			5,000		1.00	(1)		9/20/15		(81,191	)
Thailand	Deutsche Bank			10,000		1.00	(1)		3/20/15		(161,615	)
Thailand	Goldman Sachs, Inc.			9,000		1.00	(1)		9/20/15		(117,419	)
Thailand	Goldman Sachs, Inc.			4,700		1.00	(1)		9/20/15		(61,291	)
Thailand	HSBC Bank USA			10,000		1.00	(1)		9/20/15		(130,466	)
Thailand	JPMorgan Chase Bank			3,900		0.87			12/20/14		(17,866	)
Thailand	Standard Chartered Bank			5,000		1.00	(1)		9/20/15		(78,929	)
Thailand	Standard Chartered Bank			5,000		1.00	(1)		9/20/15		(65,203	)
Turkey	Credit Suisse			5,000		2.87			7/20/11		(132,026	)
Uruguay	Citigroup Global Markets			4,600		1.00	(1)		6/20/20		(7,875	)
Uruguay	Deutsche Bank			9,200		1.00	(1)		6/20/20		103
Banco Comercial Portugues, S.A.	JPMorgan Chase Bank			4,350		1.00	(1)		3/20/15		509,658
Banco de Sabadell, S.A.	JPMorgan Chase Bank			4,350		3.00	(1)		3/20/15		48,492
Citibank Corp.	Bank of America			16,801		1.00	(1)		9/20/20		(469,947	)
Citibank Corp.	JPMorgan Chase Bank			18,407		1.00	(1)		9/20/20		(582,168	)
Erste Group Bank AG	Barclays Bank PLC			4,350		1.00	(1)		3/20/15		(6,820	)
ING Verzekeringen N.V.	JPMorgan Chase Bank			4,350		1.00	(1)		3/20/15		115,054
OAO Gazprom	Bank of America			10,000		1.00	(1)		6/20/20		(346,014	)
OAO Gazprom	Bank of America			9,300		1.00	(1)		6/20/20		(265,179	)
OAO Gazprom	Barclays Bank PLC			9,350		1.00	(1)		6/20/15		(125,202	)
OAO Gazprom	Deutsche Bank			9,350		1.00	(1)		6/20/15		(128,870	)
OAO Gazprom	Deutsche Bank			9,100		1.00	(1)		9/20/20		(141,095	)
OAO Gazprom	Deutsche Bank			9,200		1.00	(1)		9/20/20		(108,003	)
OAO Gazprom	Goldman Sachs, Inc.			9,200		1.00	(1)		9/20/20		(114,449	)

42

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

Credit Default Swaps — Buy Protection (continued)
		Notional		Contract					Net
		Amount		Annual					Unrealized
Reference		(000’s		Fixed			Termination		Appreciation
Entity	Counterparty	omitted)		Rate**			Date		(Depreciation)
OAO Gazprom	Goldman Sachs, Inc.	$	8,900		1.00	%(1)		9/20/20	$	(163,879	)
Rabobank Nederland N.V.	JPMorgan Chase Bank		4,350		1.00	(1)		3/20/15		2,190
Raiffeisen Zentralbank	Barclays Bank PLC		4,350		1.00	(1)		3/20/15		(50,266	)
iTraxx Europe Subordinated Financials 5-Year Index	Bank of America		EUR 14,150		1.00	(1)		12/20/15		13,831
iTraxx Europe Subordinated Financials 5-Year Index	Citigroup Global Markets		EUR 1,500		1.00	(1)		12/20/15		510
iTraxx Europe Subordinated Financials 5-Year Index	Credit Suisse		EUR 17,490		1.00	(1)		12/20/15		26,986
iTraxx Europe Subordinated Financials 5-Year Index	Deutsche Bank		EUR 14,100		1.00	(1)		12/20/15		4,804
iTraxx Europe Subordinated Financials 5-Year Index	Goldman Sachs, Inc.		EUR 4,000		1.00	(1)		12/20/15		1,362
iTraxx Europe Subordinated Financials 5-Year Index	JPMorgan Chase Bank		EUR 16,100		1.00	(1)		12/20/15		15,737
									$	1,808,027

*	If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At October 31, 2010, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $288,820,000.
**	The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually on the notional amount of the credit default swap contract.
***	Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.
(1)	Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

