N-Q/A 1 d694949dnqa.htm EATON VANCE GROWTH TRUST Eaton Vance Growth Trust

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q/A

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-01241

Investment Company Act File Number

Eaton Vance Growth Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

July 31

Date of Fiscal Year End

October 31, 2018

Date of Reporting Period

Explanatory Note:

This Form N-Q/A amends Form N-Q of the registrant for the reporting period ended October 31, 2018 filed with the Securities and Exchange Commission on December 28, 2018. The purpose of the amendment is to update the Schedule of Investments at Item 1 for the Parametric Research Affiliates Systematic Alternative Risk Premia Fund (the Fund), to reflect the Fund’s investment in a wholly-owned subsidiary on a consolidated basis, as such information was inadvertently omitted. Other than the aforementioned revision, this Form N-Q/A does not reflect events occurring after the filing of the original Form N-Q, or modify or update the disclosures therein in any way.

 

 

 


Item 1. Schedule of Investments

Parametric Research Affiliates Systematic Alternative Risk Premia Fund


Parametric Research Affiliates Systematic Alternative Risk Premia Fund

October 31, 2018

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

U.S. Treasury Obligations — 93.3%

 

                                                 
Security    Principal
Amount
(000’s omitted)
     Value  
U.S. Treasury Notes:      

1.00%, 8/31/19

   $ 1,150      $ 1,134,546  

1.50%, 1/31/19

     6,000        5,988,068  

1.625%, 7/31/19(1)

     7,500        7,445,947  
     

 

 

 

Total U.S. Treasury Obligations
(identified cost $14,553,479)

      $ 14,568,561  
     

 

 

 

Short-Term Investments — 5.6%

     

Other — 5.6%

     
Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 2.28%(2)

     880,606      $ 880,519  
     

 

 

 

Total Other
(identified cost $880,577)

      $ 880,519  
     

 

 

 

Total Short-Term Investments
(identified cost $880,577)

      $ 15,449,080  
     

 

 

 

Total Investments — 98.9%
(identified cost $15,434,056)

      $ 15,449,080  
     

 

 

 

Other Assets, Less Liabilities — 1.1%

      $ 168,341  
     

 

 

 

Net Assets — 100.0%

      $ 15,617,421  
     

 

 

 

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

 

(1)

Security (or a portion thereof) has been pledged to cover margin requirements on open futures contracts.

 

(2)

Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of October 31, 2018. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended October 31, 2018 was $7,888.

 

1

 

 


Futures Contracts

 

                                                                                                                            

Description

   Number of
Contracts
     Position      Expiration
Date
     Notional
Amount
    Value/Unrealized
Appreciation
(Depreciation)
 

Commodity Futures

             

