Product & Portfolio Strategy Group
Eaton Vance Monthly Market Monitor October 2013 (data as of September 30, 2013)
eatonvance.com/MarketMonitor
Eaton Vance Monthly Market Monitor
Table of Contents Eaton Vance Monthly Market Monitor presents a concise review of economic and asset class data through clear and impactful charts. Providing timely information across a broad array of markets and investment topics, this guide serves as a helpful resource in providing connectivity between changing market events and implications for investor portfolios. Use Eaton Vance Monthly Market Monitor as a critical desk reference that enables more informed discussion and understanding of financial markets. Economic Review
2
5
Inflation Watch
11
Income Markets
13
Equity Markets
22
Alternative Markets
34
Flows Monitor
40
Additional Information
41
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Not FDIC Insured • Not Bank Guaranteed • May Lose Value
Eaton Vance Monthly Market Monitor
List of Exhibits Income Markets
Economic Review Global Growth
5
Fixed Income Characteristics and Performance Analysis
13
U.S. Yields
6
Fixed Income Spread Analysis
14
Global Government Bond Yields
7
Investment Grade Corporate Bond Market Update
15
U.S. Federal and Personal Finances
8
High Yield Corporate Bond Market Update
16
U.S. Corporate Finances
9
Floating-Rate Loan Market Update
17
Municipal Bond Market Update
18
Emerging Markets Bond Market Update
19
Fixed Income Asset Class Return Analysis (tabular)
20
Fixed Income Asset Class Return Analysis (chart)
21
U.S. Housing and Unemployment
10
Inflation Watch
3
Global Inflation
11
Central Bank Target Rates
12
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Not FDIC Insured • Not Bank Guaranteed • May Lose Value
Eaton Vance Monthly Market Monitor
List of Exhibits Flows Monitor
Equity Markets
Fund Flows by Category
22
Dividend Analysis
23
Valuation Analysis
24
Additional Information
Regional/Style Valuation Analysis
25
Glossary of Terms
41
S&P 500 Sector Valuation Analysis
26
About Risk
43
S&P 500 Index Return Analysis
27
About Eaton Vance
44
S&P 500 Index Sectors Return Analysis
29
For More Information
45
MSCI World Index Sectors Return Analysis
30
Global Equity Characteristics & Sector Weights
31
Equity Asset Class Return Analysis (tabular)
32
Equity Asset Class Return Analysis (chart)
33
Alternative Markets
4
40
Equity Performance and Volatility Analysis
Developed Market Currency Performance & Interest Rates
34
Emerging Market Currency Performance & Interest Rates
35
Local Sovereign Interest Rates
37
Commodities Return Analysis
38
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Not FDIC Insured • Not Bank Guaranteed • May Lose Value
Eaton Vance Monthly Market Monitor Economic Review
Global Growth Developed Markets Real GDP Growth
Emerging Markets Real GDP Growth
% Change YOY
% Change YOY 16%
8%
14% 6% 12% 10%
4%
8% 2% 6% 0%
4% 2%
-2% 0% -4%
-2% -4%
-6% -6% -8%
-8% '00
'01
'02
'03
'04
'05
'06
'07
Developed Markets Avg. United Kingdom Eurozone
'08
'09
'10
'11
'12
United States Japan
Source: International Monetary Fund and Bureau of Economic Analysis as of 9/30/13
5
'00
'01
'02
'03
'04
'05
'06
'07
Emerging Markets Avg. Russia China Source: International Monetary Fund as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
'08
'09
'10
Brazil India
'11
'12
Eaton Vance Monthly Market Monitor Economic Review
U.S. Yields U.S. Treasury Yields
10-Year U.S. Treasury Yield
18%
6%
16% 5% 14% 12%
4%
10% 3% 8% 6%
2%
4% 1% 2% 0%
0% 3M
2Y
5Y
Source: Bloomberg as of 9/30/13
6
10Y
30Y
Sep-13
Aug-13
Dec-12
Dec-10
Dec-08
Dec-06
'53 '56 '59 '62 '65 '68 '71 '74 '77 '80 '83 '86 '89 '92 '95 '98 '01 '04 '07 '10 '13
Source: Federal Reserve as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Economic Review
Global Government Bond Yields 10-Year Government Bond Yields Greece
10-Year Government Bond Yields 35%
9.7%
Portugal
6.7%
New Zealand
4.6%
Italy
4.6%
Spain
4.3%
Australia
3.9%
Ireland
3.9%
Norway
30%
25%
2.8%
United Kingdom
2.7%
United States
2.6%
Belgium
2.6%
Canada
2.6%
Sweden
2.5%
France
2.3%
Austria
2.2%
Netherlands
2.2%
Finland
2.0%
Denmark
2.0%
Germany
1.8%
Switzerland
20%
15%
10%
5%
1.0%
Japan
0.7% 0%
0% 5%
10%
15%
20%
25%
30%
'89
'91
'93
'95
Germany Source: Thomson Reuters as of 9/30/13
7
'97
'99
'01
'03
United Kingdom
Source: Bloomberg as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
'05
'07
Japan
'09
'11
'13
Greece
Eaton Vance Monthly Market Monitor Economic Review
U.S. Federal and Personal Finances U.S. Personal Savings Rate and Household Debt Service Ratio (% of disposable annual income)
U.S. Federal Budget and Debt (% of GDP) 140%
10%
16%
Federal Debt
Budget Surplus / Deficit 5%
120%
0%
14%
12% 100%
-5% 10% 80%
-10%
8% -15%
60% 6%
-20% 40% 4%
-25% 20%
-30% -35%
0% '41
'49
'57
'65
'73
'81
'89
'97
'05
est. '13
2%
0% '80 '82 '84 '86 '88 '90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 Personal Savings Rate
Source: White House Office of Management and Budget as of 9/30/13
8
Source: Federal Reserve as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Household Debt Service Ratio
Eaton Vance Monthly Market Monitor Economic Review
U.S. Corporate Finances S&P 500 Earnings and Revenues Per Share $120
$1,200 Revenues per Share
Earnings per Share
$1,100
$100
$1,000 $80 $900 $60 $800 $40 $700
$20
$600
$0
$500 '00
'01
'02
'03
'04
'05
'06
'07
'08
'09
'10
'11
Source: Baseline as of 9/30/13
9
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
'12
est. '13
Eaton Vance Monthly Market Monitor Economic Review
U.S. Housing and Unemployment U.S. Median Existing Home Prices
U.S. Unemployment and Jobs 14%
$250
142,000 Total Jobs
Unemployment Rate $230
140,000
12% 138,000
$210 10%
136,000 134,000
8%
$170
132,000 $150
6%
130,000
$130
128,000
4% $110
126,000 2%
$90
124,000 0%
$70 '93 '94 '95 '96 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 Source: Standard & Poor’s as of 9/30/13
10
122,000 '03
'04
'05
'06
'07
'08
'09
Source: U.S. Bureau of Labor Statistics as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
'10
'11
'12
Thousands
Thousands
$190
Eaton Vance Monthly Market Monitor Inflation Watch
Global Inflation Emerging Markets Inflation
Developed Markets Inflation
% Change YOY
% Change YOY 22%
22%
20%
20%
18%
18%
16%
16%
14%
14%
12%
12%
10%
10%
8%
8%
6%
6%
4%
4%
2%
2%
0%
0%
-2%
-2% '80 '82 '84 '86 '88 '90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 Developed Markets Avg. Japan United States
Eurozone United Kingdom
Source: International Monetary Fund, U.S. Bureau of Labor Statistics as of 9/30/13
11
'00
'01
'02
'03
'04
'05
'06
'07
Emerging Markets Avg. Russia China Source: International Monetary Fund as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
'08
'09 Brazil India
'10
'11
'12
Eaton Vance Monthly Market Monitor Inflation Watch
Central Bank Target Rates Bank of England 18% 16% 14% 12% 10% 8% 6% 4% 2% 0%
Bank of Japan 18% 16% 14% 12% 10% 8% 6% 4% 2% 0%
'73 '75 '77 '79 '81 '83 '85 '87 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 Source: Bank of England as of 9/30/13
'73 '75 '77 '79 '81 '83 '85 '87 '89 '91 '93 '95 '97 '99 '01 '03 '05 '07 '09 '11 '13 Source: Bank of Japan as of 9/30/13
European Central Bank 18% 16% 14% 12% 10% 8% 6% 4% 2% 0%
18% 16% 14% 12% 10% 8% 6% 4% 2% 0% '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13
Source: European Central Bank as of 9/30/13
12
U.S. Federal Reserve Bank
'83
'85
'87
'89
'91
'93
'95
'97
'99
'01
Source: Federal Reserve as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
'03
'05
'07
'09
'11
'13
Eaton Vance Monthly Market Monitor Income Markets
Fixed Income Characteristics and Performance Analysis Averages
Total Returns (%)
Coupon (%)
Price ($)
Yield (%)
Maturity (yrs.)
Duration (yrs.)
