N-Q 1 a07-28683_2nq.htm N-Q

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number

 

811-22044

Eaton Vance Risk-Managed Diversified
Equity Income Fund

(Exact Name of Registrant as Specified in Charter)

The Eaton Vance Building,
255 State Street, Boston, Massachusetts

 

02109

(Address of Principal Executive Offices)

 

(Zip code)

Maureen A. Gemma
Eaton Vance Management, 255 State Street, Boston, Massachusetts 02109

(Name and Address of Agent for Services)

Registrant’s Telephone Number, Including Area Code:

 

(617) 482-8260

Date of Fiscal Year End:

 

December 31

Date of Reporting Period:

 

September 30, 2007

 

 



Item 1. Schedule of Investments



Eaton Vance Risk-Managed Diversified Equity Income Fund                                          as of September 30, 2007

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks (1) — 98.6%

Security

 

Shares

 

Value

 

Aerospace & Defense — 2.2%

 

 

 

 

 

Boeing Co.

 

144,783

 

$

15,200,767

 

United Technologies Corp.

 

192,065

 

15,457,391

 

 

 

 

 

$

30,658,158

 

Auto Components — 0.6%

 

 

 

 

 

Johnson Controls, Inc.

 

74,270

 

$

8,772,030

 

 

 

 

 

$

8,772,030

 

Beverages — 1.0%

 

 

 

 

 

Coca-Cola Co. (The)

 

234,261

 

$

13,462,980

 

 

 

 

 

$

13,462,980

 

Biotechnology — 1.3%

 

 

 

 

 

Cephalon, Inc. (2)

 

117,798

 

$

8,606,322

 

Gilead Sciences, Inc. (2)

 

225,435

 

9,213,528

 

 

 

 

 

$

17,819,850

 

Capital Markets — 3.9%

 

 

 

 

 

Ameriprise Financial, Inc.

 

132,871

 

$

8,385,489

 

Goldman Sachs Group, Inc.

 

95,080

 

20,607,639

 

Merrill Lynch & Co., Inc.

 

232,460

 

16,569,749

 

T. Rowe Price Group, Inc.

 

154,325

 

8,594,359

 

 

 

 

 

$

54,157,236

 

Chemicals — 1.7%

 

 

 

 

 

E.I. du Pont de Nemours & Co.

 

479,641

 

$

23,771,008

 

 

 

 

 

$

23,771,008

 

Commercial Banks — 2.9%

 

 

 

 

 

Wachovia Corp.

 

793,367

 

$

39,787,355

 

 

 

 

 

$

39,787,355

 

Communications Equipment — 2.0%

 

 

 

 

 

Cisco Systems, Inc. (2)

 

312,158

 

$

10,335,551

 

Corning, Inc.

 

345,320

 

8,512,138

 

QUALCOMM, Inc.

 

202,070

 

8,539,478

 

 

 

 

 

$

27,387,167

 

Computer Peripherals — 3.1%

 

 

 

 

 

Apple, Inc. (2)

 

73,752

 

$

11,323,882

 

Hewlett-Packard Co.

 

178,977

 

8,911,265

 

International Business Machines Corp.

 

123,229

 

14,516,376

 

Network Appliance, Inc. (2)

 

287,509

 

7,736,867

 

 

 

 

 

$

42,488,390

 

 

1



 

 

 

Diversified Financial Services — 9.5%

 

 

 

 

 

Bank of America Corp.

 

780,707

 

$

39,246,141

 

Citigroup, Inc.

 

793,705

 

37,042,212

 

ING Groep NV ADR

 

566,225

 

25,089,430

 

JPMorgan Chase & Co.

 

625,616

 

28,665,725

 

 

 

 

 

$

130,043,508

 

Diversified Telecommunication Services — 3.9%

 

 

 

 

 

AT&T, Inc.

 

778,787

 

$

32,950,478

 

Verizon Communications, Inc.

 

469,744

 

20,800,264

 

 

 

 

 

$

53,750,742

 

Electrical Equipment — 2.6%

 

 

 

 

 

Emerson Electric Co.

 

673,765

 

$

35,857,773

 

 

 

 

 

$

35,857,773

 

Energy Equipment & Services — 1.9%

 

 

 

 

 

Schlumberger, Ltd. (3)

 

158,544

 

$

16,647,120

 

Transocean, Inc. (2)(3)

 

79,253

 

8,959,552

 

 

 

 

 

$

25,606,672

 

Food & Staples Retailing — 2.3%

 

 

 

 

 

Kroger Co.

 

309,765

 

$

8,834,498

 

Sysco Corp.

 

310,199

 

11,039,982

 

Wal-Mart Stores, Inc.