EUR - Euro

Cross-Currency Swaps
	Notional	Notional
	Amount	Amount
	on Fixed	on Floating
	Rate	Rate
	(Currency	(Currency
	Received)	Delivered)							Net
	(000’s	(000’s		Floating	Fixed		Termination		Unrealized
Counterparty	omitted)	omitted)		Rate	Rate		Date		Depreciation
Bank of America	TRY 17,118	$	11,435	3 Month USD-LIBOR-BBA		8.28%		8/11/20	$	(816,669	)
Barclays Bank PLC	TRY 60,000		40,080	3 Month USD-LIBOR-BBA		8.25		8/11/20		(2,775,825	)
Barclays Bank PLC	TRY 25,350		16,650	3 Month USD-LIBOR-BBA		8.32		8/16/20		(1,524,630	)
Citigroup Global Markets	TRY 25,000		16,700	3 Month USD-LIBOR-BBA		8.20		8/11/20		(1,096,451	)
Deutsche Bank	TRY 22,254		14,861	3 Month USD-LIBOR-BBA		8.26		8/11/20		(1,045,224	)
Goldman Sachs, Inc.	TRY 34,237		22,802	3 Month USD-LIBOR-BBA		8.31		8/11/20		(1,743,128	)
JPMorgan Chase Bank	TRY 27,000		18,012	3 Month USD-LIBOR-BBA		8.29		8/11/20		(1,325,170	)
JPMorgan Chase Bank	TRY 20,000		13,333	3 Month USD-LIBOR-BBA		8.36		8/11/20		(1,057,872	)
									$	(11,384,969	)

TRY - New Turkish Lira

The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.

Written currency call options activity for the year ended October 31, 2010 was as follows:

	Principal
	Amount of Contracts			Premiums
	(000’s omitted)			Received
Outstanding, beginning of year		JPY   4,078,000		$	522,711
Options expired		JPY  (4,078,000	)		(522,711	)
Outstanding, end of year		—		$	—

JPY - Japanese Yen

At October 31, 2010, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

43

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Credit Risk: The Portfolio enters into credit default swap contracts to manage its credit risk, to gain exposure to a credit in which the Portfolio may otherwise invest, or to enhance return.

Equity Risk: The Portfolio enters into total return swap agreements on a security, basket of securities or an index to enhance return, to change the duration of the overall portfolio, to hedge against fluctuations in securities prices or interest rates or as substitution for the purchase or sale of securities. The Portfolio enters into options on an equity index to enhance return.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts and currency options to enhance return, to hedge against fluctuations in currency exchange rates, to manage certain investment risks and/or as a substitute for the purchase or sale of securities or currencies.

Interest Rate Risk: The Portfolio holds fixed-rate bonds. The value of these bonds may decrease if interest rates rise. To hedge against this risk, the Portfolio enters into interest rate and cross-currency swap contracts. The Portfolio also enters into interest rate swap agreements to enhance return or as a substitution for the purchase or sale of securities. The Portfolio also purchases and sells U.S. Treasury and foreign debt futures contracts to hedge against changes in interest rates.

The Portfolio enters into swap contracts and forward foreign currency exchange contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At October 31, 2010, the fair value of derivatives with credit-related contingent features in a net liability position was $105,233,054. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $54,038,347 at October 31, 2010.

The non-exchange traded derivatives in which the Portfolio invests, including swap contracts, over-the counter options and forward foreign currency exchange contracts, are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. The Portfolio is not subject to counterparty credit risk with respect to its written options as the Portfolio, not the counterparty, is obligated to perform under such derivatives. At October 31, 2010, the maximum amount of loss the Portfolio would incur due to counterparty risk was $75,138,291, representing the fair value of such derivatives in an asset position, with the highest amount from any one counterparty being $20,461,706. Such maximum amount would be reduced by any unamortized upfront payments received by the Portfolio. Such amount would be increased by any unamortized upfront payments made by the Portfolio. To mitigate this risk, the Portfolio has entered into master netting agreements with substantially all its derivative counterparties, which allows it and a counterparty to aggregate amounts owed by each of them for derivative transactions under the agreement into a single net amount payable by either the Portfolio or the counterparty. At October 31, 2010, the maximum amount of loss the Portfolio would incur due to counterparty risk would be reduced by approximately $58,398,000 due to master netting agreements. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of the Portfolio if the net amount due from the counterparty with respect to a derivative contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would also reduce the amount of any loss incurred.

The fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2010 was as follows:

	Fair Value
						Foreign			Interest
Consolidated Statement of Assets and Liabilities Caption	Credit			Equity		Exchange			Rate
Unaffiliated investments, at value	$	—		$	13,535,814	$	5,395,164		$	—
Net unrealized appreciation		—			—		—			524,653	*
Receivable for open and closed forward foreign currency exchange contracts		—			—		28,792,677			—
Receivable for open swap contracts		27,302,135			—		—			112,501
Total Asset Derivatives	$	27,302,135		$	13,535,814	$	34,187,841		$	637,154
Net unrealized appreciation	$	—		$	—	$	—		$	(4,473,484	)*
Payable for open and closed forward foreign currency exchange contracts		—			—		(125,781,304	)		—
Payable for open swap contracts		(24,183,261	)		—		—			(13,666,975	)
Total Liability Derivatives	$	(24,183,261	)	$	—	$	(125,781,304	)	$	(18,140,459	)

* Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above. Only the current day’s variation margin on open futures contracts is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin, as applicable.