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
10Y
3.36
104.2
2.34
7.5
5.5
0.95
0.57
-1.89
-1.68
2.86
5.41
4.59
U.S. Treasury
2.07
102.8
1.24
6.2
5.1
0.70
0.10
-2.01
-2.09
2.24
4.03
4.25
U.S. Agency
2.28
103.5
1.24
4.6
3.7
0.72
0.28
-1.22
-1.09
1.56
3.57
3.82
Index Barclays Capital U.S. Aggregate Index
U.S. Mortgage Backed Securities
3.95
104.2
3.07
7.4
5.4
1.41
1.03
-1.00
-1.20
2.65
4.66
4.75
U.S. Asset Backed Securities
1.95
101.9
1.26
2.9
2.6
0.56
0.16
-0.59
-0.38
2.20
5.91
3.49
U.S. Commercial Mortgage Backed Securities
4.93
106.4
2.24
3.6
3.2
0.92
1.02
-0.30
0.91
5.36
9.16
5.27
U.S. Investment Grade Corporate
4.69
106.3
3.30
10.2
6.8
0.69
0.82
-2.62
-1.58
4.40
9.24
5.27
U.S. Aggregate Local Authorities
5.03
108.0
3.96
17.1
8.9
0.53
-0.79
-5.31
-3.96
5.32
6.52
5.67
Barclays Capital Municipal Bond Index
4.87
102.2
3.08
13.4
8.3
2.15
-0.19
-2.87
-2.21
3.24
5.98
4.40
BofAML US Inflation-Linked Treasury Index
1.32
108.5
0.05
9.3
8.4
1.49
0.64
-7.35
-6.63
3.97
5.29
5.24
BofAML Preferred Index (Fixed Rate)
6.51
96.2
5.86
-
8.5
-0.65
-4.07
-3.72
-3.05
4.36
11.26
1.94
Barclays Capital U.S. Corporate High Yield Index
7.43
101.8
6.23
6.6
4.3
0.99
2.28
3.73
7.14
9.19
13.53
8.86
S&P / LSTA Leveraged Loan Index JPMorgan Emerging Markets Bond Index Plus (EMBI+) JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Diversified JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Barclays Capital Global Aggregate Ex-U.S. Index
-
98.2
5.12
-
0.1
0.24
1.20
3.53
5.00
5.95
8.20
5.32
7.25
106.6
5.43
-
7.4
2.90
0.51
-8.89
-5.94
4.69
9.51
8.74
5.44
99.4
5.29
-
5.9
1.89
1.16
-3.59
-0.66
-
-
-
6.86
-
6.58
-
4.7
4.40
-0.43
-7.56
-3.74
1.84
7.28
10.05
3.11
107.0
1.80
8.3
6.7
2.82
4.38
-2.38
-3.39
1.52
4.80
5.12
BofAML U.K. Gilts Index
4.02
112.3
2.31
14.4
9.8
5.53
7.31
-3.19
-2.85
5.47
4.51
5.24
BofAML European Union Government Bond Index
3.77
109.1
2.19
9.5
7.1
3.81
5.58
2.08
6.52
3.83
4.63
5.88
Source: Barclays Capital, JPMorgan, BofA Merrill Lynch and Standard & Poor’s as of 9/30/13 13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Income Markets
Fixed Income Spread Analysis (bps) 300
240%
276
220%
250
1800 1600
100
160%
800
140%
600
0
4 10Y TIPS Breakeven
80%
200
101
0
1500
618
Low Cheap
1000
865
180
192
35
57 21
-13
247
173
145 43
141
64
76
53
0
141
Agency
10Y TIPS Muni Break-Even Ratio (%)
MBS
ABS
CMBS
Corporate
108 153 35
MBS
ABS
CMBS
Corporate
483 296
0
210 -3
234
461
350 324 149
233
Preferred Floating- Emerging Rate Markets Loans (USD)
Taxable Muni/BABs
Agency
492
500
224
-200
30Y Muni Ratio
Rich
563
9
84%
Current Avg
1699
400 112%
100%
1018
1000
120% 50
1717
1200 180%
150
1971
2000
1400
219
200
High
209%
200%
221
2500 1581
Taxable FloatingPreferred Muni/BABs Rate Loans
High Yield
Emerging Markets High Yield (USD)
Max Spread Date
3/22/05
12/18/08
11/20/08
12/3/08
1/6/09
11/21/08
12/3/08
4/29/09
3/9/09
12/19/08
10/24/08
12/16/08
Min Spread Date
5/23/07
11/20/08
1/29/07
3/12/13
7/27/10
10/1/09
12/08/04
3/11/05
12/28/04
3/8/06
3/31/06
6/1/07
Spread on 12/31/12
245
96
13
50
43
124
141
140
242
529
248
511
Spread on 12/31/11
196
123
33
75
99
308
234
189
315
633
377
699
Spread on 12/31/10
230
108
20
42
82
254
156
168
193
512
248
526
Source: Barclays Capital, JPMorgan, BofA Merrill Lynch, Standard & Poor’s and U.S. Dept. of the Treasury as of 9/30/13. Spread history measures past 10 years.
14
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries with the exception of floating-rate loans, which is the average discounted spread over Libor. Agency represented by Barclays Capital U.S. Agency Index. MBS represented by Barclays Capital U.S. Mortgage Backed Securities (MBS) Index. ABS represented by Barclays Capital U.S. Asset Backed Securities (ABS) Index. CMBS represented by Barclays Capital U.S. CMBS Investment Grade Index. Corporate represented by Barclays Capital U.S. Corporate Index. Taxable Muni/BABs represented by Barclays Capital U.S. Aggregate Local Authorities Index. Preferred represented by BofA Merrill Lynch Fixed Rate Preferred Securities Index. Floating-Rate Loans represented by S&P/LSTA Leveraged Loan Index. Emerging Markets(USD) represented by JPMorgan Emerging Markets Bond Index Plus(EMBI+). High Yield represented by Barclays Capital U.S. Corporate High Yield Index.
Eaton Vance Monthly Market Monitor Income Markets
Investment Grade Corporate Bond Market Update Spreads and Prices
Spreads and Prices $125
700
Avg. Spread (bps)
Avg. Price ($)
Current
141
106.3
Average
173
105.1
Median
143
106.3
High
618
115.4
Low
76
83.7
600
bps
500
$100
400 Spread
300
Price $75
200 100
$50
0 '03
'04
'05
'06
'07
'08
'09
'10
'11
'12
'13
Source: Barclays Capital as of 9/30/13
Coupon (%)
Source: Barclays Capital as of 9/30/13
Price ($)
Averages Yield to Worst Spread (%) (bps)
Total Returns (%) Maturity (yrs.)
Duration (yrs.)
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
10Y
Barclays U.S. Corp Index
4.69
106.3
3.30
141
10.2
6.8
0.69
0.82
-2.62
-1.58
4.40
9.24
5.27
AAA Index
4.07
105.9
2.93
73
15.4
8.8
0.31
-0.11
-4.66
-5.33
2.59
5.98
3.99
AA Index
3.17
103.3
2.38
78
8.7
6.1
0.69
0.48
-2.68
-2.52
2.93
7.19
4.31
A Index
4.49
107.0
2.96
116
9.8
6.7
0.73
0.89
-2.69
-1.98
4.05
9.07
4.74
BBB Index
5.25
106.2
3.86
184
10.8
7.1
0.66
0.83
-2.48
-0.86
5.26
10.02
6.00
Source: Barclays Capital and Morningstar as of 9/30/13
15
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries.
Eaton Vance Monthly Market Monitor Income Markets
High Yield Corporate Bond Market Update Spreads and Prices
Annual Default Rate
2000
$125
15%
Price
bps
1500 $100
10%
$75
5%
$50
0%
1000 500 Spread 0 '03
'04
'05
'06
'07
'08
'09
Avg. Spread (bps) Current 461 Average 563 Median 484 High 1971 Low 233 Source: Barclays Capital as of 9/30/13
Barclays U.S. Corp High Yield Index BB Index B Index CCC Index Below CCC Index
'10
'13
'83
Avg. Price ($) 101.8 96.2 99.1 107.4 55.1
Current Average Median High Low
'11
'12
'86
'89
'92
'95
'98
'01
'07
'10
'13
Default Rate 1.1% 3.7% 2.8% 11.5% 0.4%
Source: JPMorgan as of 9/30/13 Averages Yield to Worst Spread Maturity (%) (bps) (yrs.)
Coupon (%)
Price ($)
7.43
101.8
6.23
461
6.41 7.62 8.96
103.0 103.5 100.3
5.03 5.98 8.22
9.99
45.3
36.03
Total Returns (%) Duration (yrs.)
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
10Y
6.6
4.3
0.99
2.28
3.73
7.14
9.19
13.53
8.86
332 446 664
7.2 6.4 6.2
4.9 4.0 3.7
1.00 0.99 1.25
1.77 2.33 3.67
1.84 3.55 9.15
4.69 7.28 12.77
8.25 9.18 11.43
12.68 11.36 13.63
8.55 7.78 8.97
3,239
4.9
3.1
-4.27
-5.15
-4.70
1.94
5.77
25.24
10.08
Source: Barclays Capital and Morningstar as of 9/30/13
16
'04
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries.
Eaton Vance Monthly Market Monitor Income Markets
Floating-Rate Loan Market Update Spreads and Prices
Annual Default Rate
2000
12%
$125 Price
10%
bps
1500
8%
$100
6%
1000 Spread
4%
$75 500
2%
0 '04
'05
'06
'07
'08
'09
Avg. Spread (bps) Current 483 Average 492 Median 479 High 1699 Low 234 Source: Standard & Poor’s and LCD as of 9/30/13 Price ($) S&P/LSTA Leveraged Loan 98.2 Index BBB 100.0 BB 99.8 B 99.3 CCC 83.2 Source: Standard & Poor’s as of 9/30/13
17
0%
$50 '03
Yield (%)
'10
'11
'12
'13
Avg. Price ($) 98.2 94.5 97.0 101.0 62.0
Default Rate 2.4% 2.4% 1.4% 10.8% 0.2%
Current Average Median High Low
Averages Nominal Secondary Spread Spread (bps) (bps)
Source: Standard & Poor’s and LCD as of 9/30/13 Total Returns (%) Life (yrs.)
Duration (yrs.)
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
10Y
5.12
439
507
5.01
0.1
0.24
1.20
3.53
5.00
5.95
8.20
5.32
4.03 4.03 5.21 12.34
301 371 474 612
302 376 503 1407
4.71 5.11 5.07 4.34
-
0.12 0.14 0.26 0.47
0.94 1.10 1.39 0.54
1.87 2.51 3.87 7.06
2.95 3.97 4.90 9.57
3.95 4.98 6.83 8.37
5.29 5.91 8.85 12.85
4.11 4.19 5.41 7.25
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. All spreads are in basis points and measure the average discounted spread over Libor.
