monthly-market-monitor-june-2016

Trends & Takeaways

Monthly Market Monitor | June 2016

Product & Portfolio Strategy Group

Eaton Vance

Fixed income

Monthly Market Monitor June 2016 (updated as of May 31, 2016)

Equities Alternatives Asset Allocation Additional Information

EATON VANCE

Table of Contents

Equities

15

Alternatives

26

Asset Allocation

32

Additional Information

35

EATON VANCE

Additional Information

EATON VANCE

4

Asset Allocation

2

Fixed Income

Alternatives

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

3

Equities

If you are viewing this book on your computer or tablet, click or tap on the bar to the right of every page to jump to the beginning of each section.

Trends & Takeaways

Fixed income

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.

Trends & Takeaways

Monthly Market Monitor | June 2016

Trends & Takeaways

Monthly Market Monitor | June 2016

Viewpoints: Connecting timely insights to market data Edward Perkin, Chief Equity Investment Officer

Earnings reactions have been muted for U.S. equities as first-quarter results have been released. So far, more than 60% of companies in the S&P 500 have reported first-quarter earnings. Looking ahead, I continue to favor inexpensive defensives and quality cyclicals. Over the past 18 months, the S&P 500 has bounced between 2000 and 2150, with the occasional short-lived correction when worries about China, global growth and credit spreads surface. With the S&P 500 back to 2060, most stocks are back to looking fully valued. The challenge in this environment is that most defensive stocks (such as consumer staples and utilities) appear to be expensive (see page 18), while the cyclicals (energy, materials and consumer discretionary) carry more economic risk. Bottom line: I think the best opportunities in U.S. equities are in inexpensive defensives and quality cyclicals.

This includes the industrials sector, which is where we are finding opportunities in quality cyclicals. For complete blog, visit the Eaton Vance Advisory Blog.

Alternatives

What is the outlook for the loan market’s technical conditions after the past few monthly gains? Looking ahead, we see supply and demand fitting together well, but it's quite fragile. We do believe the market’s technical balance remains delicately tipped toward one of strength, and thus the direction and magnitude of investor flows will be an important influence in the short run. On the demand side, the loan market may be on the verge of seeing inflows. Based on current yields, the asset class looks attractive relative to other income-generating investments, in our view (see page 9). Looking at issuance, the pipeline over the next month or two is light at around $20 billion. This soft patch in supply is supportive of the technical backdrop, but will not likely be sustained. Bottom line: After two months of strong returns, the loan market appears unlikely to keep pace with the pace of returns witnessed over the past few months. We believe pricing indicates modest upside potential at current levels. That said, investors may continue to be drawn to the attractive yield of this floating-rate asset class. For complete blog, visit the Eaton Vance Advisory Blog.

Equities

Craig Russ, Co-Director of Bank Loans

Fixed income

Select Viewpoints from Eaton Vance Advisory Blog (eatonvance.com/blog)

Cynthia Clemson, Co-Director of Municipal Investments

3

EATON VANCE

Additional Information

The views expressed in this update are those of the authors and are current only through the date stated. These views are subject to change at any time based upon market or other conditions, and Eaton Vance disclaims any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions for Eaton Vance are based on many factors, may not be relied upon as an indication of trading intent on behalf of any Eaton Vance fund. Eaton Vance does not provide legal or tax advice. The discussion herein is general in nature and is provided for informational purposes only. There is no guarantee as to its accuracy or completeness. Individuals should consult their own legal and tax counsel as to matters discussed.

Asset Allocation

Tobacco bonds are in focus after Fitch Ratings announced plans to withdraw its ratings on all tobacco bonds due to unpredictability of future payments. These bonds have been very popular with investors over the past year, thanks to attractive yields, federally tax-exempt* income and double-digit returns (see page 11). Despite the rally in tobacco bonds, we have been consistent in our position that many uncontrollable long-term negative credit drivers exist for the sector. It remains extremely difficult to predict the nature, timing and severity of the credit and sector shocks and the corresponding effects on pricing. Bottom line: If cigarette shipments decline as we expect them to, the risk of default on tobacco bonds increases. Due to the potential for widespread defaults in the tobacco sector, we believe more attractive options currently exist in the municipal bond market for investors in need of federally tax-exempt income. For complete blog, visit the Eaton Vance Advisory Blog. *A portion of income may be subject to federal income and/or alternative minimum tax. Income may be subject to state and local tax.

Trends & Takeaways

Monthly Market Monitor | June 2016

Sovereign bond yields Emerging Markets (10-Yr. Yield)

16%

16%

14%

14%

12-Mo. ago 10% 1-Mo. ago

8%

1-Mo. ago 12-Mo. ago

12%

Equities

12%

Fixed income

Developed Markets (10-Yr. Yield)

10% 8%

Alternatives

6% 6% 4% 2%

-2%

0%

Asset Allocation

0%

May ‘16

2%

May ‘16

4%

4

EATON VANCE

Additional Information

Source: Bloomberg as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Trends & Takeaways

Monthly Market Monitor | June 2016

Monetary policy 20% U.S. Federal Reserve 15% BOE

Current

1-Mo. ago

12-Mo. ago

U.S. Federal Reserve

0.50%

0.50%

0.25%

BoE

0.50%

0.50%

0.50%

BoJ

0.10%

0.10%

0.10%

ECB

0.00%

0.00%

0.05%

Current

1-Mo. ago

12-Mo. ago

U.S.

1.85%

1.83%

2.12%

U.K.

1.43%

1.60%

1.81%

Japan

-0.12%

-0.08%

0.39%

Germany

0.14%

0.27%

0.49%

Fixed income

Central Bank Policy Rates

10%

Equities

5% ECB

BOJ 0%

U.S.

U.K.

Germany

Japan '74

'76

'78

'80

'82

'84

'86

'88

'90

'92

'94

'96

'98

'00

'02

'04

'06

'08

'10

'12

'14

EATON VANCE

Additional Information

Source: Bloomberg as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

5

Asset Allocation

16% 14% 12% 10% 8% 6% 4% 2% 0% -2%

Alternatives

10-year Sovereign Bond Yields

Trends & Takeaways

Monthly Market Monitor | June 2016

U.S. Treasury yields

3%

12-Mo. ago

Security

Yield (%)

Total Return (%) 1-Mo.

12-Mo.

May-16

3-mo. Treasury

0.29

0.21

0.00

0.01

0.15

6-mo. Treasury

0.68

0.55

0.25

0.01

0.42

2Yr. Treasury

0.88

0.78

0.61

-0.11

0.56

3Yr. Treasury

1.03

0.94

0.93

-0.19

1.16

5Yr. Treasury

1.37

1.30

1.49

-0.31

2.28

10Yr. Treasury

1.85

1.83

2.12

-0.09

3.97

30Yr. Treasury

2.65

2.68

2.88

0.80

7.02

2%

1%

0%

3M

2Y

5Y

10Y

30Y

6

EATON VANCE

Additional Information

Source: Bloomberg, Morningstar as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Asset Allocation

12-Mo. ago

Alternatives

1-Mo. ago

Equities

Current

1-Mo. ago

Fixed income

U.S. Treasury Yields & Performance

U.S. Treasury Yield Curves

Trends & Takeaways

Monthly Market Monitor | June 2016

Fixed income characteristics and performance analysis Total Returns (%) Spread (bps)

Maturity (yrs.)

Duration (yrs.)

1-Mo.

3-Mo.

YTD

1Y

3Y

5Y

10Y

3.14

105.4

2.20

51

7.8

5.5

0.03

1.33

3.45

2.99

2.91

3.33

4.97

U.S. Treasury

2.05

104.5

1.42

-

7.5

6.2

0.00

0.05

3.09

3.01

2.38

3.01

4.66

U.S. Agency

2.21

104.6

1.41

19

4.7

3.5

0.04

0.23

2.07

2.04

1.90

2.07

3.95

U.S. Mortgage Backed Securities

3.66

105.8

2.37

18

5.7

3.1

0.13

0.59

2.27

2.71

3.14

2.86

4.90

U.S. Asset Backed Securities

2.05

101.3

1.55

60

2.4

2.3

0.09

0.46

1.70

1.81

1.58

2.17

3.41

U.S. Commercial Mortgage Backed Securities

3.38

104.6

2.41

94

6.1

5.4

0.13

1.76

4.13

3.36

3.01

3.97

5.71

U.S. Corp. Investment Grade

4.18

106.2

3.14

149

10.7

7.3

-0.08

4.10

5.31

3.62

3.67

4.78

6.01

Barclays Municipal Bond Index

4.78

110.8

1.85

-

13.0

5.8

0.27

1.33

2.70

5.87

4.03

5.07

4.93

BofAML US Inflation-Linked Treasury Index

1.01

106.8

0.11

-

9.4

7.2

-0.68

1.45

4.31

1.29

0.49

2.51

4.64

BofAML Preferred Index (Fixed Rate)