Brent Crude Oil

     12        Long        11/30/18      $ 900,480     $ (129,509

Cocoa

     6        Long        12/13/18        134,040       10,595  

LME Copper

     3        Long        11/19/18        450,488       (12,439

LME Copper

     3        Long        12/17/18        450,075       (27

LME Lead

     2        Long        11/19/18        95,675       (3,955

LME Nickel

     2        Long        11/19/18        137,286       (11,900

LME Nickel

     2        Long        12/17/18        137,598       (15,488

LME Primary Aluminum

     2        Long        11/19/18        97,350       (4,443

LME Zinc

     2        Long        11/19/18        127,338       (6,330

Low Sulphur Gasoil

     14        Long        12/12/18        978,600       (45,665

NY Harbor ULSD

     6        Long        11/30/18        567,353       (44,196

RBOB Gasoline

     12        Long        11/30/18        882,706       (185,785

RBOB Gasoline

     1        Long        12/31/18        73,597       (4

WTI Crude Oil

     14        Long        11/19/18        914,340       (149,891

Coffee

     13        Short        12/18/18        (549,413     (20,335

Corn

     30        Short        12/14/18        (544,875     (2,284

Cotton No. 2

     7        Short        3/7/19        (274,050     (29

Feeder Cattle

     2        Short        1/31/19        (150,125     4,232  

Gold

     4        Short        12/27/18        (486,000     3,114  

Hard Red Winter Wheat

     5        Short        12/14/18        (123,313     23,980  

Lean Hogs

     6        Short        12/14/18        (140,280     (1,282

Live Cattle

     12        Short        12/31/18        (561,360     (12,196

LME Copper

     3        Short        11/19/18        (450,488     (7,508

LME Copper

     4        Short        12/17/18        (600,100     19,402  

LME Lead

     2        Short        11/19/18        (95,675     5,670  

LME Lead

     3        Short        12/17/18        (144,225     6,379  

LME Nickel

     2        Short        11/19/18        (137,286     15,412  

LME Nickel

     2        Short        12/17/18        (137,598     (26

LME Nickel

     4        Short        1/14/19        (275,784     (52

LME Primary Aluminum

     2        Short        11/19/18        (97,350     6,082  

LME Primary Aluminum

     5        Short        12/17/18        (244,813     14,580  

LME Primary Aluminum

     6        Short        1/14/19        (292,275     (54

LME Zinc

     2        Short        11/19/18        (127,338     (8,280

LME Zinc

     2        Short        12/17/18        (125,738     6,645  

Natural Gas

     4        Short        11/28/18        (130,440     (2,935

Silver

     2        Short        12/27/18        (142,820     12,872  

Soybean

     3        Short        1/14/19        (127,763     3,646  

Sugar No. 11

     36        Short        2/28/19        (531,821     (49,709

Wheat

     21        Short        12/14/18        (525,525     26,216  

Wheat

     1        Short        3/14/19        (25,800     (4

Equity Futures

             

Amsterdam Exchange Index

     6        Long        11/16/18        702,041       (7,059

FTSE 100 Index

     8        Long        12/21/18        725,985       (19,825

FTSE MIB Index

     7        Long        12/21/18        751,567       (80,265

Hang Seng Index

     5        Long        11/29/18        796,269       3,499  

 

2

 

 


                                                                                                                            

Description

   Number of
Contracts
     Position      Expiration
Date
     Notional
Amount
    Value/Unrealized
Appreciation
(Depreciation)
 

IBEX 35 Index

     18        Long        11/16/18      $ 1,810,070     $ (25,201

CAC 40 Index

     6        Short        11/16/18        (345,245     490  

DAX 30 Index

     1        Short        12/21/18        (323,771     689  

E-mini S&P 500 Index

     14        Short        12/21/18        (1,897,770     129,934  

Nikkei 225 Index

     4        Short        12/13/18        (773,082     22,940  

OMX Stockholm 30 Index

     22        Short        11/16/18        (367,893     370  

S&P/TSX 60 Index

     19        Short        12/20/18        (2,581,154     101,473  

SPI 200 Index

     7        Short        12/20/18        (720,785     44,656  

Foreign Currency Futures

             

Australian Dollar

     22        Long        12/17/18        1,556,940       (21,556

Canadian Dollar

     21        Long        12/18/18        1,595,895       (23,780

New Zealand Dollar

     24        Long        12/17/18        1,565,520       (9,922

Norwegian Krone

     7        Long        12/17/18        1,663,340       (37,968

British Pound Sterling

     8        Short        12/17/18        (639,800     14,803  

Euro

     20        Short        12/17/18        (2,838,875     87,345  

Japanese Yen

     25        Short        12/17/18        (2,773,594     9,567  

Swedish Krona

     3        Short        12/17/18        (657,420     15,382  

Swiss Franc

     40        Short        12/17/18        (4,979,000     209,344  

Interest Rate Futures

             

Australia 10-Year Bond

     76        Long        12/17/18        6,964,914       (5,677

Euro-BTP

     34        Long        12/6/18        4,684,370       (34,695

Euro-OAT

     23        Long        12/6/18        3,958,704       (9,409

U.S. 10-Year Treasury Note

     15        Long        12/19/18        1,776,563       (5,417

Canada 10-Year Bond

     40        Short        12/18/18        (4,015,345     26,633  

Euro-Bund

     10        Short        12/6/18        (1,815,186     476  

Japan 10-Year Bond

     4        Short        12/13/18        (5,339,832     (18,176

Long Gilt

     30        Short        12/27/18        (4,693,935     (17,215
             

 

 

 
              $     (204,065
             

 

 

 

Abbreviations:

 

LME

  -   London Metal Exchange

RBOB

  -   Reformulated Blendstock for Oxygenate Blending

ULSD

  -   Ultra-Low Sulfur Diesel

WTI

  -   West Texas Intermediate

Parametric Research Affiliates Systematic Alternative Risk Premia Fund (the Fund) is a diversified series of Eaton Vance Growth Trust (the Trust). The Trust is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company. The Fund’s investment objective is total return. The Fund commenced operations on August 1, 2018.