Eaton Vance Monthly Market Monitor Income Markets
Municipal Bond Market Update Credit Quality Spreads vs. AAA
AAA Municipal Yields (%) 400
5Y 10Y 30Y
6%
250%
AA A BBB
300
bps
8%
AAA Muni-to-Treasury Yield Ratios (%)
5Y 200%
4%
200
150%
2%
100
100%
0%
0 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13
Current Average Median High Low
5Y 1.32 2.27 2.38 3.97 0.62
10Y 2.54 3.14 3.40 4.86 1.47
Source: Barclays Capital as of 9/30/13
Barclays Capital Municipal Bond Index
30Y 4.12 4.22 4.36 5.94 2.47
10Y 30Y
50% '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13
Current Average Median High Low
AA 22 16 13 32 8
A 75 63 62 160 21
Source: Barclays Capital as of 9/30/13 Averages Coupon Price Yield To Worst Maturity (%) ($) (%) (yrs.) 4.87 102.2 3.08 13.4
'03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13
BBB 149 134 132 354 32
5Y 95 88 81 220 59
Current Average Median High Low
10Y 97 92 87 187 75
30Y 112 101 98 209 84
Source: Barclays Capital as of 9/30/13 Total Returns (%) Duration (yrs.) 8.3
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
10Y
2.15
-0.19
-2.87
-2.21
3.24
5.98
4.40
Barclays Capital 5-Year Municipal Bond Index
4.88
112.6
1.71
5.0
3.9
0.96
0.87
-0.03
-0.24
2.71
4.90
3.85
Barclays Capital 10-Year Municipal Bond Index
4.85
108.9
2.84
9.9
6.7
2.38
0.72
-2.07
-1.30
3.85
6.42
4.80
Barclays Capital 22+ Year Municipal Bond Index
5.02
90.0
4.78
26.7
14.3
3.24
-2.14
-6.13
-5.06
3.58
7.24
4.83
Barclays Capital High Yield Municipal Bond Index
5.58
48.9
6.60
19.8
10.4
3.30
-2.96
-5.08
-1.54
5.59
6.66
5.63
Source: Barclays Capital as of 9/30/13
18
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Income Markets
Emerging Markets Bond Market Update Sovereign EMD Spreads (USD)
Local EMD Yields (%)
Corporate EMD Spreads (USD)
1300
1300
900
900
12%
bps
bps
10% 8%
500
500
100
6%
100 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13
Current Average Median High Low Source: JPMorgan as of 9/30/13
4% '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13
Avg. Spread (bps) 350 324 296 865 149
Avg. Spread (bps) 361 338 308 1085 149
Current Average Median High Low
Price ($)
Averages Yield (%)
JPMorgan Emerging Markets Bond Index Plus (EMBI+)
7.25
106.6
JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Diversified
5.44
JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified
6.86
Avg. Yield (%) 6.58 6.90 6.88 9.72 5.16
Current Average Median High Low
Source: JPMorgan as of 9/30/13 Coupon (%)
'03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13
Source: JPMorgan as of 9/30/13 Total Returns (%) Duration (yrs.)
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
10Y
5.43
7.4
2.90
0.51
-8.89
-5.94
4.69
9.51
8.74
99.4
5.29
5.9
1.89
1.16
-3.59
-0.66
-
-
-
-
6.58
4.7
4.40
-0.43
-7.56
-3.74
1.84
7.28
10.05
Source: Morningstar and JPMorgan as of 9/30/13
19
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries.
Eaton Vance Monthly Market Monitor Income Markets
Fixed Income Asset Class Return Analysis (%) Index
1-Mo.
Barclays Capital U.S. Aggregate Index
3-Mo.
YTD
1Y
3Y
5Y
10Y
2012
2011
2010
2009
2008
0.95
0.57
-1.89
-1.68
2.86
5.41
4.59
4.21
7.84
6.54
5.93
5.24
U.S. Treasury
0.70
0.10
-2.01
-2.09
2.24
4.03
4.25
1.99
9.81
5.87
-3.57
13.74
U.S. Agency
0.72
0.28
-1.22
-1.09
1.56
3.57
3.82
2.16
4.82
4.36
1.53
9.26
U.S. Mortgage Backed Securities
1.41
1.03
-1.00
-1.20
2.65
4.66
4.75
2.59
6.23
5.37
5.89
8.34
U.S. Asset Backed Securities
0.56
0.16
-0.59
-0.38
2.20
5.91
3.49
3.66
5.14
5.85
24.71
-12.72
U.S. Commercial Mortgage Backed Securities
0.92
1.02
-0.30
0.91
5.36
9.16
5.27
9.66
6.02
20.40
28.45
-20.52
U.S. Investment Grade Corporate
0.69
0.82
-2.62
-1.58
4.40
9.24
5.27
9.82
8.15
9.00
18.68
-4.94
U.S. Aggregate Local Authorities
0.53
-0.79
-5.31
-3.96
5.32
6.52
5.67
9.61
18.10
7.22
0.72
6.97
Barclays Capital Municipal Bond Index
2.15
-0.19
-2.87
-2.21
3.24
5.98
4.40
6.78
10.70
2.38
12.91
-2.47
BofAML US Inflation-Linked Treasury Index
1.49
0.64
-7.35
-6.63
3.97
5.29
5.24
7.33
14.10
6.34
10.03
-1.13
BofAML Preferred Index (Fixed Rate)
-0.65
-4.07
-3.72
-3.05
4.36
11.26
1.94
13.60
4.11
13.66
20.07
-25.24
Barclays Capital U.S. Corporate High Yield Index
0.99
2.28
3.73
7.14
9.19
13.53
8.86
15.81
4.98
15.12
58.21
-26.16
S&P / LSTA Leveraged Loan Index
0.24
1.20
3.53
5.00
5.95
8.20
5.32
9.66
1.52
10.13
51.62
-29.10
2.90
0.51
-8.89
-5.94
4.69
9.51
8.74
18.04
9.20
11.83
25.95
-9.70
1.89
1.16
-3.59
-0.66
-
-
-
16.95
3.24
13.50
38.61
-15.36
4.40
-0.43
-7.56
-3.74
1.84
7.28
10.05
16.76
-1.75
15.68
21.98
-5.22
Barclays Capital Global Aggregate Ex-U.S. Index
2.82
4.38
-2.38
-3.39
1.52
4.80
5.12
4.09
4.36
4.95
7.53
4.40
BofAML U.K. Gilts Index
5.53
7.31
-3.19
-2.85
5.47
4.51
5.24
7.54
16.04
4.32
10.90
-18.35
BofAML European Union Government Bond Index
3.81
5.58
2.08
6.52
3.83
4.63
5.88
11.62
3.12
-3.55
8.07
0.43
JPMorgan Emerging Markets Bond Index Plus (EMBI+) JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Diversified JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified
Source: Morningstar as of 9/30/13
20
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Income Markets
Fixed Income Asset Class Return Analysis (%) Higher
Lower
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
YTD 9/13
High Yield 28.97
EM (Local Currency) 22.97
EM (Local Currency) 6.27
EM (Local Currency) 15.22
EM (Local Currency) 18.11
Treasury 13.74
High Yield 58.21
EM (Local Currency) 15.68
Municipal 10.70
EM (Local Currency) 16.76
High Yield 3.73
Global Agg Ex-U.S. 19.36
Global Agg Ex-U.S. 12.55
Bank Loan 5.06
High Yield 11.85
Global Agg Ex-U.S. 11.03
MBS 8.34
Bank Loan 51.62
High Yield 15.12
Treasury 9.81
High Yield 15.81
Bank Loan 3.53
EM (Local Currency) 16.92
High Yield 11.13
Municipal 3.51
Global Agg Ex-U.S. 8.16
Treasury 9.01
Global Agg Ex-U.S. 4.40
EM (Local Currency) 21.98
Bank Loan 10.13
Investment Grade 8.15
Investment Grade 9.82
MBS -1.00
Bank Loan 9.97
Investment Grade 5.39
Treasury 2.79
Bank Loan 6.74
MBS 6.90
Municipal -2.47
Investment Grade 18.68
Investment Grade 9.00
MBS 6.23
Bank Loan 9.66
Treasury -2.01
Investment Grade 8.24
Bank Loan 5.17
High Yield 2.74
MBS 5.22
Investment Grade 4.56
Investment Grade -4.94
Municipal 12.91
Treasury 5.87
High Yield 4.98
Municipal 6.78
Global Agg Ex-U.S. -2.38
Municipal 5.31
MBS 4.70
MBS 2.61
Municipal 4.84
Municipal 3.36
EM (Local Currency) -5.22
Global Agg Ex-U.S. 7.53
MBS 5.37
Global Agg Ex-U.S. 4.36
Global Agg Ex-U.S. 4.09
Investment Grade -2.62
MBS 3.07
Municipal 4.48
Investment Grade 1.68
Investment Grade 4.30
Bank Loan 2.08
High Yield -26.16
MBS 5.89
Global Agg Ex-U.S. 4.95
Bank Loan 1.52
MBS 2.59
Municipal -2.87
Treasury 2.24
Treasury 3.54
Global Agg Ex-U.S. -8.65
Treasury 3.08
High Yield 1.87
Bank Loan -29.10
Treasury -3.57
Municipal 2.38
EM (Local Currency) -1.75
Treasury 1.99
EM (Local Currency) -7.56
Source: Morningstar as of 9/30/13
21
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Investment Grade represented by Barclays Capital U.S. Corporate Index. MBS represented by Barclays Capital U.S. Mortgage Backed Securities (MBS) Index. Treasury represented by Barclays Capital U.S. Treasury Index. High Yield represented by Barclays Capital U.S. Corporate High Yield Index. Municipal represented by Barclays Capital Municipal Bond Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Global Agg Ex-U.S. represented by Barclays Capital Global Aggregate Ex-USD Index. EM(Local Currency) represented by JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified.