 

281,482

 

12,286,689

 

 

 

 

 

$

32,161,169

 

Health Care Equipment & Supplies — 2.9%

 

 

 

 

 

Baxter International, Inc.

 

419,764

 

$

23,624,318

 

Medtronic, Inc.

 

276,048

 

15,571,868

 

 

 

 

 

$

39,196,186

 

Health Care Providers & Services — 1.5%

 

 

 

 

 

Aetna, Inc.

 

216,877

 

$

11,769,915

 

UnitedHealth Group, Inc.

 

174,278

 

8,440,284

 

 

 

 

 

$

20,210,199

 

Hotels, Restaurants & Leisure — 3.1%

 

 

 

 

 

International Game Technology

 

274,105

 

$

11,813,926

 

McDonald’s Corp.

 

244,567

 

13,321,564

 

Starwood Hotels & Resorts Worldwide, Inc.

 

283,549

 

17,225,602

 

 

 

 

 

$

42,361,092

 

Household Products — 2.6%

 

 

 

 

 

Colgate-Palmolive Co.

 

124,293

 

$

8,864,577

 

Kimberly-Clark Corp.

 

229,682

 

16,137,457

 

Procter & Gamble Co.

 

151,338

 

10,645,115

 

 

 

 

 

$

35,647,149

 

 

2



 

 

 

Industrial Conglomerates — 3.1%

 

 

 

 

 

General Electric Co.

 

1,022,516

 

$

42,332,162

 

 

 

 

 

$

42,332,162

 

Insurance — 0.7%

 

 

 

 

 

MBIA, Inc.

 

163,938

 

$

10,008,415

 

 

 

 

 

$

10,008,415

 

Internet Software & Services — 1.9%

 

 

 

 

 

Akamai Technologies, Inc. (2)

 

199,392

 

$

5,728,532

 

eBay, Inc. (2)

 

255,145

 

9,955,758

 

Google, Inc., Class A (2)

 

17,599

 

9,983,385

 

 

 

 

 

$

25,667,675

 

IT Services — 2.5%

 

 

 

 

 

Accenture Ltd., Class A (3)

 

310,000

 

$

12,477,500

 

MasterCard, Inc., Class A

 

55,757

 

8,250,363

 

Paychex, Inc.

 

347,096

 

14,230,936

 

 

 

 

 

$

34,958,799

 

Machinery — 3.6%

 

 

 

 

 

Deere & Co.

 

192,705

 

$

28,601,276

 

Eaton Corp.

 

207,011

 

20,502,369

 

 

 

 

 

$

49,103,645

 

Media — 2.7%

 

 

 

 

 

Time Warner, Inc.

 

826,168

 

$

15,168,444

 

Walt Disney Co.

 

627,876

 

21,592,656

 

 

 

 

 

$

36,761,100

 

Multiline Retail — 0.7%

 

 

 

 

 

J.C. Penney Company, Inc.

 

141,024

 

$

8,936,691

 

 

 

 

 

$

8,936,691

 

Multi-Utilities — 3.3%

 

 

 

 

 

Dominion Resources, Inc.

 

296,540

 

$

24,998,322

 

Public Service Enterprise Group, Inc.

 

226,893

 

19,964,315

 

 

 

 

 

$

44,962,637

 

Oil, Gas & Consumable Fuels — 9.4%

 

 

 

 

 

Anadarko Petroleum Corp.

 

207,270

 

$

11,140,763

 

ConocoPhillips

 

373,198

 

32,755,588

 

Exxon Mobil Corp.

 

463,967

 

42,944,786

 

Hess Corp.

 

139,023

 

9,249,200

 

Occidental Petroleum Corp.

 

283,102

 

18,141,176

 

Williams Cos., Inc.

 

421,064

 

14,341,440

 

 

 

 

 

$

128,572,953

 

 

3



 

 

 

Paper and Forest Products — 1.6%

 

 

 

 

 

Weyerhaeuser Co.

 

309,133

 

$

22,350,316

 

 

 

 

 

$

22,350,316

 

Pharmaceuticals — 5.4%

 

 

 

 

 

Abbott Laboratories

 

758,238

 

$

40,656,722

 

Allergan, Inc.

 

157,237

 

10,137,069

 

Wyeth

 

528,009

 

23,522,801

 

 

 

 

 

$

74,316,592

 

Real Estate Investment Trusts (REITs) — 2.2%

 

 

 

 

 

AvalonBay Communities, Inc.

 

101,527

 

$

11,986,278

 

Vornado Realty Trust

 

169,920

 

18,580,752

 

 

 

 

 

$

30,567,030

 

Retail-Food and Drug — 0.7%

 

 

 

 

 

CVS Caremark Corp.

