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
33
EATON VANCE
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
EATON VANCE
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. EATON VANCE
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
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.
Equities Alternatives Asset Allocation
EATON VANCE
Additional Information
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Trends & Takeaways
Monthly Market Monitor | June 2016
For more information
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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38
6.6.16 EATON VANCE
Additional Information
5265