44

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the year ended October 31, 2010 was as follows:

Consolidated Statement of							Foreign			Interest
Operations Caption	Credit			Equity			Exchange			Rate
Net realized gain (loss) — Investment transactions	$	—		$	—		$	(987,347	)	$	—
Financial futures contracts		—			—			—			(14,055,333	)
Swap contracts		(4,950,036	)		(495,715	)		—			(15,538,494	)
Written options		—			—			(522,711	)		—
Foreign currency and forward foreign currency exchange contract transactions		—			—			(32,391,238	)		—
Total	$	(4,950,036	)	$	(495,715	)	$	(33,901,296	)	$	(29,593,827	)
Change in unrealized appreciation (depreciation) —
Investments	$	—		$	(621,927	)	$	(3,029,676	)	$	—
Financial futures contracts		—			—			—			(3,722,307	)
Swap contracts		1,178,066			70,997			—			(8,037,930	)
Written options		—			—			(309,320	)		—
Foreign currency and forward foreign currency exchange contracts		—			—			(101,039,347	)		—
Total	$	1,178,066		$	(550,930	)	$	(104,378,343	)	$	(11,760,237	)

The average notional amounts of futures contracts, forward foreign currency exchange contracts and swap contracts outstanding during the year ended October 31, 2010, which are indicative of the volume of these derivative types, were approximately $192,026,000, $2,637,939,000 and $1,246,335,000, respectively.

The average principal amount of purchased currency option contracts and average number of purchased index option contacts outstanding during the year ended October 31, 2010, which are indicative of the volume of these derivative types, were approximately $142,465,000 and 75,770,000 contracts respectively.

6Line of Credit

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $450 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.10% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the year ended October 31, 2010.

7Risks Associated with Foreign Investments

Investing in securities issued by entities whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker-dealers and issuers than in the United States.

8Fair 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)

45

Global Macro Portfolioas of October 31, 2010

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS CONT’D

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, 2010, the inputs used in valuing the Portfolio’s investments, which are carried at value, were as follows:

	Quoted
	Prices in
	Active			Significant
	Markets for			Other			Significant
	Identical			Observable			Unobservable
	Assets			Inputs			Inputs
Asset Description	(Level 1)			(Level 2)			(Level 3)		Total
Foreign Government Bonds	$	—		$	896,995,489		$	—	$	896,995,489
Foreign Corporate Bonds & Notes		—			3,986,638			—		3,986,638
Corporate Bonds & Notes		—			674,625			—		674,625
Collateralized Mortgage Obligations		—			135,019,176			—		135,019,176
Commercial Mortgage-Backed Securities		—			55,554,299			—		55,554,299
Mortgage Pass-Throughs		—			1,148,051,899			—		1,148,051,899
U.S. Government Agency Obligations		—			403,447,147			—		403,447,147
U.S. Treasury Obligations		—			1,411,242,815			—		1,411,242,815
Common Stocks		—			326,200			—		326,200
Precious Metals		84,004,511			—			—		84,004,511
Currency Options Purchased		—			5,395,164			—		5,395,164
Put Options Purchased		—			13,535,814			—		13,535,814
Short-Term — Foreign Government Securities		—			3,605,558,149			—		3,605,558,149
Short-Term — U.S. Treasury Obligations		—			1,029,711,020			—		1,029,711,020
Short-Term — Repurchase Agreements		—			71,705,236			—		71,705,236
Short-Term — Other Securities		—			49,009,091			—		49,009,091
Total Investments	$	84,004,511		$	8,830,212,762		$	—	$	8,914,217,273
Forward Foreign Currency Exchange Contracts	$	—		$	28,792,677		$	—	$	28,792,677
Swaps Contracts		—			27,414,636			—		27,414,636
Futures Contracts		524,653			—			—		524,653
Total	$	84,529,164		$	8,886,420,075		$	—	$	8,970,949,239
Liability Description
Securities Sold Short	$	—		$	(48,326,341	)	$	—	$	(48,326,341	)
Forward Foreign Currency Exchange Contracts		—			(125,781,304	)		—		(125,781,304	)
Swaps Contracts		—			(37,850,236	)		—		(37,850,236	)
Futures Contracts		(4,473,484	)		—			—		(4,473,484	)
Total	$	(4,473,484	)	$	(211,957,881	)	$	—	$	(216,431,365	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

	Investments in Foreign
	Government Bonds
Balance as of October 31, 2009	$	2,353,740
Realized gains (losses)		(1,712,621	)
Change in net unrealized appreciation (depreciation)*		2,285,605
Net purchases (sales)		(2,926,724	)
Accrued discount (premium)		—
Net transfers to (from) Level 3		—
Balance as of October 31, 2010	$	—
Change in net unrealized appreciation (depreciation) on investments still held as of October 31, 2010*	$	—

* Amount is included in the related amount on investments in the Consolidated Statement of Operations.