6.18

105.2

4.16

143

-

4.3

1.37

4.12

3.91

8.16

6.41

6.85

3.74

Barclays U.S. Corp. High Yield Index

6.59

95.1

7.31

566

6.3

4.2

0.62

9.20

8.06

-0.81

2.95

5.44

7.42

S&P / LSTA Leveraged Loan Index

4.16

93.4

5.91

523

4.6

0.1

0.89

5.73

4.49

0.49

2.55

3.71

4.49

JPMorgan EM Bond Index Plus (EMBI+)

6.58

103.0

5.89

396

-

7.8

-0.48

4.64

7.39

6.27

3.60

5.76

7.54

JPMorgan Corp. EM Bond Index (CEMBI) Diversified

5.32

100.9

5.34

387

-

5.1

0.15

5.69

6.51

2.55

3.89

5.42

7.27

JPMorgan Govt. Bond Index-EM (GBI-EM) Global Diversified

6.68

-

6.63

-

-

4.9

-5.44

5.78

7.68

-4.86

-6.71

-3.26

4.84

Barclays Global Aggregate Ex-U.S. Index

2.58

114.2

0.70

40

9.3

7.8

-2.38

3.68

7.83

7.25

0.31

-0.34

3.30

BofAML U.K. Gilts Index

3.74

123.6

1.45

-

15.8

11.2

1.20

4.86

4.44

0.91

4.18

3.89

3.46

BofAML European Union Government Bond Index

3.30

121.1

0.65

38

10.7

8.3

-1.16

3.28

5.61

4.29

1.55

1.89

3.85

Barclays U.S. Aggregate Index

7

EATON VANCE

Additional Information

Source: Barclays, JPMorgan, BofA Merrill Lynch and Standard & Poor’s as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Asset Allocation

Yield (%)

Alternatives

Price ($)

Equities

Coupon (%)

Index

Fixed income

Averages

Trends & Takeaways

Monthly Market Monitor | June 2016

Fixed income spread analysis (bps) Median Low Cheap

1600

1699

1717

1581

Fixed income

1800

Current

Rich

1971

2000

High

1400 1200

1018

1000 800

618

600 400 200

516 258 51 36

-200

9

192 23

18 -13

60 46 0

94 67

149

149

61

82

143 153

221

318

235 149

233

10

Aggregate

Agency

MBS

ABS

CMBS

Corporate

Preferred

12/03/08 6/23/14 56 48 45

11/20/08 3/12/13 21 16 17

12/3/08 7/27/10 24 27 34

1/6/09 10/1/09 72 58 55

11/21/08 1/8/07 121 98 126

12/3/08 2/22/07 165 131 114

3/9/09 10/19/06 158 217 286

Floating-Rate Loans 12/19/08 5/31/07 623 518 466

Emerging Markets (USD) 10/24/08 6/1/07 410 387 334

High Yield 12/16/08 5/23/07 660 483 382

8

EATON VANCE

Additional Information

Source: Barclays, JPMorgan, BofA Merrill Lynch, Standard & Poor’s as of 5/31/16. Spread history measures past 10 years. 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 U.S. Agency Index. MBS represented by Barclays U.S. Mortgage Backed Securities (MBS) Index. ABS represented by Barclays U.S. Asset Backed Securities (ABS) Index. CMBS represented by Barclays U.S. CMBS Investment Grade Index. Corporate represented by Barclays U.S. Corporate Investment Grade 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 U.S. Corporate High Yield Index.

Asset Allocation

Max Spread Date Min Spread Date Spread on 12/31/15 Spread on 12/31/14 Spread on 12/31/13

56

180 19

547

396

Alternatives

0

566

523

Equities

865

Trends & Takeaways

Monthly Market Monitor | June 2016

Corporate bond market update Total Returns (%)

Spread (bps)

Maturity (yrs.)

Duration (yrs.)

1-Mo.

3-Mo.

YTD

1Y

3Y

5Y

10Y

4.18

106.2

3.14

149

10.7

7.3

-0.08

4.10

5.31

3.62

3.67

4.78

6.01

AAA Index

3.46

107.4

2.65

74

17.1

10.5

0.18

2.65

5.65

6.46

4.24

4.64

4.97

AA Index

3.04

105.2

2.31

80

9.3

6.6

-0.05

2.55

4.32

4.32

3.38

3.84

5.07

A Index

4.01

107.9

2.78

115

10.7

7.5

-0.06

3.00

4.83

4.53

3.88

4.74

5.58

BBB Index

4.57

105.0

3.63

194

10.9

7.3

-0.11

5.45

5.96

2.52

3.51

5.05

6.70

6.59

95.1

7.31

566

6.3

4.2

0.62

9.20

8.06

-0.81

2.95

5.44

7.42

BB Index

5.89

101.2

5.21

363

6.8

4.6

0.31

6.43

6.86

1.87

4.41

6.25

8.07

B Index

6.69

96.0

7.06

547

6.2

4.0

0.22

7.74

6.55

-2.85

2.09

4.99

6.08

CCC Index

8.00

83.8

12.48

1,068

5.1

3.5

2.23

20.40

14.32

-3.56

1.59

4.80

6.24

Below CCC Index

7.72

48.6

30.44

2,653

4.7

3.3

6.22

61.25

31.01

-32.33

-29.59

-17.58

-4.63

4.16

93.4

5.91

523

4.6

0.1

0.89

5.73

4.49

0.49

2.55

3.71

4.49

BBB Index

3.06

100.0

3.70

305

4.8

-

0.47

2.12

2.77

3.78

2.93

3.37

3.83

BB Index

3.58

99.3

4.42

377

4.7

-

0.60

4.05

3.73

2.59

3.15

3.88

3.81

B Index

4.44

95.2

6.48

579

4.6

-

0.95

6.58

4.90

0.51

2.74

3.94

4.49

CCC Index

6.77

79.9

14.68

1387

4.5

-

3.57

16.16

10.00

-2.97

2.53

4.11

5.35

-

40.5

-

-

-

-

0.48

15.95

5.88

-37.96

-14.66

-4.75

-9.71

Barclays U.S. Corp. Investment Grade Index

Barclays U.S. Corp. High Yield Index

S&P/LSTA Leveraged Loan Index

D Index

9

EATON VANCE

Additional Information

Source: Barclays, LCD, and Morningstar as of 5/31/16. 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.

Asset Allocation

Yield to Worst (%)

Alternatives

Price ($)

Equities

Coupon (%)

Fixed income

Averages

Trends & Takeaways

Monthly Market Monitor | June 2016

Corporate bond market update 2000

Current

High Yield Corporate

1600

1-Mo. ago 12-Mo. ago

Median

HY Corporate

566

577

433

547

Loans

523

539

479

516

IG Corporate

149

146

133

153

Fixed income

Average Spread (bps)

1200

400 0

Equities

800 Loans Investment Grade Corporate

12%

Loans

Current

10% 8%

4%

Median

HY Corporate

3.78

3.68

1.58

1.84

Loans

1.96

1.69

1.26

1.63

Asset Allocation

6%

1-Mo. ago 12-Mo. ago

High Yield Corporate

2% 0%

EATON VANCE

Additional Information

Source: JPMorgan, LCD as of 5/31/16. 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.

10

Alternatives

Annual Default Rate

Trends & Takeaways

Monthly Market Monitor | June 2016

Municipal bond market update Total Returns (%) Duration (yrs.)

1-Mo.

3-Mo.

YTD

1Y

3Y

5Y

10Y

4.78

110.8

1.85

13.0

5.8

0.27

1.33

2.70

5.87

4.03

5.07

4.93

AAA Index

4.64

112.7

1.53

10.5

5.5

0.11

0.97

2.27

4.96

3.31

3.80

4.32

AA Index

4.79

112.8

1.65

12.4

5.6

0.20

1.13

2.47

5.47

3.88

4.73

4.80

A Index

4.75

106.4

2.20

14.6

6.1

0.43

1.78

3.24

6.97

4.72

6.02

5.29

BBB Index

5.16

108.6

2.83

17.1

6.8

0.56

1.97

3.41

6.65

4.05

6.50

4.05

5-Year Index

4.82

113.8

1.35

4.9

3.9

-0.21

-0.10

1.43

3.57

2.38

2.90

4.21

10-Year Index

4.75

115.5

1.80

9.9

5.7

0.02

1.12

2.74

6.25

4.34

5.19

5.44

22+ Year Index

4.81

106.6

2.57

26.6

9.0

0.87

2.82

4.21

8.60

5.59

7.52

5.50

5.36

54.3

6.43

20.1

8.8

1.32

3.01

4.73

4.70

3.61

7.51

4.88

Hospital

6.01

106.0

4.22

20.7

6.9

0.67

1.99

3.66

7.82

6.84

9.20

6.23

IDR/PCR

5.02

38.6

4.97

21.0

10.0

1.56

6.62

8.87

15.95

8.02

10.90

6.66

Tobacco

4.70

27.6

5.48

24.0

11.8

2.01

8.39

11.55

24.01

9.49

15.81

1.77

Puerto Rico

5.23

35.8

12.71

19.2

9.4

1.91

-0.75

0.94

-11.33

-12.80

-

-

Barclays Municipal Bond Index

Barclays High Yield Municipal Bond Index

Source: Barclays, Morningstar as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

11

EATON VANCE

Additional Information

Maturity (yrs.)