Eaton Vance Monthly Market Monitor Equity Markets
Equity Performance and Volatility Analysis Value vs. Growth
10.0% 5.0% 0.0% -5.0% -10.0% -15.0% -20.0% 9/09
3/10
9/10
3/11
9/11
Source: FactSet, Zephyr and Morningstar as of 9/30/13
3/12
9/12
3/13
9/13
Russell 1000 Russell 2000
12-Mo Rolling Excess Returns
12-Mo Rolling Excess Returns
Large Cap vs. Small Cap 15.0% 10.0% 5.0% 0.0% -5.0% -10.0% -15.0% -20.0% 9/09
3/10
9/10
3/11
9/11
3/12
3/13
9/13
Russell 1000 Value Russell 1000 Growth
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Correlation of S&P 500 Stocks
9/12
CBOE Market Volatility Index (VIX)
1.00
70
0.80
60 50
0.60
40 30
0.40
20
0.20 0.00 9/89
10 0 9/93
9/97
Source: BA540, Ned Davis Research as of 9/30/13*
9/01
9/05
9/09
9/13
S&P 500 Stocks Correlation
9/08
9/09
9/10
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Average
*Copyright 2013 Ned Davis Research, Inc. Further distribution prohibited without prior permission. All Rights Reserved. See NDR Disclaimer at www.ndr.com/copyright.html. For data vendor disclaimers refer to www.ndr.com/vendorinfo/. 22 Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
9/11
9/12 VIX Average
9/13
Eaton Vance Monthly Market Monitor Equity Markets
Dividend Yields Historical Yields
Current Yields
6.0%
3.5%
5.0%
3.0%
3.08 2.74 2.55
2.61
2.5%
4.0%
2.03 2.0% 3.0% 1.5% 2.0% 1.0% 1.0%
0.5%
0.0%
0.0% 9/08 2/09 7/09 12/09 5/10 10/10 3/11 8/11 1/12 6/12 11/12 4/13 9/13
Source: FactSet, Zephyr and Morningstar as of 9/30/13
23
S&P 500
MSCI EM
MSCI EAFE
MSCI World
S&P 500
MSCI World 10 Yr Treasury
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
MSCI EM
MSCI EAFE
Eaton Vance Monthly Market Monitor Equity Markets
Valuation Analysis S&P 500 Forward P/E
MSCI World Forward P/E
22x
22x
19x
19x
16x
16x
13x
13x
10x
10x
7x
7x
4x 9/03
9/04
9/05
9/06
9/07
9/08
9/09
9/10
9/11
9/12
9/13
S&P 500 Forward P/E Average
Source: FactSet, Zephyr and Morningstar as of 9/30/13
9/03
9/04
9/05
9/06
9/07
9/08
9/09
9/10
9/11
9/12
MSCI World Forward P/E Average
Source: FactSet, Zephyr and Morningstar as of 9/30/13
MSCI EAFE Forward P/E
MSCI EM Forward P/E 22x
22x
19x
19x
16x
16x
13x
13x
10x
10x
7x
7x 4x
4x 9/03
9/04
9/05
9/06
9/07
9/08
Source: FactSet, Zephyr and Morningstar as of 9/30/13
24
4x
9/09
9/10
9/11
9/12
9/13
MSCI EM Forward P/E Average
9/03
9/04
9/05
9/06
9/07
9/08
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
9/09
9/10
9/11
9/12
9/13
MSCI EAFE Forward P/E Average
Eaton Vance Monthly Market Monitor Equity Markets
Valuation Analysis Regions/Styles: Current NTM P/E vs. 10-Year High, Low, Average 45.00 40.00 35.00 30.00 Average
25.00
Current
20.00
Current P/E MSCI World
15.00 10.00 5.00 0.00 SP500
R2000
R1000G
R1000V
MSCI World
MSCI EAFE
MSCI EM
MSCI Europe
MSCI Japan MSCI AC Asia Pac
SP500
R2000
R1000G
R1000V
MSCI World
MSCI EAFE
MSCI EM
MSCI Europe
MSCI Japan
MSCI AC Asia Pac
Average
14.02
19.75
16.33
12.69
13.42
12.71
11.07
11.69
17.06
14.36
High
18.07
28.26
21.53
15.64
16.54
15.29
15.17
14.05
41.17
21.40
Low
10.58
14.33
11.10
9.53
9.80
8.85
7.48
8.20
11.08
10.09
Current
14.20
21.02
16.93
12.80
13.89
13.25
10.38
12.75
14.43
12.71
Source: Factset as of 9/30/13
25
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Equity Markets
Valuation Analysis S&P 500 Sectors: Current NTM P/E vs. 10-Year High, Low, Average 45.00 40.00 35.00 30.00 Average
25.00
Current 20.00 Current P/E S&P 500
15.00 10.00 5.00 0.00 Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecom
Utilities
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecom
Utilities
Average
16.68
15.95
11.77
11.87
14.22
14.99
17.00
14.79
15.00
13.92
High
29.55
20.23
17.19
17.44
19.13
20.22
29.37
25.68
19.28
16.76
Low
12.35
11.36
7.86
8.54
9.65
8.91
11.24
9.28
9.91
10.05
Current
17.32
16.13
12.27
11.89
15.59
14.95
13.69
15.32
13.76
14.94
Source: Factset as of 9/30/13
26
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Equity Markets
S&P 500 Index – 1-Month Return Analysis Trailing 12 Month P/E
Market Cap
16.0%
16.0%
12.0%
12.0%
8.0% 4.0%
8.0% 3.1
4.6
3.7
4.0
4.0%
3.0
3.1
2.53
S&P 500
$50B+
3.90
4.07
3.97
$10B - $50B
$5B - $10B
$0 - $5B
1.3 0.0%
0.0% S&P 500
25.0+
17.7 - 24.9
12.7 - 17.7
8.6 - 12.7
<8.6
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Source: FactSet, Zephyr and Morningstar as of 9/30/13
S&P 500 Quality Ranking
Dividend Yield 15.2
16.0% 12.0%
12.0%
8.0% 4.0%
16.0%
8.0% 3.1
2.9
3.2
2.8
A
A-
B+
3.9
3.7
4.0%
3.1
1.4 0.0%
1.6
3.5+
2.4 - 3.5
4.9
0.6 - 1.6
0.0 - 0.6
0.0% S&P 500
A+
Source: FactSet, Zephyr and Morningstar as of 9/30/13
27
1.9
5.1 3.1
B
B-
C
S&P 500
1.6 - 2.4
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Equity Markets
S&P 500 Index â&#x20AC;&#x201C; YTD Return Analysis Trailing 12 Month P/E
Market Cap
60.0%
60.0%
50.0%
50.0%
40.0%
40.0% 31.47
30.0% 20.0%
19.8
23.6 18.2
30.0% 20.7
20.1 14.2
10.0%
20.0%
19.8
16.49
S&P 500
$50B+
$10B - $50B
$5B - $10B
0.0% S&P 500
25.5+
17.6 - 25.5 13.2 - 17.6
9.7 - 13.2
<13.2
Source: FactSet, Zephyr and Morningstar as of 9/30/13
$0 - $5B
Source: FactSet, Zephyr and Morningstar as of 9/30/13
S&P 500 Quality Ranking
Dividend Yield
60.0%
55.4
50.0%
60.0% 50.0%
40.0%
40.0%
30.0% 21.6
19.8
25.6
20.1
23.8
17.2
14.0
28.4
30.0% 20.0%
10.0%
19.8
18.4
20.6
2.4 - 3.5
1.6 - 2.4
15.9
16.5
10.0%
0.0%
0.0% S&P 500
A+
A
A-
Source: FactSet, Zephyr and Morningstar as of 9/30/13
28
24.38
10.0%
0.0%
20.0%
23.02
B+
B
B-
C
S&P 500
3.5+
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
0.6 - 1.6
0.0 - 0.6
Eaton Vance Monthly Market Monitor Equity Markets
S&P 500 Index Sectors: 1-Month & YTD Return Analysis Sectors â&#x20AC;&#x201C; YTD
Sectors â&#x20AC;&#x201C; 1-Month S&P 500
S&P 500
3.1
Industrials
5.7
Consumer Discretionary
Consumer Discretionary
5.4
Health Care
Materials
4.4
29.1 28.4
Industrials
Health Care
3.2
Financials
Information Technology
2.9
Consumer Staples
Financials
2.8
Energy
23.9 22.9 16.1 15.4
Energy
1.8
Materials
13.7
Consumer Staples
1.3
Information Technology
13.5
Utilities
1.1
Utilities
Telecommunication Services -0.5 -5%
10.1
Telecommunication Services 0%
5%
10% 15% 20% 25% 30% 35%
Source: FactSet, Zephyr and Morningstar as of 9/30/13
29
19.8
-5%
5.7 0%
5%
10% 15% 20% 25% 30% 35%
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Equity Markets
MSCI World Index Sectors: 1-Month & YTD Return Analysis Sectors â&#x20AC;&#x201C; 1-Month
MSCI World
5.0
Sectors â&#x20AC;&#x201C; YTD
MSCI World
Industrials
7.3
Consumer Discretionary
Consumer Discretionary
6.9
Health Care
Telecommunication Services
6.3
Industrials
Materials
5.8
Telecommunication Services
Financials
5.5
Financials
Utilities
4.6
Information Technology
Information Technology
4.4
Consumer Staples
28.8 25.1 21.1 19.6 18.1 15.0 14.4
Health Care
3.6
Energy
10.5
Consumer Staples
3.2
Utilities
10.5
Energy -5%
Materials -0.9
2.6 0%
5%
10% 15% 20% 25% 30% 35%
Source: FactSet, Zephyr and Morningstar as of 9/30/13
30
17.3
-5%
0%
5%
10%
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
15%
20%
25%
30%
35%
Eaton Vance Monthly Market Monitor Equity Markets
Global Equity: Characteristics & Sector Weights MSCI World Index
S&P 500 Index Current
3 Mo. Ago
1 Yr Ago
5-Yr Avg.