 

235,330

 

$

9,326,128

 

 

 

 

 

$

9,326,128

 

Semiconductors & Semiconductor Equipment — 4.2%

 

 

 

 

 

Intel Corp.

 

1,199,273

 

$

31,013,200

 

Maxim Integrated Products, Inc.

 

260,144

 

7,635,226

 

Microchip Technology, Inc.

 

260,306

 

9,454,314

 

NVIDIA Corp. (2)

 

276,209

 

10,009,814

 

 

 

 

 

$

58,112,554

 

Software — 2.4%

 

 

 

 

 

Microsoft Corp.

 

1,123,674

 

$

33,103,436

 

 

 

 

 

$

33,103,436

 

Specialty Retail — 2.8%

 

 

 

 

 

Best Buy Co., Inc.

 

261,072

 

$

12,014,533

 

Lowe’s Companies, Inc.

 

295,431

 

8,277,977

 

Staples, Inc.

 

846,228

 

18,185,440

 

 

 

 

 

$

38,477,950

 

Tobacco — 2.4%

 

 

 

 

 

Altria Group, Inc.

 

474,558

 

$

32,996,018

 

 

 

 

 

$

32,996,018

 

Total Common Stocks
(identified cost $1,299,078,518)

 

 

 

$

1,353,692,765

 

 

4



 

 

Put Options Purchased — 1.3%

Security

 

Number of
Contracts

 

Value

 

S&P 500 Index, Expires 12/22/07, Strike $1,335

 

2,090

 

$

1,985,500

 

S&P 500 Index, Expires 12/22/07, Strike 1,400

 

1,035

 

1,656,000

 

S&P 500 Index, Expires 12/22/07, Strike 1,405

 

1,035

 

1,759,500

 

S&P 500 Index, Expires 12/22/07, Strike 1,420

 

1,360

 

2,611,200

 

S&P 500 Index, Expires 12/22/07, Strike 1,425

 

2,130

 

3,940,500

 

S&P 500 Index, Expires 12/22/07, Strike 1,435

 

2,090

 

4,524,850

 

S&P 500 Index, Expires 12/22/07, Strike 1,450

 

667

 

1,587,460

 

Total Put Options Purchased
(identified cost $44,888,121)

 

 

 

$

18,065,010

 

 

Short-Term Investments — 1.3%

Description

 

Interest
(000’s omitted)

 

Value

 

Investment in Cash Management Portfolio, 5.01% (4)

 

$

17,373

 

$

17,373,220

 

Total Short-Term Investments
(identified cost $17,373,220)

 

 

 

$

17,373,220

 

Total Investments — 101.2%
(identified cost $1,361,339,859)

 

 

 

$

1,389,130,995

 

 

Covered Call Options Written — (1.1%)

Type of Contract

 

Number of
Contracts

 

Premiums
Received

 

Value

 

S&P 500 Index, Expires 10/20/07, Strike $1,490

 

181

 

$

732,706

 

$

(929,435

)

S&P 500 Index, Expires 10/20/07, Strike 1,525

 

4,952

 

16,142,801

 

(12,825,680

)

S&P 500 Index, Expires 10/20/07, Strike 1,530

 

360

 

1,223,136

 

(853,200

)

S&P 500 Index, Expires 10/20/07, Strike 1,535

 

370

 

1,183,112

 

(740,000

)

Total Covered Call Options Written
(premiums received $19,281,755)

 

 

 

 

 

$

(15,348,315

)

 

5



 

 

Put Options Written — (0.4%)

Type of Contract

 

Number of
Contracts

 

Premiums
Received

 

Value

 

AON Corp., Expires 10/20/07, Strike $35

 

3,542

 

$

145,222

 

$

(106,260

)

Apple Inc., Expires 10/20/07, Strike 130

 

763

 

589,036

 

(27,468

)

Bank of New York Mellon, Expires 12/21/2007, Strike 40

 

5,123

 

548,043

 

(476,439

)

Cisco Systems Inc., Expires 10/20/07, Strike 27.5

 

3,381

 

267,099

 

(6,762

)

Comcast Corp., Expires 10/20/07, Strike 25

 

6,200

 

328,600

 

(651,000

)

Corning Inc., Expires 1/18/08, Strike 22.5

 

4,553

 

500,830

 

(455,300

)

CVS Corp., Expires 1/18/08, Strike 35

 

2,732

 

150,260

 

(136,600

)

Diamond Offshore, Inc., Expires 12/21/07, Strike 100

 

1,366

 

350,625

 

(314,180

)

Ebay Inc., Expires 1/18/2008, Strike 35

 

1,951

 

215,800

 

(216,561

)