Asset Allocation

Yield To Worst (%)

Alternatives

Price ($)

Equities

Coupon (%)

Fixed income

Averages

Trends & Takeaways

Monthly Market Monitor | June 2016

Municipal bond market update 250%

Current

1-Mo. ago

12-Mo. ago

Median

5Y

80

77

96

84

10Y

91

89

105

93

30Y

93

97

111

103

5Y

200% 150% 100%

Equities

10Y

Fixed income

AAA Muni-to-Treasury Yield Ratios

30Y

50%

Current

400 300

BBB

1-Mo. ago 12-Mo. ago

Median

AA

20

21

22

20

A

49

52

54

68

BBB

74

91

96

138

Asset Allocation

200 A 100 AA 0

EATON VANCE

Additional Information

Source: Barclays as of 5/31/16. 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.

12

Alternatives

Credit Quality Spreads vs. AAA (bps)

Trends & Takeaways

Monthly Market Monitor | June 2016

Emerging markets bond market update Local EMD Yields (%)

Corporate EMD Spreads (USD) 1300

900

900

12% 10%

bps

bps

bps

1300

500

500

'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16

Current 1-Mo. ago 12-Mo. ago Median

Avg. Spread (bps) 387 383 324 349

Averages

Total Returns (%)

Coupon (%)

Price ($)

Yield (%)

Duration (yrs.)

1-Mo.

3-Mo.

YTD

1Y

3Y

5Y

10Y

6.58

103.0

5.89

7.8

-0.48

4.64

7.39

6.27

3.60

5.76

7.54

5.32

100.9

5.34

5.1

0.15

5.69

6.51

2.55

3.89

5.42

7.27

6.68

-

6.63

4.9

-5.44

5.78

7.68

-4.86

-6.71

-3.26

4.84

13

EATON VANCE

Additional Information

Source: JPMorgan, Morningstar as of 5/31/16. 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.

Asset Allocation

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

Avg. Yield (%) 6.63 6.66 6.57 6.83

Current 1-Mo. ago 12-Mo. ago Median

Alternatives

Avg. Spread (bps) 396 383 383 318

Equities

4% '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16

'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16

Current 1-Mo. ago 12-Mo. ago Median

8% 6%

100

100

Fixed income

Sovereign EMD Spreads (USD)

Trends & Takeaways

Monthly Market Monitor | June 2016

Fixed income asset class return analysis (%) 2009

2010

2011

2012

2013

2014

2015

YTD 5/16

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 7.44

Municipal 9.05

Municipal 3.30

High Yield 8.06

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 5.29

Investment Grade 7.46

MBS 1.51

Global Agg Ex-U.S. 7.83

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 -1.41

MBS 6.08

Treasury 0.84

EM (Local Currency) 7.68

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

Investment Grade -1.53

Treasury 5.05

Investment Grade -0.68

Investment Grade 5.31

MBS 5.22

Investment Grade 4.56

Investment Grade -4.94

Municipal 12.91

Treasury 5.87

High Yield 4.98

Municipal 6.78

Municipal -2.55

High Yield 2.45

Bank Loan -0.69

Bank Loan 4.49

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

Treasury -2.75

Bank Loan 1.60

High Yield -4.47

Treasury 3.09

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

Global Agg Ex-U.S. -3.08

Global Agg Ex-U.S. -3.08

Global Agg Ex-U.S. -6.02

Municipal 2.70

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) -8.98

EM (Local Currency) -5.72

EM (Local Currency) -14.92

MBS 2.27

14

EATON VANCE

Additional Information

Source: Morningstar as of 5/31/16. 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 U.S. Corporate Index. MBS represented by Barclays U.S. Mortgage Backed Securities (MBS) Index. Treasury represented by Barclays U.S. Treasury Index. High Yield represented by Barclays U.S. Corporate High Yield Index. Municipal represented by Barclays Municipal Bond Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Global Agg Ex-U.S. represented by Barclays Global Aggregate Ex-USD Index. EM(Local Currency) represented by JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified.

Asset Allocation

2008

Alternatives

2007

Equities

Lower

2006

Fixed income

Higher

Trends & Takeaways

Monthly Market Monitor | June 2016

Equity performance – market barometer (%) 1-Year Returns

3-Year Returns

Core

Growth

Value

Core

Growth

Value

Core

Growth

Large Cap

1.55

1.75

1.94

-0.06

0.78

1.61

9.23

10.89

12.50

Mid Cap

1.64

1.64

1.64

-0.31

-1.97

-3.70

10.22

10.18

10.08

Small Cap

1.83

2.25

2.69

-2.75

-5.97

-9.13

6.10

6.93

7.68

Alternatives

<-20 -20 to -10

US 1.80

Global -5.42

US 1.72

Global 5.20

US 11.06

International -0.91

Emerging Markets -3.73

International -9.68

Emerging Markets -17.63

International 2.00

Emerging Markets -4.95

-10 to 0 0 to 10 10 to 20 >20

15

EATON VANCE

Additional Information

Source: Morningstar as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Returns over 1 year are annualized.

Large Cap Value represented by Russell 1000 Value Index. Large Cap Core represented by Russell 1000 Index. Large Cap Growth represented by Russell 1000 Growth Index. Mid Cap Value represented by Russell Mid Cap Value Index. Mid Cap Core represented by Russell Mid Cap Index. Mid Cap Growth represented by Russell Mid Cap Growth Index. Small Cap Value represented by Russell 2000 Value Index. Small Cap Core represented

by Russell 2000 Index. Small Cap Growth represented by Russell 2000 Growth Index. Global represented by MSCI ACWI Index. US represented by S&P 500 Index. International represented by MSCI EAFE Index.

Emerging Markets represented by MSCI Emerging Markets Index.

Asset Allocation

Global 0.13

Equities

Value

Fixed income

1 Month Returns

Trends & Takeaways

Monthly Market Monitor | June 2016

Dividend yields and volatility analysis 4.5%

4.0%

MSCI EAFE

4.0% 3.5%

3.0%

MSCI EM

Equities

1.5%

MSCI World

1.0%

S&P 500

1.5%

2.1

1.9

2.0%

2.0%

2.9

2.6

2.5%

2.5%

0.5% 0.0%

1.0% '11

'12

'13

'14

'15

10 Yr Treasury

'16

S&P 500

MSCI World

MSCI EM

MSCI EAFE

Alternatives

Correlation of S&P 500 Stocks

CBOE Market Volatility Index (VIX)

1.0 0.8

3.4

3.5%

3.0%

Fixed income

Current Yields

Historical Yields

50.0 S&P 500 Stocks Correlation Average

30.0

0.4

20.0

0.2

10.0

0.0

0.0 '07

'08

'09

'10

'11

'12

'13

'14

'15

'16

Asset Allocation

0.6

'06

VIX

40.0

Average '11

'12

'13

'14

'15

'16

16

EATON VANCE

Additional Information

Source: FactSet as of 5/31/16, BA540, Ned Davis Research as of 5/31/16.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Trends & Takeaways

Monthly Market Monitor | June 2016

Valuation analysis

Fixed income

Regions/Styles: Current NTM P/E vs. 10-Year High, Low, Average 30.0 25.3 25.0

20.0

10.0

17.9

Current

16.7

Average

14.2

16.0

16.0 16.0

16.1

13.1

14.2 MSCI World Current P/E

Low 10.7

16.8

15.8

15.0 14.6

13.5

12.7

11.2 9.7

9.2

15.0

13.5 13.1

12.1

11.2 11.0

9.3 6.9

7.7

S&P 500

Russell 2000

Russell 1000 Growth

Russell 1000 Value

MSCI World

MSCI EAFE

MSCI EM

MSCI Europe

MSCI AC Asia Pac

2/15 9/11

7/09 9/11

2/15 11/08

5/16 9/11

2/15 10/08

5/15 10/08

10/07 10/08

3/15 10/08

7/09 10/08

17

EATON VANCE

Additional Information

Source: FactSet as of 5/31/16. NTM P/E is market price per share divided by expected earnings per share over the next twelve months.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Asset Allocation

8.3

5.0

High Date Low Date

16.0

Alternatives

15.0

20.2 19.0

19.8

High 17.2

Equities

22.1

Trends & Takeaways

Monthly Market Monitor | June 2016

Valuation analysis

Fixed income

S&P 500 Sectors: Current NTM P/E vs. 10-Year High, Low, Average 85.0 77.5 75.0 69.3

Equities

65.0 55.0 45.0

25.0

5.0

High Date Low Date

High 20.2 Current

17.5 16.5

Average Low 12.5

Consumer Discretionary 1/07 9/11

21.8

21.0 20.3 15.4

16.7

13.1 12.2

11.8 Consumer Staples 3/16 3/09

17.9

17.5

25.0 19.6

15.3

17.0 15.9

16.3

17.0

14.2

14.6

15.3

15.0

8.1 Energy

8.6 Financials

10.0

9.0

Health Care

Industrials

4/16 9/08

8/09 9/11

2/15 2/09

4/06 2/09

11.1 Information Technology 10/07 9/11

9.3 Materials 5/09 9/11

14.6 13.4 10.1 Telecom.