The Fund seeks to gain exposure to commodities, in whole or in part, through investments in SARP Commodity Subsidiary, Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”) with the same investment objective and principal investment strategies as the Fund. The Fund may invest up to 25% of its total assets in the Subsidiary, which invests primarily in commodity-related investments, and may also invest in other instruments in which the Fund is permitted to invest. The net assets of the Subsidiary at October 31, 2018 were $1,329,115 or 8.5% of the Fund’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Fund and the Subsidiary.

 

3

 

 


The Fund’s investment adviser is Eaton Vance Management (EVM). Pursuant to an investment sub-advisory agreement, EVM has delegated the investment management of the Fund to Parametric Portfolio Associates LLC, a majority-owned affiliate of Eaton Vance Corp.

Pursuant to a separate investment sub-advisory agreement, EVM has also engaged Research Affiliates, LLC, a limited liability corporation, to provide certain non-discretionary sub-advisory services such as research and portfolio modeling to the Fund.

The following is a summary of significant accounting policies of the Fund. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

Investment Valuation and Other

The following methodologies are used to determine the market value or fair value of investments.

Debt Securities. Debt securities are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events.

Derivatives. Financial and commodities futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded.

Foreign financial futures contracts are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads.

The daily valuation of certain exchange-traded foreign financial futures contracts generally is determined as of the close of trading on the principal exchange on which such contracts trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of certain foreign financial futures contracts to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign financial futures contracts that meet certain criteria, the Fund’s Trustees have approved the use of a fair value service that values such foreign financial futures contracts to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the foreign financial futures contracts.

Affiliated Fund. The Fund may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by EVM. While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values its investment securities based on available market quotations provided by a third party pricing service.

Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Fund in a manner that fairly reflects the security’s value, or the amount that the Fund might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

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

 

4

 

 


Financial and Commodities Futures Contracts: Upon entering into a financial or commodities futures contract, the Fund is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Fund periodically, typically each business day, depending on the daily fluctuations in the value of the underlying security, index, commodity or currency, and are recorded as unrealized gains or losses by the Fund. Gains (losses) are realized upon the expiration or closing of the financial or commodities futures contracts. Should market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of the financial or commodities futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

At October 31, 2018, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

The Fund seeks to provide exposure to “risk premia” by taking long and short positions using derivative instruments to gain market exposure across four asset classes: equities, fixed income, commodities and currencies. Risk premia are the returns assets are expected to generate in excess of the return of a risk-free investment as compensation for taking risk.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at October 31, 2018 was as follows:

 

Risk

  

Derivative

   Asset
Derivative
     Liability
Derivative
 
Commodity    Futures contracts    $ 158,825      $ (714,326
     

 

 

    

 

 

 

Total

      $ 158,825      $ (714,326
     

 

 

    

 

 

 
Equity Price    Futures contracts    $     304,051      $     (132,350
     

 

 

    

 

 

 

Total

      $ 304,051      $ (132,350
     

 

 

    

 

 

 
Foreign Exchange    Futures contracts    $ 336,441      $ (93,226
     

 

 

    

 

 

 

Total

      $ 336,441      $ (93,226
     

 

 

    

 

 

 
Interest Rate    Futures contracts    $ 27,109      $ (90,589
     

 

 

    

 

 

 

Total

      $ 27,109      $ (90,589
     

 

 

    

 

 

 

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

 

Level 1 — quoted prices in active markets for identical investments

 

 

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

 

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

5

 

 


At October 31, 2018, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

U.S. Treasury Obligations

   $      $ 14,568,561      $  —      $ 14,568,561  

Short-Term Investments

            880,519               880,519  

Total Investments

   $      $     15,449,080      $      $     15,449,080  

Futures Contracts

   $ 753,782      $ 72,644      $      $ 826,426  

Total

   $ 753,782      $ 15,521,724      $      $ 16,275,506  
Liability Description                                

Futures Contracts

   $ (898,141    $ (132,350    $      $ (1,030,491

Total

   $     (898,141    $ (132,350    $      $ (1,030,491

 

6

 

 


Item 2. Controls and Procedures

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

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3. Exhibits

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act is attached hereto.


Signatures

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

Eaton Vance Growth Trust

 

By:   /s/ Payson F. Swaffield
  Payson F. Swaffield
  President
Date:   March 7, 2019

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

 

By:   /s/ Payson F. Swaffield
  Payson F. Swaffield
  President
Date:   March 7, 2019
By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   March 7, 2019