46

Global Macro Portfolioas of October 31, 2010

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Trustees and Investors of Global Macro Portfolio:

We have audited the accompanying consolidated statement of assets and liabilities of Global Macro Portfolio and subsidiary (the “Portfolio”), including the consolidated portfolio of investments, as of October 31, 2010, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, and the consolidated supplementary data for each of the four years in the period then ended. These consolidated financial statements and consolidated supplementary data are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated supplementary data based on our audits. The supplementary data for the year ended October 31, 2006 was audited by other auditors. Those auditors expressed an unqualified opinion on that supplementary data in their report dated December 27, 2006.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and supplementary data are free of material misstatement. The Portfolio is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2010, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements and consolidated supplementary data referred to above present fairly, in all material respects, the financial position of Global Macro Portfolio and subsidiary as of October 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the supplementary data for each of the four years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts

December 29, 2010

47

Eaton Vance Global Macro Absolute Return Fund

BOARD OF TRUSTEES’ CONTRACT APPROVAL

Overview of the Contract Review Process

The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.

At a meeting of the Boards of Trustees (each a “Board”) of the Eaton Vance group of mutual funds (the “Eaton Vance Funds”) held on April 26, 2010, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of the Contract Review Committee of the Board, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished for a series of meetings of the Contract Review Committee held between February and April 2010. Such information included, among other things, the following:

Information about Fees, Performance and Expenses

•  An independent report comparing the advisory and related fees paid by each fund with fees paid by comparable funds;

•  An independent report comparing each fund’s total expense ratio and its components to comparable funds;

•  An independent report comparing the investment performance of each fund (including yield where relevant) to the investment performance of comparable funds over various time periods;

•  Data regarding investment performance in comparison to relevant peer groups of similarly managed funds and appropriate indices;

•  For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing such fund;

•  Profitability analyses for each adviser with respect to each fund;

Information about Portfolio Management

•  Descriptions of the investment management services provided to each fund, including the investment strategies and processes employed, and any changes in portfolio management processes and personnel;

•  Information concerning the allocation of brokerage and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through “soft dollar” benefits received in connection with the funds’ brokerage, and the implementation of a soft dollar reimbursement program established with respect to the funds;

•  Data relating to portfolio turnover rates of each fund;

•  The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes;

Information about each Adviser

•  Reports detailing the financial results and condition of each adviser;

•  Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts;

•  Copies of the Codes of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes;

•  Copies of or descriptions of each adviser’s policies and procedures relating to proxy voting, the handling of corporate actions and class actions;

•  Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates on behalf of the funds (including descriptions of various compliance programs) and their record of compliance with investment policies and restrictions, including policies with respect to market-timing, late trading and selective portfolio disclosure, and with policies on personal securities transactions;

•  Descriptions of the business continuity and disaster recovery plans of each adviser and its affiliates;

•  A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers;

Other Relevant Information

•  Information concerning the nature, cost and character of the administrative and other non-investment management services provided by Eaton Vance Management and its affiliates;

•  Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and

•  The terms of each advisory agreement.

48

Eaton Vance Global Macro Absolute Return Fund

BOARD OF TRUSTEES’ CONTRACT APPROVAL CONT’D

In addition to the information identified above, the Contract Review Committee considered information provided from time to time by each adviser throughout the year at meetings of the Board and its committees. Over the course of the twelve-month period ended April 30, 2010, with respect to one or more Funds, the Board met ten times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met nine, thirteen, three, eight and fifteen times, respectively. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of each adviser relating to the investment performance of each fund and the investment strategies used in pursuing the fund’s investment objective, as well as trading policies and procedures and risk management techniques.

For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.

The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each advisory and sub-advisory agreement.

Results of the Process

Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuance of the investment advisory agreement between Eaton Vance Global Macro Absolute Return Fund (formerly Eaton Vance Global Macro Fund) (the “Fund”) with Eaton Vance Management (“EVM”), as well as the investment advisory agreement for Global Macro Portfolio, the portfolio in which the Fund invests (the “Portfolio”), with Boston Management and Research (“BMR”), an affiliate of EVM (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”), including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee as well as the factors considered and conclusions reached by the Contract Review Committee with respect to the agreements. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreements for the Fund and the Portfolio.

Nature, Extent and Quality of Services

In considering whether to approve the investment advisory agreements of the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services to be provided to the Fund by EVM and to the Portfolio by BMR.

The Board considered EVM’s and BMR’s management capabilities and investment process with respect to the types of investments to be held by the Fund and the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolio. The Board specifically noted EVM’s and BMR’s expertise with respect to global markets and in-house research capabilities. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation methods to recruit and retain investment personnel, and the time and attention devoted to the Fund and Portfolio by senior management.