Services 7/12 10/08

17.8 17.4 14.5 10.2 Utilities 1/15 2/09

18

EATON VANCE

Additional Information

Source: FactSet as of 5/31/16. NTM P/E is market price per share divided by expected earnings per share over the next twelve months.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Asset Allocation

15.0

S&P 500 Current P/E

Alternatives

35.0

Trends & Takeaways

Monthly Market Monitor | June 2016

Corporate earnings growth 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 -25.0 -30.0 -35.0

Fixed income

Regions/Styles NTM EPS Growth

LTM EPS Growth

MSCI EM

Russell 1000 Growth

MSCI Asia Pacific

MSCI EAFE

MSCI World

MSCI Europe

S&P 500

Russell 1000 Value

Alternatives

S&P 500 Sectors 125.0 100.0 75.0 50.0 25.0 0.0 -25.0 -50.0 -75.0 -100.0

NTM EPS Growth

Asset Allocation

LTM EPS Growth Energy

Discretionary

Health Care

Staples

Materials

Financials

Info. Tech.

Industrials

Utilities

Telecom

EATON VANCE

Additional Information

Source: FactSet as of 5/31/16. NTM EPS Growth is the % change in YOY EPS for the next 12 month. LTM EPS Growth the % change in YOY EPS for last 12 months.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

19

Equities

Russell 2000

Trends & Takeaways

Monthly Market Monitor | June 2016

S&P 500 index â&#x20AC;&#x201C; 1-month return analysis 4.0%

4.0%

4.0%

3.0% 2.0%

S&P 500 Quality Ranking

Trailing 12 Month P/E

3.0%

2.5

2.4

2.0

1.8

2.0%

1.8

1.8

0.4

0.0%

1.0%

12.0+

9.4 12.0

7.3 9.4

4.9 7.2

<4.9

0.0% -1.0% S&P 500

33.2+ 22.5 - 16.5 - 10.7 - <10.7 33.2 22.5 16.4

S&P 500

-1.0 A+

A

A-

B+

B

B-

4.0%

4.0% 3.2

3.2 3.0%

3.0% 1.8

1.8

1.8

2.0%

1.0% 0.4

0.7

3.0% 1.8 1.4

1.3

1.5

1.3

1.0%

S&P 500 $50B+

1.5 0.7

0.6

0.0% 1.5+

1.2 1.5

0.9 1.2

0.7 0.9

<0.7

S&P 500

3.5+

2.4 3.5

1.6 2.4

0.6 1.6

0.0 0.6

EATON VANCE

Additional Information

S&P 500

$10B $5B - $0 - $5B $50B $10B Source: FactSet, Zephyr and Morningstar as of 5/31/16.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

20

1.8

1.0%

0.0%

0.0%

2.0%

2.7

Asset Allocation

2.0%

C

Dividend Yield

Beta

4.0%

1.2

1.0

Alternatives

Market Cap

2.7

2.3

1.8

1.0%

1.4

0.0% S&P 500

2.0%

2.6

Equities

1.2

0.9

1.0%

2.8 1.8

3.0

3.0%

Fixed income

3-5 Year Earnings Growth

Trends & Takeaways

Monthly Market Monitor | June 2016

S&P 500 index â&#x20AC;&#x201C; YTD analysis 16.0% 12.8

8.0%

5.0

3.6

8.4

8.0%

6.7

6.2

4.0%

2.0

3.6 2.6

3.3

4.0%

S&P 500

12.6+

6.6 9.4

3.5 6.6

<3.4

0.0% S&P 500

32.6+ 21.2 - 16.3 - 10.8 - <10.8 32.6 21.1 16.1

6.2

6.0%

8.0% 3.6

4.7 2.5

2.0%

3.6

B

B-

C

2.9

3.0 1.7

4.0%

4.3

3.6

2.6 0.1

0.0%

-0.3

-4.0% S&P 500

3.5+

2.4 3.5

1.6 2.4

0.6 1.6

0.0 0.6

EATON VANCE

Additional Information

21

B+

8.0%

S&P 1.5+ 1.1 0.8 0.6 - <0.6 $10B $5B - $0 - $5B 500 1.5 1.1 0.8 $50B $10B Source: FactSet, Zephyr and Morningstar as of 5/31/16.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

S&P 500 $50B+

A-

11.6

12.0%

5.7

0.0%

0.0%

A

Asset Allocation

8.3

4.0%

A+

16.0%

16.0

12.0%

S&P 500

Dividend Yield

8.0%

16.0%

1.0

-0.1

Beta

20.0%

2.7

Alternatives

Market Cap

2.4 2.0%

-2.0% 9.4 12.6

4.0

3.6

Equities

-1.3

5.6

2.0

2.0% 0.0%

-4.0%

5.5

6.0%

6.0%

0.0%

4.0%

8.0%

10.0%

12.0%

4.0%

S&P 500 Quality Ranking

Trailing 12 Month P/E

Fixed income

3-5 Year Earnings Growth

Trends & Takeaways

Monthly Market Monitor | June 2016

Index sectors: return analysis S&P 500

Utilities

Telecom.

Materials

Info. Tech.

Industrials

Utilities

Telecom.

Materials

Info. Tech.

Industrials

Health Care

Financials

-15.00

Energy

-15.00 Staples

-10.00

Discretionary

-10.00

22

EATON VANCE

Additional Information

Source: FactSet, Zephyr and Morningstar as of 5/31/16.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Asset Allocation

-5.00

Alternatives

-5.00

Health Care

0.00

Financials

0.00

Energy

5.00

Staples

5.00

1 month YTD 1 year

10.00

Discretionary

10.00

1 month YTD 1 year

15.00

Equities

15.00

Fixed income

MSCI World

Trends & Takeaways

Monthly Market Monitor | June 2016

Global equity: current characteristics and sector weights R2000

R1000G

R1000V

MSCI World

MSCI EAFE

MSCI EM

MSCI Europe

MSCI Asia Pac

505

1988

644

691

1639

925

837

443

1020

Maximum

$546.98B

$10.40B

$546.98B

$416.60B

$546.98B

$235.39B

$233.53B

$235.39B

$233.53B

Minimum

Number of Holdings Market Capitalization

$0.01M

$0.30M

$0.30M

$1.29M

$1.44M

$0.71M

$1.79M

$0.72M

2.09

1.51

1.60

2.65

2.63

3.39

2.87

3.66

2.81

NTM PE

16.71

22.07

17.93

15.99

16.09

14.64

11.18

15.04

13.07

2.65

2.05

5.39

1.72

2.08

1.53

1.28

1.67

1.31

Price to Book Price to Cash Flow

11.27

11.95

13.69

9.31

9.93

8.02

5.18

8.36

6.34

Price to Sales

1.81

1.16

2.04

1.52

1.45

1.09

0.98

1.16

0.96

Est 3-5YR EPS Growth

9.94

13.17

13.48

6.78

9.70

8.52

12.67

8.92

9.16

15.38

10.04

17.04

14.50

7.26

1.77

-1.18

2.21

1.04

5YR Dividend Growth Rate

Technology 20%

Health Care 15%

Financials 16%

MSCI World

Technology 14%

3%

Materials 5%

Telecomm 3% Utilities 3%

Industrials 11% Discretionary 13% Staples 10%

Health Care 13%

Energy 7%

Asset Allocation

Industrials 10%

Telecomm Utilities 3%

Materials 3%

Alternatives

S&P 500

Discretionary 13% Staples 11%

Financials 20%

EATON VANCE

Additional Information

Energy 7%

Source: FactSet, Zephyr and Morningstar as of 5/31/16.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

23

Equities

$3.06M

Dividend Yield

Fixed income

S&P 500

Trends & Takeaways

Monthly Market Monitor | June 2016

Equity asset class return analysis (%) 2011 2.11 9.00 -6.13 -2.51 2.64 0.39 -1.55 -4.18 5.72