3 Mo. Ago
1 Yr Ago
5-Yr Avg.
Weighted Avg. Market Cap
$106.7B
$105.5B
$121.3B
$91.1B
Weighted Avg. Market Cap
$82.6B
$80.0B
$86.4B
$69.4B
Median Market Cap
$15.3B
$14.7B
$12.5B
$10.6B
Median Market Cap
$10.4B
$9.4B
$8.4B
$7.7B
Dividend Yield
2.03
2.05
2.06
2.25
Dividend Yield
2.55
2.65
2.82
2.81
P/E NTM
14.2
14.1
13.9
13.8
P/E NTM
13.9
13.7
13.6
13.4
P/B
2.48
2.37
2.17
2.12
P/B
2.01
1.91
1.71
1.73
Sector Weights
Sector Weights Consumer Discretionary
12.48
12.21
10.92
10.19
Consumer Discretionary
12.25
11.96
10.65
9.95
Consumer Staples
10.05
10.49
10.86
11.29
Consumer Staples
10.13
10.62
10.89
10.38
Energy
10.47
10.53
11.30
11.79
Energy
9.62
9.75
10.86
11.10
Financials
16.26
16.66
14.72
15.02
Financials
20.90
20.82
19.19
20.07
Health Care
13.01
12.72
12.00
12.42
Health Care
11.16
11.33
10.71
10.30
Industrials
10.73
10.13
9.76
10.68
Industrials
11.34
11.00
10.64
10.98
Information Technology
17.90
17.80
20.12
18.53
Information Technology
11.74
11.70
12.57
11.56
Materials
3.52
3.30
3.53
3.47
Materials
5.82
5.61
6.84
7.06
Telecom Services
2.42
2.84
3.28
3.00
Telecom Services
3.75
3.80
4.10
4.35
Utilities
3.16
3.31
3.51
3.60
Utilities
3.29
3.41
3.55
4.22
Source: FactSet, Zephyr and Morningstar as of 9/30/13
31
Current Index Characteristics
Index Characteristics
Source: FactSet, Zephyr and Morningstar as of 9/30/13
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Equity Markets
Equity Asset Class Return Analysis (%) U.S. Equities S&P 500 S&P 500 High Quality S&P 500 Low Quality Russell 2500 Russell 1000 Growth Russell 1000 Value Russell Mid Cap Russell 2000 CBOE S&P 500 Buywrite BXM Global Equities MSCI World MSCI EAFE MSCI EM MSCI AC Asia Pac MSCI ACWI MSCI Europe FTSE 100 FTSE All Small STOXX Europe 600 Nikkei 225 Average Sectors S&P 500 Cons Disc S&P 500 Cons Staples S&P 500 Energy S&P 500 Financials S&P 500 Health Care S&P 500 Industrials S&P 500 Info Tech S&P 500 Materials S&P 500 Telecom Services S&P 500 Utilities
1-Mo. 3.14 3.34 5.60 5.73 4.46 2.51 4.58 6.38 0.79 1-Mo. 5.00 7.39 6.50 6.91 5.17 7.19 5.61 7.75 7.30 7.96 1-Mo. 5.44 1.33 1.77 2.76 3.16 5.68 2.88 4.43 -0.47 1.13
3-Mo. 5.24 5.58 7.89 9.08 8.11 3.94 7.70 10.21 0.82 3-Mo. 8.18 11.56 5.77 7.05 7.90 13.61 12.02 18.38 13.92 7.00 3-Mo. 7.79 0.80 5.15 2.87 6.82 8.91 6.62 10.30 -4.40 0.19
YTD 19.79 21.06 28.99 25.89 20.87 20.47 24.34 27.69 5.72 YTD 17.29 16.14 -4.35 9.47 14.43 16.09 12.49 25.08 16.91 22.54 YTD 29.12 16.08 15.42 22.93 28.45 23.92 13.39 13.50 5.69 10.14
1Y 19.34 22.66 34.52 29.79 19.27 22.30 27.91 30.06 3.09 1Y 20.21 23.77 0.98 15.93 17.73 24.23 17.08 34.79 25.22 29.21 1Y 31.84 14.05 12.25 30.20 28.55 28.50 6.91 16.55 -0.68 6.99
3Y 16.27 17.69 18.71 18.44 16.94 16.25 17.53 18.29 7.52 3Y 11.82 8.47 -0.33 5.85 10.21 8.73 10.09 16.29 9.12 9.52 3Y 24.13 15.86 15.38 13.58 20.95 16.69 13.70 11.92 12.56 10.58
5Y 10.02 12.47 14.74 12.68 12.07 8.86 12.97 11.15 4.35 5Y 7.84 6.35 7.22 7.96 7.71 6.03 7.64 13.19 6.40 6.79 5Y 18.77 10.87 6.60 1.72 13.07 10.62 12.03 8.16 11.17 7.06
10Y 7.57 7.82 11.18 10.38 7.82 7.99 10.78 9.64 5.09 10Y 7.58 8.01 12.80 8.14 7.86 8.47 8.25 9.07 8.78 4.88 10Y 9.79 9.89 14.15 -0.12 8.18 8.71 7.13 9.41 8.93 9.76
2012 16.00 15.18 21.12 17.88 15.26 17.51 17.28 16.35 5.20 2012 15.83 17.32 18.22 16.78 16.13 19.12 15.03 33.05 20.02 9.40 2012 23.92 10.76 4.61 28.82 17.89 15.35 14.82 14.97 18.31 1.29
2011 2.11 6.59 -6.83 -2.51 2.64 0.39 -1.55 -4.18 5.72 2011 -5.54 -12.14 -18.42 -15.11 -7.35 -11.06 -2.90 -13.14 -11.56 -12.86 2011 6.13 13.99 4.72 -17.06 12.73 -0.59 2.41 -9.75 6.27 19.91
Source: FactSet, Zephyr and Morningstar as of 9/30/13
32
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
2010 15.06 22.14 23.54 26.71 16.71 15.51 25.48 26.85 5.86 2010 11.76 7.75 18.88 17.02 12.67 3.88 9.19 16.11 4.36 11.33 2010 27.66 14.11 20.46 12.13 2.90 26.73 10.19 22.20 18.97 5.46
2009 26.46 25.52 64.85 34.39 37.21 19.69 40.48 27.17 25.91 2009 29.99 31.78 78.51 37.59 34.63 35.83 43.01 76.99 36.65 15.91 2009 41.30 14.89 13.82 17.22 19.70 20.93 61.72 48.59 8.93 11.91
2008 -37.00 -32.84 -46.11 -36.79 -38.44 -36.85 -41.46 -33.79 -28.65 2008 -40.71 -43.38 -53.33 -41.85 -42.19 -46.42 -48.23 -59.10 -46.54 -28.67 2008 -33.49 -15.43 -34.87 -55.32 -22.81 -39.92 -43.14 -45.66 -30.49 -28.98
Eaton Vance Monthly Market Monitor Equity Markets
Equity Asset Class Return Analysis (%) Higher
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
YTD 9/13
Emerging Markets 55.82
Emerging Markets 25.55
Emerging Markets 34.00
Emerging Markets 32.17
Emerging Markets 39.39
Small-Cap -33.79
Emerging Markets 78.51
Small-Cap 26.85
Growth 2.64
Emerging Markets 18.22
Small-Cap 27.69
Growth 11.81
Value -36.85
Mid-Cap 40.48
Mid-Cap 25.48
S&P 500 2.11
Value 17.51
Mid-Cap 24.34
Small-Cap 47.25
International International International 20.25 13.54 26.34
Mid-Cap 40.06
Mid-Cap 20.22
Mid-Cap 12.65
Value 22.25
Global 11.66
S&P 500 -37.00
Growth 37.21
Emerging Markets 18.88
Value 0.39
International 17.32
Growth 20.74
International 38.59
Small-Cap 18.33
Global 10.84
Global 20.95
International 11.17
Growth -38.44
Global 34.63
Growth 16.71
Mid-Cap -1.55
Mid-Cap 17.28
Value 20.47
Global 33.99
Value 16.49
Value 7.05
Small-Cap 18.37
Mid-Cap 5.60
Mid-Cap -41.46
International 31.78
Value 15.51
Small-Cap -4.18
Small-Cap 16.35
S&P 500 19.79
Value 30.03
Global 15.23
Growth 5.26
S&P 500 15.79
S&P 500 5.49
Global -42.20
Small-Cap 27.17
S&P 500 15.06
Global -7.35
Global 16.13
International 16.14
Growth 29.75
S&P 500 10.88
S&P 500 4.91
Mid-Cap 15.26
Value -0.17
International -43.38
S&P 500 26.46
Global 12.67
International -12.14
S&P 500 16.00
Global 14.43
S&P 500 28.68
Growth 6.30
Small-Cap 4.55
Growth 9.07
Small-Cap -1.57
Emerging Markets -53.33
Value 19.69
International 7.75
Emerging Markets -18.42
Growth 15.26
Emerging Markets -4.35
Lower Source: FactSet, Zephyr and Morningstar as of 9/30/13
33
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Small-Cap represented by Russell 2000 Index. Emerging Markets represented by MSCI Emerging Markets Index. Value represented by Russell 1000 Value Index. Mid-Cap represented by Russell Midcap Index. Global represented by MSCI ACWI Index. Growth represented by Russell 1000 Growth Index. International represented by MSCI EAFE Index.