The Board noted that, under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities, for which it would receive a fee, or in the Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio. The Trustees considered the potential benefits to the Fund of the ability to make direct investments, such as an improved ability to: manage the Fund’s duration, or other general market exposures, using certain derivatives; add exposure to specific market sectors or asset classes without changing the Portfolio’s investments, which would affect any other fund investing in the Portfolio; hedge some of the general market risks of the Portfolio while retaining the value added by the individual manager; and hedge a portion of the exposures of the Portfolio while retaining others (e.g., hedging the U.S. government exposure of the Portfolio while retaining its exposure to high-grade corporate bonds).

The Board also reviewed the compliance programs of EVM and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late

49

Eaton Vance Global Macro Absolute Return Fund

BOARD OF TRUSTEES’ CONTRACT APPROVAL CONT’D

trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of EVM and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.

The Board considered shareholder and other administrative services provided or managed by EVM and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large family of funds, including the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.

After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by the Adviser, taken as a whole, are appropriate and consistent with the terms of the investment advisory agreements.

Fund Performance

The Board compared the Fund’s investment performance to a relevant universe of similarly managed funds identified by an independent data provider and appropriate benchmark indices. The Board reviewed comparative performance data for the one-, three-, five- and ten-year periods ended September 30, 2009 for the Fund. The Board concluded that the performance of the Fund was satisfactory.

Management Fees and Expenses

The Board reviewed contractual investment advisory fee rates, including any administrative fee rates, payable by the Portfolio and the Fund (referred to collectively as “management fees”). As part of its review, the Board considered the management fees and the Fund’s total expense ratio for the year ended September 30, 2009, as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered factors that had an impact on Fund expense ratios, as identified by management in response to inquiries from the Contract Review Committee, as well as actions being taken to reduce expenses at the fund complex level. In considering the Fund’s total expense ratio and management fees, the Board noted the impact of the Fund’s use of leverage. The Board considered the fact that EVM had waived fees and/or paid expenses for the Fund.

After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by EVM and BMR, the Board concluded that the management fees charged for advisory and related services are reasonable.

Profitability

The Board reviewed the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Portfolio, the Fund and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to revenue sharing or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect benefits received by the Adviser and its affiliates in connection with its relationship with the Portfolio and the Fund, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Fund and the Portfolio and other investment advisory clients.

The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Adviser and its affiliates are reasonable.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. The Board noted the structure of the advisory fee, which includes breakpoints at several asset levels both at the Fund and at the Portfolio level. Based upon the foregoing, the Board concluded that the benefits from economies of scale are currently being shared equitably by the Adviser and its affiliates and the Fund. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Portfolio, the structure of the advisory fee, which includes breakpoints at several asset levels, can be expected to cause the Adviser and its affiliates and the Fund to continue to share such benefits equitably.

50

Eaton Vance Global Macro Absolute Return Fund

MANAGEMENT AND ORGANIZATION

Fund Management. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and Global Macro Portfolio (the Portfolio) are responsible for the overall management and supervision of the Trust’s and Portfolio’s affairs. The Trustees and officers of the Trust and the Portfolio are listed below. Except as indicated, each individual has held the office shown or other offices in the same company for the last five years. Trustees and officers of the Trust and the Portfolio hold indefinite terms of office. The “Noninterested Trustees” consist of those Trustees who are not “interested persons” of the Trust and the Portfolio, as that term is defined under the 1940 Act. The business address of each Trustee and officer is Two International Place, Boston, Massachusetts 02110. As used below, “EVC” refers to Eaton Vance Corp., “EV” refers to Eaton Vance, Inc., “EVM” refers to Eaton Vance Management, “BMR” refers to Boston Management and Research, “Parametric” refers to Parametric Portfolio Associates LLC and “EVD” refers to Eaton Vance Distributors, Inc. EVC and EV are the corporate parent and trustee, respectively, of EVM and BMR. EVD is the Fund’s principal underwriter, the Portfolio’s placement agent and a wholly-owned subsidiary of EVC. Each officer affiliated with Eaton Vance may hold a position with other Eaton Vance affiliates that is comparable to his or her position with EVM listed below.