-0.87 -0.81 -14.92 -1.96 -2.36 -2.84 -6.72 3.46 -1.61 8.71

4.94 -4.90 -2.19 0.00 4.16 -6.18 -5.16 -4.58 -5.86 -6.10

26.68 22.78 -2.60 11.97 22.80 25.23 20.91 35.70 26.24 28.93

15.83 17.32 18.22 16.78 16.13 19.12 15.03 33.05 20.02 9.40

-5.54 -12.14 -18.42 -15.11 -7.35 -11.06 -2.90 -13.14 -11.56 -12.86

10.11 6.60 -21.12 -1.53 6.89 -2.53 5.92 -8.38 3.40 -4.85

9.68 15.98 -7.78 15.20 25.34 9.83 20.12 6.91 2.99 28.98

43.08 26.14 25.07 35.63 41.46 40.68 28.43 25.60 11.47 13.21

23.92 10.76 4.61 28.82 17.89 15.35 14.82 14.97 18.31 1.29

6.13 13.99 4.72 -17.06 12.73 -0.59 2.41 -9.75 6.27 19.91

EATON VANCE

Additional Information

2012 16.00 12.75 20.21 17.88 15.26 17.51 17.28 16.35 5.20

Asset Allocation

2013 32.39 30.90 35.29 36.80 33.48 32.53 34.76 38.82 13.26

Alternatives

2014 13.69 13.80 12.64 7.07 13.05 13.45 13.22 4.89 5.64

Equities

24

2015 1.38 2.54 -0.71 -2.90 5.67 -3.83 -2.44 -4.41 5.24

Fixed income

U.S. Equities 1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y S&P 500 1.80 9.12 3.57 1.72 11.06 11.67 7.41 Russell 1000 Defensive 1.86 8.12 5.29 5.79 11.62 12.68 8.00 Russell 1000 Dynamic 1.64 10.90 1.63 -4.16 10.07 10.01 Russell 2500 2.11 12.25 4.02 -4.30 8.23 9.00 7.33 Russell 1000 Growth 1.94 7.82 1.76 1.61 12.50 12.11 8.78 Russell 1000 Value 1.55 11.16 5.39 -0.06 9.23 10.70 6.11 Russell Mid Cap 1.64 11.13 5.02 -1.97 10.18 10.33 8.03 Russell 2000 2.25 12.15 2.28 -5.97 6.93 7.86 6.27 CBOE S&P 500 Buywrite BXM 1.58 4.04 1.26 2.36 6.36 6.34 4.64 Global Equities MSCI World 0.56 9.08 1.80 -3.96 6.46 6.53 4.55 MSCI EAFE -0.91 8.59 -1.10 -9.68 2.00 2.12 1.92 MSCI EM -3.73 9.60 2.32 -17.63 -4.95 -4.83 3.11 MSCI AC Asia Pac -1.34 9.21 -1.22 -12.57 0.98 1.45 2.46 MSCI ACWI 0.13 9.13 1.85 -5.42 5.20 5.17 4.32 MSCI Europe -0.59 8.23 -0.71 -9.94 1.82 1.55 2.02 FTSE 100 -0.34 8.15 0.54 -11.52 0.49 2.07 2.05 FTSE All Small -0.27 10.59 -0.90 -5.84 6.82 7.14 3.62 STOXX Europe 600 -0.37 8.35 -0.77 -9.24 2.49 2.05 2.38 Nikkei 225 Average -0.23 9.45 -1.78 -6.22 4.44 5.43 1.20 Sectors S&P 500 Cons Disc 0.14 6.96 1.88 5.69 14.02 16.36 10.78 S&P 500 Cons Staples 0.77 4.21 5.02 10.78 12.36 13.33 11.26 S&P 500 Energy -0.58 18.13 12.41 -10.13 -2.98 -0.26 4.13 S&P 500 Financials 2.03 13.22 0.16 -1.29 8.25 10.55 -1.00 S&P 500 Health Care 2.20 8.11 -0.60 -3.29 15.86 16.79 11.05 S&P 500 Industrials -0.48 7.55 5.42 3.32 11.27 10.86 7.06 S&P 500 Info Tech 5.60 9.06 2.51 3.12 14.93 13.45 10.15 S&P 500 Materials -0.29 12.68 8.43 -5.02 7.47 5.91 6.40 S&P 500 Telecom Services 0.02 4.14 14.18 11.80 7.71 9.46 8.02 S&P 500 Utilities 1.51 7.02 14.48 14.62 13.46 12.09 8.65 Source: FactSet, Zephyr and Morningstar as of 5/31/16.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Trends & Takeaways

Monthly Market Monitor | June 2016

Equity asset class return analysis (%) 2009

2010

2011

2012

2013

2014

2015

YTD 5/16

Emerging Markets 32.14

Emerging Markets 39.42

Small-Cap -33.79

Emerging Markets 78.51

Small-Cap 26.85

Growth 2.64

Emerging Markets 18.22

Small-Cap 38.82

S&P 500 13.69

Growth 5.67

Value 5.39

International 26.34

Growth 11.81

Value -36.85

Mid-Cap 40.48

Mid-Cap 25.48

S&P 500 2.11

Value 17.51

Mid-Cap 34.76

Value 13.45

S&P 500 1.38

Mid-Cap 5.02

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 33.48

Mid-Cap 13.22

International -0.81

S&P 500 3.57

Global 20.95

International 11.17

Growth -38.44

Global 34.63

Growth 16.71

Mid-Cap -1.55

Mid-Cap 17.28

Value 32.53

Growth 13.05

Global -2.36

Emerging Markets 2.32

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 32.39

Small-Cap 4.89

Mid-Cap -2.44

Small-Cap 2.28

S&P 500 15.79

S&P 500 5.49

Global -42.19

Small-Cap 27.17

S&P 500 15.06

Global -7.35

Global 16.13

Global 22.80

Global 4.16

Value -3.83

Global 1.85

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

International 22.78

Emerging Markets -2.19

Small-Cap -4.41

Growth 1.76

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 -2.60

International -4.90

Emerging Markets -14.92

International -1.10

25

EATON VANCE

Additional Information

Source: FactSet, Zephyr and Morningstar as of 5/31/16. 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.

Asset Allocation

2008

Alternatives

2007

Equities

Lower

2006

Fixed income

Higher

Trends & Takeaways

Monthly Market Monitor | June 2016

Developed market currency performance and yields 5Y -5.01 -2.51 -5.94 -7.49 -5.85 -3.87 -8.48 -5.83 -4.97 -2.99

1-Mo. 2.87 1.96 -1.06 -2.18 -1.35 -0.30 -1.14 -0.86 0.06 -0.76

Local Interest Rates (%) 3-Mo. 6-Mo. 1Y 0.29 0.45 0.68 -0.60 -0.59 -0.55 0.46 0.40 -0.30 -0.31 -0.27 1.74 1.71 0.54 0.56 0.60 1.97 0.34 0.54 0.59 -0.65 -0.65 -0.69 -0.54 -0.54 -0.60 -0.74 -0.64 -0.87

5Y 5.28 2.63 -0.97 -2.60 -0.88 1.20 -3.65 -0.86 0.04 2.13

Alternatives

U.S. Dollar Index 160 140

Asset Allocation

120 100 80 60 '70

'72

'74

'76

'78

'80

'82

'84

'86

'88

'90

'92

'94

'96

'98

'00

'02

'04

'06

'08

'10

'12

'14

'16

EATON VANCE

Additional Information

* German Rate. Source: Bloomberg as of 5/31/16. Dollar is represented by the US Trade Weighted Dollar Index (DXY). Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

26

Equities

1-Mo. -2.78 -0.88 -3.82 -4.90 -4.10 -3.08 -3.91 -3.61 -2.72 -3.42

Spot Returns vs. EUR (%) YTD 1Y 3Y -2.43 -1.31 5.30 -4.11 -6.50 3.62 6.00 10.63 1.96 -3.08 -6.64 -4.08 3.15 -6.15 -2.56 -3.34 -6.06 -0.22 3.00 -8.47 -6.48 -1.13 0.76 -2.48 0.33 0.30 0.08 -1.65 -6.57 3.91

Fixed income

Currency U.S. Dollar (USD) Euro (EUR) * British Pound (GBP) Japanese Yen (JPY) Australian Dollar (AUD) Canadian Dollar (CAD) New Zealand Dollar (NZD) Norwegian Krone (NOK) Swedish Krona (SEK) Danish Krone (DKK) Swiss Franc (CHF)

Spot Returns vs. USD (%) YTD 1Y 3Y 2.53 1.28 -5.03 -1.72 -5.30 -1.60 8.57 12.12 -3.20 -0.74 -5.39 -8.92 5.70 -4.88 -7.46 -0.98 -4.85 -5.22 5.54 -7.25 -11.19 1.29 2.23 -7.38 2.83 1.62 -4.96 0.83 -5.39 -1.32

Trends & Takeaways

Monthly Market Monitor | June 2016

Emerging market currency performance and yields Currency

Spot Returns vs. EUR (%)

Local Interest Rates (%)

1Y

3Y

5Y

1-Mo.

YTD

1Y

3Y

5Y

3-Mo.

6-Mo.