Ecolab, Inc., Expires 10/20/07, Strike 40

 

2,325

 

139,500

 

(23,250

)

Edison International, Expires 11/16/07, Strike 52.5

 

1,951

 

128,766

 

(185,345

)

FDX Corp., Expires 10/20/07, Strike 100

 

930

 

145,638

 

(79,050

)

General Dynamics Corp., Expires 11/17/07, Strike 75

 

2,480

 

546,592

 

(86,800

)

GoldCorp, Inc., Expires 10/20/07, Strike 22.5

 

5,511

 

325,149

 

(27,555

)

H&R Block, Expires 1/18/08, Strike 20

 

5,123

 

613,479

 

(655,744

)

Illinois Tool Works, Inc., Expires 12/21/07, Strike 50

 

2,049

 

100,340

 

(92,205

)

Johnson & Johnson, Expires 10/20/07, Strike 55

 

2,930

 

86,201

 

(14,650

)

Merrill Lynch, Expires 1/18/08, Strike 65

 

903

 

273,609

 

(225,750

)

Nokia Corp., Expires 1/18/08, Strike 32.5

 

4,203

 

350,993

 

(298,413

)

NRG Energy Inc., Expires 12/21/07, Strike 37.5

 

2,732

 

218,560

 

(239,050

)

PepsiCo, Inc., Expires 10/20/07, Strike 65

 

2,384

 

417,200

 

(23,840

)

Reynolds Metal, Expires 1/18/08, Strike 57.5

 

1,781

 

210,425

 

(209,267

)

Rohm and Haas, Expires 10/20/07, Strike 50

 

1,860

 

107,880

 

(27,900

)

Schering-Plough, Expires 11/17/07, Strike 25

 

3,720

 

173,315

 

(27,900

)

Schlumberger, Ltd., Expires 1/18/08, Strike 95

 

532

 

244,188

 

(196,840

)

Texas Instruments, Inc., Expires 10/20/07, Strike 32.5

 

4,769

 

307,791

 

(19,076

)

Thermo Fisher Scientific, Inc., Expires 12/21/07, Strike 50

 

2,049

 

92,219

 

(102,451

)

Time Warner Inc., Expires 10/20/07, Strike 17.5

 

2,409

 

59,864

 

(24,090

)

Transocean Inc., Expires 1/18/08, Strike 100

 

778

 

217,256

 

(163,380

)

United Health, Expires 12/21/2007, Strike 45

 

2,276

 

138,836

 

(193,460

)

Zimmer Holdings, Inc., Expires 12/21/2007, Strike 75

 

1,366

 

158,237

 

(167,335

)

Total Put Options Written
(premiums received $8,151,553)

 

 

 

 

 

$

(5,473,921

)

 

6



 

 

 

Other Assets, Less Liabilities — 0.3%

 

 

 

$

4,231,120

 

Net Assets — 100.0%

 

 

 

$

1,372,539,879

 

 

(1)

A portion of each common stock holding has been segregated as collateral for options written.

(2)

Non-income producing security.

(3)

Foreign security.

(4)

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 September 30, 2007. Net income allocated from the Investment Cash Management Portfolio for the period from the start of business July 31, 2007 to September 30, 2007 was $456,068.

 

The cost and unrealized appreciation (depreciation) in value of the investments owned at September 30, 2007, as computed on a federal income tax basis, were as follows:

Aggregate cost

 

$

1,361,339,859

 

Gross unrealized appreciation

 

$

65,203,301

 

Gross unrealized depreciation

 

(37,412,165

)

Net unrealized appreciation

 

$

27,791,136

 

 

Written options activity for the period from the start of business, July 31, 2007, to September 30, 2007 was as follows:

 

 

Number of
Contracts

 

Premiums
Received

 

Outstanding, beginning of period

 

0

 

$

0

 

Options written

 

139,468

 

55,641,682

 

Options terminated in closing purchase transactions

 

(13,888

)

(25,464,920

)

Options expired

 

(35,045

)

(2,743,454

)

Outstanding, end of period

 

90,535

 

$

27,433,308

 

 

All of the assets of the Fund are subject to segregation to satisfy the requirements of the escrow agent. At September 30, 2007, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

7



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 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 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.



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 Risk-Managed Diversified Equity Income Fund

By:

 

/s/ Duncan W. Richardson

 

 

Duncan W. Richardson

 

 

President

Date:

 

November 15, 2007

 

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/ Duncan W. Richardson

 

 

Duncan W. Richardson

 

 

President

Date:

 

November 15, 2007

By:

 

/s/ Barbara E. Campbell

 

 

Barbara E. Campbell

 

 

Treasurer

Date:

 

November 15, 2007