	Position(s)	Term of		Number of Portfolios
	with the	Office and	Principal Occupation(s)	in Fund Complex
Name and	Trust and	Length of	During Past Five Years and	Overseen By		Other Directorships Held
Year of Birth	the Portfolio	Service	Other Relevant Experience	Trustee(1)		During the Last Five Years(2)
Interested Trustee
Thomas E. Faust Jr. 1958	Trustee and President of the Trust	Trustee since 2007 and President of the Trust since 2002	Chairman, Chief Executive Officer and President of EVC, Director and President of EV, Chief Executive Officer and President of EVM and BMR, and Director of EVD. Trustee and/or officer of 184 registered investment companies and 1 private investment company managed by EVM or BMR. Mr. Faust is an interested person because of his positions with EVM, BMR, EVD, EVC and EV, which are affiliates of the Trust and Portfolio.		184	Director of EVC.
Noninterested Trustees
Benjamin C. Esty 1963	Trustee	Since 2005	Roy and Elizabeth Simmons Professor of Business Administration and Finance Unit Head, Harvard University Graduate School of Business Administration.		184	None
Allen R. Freedman 1940	Trustee	Since 2007	Private Investor and Consultant. Former Chairman (2002-2004) and a Director (1983-2004) of Systems & Computer Technology Corp. (provider of software to higher education). Formerly, a Director of Loring Ward International (fund distributor) (2005-2007). Formerly, Chairman and a Director of Indus International, Inc. (provider of enterprise management software to the power generating industry) (2005-2007).		184	Director of Assurant, Inc. (insurance provider) and Stonemor Partners, L.P. (owner and operator of cemeteries).
William H. Park 1947	Trustee	Since 2003	Chief Financial Officer, Aveon Group L.P. (an investment management firm) (since 2010). Formerly, Vice Chairman, Commercial Industrial Finance Corp. (specialty finance company) (2006-2010). Formerly, President and Chief Executive Officer, Prizm Capital Management, LLC (investment management firm) (2002-2005). Formerly, Executive Vice President and Chief Financial Officer, United Asset Management Corporation (an institutional investment management firm) (1982-2001). Formerly, Senior Manager, Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm) (1972-1981).		184	None
Ronald A. Pearlman 1940	Trustee	Since 2003	Professor of Law, Georgetown University Law Center. Formerly, Deputy Assistant Secretary (Tax Policy) and Assistant Secretary (Tax Policy), U.S. Department of the Treasury (1983-1985). Formerly, Chief of Staff, Joint Committee on Taxation, U.S. Congress (1988-1990).		184	None

51

Eaton Vance Global Macro Absolute Return Fund

MANAGEMENT AND ORGANIZATION CONT’D

	Position(s)	Term of		Number of Portfolios
	with the	Office and	Principal Occupation(s)	in Fund Complex
Name and	Trust and	Length of	During Past Five Years and	Overseen By		Other Directorships Held
Year of Birth	the Portfolio	Service	Other Relevant Experience	Trustee(1)		During the Last Five Years(2)
Noninterested Trustee (continued)
Helen Frame Peters 1948	Trustee	Since 2008	Professor of Finance, Carroll School of Management, Boston College. Formerly, Dean, Carroll School of Management, Boston College (2000-2002). Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper Investments (investment management firm) (1998-1999). Formerly, Chief Investment Officer, Equity and Fixed Income, Colonial Management Associates (investment management firm) (1991-1998).		184	Director of BJ’s Wholesale Club, Inc. (wholesale club retailer). Formerly, Trustee of SPDR Index Shares Funds and SPDR Series Trust (exchange traded funds) (2000-2009). Formerly, Director of Federal Home Loan Bank of Boston (a bank for banks) (2007-2009).
Lynn A. Stout 1957	Trustee	Since 1998	Paul Hastings Professor of Corporate and Securities Law (since 2006) and Professor of Law (2001-2006), University of California at Los Angeles School of Law. Professor Stout teaches classes in corporate law and securities regulation and is the author of numerous academic and professional papers on these areas.		184	None
Ralph F. Verni 1943	Chairman of the Board and Trustee	Chairman of the Board since 2007 and Trustee since 2005	Consultant and private investor. Formerly, Chief Investment Officer (1982-1992), Chief Financial Officer (1988-1990) and Director (1982-1992), New England Life. Formerly, Chairperson, New England Mutual Funds (1982-1992). Formerly, President and Chief Executive Officer, State Street Management & Research (1992-2000). Formerly, Chairperson, State Street Research Mutual Funds (1992-2000). Formerly, Director, W.P. Carey, LLC (1998-2004) and First Pioneer Farm Credit Corp. (2002-2006).		184	None

Principal Officers who are not Trustees

	Position(s)	Term of
	with the	Office and
Name and	Trust and	Length of	Principal Occupation(s)
Year of Birth	the Portfolio	Service	During Past Five Years
William H. Ahern, Jr. 1959	Vice President of the Trust	Since 1995	Vice President of EVM and BMR. Officer of 80 registered investment companies managed by EVM or BMR.
John R. Baur 1970	Vice President	Of the Trust since 2008 and of the Portfolio since 2007	Vice President of EVM and BMR. Previously, attended Johnson Graduate School of Management, Cornell University (2002-2005), and prior thereto was an Account Team Representative in Singapore for Applied Materials, Inc. Officer of 37 registered investment companies managed by EVM or BMR.
Maria C. Cappellano 1967	Vice President of the Trust	Since 2009	Vice President of EVM and BMR. Officer of 49 registered investment companies managed by EVM or BMR.
Michael A. Cirami 1975	Vice President	Of the Trust since 2008 and of the Portfolio since 2007	Vice President of EVM and BMR. Officer of 37 registered investment companies managed by EVM or BMR.
Cynthia J. Clemson 1963	Vice President of the Trust	Since 2005	Vice President of EVM and BMR. Officer of 96 registered investment companies managed by EVM or BMR.
John H. Croft 1962	Vice President of the Trust	Since 2010	Vice President of EVM and BMR. Officer of 38 registered investment companies managed by EVM or BMR.
Charles B. Gaffney 1972	Vice President of the Trust	Since 2007	Director of Equity Research and a Vice President of EVM and BMR. Officer of 33 registered investment companies managed by EVM or BMR.
Christine M. Johnston 1972	Vice President	Since 2007	Vice President of EVM and BMR. Officer of 40 registered investment companies managed by EVM or BMR.
Aamer Khan 1960	Vice President of the Trust	Since 2005	Vice President of EVM and BMR. Officer of 36 registered investment companies managed by EVM or BMR.