1Y

Chinese Renminbi (CNY)

-1.63

-1.39

-5.89

-2.34

-0.33

1.22

-3.24

-7.32

2.95

4.96

-

-

3.07

Malaysian Ringgit (MYR)

-5.43

4.01

-11.17

-9.16

-6.11

-3.37

2.03

-12.57

-4.31

-1.15

3.00

3.00

3.00

Indian Rupee (INR)

-1.38

-1.64

-5.11

-5.64

-7.70

0.68

-3.93

-6.76

-0.75

-2.87

6.84

6.92

7.03

Indonesian Rupiah (IDR)

-3.43

1.03

-3.11

-10.22

-8.94

-1.32

-0.89

-4.63

-5.17

-4.13

-

-

6.65

Philippine Peso (PHP)

0.29

0.27

-4.69

-3.32

-1.55

2.52

-1.62

-6.17

1.84

3.65

-

-

1.26

Singapore Dollar (SGD)

-2.43

2.96

-2.17

-2.82

-2.19

0.34

0.48

-3.47

2.32

2.97

-

0.76

0.88

South Korean Won (KRW)

-4.41

-1.42

-7.03

-1.77

-1.97

-2.11

-3.22

-8.53

3.53

3.19

1.51

1.51

1.51

Taiwanese Dollar (TWD)

-1.07

0.74

-5.90

-2.82

-2.56

1.16

-0.79

-7.18

2.44

2.62

-

-

0.34

Thai Baht (THB)

-2.43

0.73

-5.79

-5.34

-3.25

0.36

-1.76

-6.97

-0.33

1.85

1.45

1.47

1.49

Brazilian Real (BRL)

-4.87

9.67

-11.99

-15.99

-15.24

-2.16

6.98

-13.07

-11.54

-10.76

14.13

14.09

13.38

Chilean Peso (CLP)

-4.46

2.51

-10.61

-10.19

-7.62

-1.85

-0.01

-11.84

-5.51

-2.77

-

-

3.82

Colombian Peso (COP)

-7.77

2.73

-18.05

-14.93

-10.36

-5.17

0.26

-19.11

-10.49

-5.64

-

-

7.31

Mexican Peso (MXN)

-6.99

-6.82

-16.73

-11.48

-8.93

-4.35

-9.09

-17.83

-6.79

-4.12

4.10

4.33

4.31

Peruvian New Sol (PEN)

-2.69

1.10

-6.52

-6.76

-3.89

0.03

-1.22

-7.78

-1.91

1.14

-

-

4.87

ASIA, EX. JAPAN

Alternatives

YTD

Equities

1-Mo.

Fixed income

Spot Returns vs. USD (%)

LATIN AMERICA

EATON VANCE

Additional Information

27

Asset Allocation

Source: Bloomberg as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Trends & Takeaways

Monthly Market Monitor | June 2016

Emerging market currency performance and yields Currency

Spot Returns vs. EUR (%)

Local Interest Rates (%)

5Y

1-Mo.

YTD

1Y

3Y

5Y

3-Mo.

6-Mo.

1Y

Czech Koruna (CZK)

-2.68

2.47

2.83

-6.58

-6.81

0.10

0.00

1.51

-1.62

-1.89

0.03

-0.57

-0.04

Hungarian Forint (HUF)

-3.21

3.10

-0.09

-6.77

-8.06

-0.52

0.57

-1.43

-1.83

-3.21

0.89

0.94

0.95

Polish Zloty (PLN)

-3.08

-0.41

-5.01

-5.81

-6.98

-0.31

-2.82

-6.24

-0.82

-2.07

-

-

1.42

Romanian Leu (RON)

-3.57

2.62

-0.35

-5.92

-6.70

-0.84

-0.03

-1.67

-0.95

-1.78

-

0.55

0.63

Russian Ruble (RUB)

-2.93

8.69

-21.55

-21.82

-15.95

-0.10

6.23

-22.50

-17.72

-11.54

11.43

11.51

11.06

Turkish New Lira (TRY)

-5.22

-1.09

-9.71

-14.00

-11.59

-2.66

-3.42

-10.90

-9.45

-6.93

8.97

9.01

9.14

Ghanaian Cedi (GHS)

-0.69

-0.78

5.35

-19.54

-17.05

2.16

-3.12

3.75

-15.56

-12.67

-

-

23.00

Israeli Shekel (ILS)

-3.02

1.00

0.46

-1.44

-2.26

-0.19

-1.38

-0.82

3.79

2.89

0.15

0.14

0.15

Kenyan Shilling (KES)

0.16

1.44

-3.32

-5.48

-3.19

3.07

-1.01

-4.25

-0.46

1.98

11.23

11.34

11.64

Moroccan Dirham (MAD)

-1.65

1.74

0.72

-4.28

-4.25

1.10

-0.95

-0.43

0.78

0.83

-

-

1.93

Nigerian Naira (NGN)

-0.03

0.13

-0.15

-7.37

-4.69

2.85

-2.36

-1.78

-2.47

0.31

7.56

9.33

13.53

South African Rand (ZAR)

-9.41

-1.53

-22.64

-13.71

-15.41

-6.83

-3.81

-23.65

-9.14

-10.94

6.32

7.15

8.05

Ugandan Shilling (UGX)

-1.38

0.21

-9.21

-8.36

-6.57

1.36

-2.31

-10.41

-3.52

-1.66

-

-

16.36

Zambian Kwacha (ZMK)

-7.78

5.67

-30.02

-19.97

-14.56

-5.14

3.06

-30.91

-15.74

-10.05

-

-

25.00

EUROPE

MIDDLE EAST AND AFRICA

Source: Bloomberg as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

28

EATON VANCE

Additional Information

3Y

Asset Allocation

1Y

Alternatives

YTD

Equities

1-Mo.

Fixed income

Spot Returns vs. USD (%)

Trends & Takeaways

Monthly Market Monitor | June 2016

Local sovereign currency yields Swiss Franc (CHF)

May ‘16 May ‘15

-0.87 -0.97

Swedish Krona (SEK)

Philippine Peso (PHP)

-0.69 -0.39 -0.60 -0.52

Euro (EUR) *

-0.55 -0.25

Japanese Yen (JPY)

-0.27 0.00

Polish Zloty (PLN) Thai Baht (THB) Malaysian Ringgit (MYR) Chilean Peso (CLP) Mexican Peso (MXN)

Norwegian Krone (NOK)

Indonesian Rupiah (IDR)

0.59 0.89 0.60 0.67

U.S. Dollar (USD)

0.68 0.25

Australian Dollar (AUD)

Colombian Peso (COP) South African Rand (ZAR) Turkish New Lira (TRY) Russian Ruble (RUB)

1.71 1.89

New Zealand Dollar (NZD)

Brazilian Real (BRL)

1.97 2.91 0.00

5.00

Nigerian Naira (NGN) 10.00

15.00

20.00

0.00

5.00

10.00

15.00

Asset Allocation

Canadian Dollar (CAD)

-5.00

Peruvian New Sol (PEN)

Alternatives

0.40 0.48

May ‘16 0.95 1.39 May ‘15 1.26 1.98 1.42 1.62 1.49 1.48 3.00 3.23 3.82 3.87 4.31 3.51 4.87 3.15 6.65 7.14 7.31 4.58 8.05 6.47 9.14 10.06 11.06 13.10 13.38 13.85 13.53 14.77

Equities

Danish Krone (DKK)

British Pound (GBP)

Hungarian Forint (HUF)

Fixed income

Emerging Market Local Interest Rates % (1 Year)

Developed Market Local Interest Rates % (1 Year)

20.00

29

EATON VANCE

Additional Information

* German Rate. Source: Bloomberg as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

Trends & Takeaways

Monthly Market Monitor | June 2016

Commodities return analysis (%) YTD

1Y

3Y

5Y

Bloomberg Commodity Index

-0.19

12.45

8.76

-15.32

-13.16

-12.45

Bloomberg Sub Agriculture

3.43

15.61

11.48

7.50

-8.80

-8.41

Coffee

0.07

4.07

-7.13

-12.94

-10.55

Corn

3.34

12.56

10.57

5.10

Cotton

0.29

14.15

1.07

Soybean

4.76

24.22

Soybean Oil

-3.96

Sugar Wheat

3-Mo.

YTD

1Y

3Y

5Y

-7.27

-0.24

1.67

-21.10

-12.38

-14.00

Aluminum

-7.86

-2.02

1.77

-14.81

-12.22

-15.71

-21.79

Copper

-8.21

-2.05

-2.25

-24.16

-14.54

-13.88

-17.81

-10.97

Nickel

-10.87

-1.43

-5.00

-34.13

-18.48

-19.81

-1.94

-4.27

-12.60

Zinc

-0.89

8.64

18.74

-14.27

-3.09

-6.55

23.22

16.37

-0.04

3.39

-7.07

0.65

14.91

0.00

-6.47

-8.11

2.32

1.99

-8.08

-15.51

-14.70

Gold

-5.82

-1.58

14.61

1.90

-4.75

-5.03

7.19

19.93

13.69

29.96

-10.95

-10.54

Platinum

-9.07

4.90

9.77

-12.00

-12.92

-12.42

-4.89

1.08

-3.38

-7.42

-17.77

-16.97

Silver

-10.22

7.03

15.56

-5.31

-11.47

-16.92

3.08

26.09

6.04

-36.63

-25.64

-21.40

2.42

-2.23

0.01

-13.58

-1.98

-2.24

Brent Crude

4.08

31.13

20.49

-37.10

-26.68

-17.83

Lean Hogs

-1.15

-0.09

7.28

-5.85

-7.63

-5.78

Heating Oil

7.40

31.70

24.41

-34.23

-21.90

-15.50

Live Cattle

5.72

-3.88

-4.41

-17.75

1.22

-0.34

Natural Gas

-1.44

16.10

-16.19

-41.15

-30.99

-32.93

Unleaded Gas

0.34

18.95

-2.20

-27.61

-19.68

-9.98

WTI Crude Oil

5.19

31.05

7.58

-41.40

-27.53

-20.96

Bloomberg Sub Industrial Metals

Bloomberg Sub Precious Metals

Bloomberg Sub Livestock

30

EATON VANCE

Additional Information

Source: Bloomberg, Morningstar as of 5/31/16. 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 Bloomberg Commodity Index. Agriculture represented by Bloomberg Agriculture Subindex. Energy represented by Bloomberg Energy Subindex. Grains represented by Bloomberg Grains Subindex. Industrial Metals represented by Bloomberg Industrial Metals Subindex. Livestock represented by Bloomberg Livestock Subindex. Precious Metals represented by Bloomberg Precious Metals Subindex.