Eaton Vance Monthly Market Monitor Alternative Markets
Developed Market Currency Performance & Interest Rates Spot Returns vs. USD (%) Currency
1-Mo.
U.S. Dollar (USD)
YTD
1Y
Spot Returns vs. EUR (%)
3Y
Local Interest Rates (%)
5Y
1-Mo.
YTD
1Y
3Y
5Y
1-Mo.
3-Mo.
6-Mo.
9-Mo.
1Y
-
-
-
-
-
-2.25
-2.47
-4.93
0.26
0.82
0.02
0.01
0.03
-
0.09
Euro (EUR) *
2.31
2.53
5.19
-0.27
-0.82
-
-
-
-
-
-0.01
-0.01
0.01
-
0.09
British Pound (GBP)
4.42
-0.39
0.11
0.99
-1.89
2.07
-2.84
-4.80
1.26
-1.08
0.30
0.33
-
-
0.39
Japanese Yen (JPY)
-0.10
-11.72
-20.67
-5.27
1.55
-2.35
-13.89
-24.61
-5.03
2.39
-
0.03
0.04
-
0.09
Australian Dollar (AUD)
4.68
-10.37
-10.24
-1.23
3.29
2.33
-12.57
-14.64
-0.97
4.14
-
2.15
-
-
2.40
Canadian Dollar (CAD)
2.21
-3.76
-4.58
-0.05
0.64
-0.09
-6.09
-9.29
0.21
1.47
-
0.97
0.98
-
1.04
New Zealand Dollar (NZD)
7.42
0.17
-0.01
4.17
4.38
5.00
-2.30
-4.93
4.45
5.25
-
2.42
-
-
3.01
Norwegian Krone (NOK)
1.69
-7.47
-4.80
-0.77
-0.51
-0.60
-9.74
-9.48
-0.50
0.32
-
1.50
1.54
1.55
1.62
Swedish Krona (SEK)
2.94
1.15
2.11
1.59
1.48
0.62
-1.34
-2.94
1.85
2.33
-
0.84
0.87
-
0.87
Danish Krone (DKK)
2.32
2.57
5.14
-0.29
-0.81
0.02
0.03
-0.04
-0.02
0.01
-
-0.11
-0.07
-0.01
0.06
Swiss Franc (CHF)
2.75
1.16
3.86
2.78
4.40
0.45
-1.32
-1.26
3.06
5.26
-
0.02
0.08
-
-0.10
Foreign Currencies Appreciation / (Depreciation) vs. EUR Trailing 5-Year % Change
Foreign Currencies Appreciation / (Depreciation) vs. USD Trailing 5-Year % Change
60% 48% 36% 24% 12% 0% -12% -24% -36% -48% -60%
60% 48% 36% 24% 12% 0% -12% -24% -36% -48% -60% '08
'09 EUR*
'10 GBP
'11 JPY
'12 AUD
'13 NZD
'08
'09 USD
'10 GBP
'11 NOK
* German Rate
Source: Bloomberg as of 9/30/13
34
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
'12 SEK
'13 CHF
Eaton Vance Monthly Market Monitor Alternative Markets
Emerging Market Currency Performance & Interest Rates Spot Returns vs. USD (%) Currency
Spot Returns vs. EUR (%)
Local Interest Rates (%)
1-Mo.
YTD
1Y
3Y
5Y
1-Mo.
YTD
1Y
3Y
5Y
1-Mo.
3-Mo.
6-Mo.
9-Mo.
1Y
Chinese Renminbi (CNY)
-0.01
1.79
2.68
3.02
2.26
-1.97
-0.61
-1.67
3.40
3.14
-
-
-
-
2.51
Malaysian Ringgit (MYR)
0.77
-6.18
-6.15
-1.79
1.07
-1.16
-8.31
-10.02
-1.50
2.34
-
2.95
2.95
-
2.90
Indian Rupee (INR)
4.93
-12.17
-15.58
-10.46
-5.59
3.02
-14.20
-19.17
-10.40
-4.78
-
9.57
9.39
-
9.22
Indonesia Rupiah (IDR)
-1.95
-14.14
-15.91
-7.91
-3.58
-3.99
-16.23
-19.52
-7.65
-2.78
-
-
-
-
6.53
Philippine Peso (PHP)
2.54
-5.68
-3.99
0.29
1.59
0.57
-7.92
-7.94
0.61
2.47
0.25
0.67
0.71
-
0.82
Singapore Dollar (SGD)
1.52
-2.71
-2.26
1.58
2.71
-0.75
-5.14
-7.08
1.85
3.56
0.24
0.27
-
-
0.28
South Korean Won (KRW)
3.29
-0.95
3.42
1.99
2.35
1.38
-3.09
-0.89
2.21
3.24
-
3.49
2.63
-
2.73
Taiwanese Dollar (TWD)
1.01
-2.01
-1.07
1.78
1.68
-0.95
-4.25
-5.24
2.09
2.96
-
-
-
-
0.52
Thai Baht (THB)
2.91
-2.08
-1.31
-0.96
1.62
0.61
-4.49
-6.18
-0.69
2.46
-
2.53
2.60
-
2.61
Brazilian Real (BRL)
7.60
-7.46
-8.60
-8.70
-2.99
5.15
-9.73
-13.11
-8.47
-2.22
-
8.87
9.45
-
9.97
Chilean Peso (CLP)
1.10
-5.05
-5.94
-1.41
1.81
-1.28
-7.51
-10.49
-1.21
2.60
-
4.99
4.95
-
5.01
Colombian Peso (COP)
1.41
-7.29
-5.53
-1.85
2.84
-0.94
-9.56
-10.17
-1.62
3.68
-
-
-
-
3.89
Mexican Peso (MXN)
2.20
-1.82
-1.78
-1.28
-3.53
-0.09
-4.22
-6.62
-1.02
-2.74
-
3.54
3.64
-
3.65
Peruvian New Sol (PEN)
0.86
-8.38
-6.73
0.01
1.38
-1.48
-10.63
-11.33
0.23
2.19
-
-
-
-
3.55
ASIA, EX. JAPAN
LATIN AMERICA
Source: Bloomberg as of 9/30/13
35
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Alternative Markets
Emerging Market Currency Performance & Interest Rates Spot Returns vs. USD (%) Currency
Spot Returns vs. EUR (%)
Local Interest Rates (%)
1-Mo.
YTD
1Y
3Y
5Y
1-Mo.
YTD
1Y
3Y
5Y
1-Mo.
3-Mo.
6-Mo.
9-Mo.
1Y
Czech Koruna (CZK)
2.55
0.13
2.94
-1.68
-1.75
0.23
-2.30
-2.15
-1.43
-0.94
-
0.10
0.15
-
0.26
Hungarian Forint (HUF)
3.50
0.44
0.90
-2.70
-4.81
1.16
-2.06
-4.08
-2.44
-4.03
-
3.55
3.62
-
3.60
Polish Zloty (PLN)
3.48
-0.88
2.56
-2.33
-5.04
1.18
-3.38
-2.47
-2.08
-4.26
-
-
-
-
2.63
Romania Leu (RON)
2.06
2.49
7.38
-1.61
-4.13
0.03
0.26
2.36
-1.23
-3.28
-
-
3.76
-
3.76
Russian Ruble (RUB)
2.78
-5.76
-3.74
-1.95
-4.56
0.30
-8.16
-8.38
-1.69
-3.78
6.65
6.82
7.15
-
6.73
Turkish New Lira (TRY)
0.97
-11.64
-10.97
-10.53
-8.86
-1.29
-13.81
-15.36
-10.28
-8.12
-
8.13
8.15
-
8.25
Ghanaian Cedi (GHS)
-1.15
-12.64
-12.99
-13.26
-11.86
-3.70
-14.82
-17.29
-12.97
-11.14
17.94
18.66
-
-
22.00
Israeli Shekel (ILS)
2.73
5.92
11.19
1.10
-0.38
0.63
3.30
5.68
1.40
0.42
-
1.03
1.08
1.14
1.17
Kenyan Shilling (KES)
1.68
0.00
-0.93
-2.12
-3.19
-0.83
-2.91
-7.00
-2.03
-2.46
-
9.11
9.67
-
10.31
Moroccan Dirham (MAD)
1.89
2.18
4.24
-0.19
-0.68
-0.39
-0.48
-0.96
-0.01
0.11
-
-
-
-
-
Nigerian Naira (NGN)
0.08
-3.17
-2.52
-1.42
-6.12
-1.04
-5.61
-7.38
-1.16
-5.35
10.43
11.01
12.15
12.36
12.59
South African Rand (ZAR)
2.51
-15.50
-17.08
-11.45
-3.74
0.21
-17.74
-21.21
-11.21
-2.95
-
5.46
5.56
5.47
5.25
Ugandan Shilling (UGX)
1.46
4.60
-0.39
-4.31
-8.19
-0.43
2.89
-4.94
-3.93
-7.36
9.56
9.22
-
-
12.45
Zambian Kwacha (ZMK)
1.13
-1.96
-3.95
-3.01
-7.61
-1.14
-4.67
-8.69
-2.75
-6.85
-
-
-
-
13.65
EUROPE
MIDDLE EAST AND AFRICA
Source: Bloomberg as of 9/30/13
36
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor Alternative Markets
Local Sovereign Interest Rates Developed Market Local Interest Rates (1 Year) Swiss Franc (CHF) Danish Krone (DKK)
Emerging Market Local Interest Rates (1 Year) Philippine Peso (PHP)
-0.10
0.82
Thai Baht (THB)
2.61
Polish Zloty (PLN)
2.63
0.06
Japanese Yen (JPY)
0.09
Malaysian Ringgit (MYR)
U.S. Dollar (USD)
0.09
Peruvian New Sol (PEN)
3.55
Hungarian Forint (HUF)
3.60
Euro (EUR) *
0.09 Mexican Peso (MXN)
3.65
British Pound (GBP)
0.39
Colombian Peso (COP)
Swedish Krona (SEK)
0.87
Canadian Dollar (CAD)
1.04
Chilean Peso (CLP)
2.90
3.89 5.01
South African Rand (ZAR)
Norwegian Krone (NOK)
Indonesia Rupiah (IDR)
6.53
Russian Ruble (RUB)
1.62
Australian Dollar (AUD)
5.25
6.73
Turkish New Lira (TRY)
2.40
8.25
Brazilian Real (BRL) New Zealand Dollar (NZD) -5.00
3.01 0.00
5.00
9.97
Nigerian Naira (NGN) 10.00
15.00
0.00
12.59 5.00
German Rate Rate ** German
Source: Bloomberg as of 9/30/13
37
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
10.00
15.00
Eaton Vance Monthly Market Monitor Alternative Markets
Commodities Return Analysis (%) 1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
1.57
4.29
-13.87
-17.02
-9.60
-4.13
Aluminum
0.90
1.33
-16.70
-19.40
-13.30
-11.42
-10.36
Copper
2.79
8.45
-10.50
-13.27
-4.77
0.67
3.74
-3.31
Nickel
0.95
1.24
-19.38
-25.85
-16.82
-4.05
20.25
4.68
10.13
Zinc
0.00
1.23
-12.35
-14.47
-8.53
-2.61
8.32
-4.48
11.91
11.33
-5.63
8.97
-23.25
-28.88
0.03
9.10
-8.90
-17.11
-23.05
-6.85
-6.52
Gold
-4.95
8.26
-21.20
-25.64
-0.22
7.76
7.82
4.14
-11.56
-15.48
-2.46
6.27
Platinum
-7.73
5.17
-9.07
-16.16
-6.18
5.31
3.75
1.06
-17.03
-29.62
-12.43
-14.15
Silver
-7.67
11.22
-28.80
-37.91
-1.03
11.04
-4.31
2.81
0.77
-4.53
-5.90
-19.27
1.70
2.64
-1.85
2.74
-1.97
-6.22
Brent Crude
-3.24
8.06
2.82
2.91
13.65
-3.29
Lean Hogs
2.48
4.43
4.00
12.65
-2.26
-8.89
Heating Oil
-5.20
3.40
-2.67
-5.65
7.55
-6.85
Live Cattle
1.14
1.60
-5.73
-2.96
-2.09
-4.65
Natural Gas
-3.36
-4.40
-5.40
-15.92
-30.25
-41.50
Unleaded Gas
-7.89
3.08
-3.48
-3.73
18.53
1.92
WTI Crude Oil
-4.43
7.92
10.60
8.22
1.73
-14.94
Index
1-Mo.