52

Eaton Vance Global Macro Absolute Return Fund

MANAGEMENT AND ORGANIZATION CONT’D

	Position(s)	Term of
	with the	Office and
Name and	Trust and	Length of	Principal Occupation(s)
Year of Birth	the Portfolio	Service	During Past Five Years
Principal Officers who are not Trustees (continued)
Thomas H. Luster 1962	Vice President of the Trust	Since 2006	Vice President of EVM and BMR. Officer of 55 registered investment companies managed by EVM or BMR.
Jeffrey A. Rawlins 1961	Vice President of the Trust	Since 2009	Vice President of EVM and BMR. Previously, a Managing Director of the Fixed Income Group at State Street Research and Management (1989-2005). Officer of 33 registered investment companies managed by EVM or BMR.
Duncan W. Richardson 1957	Vice President of the Trust	Since 2001	Director of EVC and Executive Vice President and Chief Equity Investment Officer of EVC, EVM and BMR. Officer of 82 registered investment companies managed by EVM or BMR.
Judith A. Saryan 1954	Vice President of the Trust	Since 2003	Vice President of EVM and BMR. Officer of 54 registered investment companies managed by EVM or BMR.
Susan Schiff 1961	Vice President	Since 2002	Vice President of EVM and BMR. Officer of 38 registered investment companies managed by EVM or BMR.
Thomas Seto 1962	Vice President of the Trust	Since 2007	Vice President and Director of Portfolio Management of Parametric. Officer of 33 registered investment companies managed by EVM or BMR.
David M. Stein 1951	Vice President of the Trust	Since 2007	Managing Director and Chief Investment Officer of Parametric. Officer of 33 registered investment companies managed by EVM or BMR.
Eric A. Stein 1980	Vice President	Of the Trust since 2009 and of the Portfolio since 2008	Vice President of EVM and BMR. Originally joined EVM in July 2002. Prior to re-joining EVM in September 2008, Mr. Stein worked at the Federal Reserve Bank of New York (2007-2008) and attended business school in Chicago, Illinois. Officer of 34 registered investment companies managed by EVM or BMR.
Dan R. Strelow 1959	Vice President of the Trust	Since 2009	Vice President of EVM and BMR since 2005. Previously, a Managing Director (since 1988) and Chief Investment Officer (since 2001) of the Fixed Income Group at State Street Research and Management. Officer of 33 registered investment companies managed by EVM or BMR.
Mark S. Venezia 1949	Vice President of the Trust and President of the Portfolio	Vice President of the Trust since 2007 and President of the Portfolio since 2002	Vice President of EVM and BMR. Officer of 40 registered investment companies managed by EVM or BMR.
Adam A. Weigold 1975	Vice President of the Trust	Since 2007	Vice President of EVM and BMR. Officer of 73 registered investment companies managed by EVM or BMR.
Barbara E. Campbell 1957	Treasurer	Of the Trust since 2005 and of the Portfolio since 2008	Vice President of EVM and BMR. Officer of 184 registered investment companies managed by EVM or BMR.
Maureen A. Gemma 1960	Secretary and Chief Legal Officer	Secretary since 2007 and Chief Legal Officer since 2008	Vice President of EVM and BMR. Officer of 184 registered investment companies managed by EVM or BMR.
Paul M. O’Neil 1953	Chief Compliance Officer	Since 2004	Vice President of EVM and BMR. Officer of 184 registered investment companies managed by EVM or BMR.

(1)

Includes both master and feeder funds in a master-feeder structure.

(2)

During their respective tenures, the Trustees also served as trustees of one or more of the following Eaton Vance funds (which operated in the years noted): Eaton Vance Credit Opportunities Fund (launched in 2005 and terminated in 2010); Eaton Vance Insured Florida Plus Municipal Bond Fund (launched in 2002 and terminated in 2009); and Eaton Vance National Municipal Income Fund (launched in 1998 and terminated in 2009).

The SAI for the Fund includes additional information about the Trustees and officers of the Fund and the Portfolio and can be obtained without charge on Eaton Vance’s website at www.eatonvance.com or by calling 1-800-262-1122.