Asset Allocation

1-Mo.

Bloomberg Sub Energy

Index

Alternatives

3-Mo.

Equities

1-Mo.

Fixed income

Index

Trends & Takeaways

Monthly Market Monitor | June 2016

Alternatives asset class return analysis (%) 2009

2010

2011

2012

2013

2014

Real Estate 35.50

Private Equity 19.53

Currency 4.80

MLP 76.41

MLP 35.85

MLP 13.88

Real Estate 18.93

MLP 27.58

Real Estate 27.24

Private Equity 28.71

Commodity 16.23

Global Macro -0.33

Distressed 35.22

Real Estate 26.93

Private Equity 11.03

Distressed 18.06

Private Equity 20.77

MLP 26.07

Global Macro 15.67

Merger Arbitrage -3.92

Real Estate 30.81

Private Equity 20.37

Real Estate 6.05

Private Equity 13.95

Distressed 15.70

MLP 4.80

Real Estate 2.14

Real Estate 3.36

Distressed 16.05

Equity Mrkt.

Neutral 13.41

Equity Mrkt.

Neutral -5.46

Multi-Strategy 25.77

Distressed 18.09

Equity Mrkt.

Neutral 9.62

Currency 3.09

Currency 1.05

Global Macro 1.47

Multi-Strategy 15.45

MLP 12.72

Multi-Strategy -13.22

Commodity 18.91

Commodity 16.83

Multi-Strategy 8.22

Global Macro 0.43

Multi-Strategy -1.16

Currency 1.30

Merger Arbitrage Merger Arbitrage Multi-Strategy 4.91 5.39 0.26

Global Macro -1.25

Distressed 1.05

Merger Arbitrage Multi-Strategy 14.07 10.56

Private Equity Merger Arbitrage 13.40 9.17

Equity Mrkt.

Neutral 13.17

Merger Arbitrage 7.94

Distressed -23.35

Global Macro 10.21

Currency 7.11

Commodity -35.91

Equity Mrkt.

Neutral 11.79

Currency 7.22

Distressed 4.91

MLP -36.91

Commodity 2.07

Real Estate -18.15

Real Estate -40.07

Distressed 0.52 Currency 0.14

Equity Mrkt.

Neutral 5.39

Private Equity Merger Arbitrage 3.32 11.09

YTD 4/16* Commodity 8.96 MLP 6.42

Equity Mrkt.

Neutral -1.43

MLP 4.80

Global Macro 3.01

Equity Mrkt.

Neutral 0.19

Distressed -8.23

Multi-Strategy 0.39

Currency 8.02

Global Macro -2.65

Global Macro 3.65

Real Estate 1.77

Merger Arbitrage -2.11

Commodity -24.66

Equity Mrkt.

Neutral -0.39

Global Macro 6.48

Global Macro 5.77

Multi-Strategy -4.10

Currency 3.44

Currency 0.55

Distressed -3.11

MLP -32.59

Merger Arbitrage -0.51

Currency 3.96

Equity Mrkt.

Neutral 3.72

Commodity -13.32

Commodity -1.06

Commodity -9.52

Commodity -17.01

Private Equity -

Private Equity -

Merger Arbitrage Multi-Strategy 13.16 9.01

31

EATON VANCE

Additional Information

Source: Morningstar as of 5/31/16. *Data is on a 1-month lag. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. Real Estate represented by the Dow Jones US Real Estate Index. Global Macro represented by HFRI Global Macro Index. Merger Arbitrage represented by HFRI Merger Arbitrage Index. Multi-Strategy represented by HFRI Multi-Strategy Index. Currency represented by the HFRI Currency Index. Equity Market Neutral represented by HFRI Equity Market Neutral Index. Commodity represented by Bloomberg Commodity Index. MLP represented by Alerian MLP Index. Distressed represented by HFRI Distressed Securities Index. Private Equity represented Cambridge Associates LLC U.S. Private Equity IndexÂŽ.

Asset Allocation

Lower

Private Equity -22.32

Merger Arbitrage Multi-Strategy 0.68 6.45

2015 Equity Mrkt.

Neutral 4.36

Alternatives

2008

Equities

2007

Fixed income

Higher

2006

Trends & Takeaways

Monthly Market Monitor | June 2016

Major asset class return analysis (%) 2006 Emerging Markets 32.14

2007 Emerging Markets 39.42

International 26.34

Commodities 16.23

Municipal -2.47

Small-Cap 18.37

International 11.17

High Yield -26.16

Asset Allocation Asset Allocation 7.75 -26.69

2010

2011

Small-Cap 26.85

Municipal 10.70

High Yield 58.21

Emerging Markets 18.88

US Agg 7.84

Bank Loan 51.62

Commodities 16.83

International 31.78

2012 Emerging Markets 18.22

2013

2014

2015

YTD 5/16

Small-Cap 38.82

S&P 500 13.69

Municipal 3.30

Commodities 8.76

International 17.32

S&P 500 32.39

Municipal 9.05

S&P 500 1.38

High Yield 8.06

High Yield 4.98

Small-Cap 16.35

International 22.78

US Agg 5.97

US Agg 0.55

Bank Loan 4.49

High Yield 15.12

S&P 500 2.11

S&P 500 16.00

Asset Allocation 13.83

Small-Cap 4.89

Bank Loan -0.69

S&P 500 3.57

S&P 500 15.06

Bank Loan 1.52

High Yield 15.81

High Yield 7.44

Asset Allocation 4.28

International -0.81

US Agg 3.45

Bank Loan 5.29

High Yield 2.45

Asset Allocation 13.62

US Agg 6.97

Bank Loan -29.10

Small-Cap 27.17

High Yield 11.85

S&P 500 5.49

Small-Cap -33.79

S&P 500 26.46

Bank Loan 6.74

Municipal 3.36

Commodities -35.65

Asset Allocation 26.35

Bank Loan 10.13

Small-Cap -4.18

Bank Loan 9.66

US Agg -2.02

Bank Loan 1.60

Small-Cap -4.41

Municipal 2.70

Municipal 4.84

Bank Loan 2.08

S&P 500 -37.00

Commodities 18.91

International 7.75

International -12.14

Municipal 6.78

Municipal -2.55

Emerging Markets -2.19

High Yield -4.47

Emerging Markets 2.32

US Agg 4.33

High Yield 1.87

International -43.38

Municipal 12.91

US Agg 6.54

Commodities -13.32

US Agg 4.21

Emerging Markets -2.60

International -4.90

Emerging Markets -14.92

Small-Cap 2.28

Commodities 2.07

Small-Cap -1.57

Emerging Markets -53.33

US Agg 5.93

Municipal 2.38

Emerging Markets -18.42

Commodities -1.06

Commodities -9.52

Commodities -17.01

Commodities -24.66

International -1.10

Asset Allocation Asset Allocation Asset Allocation -0.35 11.91 12.91

Asset Allocation Asset Allocation 3.27 -2.03

EATON VANCE

Additional Information

32

Asset Allocation

Source: FactSet, Zephyr and Morningstar as of 5./31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. S&P 500 represented by the S&P 500 Index. International represented by MSCI EAFE Index. Emerging Markets represented by MSCI Emerging Markets Index. Small-Cap represented by Russell 2000 Index. US Aggregate represented by the Barclays Capital US Aggregate Bond Index. Municipal represented by Barclays Municipal Bond Index. High Yield represented by Barclays US Corporate High Yield Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Commodity represented by Bloomberg Commodity Index. The Asset Allocation portfolio assumes the following weights: 25% in the S&P 500 Index, 15% in the MSCI EAFE Index, 5% in the MSCI Emerging Markets Index, 10% in the Russell 2000 Index, 25% in the Barclays Capital US Aggregate Bond Index, 5% in the Barclays Municipal Bond Index, 5% in the Barclays US Corporate High Yield Index, 5% in the S&P/LSTA Leveraged Loan Index, and 5% in the Bloomberg Commodity Index.