3-Mo.
YTD
1Y
3Y
5Y
DJ UBS Commodity Index
-2.55
2.13
-8.56
-14.35
-3.16
-5.29
DJ UBS Sub Agriculture
-1.94
-2.60
-9.90
-19.13
0.32
1.28
Coffee
-2.23
-7.56
-26.60
-41.19
-20.94
Corn
-8.40
-17.47
-25.15
-31.14
Cotton
4.46
3.82
14.11
Soybean
-5.50
2.47
Soybean Oil
-7.20
Sugar Wheat DJ UBS Sub Energy
Index DJ UBS Sub Industrial Metals
DJ UBS Sub Precious Metals
DJ UBS Sub Livestock
Source: Morningstar as of 9/30/13
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Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Commodity represented by Dow Jones-UBS Commodity Index. Agriculture represented by Dow Jones-UBS Agriculture Subindex. Energy represented by Dow Jones-UBS Energy Subindex. Grains represented by Dow Jones-UBS Grains Subindex. Industrial Metals represented by Dow Jones-UBS Industrial Metals Subindex. Livestock represented by Dow Jones-UBS Livestock Subindex. Precious Metals represented by Dow Jones-UBS Precious Metals Subindex. Softs represented by Dow Jones-UBS Softs Subindex.
Eaton Vance Monthly Market Monitor Alternative Markets
Commodities Return Analysis (%) Higher
Lower
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
YTD 9/13
Industrial Metals 43.53
Livestock 27.10
Energy 42.16
Industrial Metals 72.35
Grains 42.07
Precious Metals -4.06
Industrial Metals 79.98
Softs 59.90
Precious Metals 4.56
Grains 18.25
Energy 0.77
Energy 31.72
Industrial Metals 25.27
Industrial Metals 33.47
Precious Metals 27.11
Agriculture 29.89
Grains -26.32
Softs 44.24
Precious Metals 42.66
Livestock -2.30
Precious Metals 6.29
Livestock -1.85
Commodity 23.93
Energy 19.12
Commodity 21.36
Grains 23.61
Precious Metals 25.96
Agriculture -27.47
Precious Metals 29.20
Agriculture 38.49
Commodity -13.32
Agriculture 3.98
Commodity -8.56
Grains 21.74
Commodity 9.15
Precious Metals 20.44
Agriculture 14.25
Energy 20.69
Livestock -28.41
Commodity 18.91
Grains 30.28
Softs -13.97
Industrial Metals 0.67
Agriculture -9.90
Precious Metals 20.29
Precious Metals 7.40
Softs 9.31
Commodity 2.07
Commodity 16.23
Softs -28.43
Agriculture 13.72
Commodity 16.83
Agriculture -14.35
Commodity -1.06
Softs -10.53
Softs -3.18
Softs 3.67
Agriculture 1.08
Livestock -6.12
Softs -3.45
Commodity -35.65
Grains -1.65
Industrial Metals 16.24
Grains -14.41
Livestock -3.54
Grains -12.13
Livestock -3.91
Agriculture -12.85
Livestock -0.26
Softs -11.97
Industrial Metals -9.86
Energy -47.33
Energy -5.30
Livestock 9.27
Energy -15.97
Energy -9.36
Industrial Metals -13.87
Grains -23.68
Grains -3.32
Energy -41.41
Livestock -10.67
Industrial Metals -48.27
Livestock -15.07
Energy -10.55
Industrial Metals -24.23
Softs -22.39
Precious Metals -23.25
Source: Morningstar as of 9/30/13
39
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Commodity represented by Dow Jones-UBS Commodity Index. Agriculture represented by Dow Jones-UBS Agriculture Subindex. Energy represented by Dow Jones-UBS Energy Subindex. Grains represented by Dow Jones-UBS Grains Subindex. Industrial Metals represented by Dow Jones-UBS Industrial Metals Subindex. Livestock represented by Dow Jones-UBS Livestock Subindex. Precious Metals represented by Dow Jones-UBS Precious Metals Subindex. Softs represented by Dow Jones-UBS Softs Subindex.
Eaton Vance Monthly Market Monitor Flows Monitor
Fund & ETF Flows by Category Top 10 Open-End Mutual Fund Categories by Monthly Flows ($MM) 8/13
1 Mo.
3 Mo.
12 Mo.
Bank Loan
7,551
21,591
53,882
Nontraditional Bond
5,002
18,759
Top 10 Exchange-Traded Fund Categories by Monthly Flows ($MM) 1 Mo.
3 Mo.
12 Mo.
Europe Stock
8/13
3,236
4,767
10,292
46,832
Foreign Large Blend
2,781
4,710
12,466
1,762
4,105
10,257
Foreign Large Blend
4,524
13,882
36,384
Mid-Cap Blend
Large Blend
3,010
5,927
5,082
Short-Term Bond
1,415
4,021
11,795
Ultrashort Bond
2,236
3,912
11,356
Trading-Leveraged Equity
1,322
1,930
1,039
Long/Short Equity
2,173
6,106
14,427
Trading-Inverse Equity
905
1,098
3,332
Short-Term Bond
1,911
1,601
29,399
Technology
620
1,657
3,165
Multialternative
1,893
3,780
8,478
Ultrashort Bond
541
2,695
5,173
Moderate Allocation
1,793
4,836
4,229
Miscellaneous Region
491
1,561
4,651
Diversified Emerging Mkts
1,683
6,076
35,384
Bank Loan
463
1,265
5,179
Bottom 10 Open-End Mutual Fund Categories by Monthly Flows ($MM) 8/13
Bottom 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)
1 Mo.
3 Mo.
12 Mo.
Emerging Markets Bond
(1,478)
(4,447)
10,320
High Yield Bond
8/13
1 Mo.
3 Mo.
12 Mo.
(993)
(296)
129
Multisector Bond
(1,532)
(5,343)
17,988
Inflation-Protected Bond
(2,078)
(8,417)
(12,882)
Financial
(1,055)
2,323
8,979
Consumer Defensive
(1,253)
(836)
(547)
High Yield Muni
(2,355)
(8,374)
(6,097)
Japan Stock
(1,435)
(167)
14,162
High Yield Bond
(2,922)
(10,221)
(8,288)
Large Value
(1,492)
(171)
15,677
Muni National Interm
(2,924)
(9,420)
(1,405)
Consumer Cyclical
(1,588)
(827)
2,542
Muni National Long
(2,963)
(8,234)
(7,192)
Diversified Emerging Mkts
(1,591)
(6,167)
5,004
Large Growth
(3,322)
(6,666)
(37,400)
Intermediate Government
(2,263)
(1,258)
(673)
Intermediate Government
(4,159)
(13,960)
(25,096)
Long-Term Bond
(2,433)
(7,163)
(4,543)
Intermediate-Term Bond
(18,205)
(57,366)
(8,793)
Large Blend
(14,886)
2,578
36,369
Source: Morningstar as of 9/30/13
40
Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor
Glossary of Terms INDEX DEFINITIONS: Barclays Capital Global Aggregate Ex-USD Index is a broad-based measure of global Investment Grade fixed-rate debt investments, excluding USD-denominated debt. Barclays Capital High Yield Municipal Bond Index is an unmanaged index of non-Investment Grade Municipal bonds traded in the U.S. Barclays Capital Municipal Bond Index is an unmanaged index of Municipal bonds traded in the U.S.