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Investment Adviser of Global Macro Portfolio

Boston Management and Research

Two International Place

Boston, MA 02110

Investment Adviser and Administrator of

Eaton Vance Global Macro Absolute Return Fund

Eaton Vance Management

Two International Place

Boston, MA 02110

Principal Underwriter*

Eaton Vance Distributors, Inc.

Two International Place

Boston, MA 02110

(617) 482-8260

Custodian

State Street Bank and Trust Company

200 Clarendon Street

Boston, MA 02116

Transfer Agent

BNY Mellon Asset Servicing

Attn: Eaton Vance Funds

P.O. Box 9653

Providence, RI 02940-9653

(800) 262-1122

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

200 Berkeley Street

Boston, MA 02116-5022

Eaton Vance Global Macro Absolute Return Fund

Two International Place

Boston, MA 02110

* FINRA BrokerCheck. Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing the program is available to investors at www.FINRA.org.

This report must be preceded or accompanied by a current prospectus or summary prospectus, if available. Before investing, investors should consider carefully the Fund’s investment objective(s), risks, and charges and expenses. The Fund’s current prospectus or summary prospectus, if available, contains this and other information about the Fund and is available through your financial advisor. Please read the prospectus carefully before you invest or send money. For further information please call 1-800-262-1122.

3041-12/10 GMSRC

Item 2. Code of Ethics

The registrant has adopted a code of ethics applicable to its Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide a copy of such code of ethics to any person upon request, without charge, by calling 1-800-262-1122.

Item 3. Audit Committee Financial Expert

The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is the Chief Financial Officer of Aveon Group, L.P. (an investment management firm). Previously, he served as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).

Item 4. Principal Accountant Fees and Services

(a)-(d)

The following table presents the aggregate fees billed to the registrant for the registrant’s fiscal years ended October 31, 2009 and October 31, 2010 by the Fund’s principal accountant, Deloitte & Touche LLP (“D&T”), for professional services rendered for the audit of the registrant’s annual financial statements and fees billed for other services rendered by D&T during such periods.

Fiscal Years Ended	10/31/2009		10/31/2010
Audit Fees	$	129,410	$	179,410
Audit-Related Fees(1)	$	0	$	0
Tax Fees(2)	$	22,450	$	22,450
All Other Fees(3)	$	2,500	$	900
Total	$	154,360	$	202,760

(1)	Audit-related fees consist of the aggregate fees billed for assurance and related services that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under the category of audit fees.
(2)	Tax fees consist of the aggregate fees billed for professional services rendered by the principal accountant relating to tax compliance, tax advice, and tax planning and specifically include fees for tax return preparation and other tax related compliance/planning matters.
(3)	All other fees consist of the aggregate fees billed for products and services provided by the principal accountant other than audit, audit-related, and tax services.

(e)(1) The registrant’s audit committee has adopted policies and procedures relating to the pre-approval of services provided by the registrant’s principal accountant (the “Pre-Approval Policies”). The Pre-Approval Policies establish a framework intended to assist the audit committee in the proper discharge of its pre-approval responsibilities. As a general matter, the Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the pre-approval process, including the approval and monitoring of audit and non-audit service fees. Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be separately pre-approved by the audit committee.

The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must be reviewed and ratified by the registrant’s audit committee at least annually. The registrant’s audit committee maintains full responsibility for the appointment, compensation, and oversight of the work of the registrant’s principal accountant.

(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrant’s audit committee pursuant to the “de minimis exception” set forth in Rule 2-01 (c)(7)(i)(C) of Regulation S-X.

(f) Not applicable.

(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the registrant by D&T for the registrant’s fiscal years ended October 31, 2009 and October 31, 2010; and (ii) the aggregate non-audit fees (i.e., fees for audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same time periods.

Fiscal Years Ended	10/31/09		10/31/10
Registrant	$	24,950	$	23,350
Eaton Vance(1)	$	280,861	$	278,901

(1) Certain subsidiaries of Eaton Vance Corp. provide ongoing services to the registrant.

(h) The registrant’s audit committee has considered whether the provision by the registrant’s principal accountant of non-audit services to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants

Not required in this filing.

Item 6. Schedule of Investments

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not required in this filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not required in this filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not required in this filing.

Item 10. Submission of Matters to a Vote of Security Holders

No Material Changes.

Item 11. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits

(a)(1)	Registrant’s Code of Ethics — Not applicable (please see Item 2).
(a)(2)(i)	Treasurer’s Section 302 certification.
(a)(2)(ii)	President’s Section 302 certification.
(b)	Combined Section 906 certification.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Global Macro Portfolio
By:	/s/ Mark S. Venezia
	Mark S. Venezia
	President

Date: December 29, 2010

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Barbara E. Campbell
	Barbara E. Campbell
	Treasurer

Date: December 29, 2010

By:	/s/ Mark S. Venezia
	Mark S. Venezia
	President

Date: December 29, 2010