Alternatives

Lower

US Agg 5.24

2009 Emerging Markets 78.51

Equities

S&P 500 15.79

2008

Fixed income

Higher

Trends & Takeaways

Monthly Market Monitor | June 2016

Major asset classes correlation table US Aggregate

Municipal

High Yield

Bank Loan

Commodities

S&P 500

1.00

0.90

0.79

0.92

0.04

0.09

0.73

0.59

0.50

International

0.87

1.00

0.89

0.80

0.14

0.13

0.77

0.60

0.60

Emerging Markets

0.77

0.86

1.00

0.73

0.17

0.14

0.76

0.61

0.66

Small-Cap

0.89

0.76

0.70

1.00

-0.03

0.05

0.71

0.57

0.44

US Aggregate

-0.17

-0.08

0.05

-0.21

1.00

0.52

0.24

0.00

0.08

Municipal

-0.17

-0.07

0.02

-0.21

0.79

1.00

0.34

0.30

-0.04

High Yield

0.76

0.81

0.81

0.72

0.18

0.08

1.00

0.86

0.53

Bank Loan

0.62

0.67

0.64

0.60

-0.01

-0.08

0.81

1.00

0.44

Commodities

0.46

0.55

0.61

0.43

-0.01

-0.03

0.63

0.42

1.00

5 Years ended April 30, 2016

10 Years ended April 30, 2016

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Additional Information

Source: FactSet, Zephyr and Morningstar as of 5/31/16. The table above shows the return correlation between various asset classes (represented by market indices as defined in this disclosure) over the past five and ten years.

Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information. S&P 500 is represented by the S&P 500 Index. International is represented by MSCI EAFE Index. Emerging Markets is represented by MSCI Emerging Markets Index. Small-Cap is represented by Russell 2000 Index. US Aggregate is represented by the Barclays Capital US Aggregate Bond Index. Municipal is represented by Barclays Municipal Bond Index. High Yield is represented by Barclays US Corporate High Yield Index. Bank Loan is represented by S&P/LSTA Leveraged Loan Index. Commodity is represented by Bloomberg Commodity Index.

Asset Allocation

Small-Cap

Alternatives

Emerging Markets

Equities

International

Fixed income

S&P 500

Trends & Takeaways

Monthly Market Monitor | June 2016

Fund and ETF flows by category 1 Mo.

3 Mo.

12 Mo.

4/16

1 Mo.

3 Mo.

12 Mo.

12,703

31,621

31,634

Large Blend

4,077

9,160

49,806

Short-Term Bond

2,787

4,339

(409)

Intermediate-Term Bond

2,790

7,872

23,662

Muni National Interm

2,786

7,440

18,358

Large Value

2,102

7,408

13,629

High Yield Bond

2,113

11,316

(11,750)

4/16 Intermediate-Term Bond

Corporate Bond

1,873

6,241

10,651

1,768

5,030

37,032

1,882

11,469

86,606

Multisector Bond

1,405

2,141

(8,187)

Diversified Emerging Mkts

1,572

6,578

1,414

High Yield Muni

1,177

3,150

5,912

Small Blend

1,387

927

4,813

Corporate Bond

856

4,582

3,365

Trading--Inverse Equity

1,032

5,211

5,102

Muni National Long

834

1,853

1,054

Inflation-Protected Bond

969

2,633

4,234

Inflation-Protected Bond

792

529

(2,847)

Volatility

960

2,073

2,465

1 Mo.

3 Mo.

12 Mo.

4/16

Natural Resources

(615)

(662)

(2,065)

Intermediate Government Consumer Defensive Ultrashort Bond

Large Value

1 Mo.

3 Mo.

12 Mo.

(575)

53

2,907

(732)

265

2,043

(852)

(1,790)

2,692

Consumer Cyclical

(1,131)

(1,712)

(3,045)

Trading--Leveraged Equity

(1,181)

(3,606)

143

(644)

(1,210)

(29,031)

Health

(1,039)

(3,928)

(1,976)

Foreign Large Growth

(1,284)

102

7,239

Small Growth

(1,651)

(2,628)

(9,930)

World Stock

(1,653)

(2,630)

(6,376)

Short Government

(1,407)

(4,387)

2,004

(1,430)

1,016

5,521

(2,063)

(9,122)

(23,279)

Mid-Cap Growth

(2,083)

(4,810)

(12,367)

Europe Stock

(1,733)

(7,227)

6,014

World Allocation

(2,353)

(7,893)

(25,831)

Japan Stock

(1,924)

(6,265)

(2,933)

Large Growth

(9,326)

(15,145)

(33,175)

Large Growth

(3,339)

(5,447)

3,594

Source: Morningstar as of 5/31/16. Data provided is for informational use only. Past performance is no guarantee of future results. See end of report for important additional information.

34

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Additional Information

Nontraditional Bond

Long Government

Asset Allocation

4/16

Alternatives

Bottom 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)

Bottom 10 Open-End Mutual Fund Categories by Monthly Flows ($MM)

Equities

Foreign Large Blend

Foreign Large Blend

Fixed income

Top 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)

Top 10 Open-End Mutual Fund Categories by Monthly Flows ($MM)

Trends & Takeaways

Monthly Market Monitor | June 2016

Glossary of terms

35

EATON VANCE

Additional Information

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.

Asset Allocation

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) is an unmanaged total return, capitalization-weighted index that measures the performance of stock markets in 15 Pacific region countries, including Australia, China, Hong Kong, India, Indonesia, Japan, Korea, Malaysia, New Zealand, Pakistan, the Philippines, Singapore, Sri Lanka, Taiwan and Thailand 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 marketcapitalization-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-capitalizationweighted index designed to measure the equity market performance of the developed markets in Europe

Alternatives

performance of USD denominated inflation linked sovereign debt publicly issued by the US government BofA Merrill Lynch Fixed Rate Preferred Securities Index is an unmanaged index of fixed-rate, preferred securities issued in the U.S. BofA Merrill Lynch UK Gilts 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 Bloomberg Commodity Index is a broadly diversified index tracking futures contracts on physical commodities 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 strategy on the S&P 500 Index FTSE 100 Index is an unmanaged market-capitalization weighted index representing the performance of the 100 largest UK listed blue chip companies, which pass screening for size and liquidity FTSE All Small Index consists of all the companies in the FTSE SmallCap and FTSE Fledgling indices JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Diversified is a market-cap weighted index that measures USDdenominated emerging market corporate bonds JPMorgan Emerging Markets Bond Index Plus (EMBI+) is a market-cap weighted index that measures USD-denominated Brady Bonds, Eurobonds, and traded loans issued by sovereign entities JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified is an unmanaged index of local-currency bonds

Equities

Barclays Global Aggregate Ex-USD Index is a broad-based measure of global Investment Grade fixed-rate debt investments, excluding USD-denominated debt Barclays High Yield Municipal Bond Index is an unmanaged index of non-Investment Grade Municipal bonds traded in the U.S. Barclays Municipal Bond Index is an unmanaged index of Municipal bonds traded in the U.S. Barclays U.S. Agency Index measures agency securities issued

by U.S government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government Barclays U.S. Aggregate Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securities Barclays U.S. Asset Backed Securities (ABS) Index measures ABS with the following collateral type: credit and charge card, auto, and utility loans Barclays U.S. CMBS Index measures the market of conduit and fusion CMBS deals with a minimum current deal size of $300mn Barclays U.S. Corporate High Yield Index measures USDdenominated, non-Investment Grade corporate securities Barclays U.S. Corporate Investment Grade Index is an unmanaged index that measures the performance of investmentgrade corporate securities within the Barclays U.S. Aggregate Index Barclays U.S. Mortgage Backed Securities (MBS) Index measures agency mortgage-backed pass-through securities issued

by GNMA, FNMA, and FHLMC Barclays U.S. Treasury Index measures public debt instruments issued by the U.S. Treasury BofA Merrill Lynch US Inflation-Linked Treasury Index tracks the

Fixed income

Index definitions

Trends & Takeaways

Monthly Market Monitor | June 2016

Glossary of terms and about risk

36

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.

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.

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Additional Information

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.

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

Asset Allocation

Terms

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. 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. 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.

Alternatives

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 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.

Equities

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

About risk

Fixed income

Index definitions (cont.)

Trends & Takeaways

Monthly Market Monitor | June 2016

About Eaton Vance

Fixed income

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Before investing, investors should consider carefully the investment objectives, risks, charges and expenses of a mutual fund. This and other important information is contained in the prospectus and summary prospectus which can be obtained from a financial advisor. Prospective investors should read the prospectus carefully before investing.

Equities

Eaton Vance Management (EVM) is an investment advisor with its headquarters located at Two International Place, Boston, MA 02110. This material is for illustrative and informational purposes only and should not be considered investment advice, a recommendation to purchase or sell any particular securities or to adopt any particular investment strategy. Investing entails risks and there can be no assurance that EVM or its affiliates will achieve profits or avoid incurring losses.

Fixed income

Mutual Funds are distributed by Eaton Vance Distributors, Inc. Two International Place, Boston, MA 02110, (800) 225-6265. Member FINRA/ SIPC.

Alternatives Asset Allocation

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