BofA Merrill Lynch UK Gilt Index tracks the performance of GBP denominated sovereign debt publicly issued by the UK government in its domestic market. BofA Merrill Lynch European Union Government Bond Index tracks the performance of sovereign debt publicly issued by countries that are members of the European Union. CBOE Volatility Index (VIX) tracks the implied volatilities of a wide range of S&P 500 Index options.
CBOE S&P 500 BuyWrite Index measures the performance of a hypothetical buy-write Barclays Capital U.S. Agency Index measures agency securities issued by U.S government strategy on the S&P 500 Index. agencies, quasi-federal corporations, and corporate or foreign debt Dow Jones-UBS Commodity Index is a broadly diversified index tracking futures contracts on guaranteed by the U.S. government. physical commodities. Barclays Capital U.S. Aggregate Index is an unmanaged index of domestic investmentFTSE 100 Index is an unmanaged market-capitalization weighted index representing the grade bonds, including corporate, government and mortgage-backed securities. performance of the 100 largest UK listed blue chip companies, which pass screening for size
Barclays Capital U.S. Aggregate Local Authorities Index measures the performance of U.S. investment-grade fixed-rate debt issued directly or indirectly by local government authorities.
and liquidity.
Barclays Capital U.S. Asset Backed Securities (ABS) Index measures ABS with the following collateral type: credit and charge card, auto, and utility loans.
JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Diversified is a market-cap weighted index that measures USD-denominated emerging market corporate bonds.
FTSE All Small Index consists of all the companies in the FTSE SmallCap and FTSE Fledgling indices.
Barclays Capital U.S. CMBS Investment Grade Index measures the market of conduit and JPMorgan Emerging Markets Bond Index Plus (EMBI+) is a market-cap weighted index that fusion CMBS deals with a minimum current deal size of $300mn. measures USD-denominated Brady Bonds, Eurobonds, and traded loans issued by sovereign entities. Barclays Capital U.S. Corporate High Yield Index measures USD-denominated, non-Investment Grade corporate securities. JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified is an Barclays Capital U.S. Corporate Index is an unmanaged index that measures the performance of investment-grade corporate securities within the Barclays Capital U.S. Aggregate Index. Barclays Capital U.S. Mortgage Backed Securities (MBS) Index measures agency mortgage-backed pass-through securities issued by GNMA, FNMA, and FHLMC.
unmanaged index of local-currency bonds with maturities of more than one year issued by emerging market governments. Morgan Stanley Capital International (MSCI) Emerging Markets Index is an unmanaged index of emerging markets common stocks.
Morgan Stanley Capital International All Country Asia Pacific Index (MSCI AC Asia Pac) Barclays Capital U.S. Treasury Index measures public debt instruments issued by the U.S. Index is an unmanaged total return, capitalization-weighted index that measures the performance of stock markets in 15 Pacific region countries, including Australia, China, Hong Treasury. BofA Merrill Lynch Fixed Rate Preferred Securities Index is an unmanaged index of fixed- Kong, India, Indonesia, Japan, Korea, Malaysia, New Zealand, Pakistan, the Philippines, Singapore, Sri Lanka, Taiwan and Thailand. rate, preferred securities issued in the U.S.
41
Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor
Glossary of Terms INDEX DEFINITIONS: Morgan Stanley Capital International (MSCI) Japan Index is an unmanaged index designed to measure the performance of the large and mid cap segments of the Japan market. Morgan Stanley Capital International (MSCI) World Index is an unmanaged index of equity securities in the developed markets. Morgan Stanley Capital International All Country World (MSCI AC World) Index is an unmanaged free float-adjusted market-capitalization-weighted index designed to measure the equity market performance of developed and emerging markets. Morgan Stanley Capital International Europe (MSCI Europe) Index is an unmanaged free float-adjusted market-capitalization-weighted index designed to measure the equity market performance of the developed markets in Europe. Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE) Index is an unmanaged index of equities in the developed markets, excluding the U.S. and Canada. Nikkei 225 Stock Average Index is unmanaged price-weighted index of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. Russell 1000 Index is an unmanaged index of 1,000 U.S. large-cap stocks. Russell 1000 Growth Index is an unmanaged index of 1,000 U.S. large-cap growth stocks. Russell 1000 Value Index is an unmanaged index of 1,000 U.S. large-cap value stocks. Russell 2000 Index is an unmanaged index of 2,000 U.S. small-cap stocks. Russell 2500 Index is an unmanaged index of approximately 2,500 U.S. small- and mid-cap U.S. stocks. Russell Midcap Index is an unmanaged index of U.S. mid-cap stocks. Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market. STOXX Europe 600 Index is a fixed component number index designed to provide a broad yet liquid representation of large, mid and small capitalization companies in Europe. U.S. Dollar Index represented by ICE Futures U.S. Dollar Index which measures the value of the U.S. dollar versus six major foreign currencies including the Euro, Japanese Yen, United Kingdom Pound, Canadian Dollar, Swedish Krona and Swiss Franc. BofA Merrill Lynch US Inflation-Linked Treasury Index tracks the performance of USD denominated inflation linked sovereign debt publicly issued by the US government.
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BofA Merrill Lynch Indexes: BofA Merrill Lynch™ indices not for redistribution or other uses; provided "as is", without warranties, and with no liability. Eaton Vance has prepared this report, BofAML does not endorse it, or guarantee, review, or endorse Eaton Vance's products. MSCI Indexes: Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. TERMS: 10-Year TIPS Break-Even is a measure of the market’s expectations for future U.S. inflation. It is calculated by subtracting the yield on the 10-year U.S. Treasury Inflation-Protected Security from the yield on the 10-year U.S. Treasury note. CPI, or Consumer Price Index, is a measure of the weighted average of prices of a basket of consumer goods and services, such as transportation, food and medical care. The CPI is calculated by taking price changes for each item in the predetermined basket and averaging them; the goods are weighted according to their importance. Also referred to as Headline CPI. Core CPI equals CPI, or Headline CPI, less food and energy. prices. Municipal-to-Treasury Yield Ratios are relative value indicators that measure the richness or cheapness of Municipal bond yields to comparable maturity Treasury bond yields. Nominal GDP is a measure that reflects the value of all goods and services produced in a given country, in a given year. Nominal Spread is the stated spread over LIBOR paid by a floating-rate loan issuer. Real GDP is an inflation-adjusted measure that reflects the value of all goods and services produced in a given country, in a given year, expressed in base-year prices. Secondary Spread is a yield-to-maturity measure that accounts for the current market price of a floating-rate loan. Yield to Worst is a measure which reflects the lowest potential yield earned on a bond without the issuer defaulting. The yield to worst is calculated by making worst-case scenario assumptions by calculating the returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer. Velocity of money is the dollar value of Gross Domestic Product (GDP) divided by Money Supply (M2).
Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor
About Risk Bank Loans – There can be no assurance that the liquidation of collateral securing an investment will satisfy the issuer’s obligation in the event of non-payment or that collateral can be readily liquidated. The ability to realize the benefits of any collateral may be delayed or limited. Commodities – The value of commodities investments will generally be affected by overall market movements and factors specific to a particular industry or commodity including weather, embargoes, tariffs, or health, political, international and regulatory developments. Credit – Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to the risk of non-payment of principal and interest. The value of income securities also may decline because of real or perceived concerns about the issuer’s ability to make principal and interest payments. Duration – Securities with longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. Equity – Equity investment values are sensitive to stock market volatility. Foreign – Investments in foreign instruments or currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic, political, regulatory, geopolitical, or other conditions. In emerging countries, these risks may be more significant. Gov’t Agency – While certain U.S. Government-sponsored agencies may be chartered or sponsored by acts of Congress, their securities are neither issued nor guaranteed by the U.S. Treasury. Income Market – An imbalance in supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity, widening credit spreads and a lack of price transparency in the market. There generally is limited public information about Municipal issuers. Inflation-Linked – Interest payments on inflation-linked securities may vary widely and will fluctuate as principal and interest are adjusted for inflation. Investments in inflation-linked securities may lose value in the event that the actual rate of inflation is different than the rate of the inflation index. Interest Rate – As interest rates rise, the value of certain income investments is likely to decline. Limited Issuance – BABs – The ability of Municipalities to issue Build America Bonds expired on December 31, 2010 and there can be no certainty as to whether future legislation will be enacted that would again permit such issuance. Given the limited issuance of Build America Bonds they may not be actively traded. Lower-Rated – Investments rated below Investment Grade (typically referred to as “junk”) are generally subject to greater price volatility and illiquidity than higher rated investments. Maturity – Longer-term bonds typically are more sensitive to interest rate changes than shorter-term bonds. Negative Duration – A portfolio with negative duration generally incurs a loss when interest rates and yields fall. Preferred Stocks – When interest rates rise, the value of preferred stocks will generally decline. Prepayment – MBS – Mortgage-backed securities are subject to prepayment risk. Prepayment – Bank Loan – Bank Loans are subject to prepayment risk. Real Estate – Changes in real estate values or economic downturns can have a significant negative effect on issuers in the real estate industry, including REITs. Smaller Companies – Smaller companies are generally subject to greater price fluctuations, limited liquidity, higher transaction costs and higher investment risk than larger, established companies.
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Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor
About Eaton Vance Eaton Vance Corp. is one of the oldest investment management firms in the United States, with a history dating to 1924. Eaton Vance and its affiliates offer individuals and institutions a broad array of investment strategies and wealth management solutions. The Companyâ&#x20AC;&#x2122;s long record of exemplary service, timely innovation and attractive returns through a variety of market conditions has made Eaton Vance the investment manager of choice for many of todayâ&#x20AC;&#x2122;s most discerning investors.
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Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.
Eaton Vance Monthly Market Monitor
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