UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

811-22597

Investment Company Act File Number

Parametric Structured Absolute Return Portfolio

(Currently known as Parametric Market Neutral Portfolio)

(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)

October 31

Date of Fiscal Year End

January 31, 2013

Date of Reporting Period

Item 1. Schedule of Investments

Parametric Structured Absolute Return Portfolio

January 31, 2013

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 59.1%

Security	Shares		Value
Australia — 1.4%
AGL Energy, Ltd.		9,948	$	159,964
Amcor, Ltd.		40,183		352,004
APA Group		5,836		35,117
Australia and New Zealand Banking Group, Ltd.		6,388		177,419
BHP Billiton, Ltd.		6,755		265,688
CFS Retail Property Trust Group		14,691		30,662
Coca-Cola Amatil, Ltd.		7,496		108,185
Commonwealth Bank of Australia		6,130		412,392
Computershare, Ltd.		3,083		33,716
Crown, Ltd.		3,077		37,179
CSL, Ltd.		2,601		148,889
Federation Centres		13,790		33,487
GPT Group		14,371		56,851
Harvey Norman Holdings, Ltd.		17,218		35,258
James Hardie Industries SE CDI		3,210		34,106
Metcash, Ltd.		5,337		21,206
National Australia Bank, Ltd.		6,574		187,851
Newcrest Mining, Ltd.		566		13,864
Orica, Ltd.		7,283		194,753
Origin Energy, Ltd.		13,116		172,308
OZ Minerals, Ltd.		4,155		30,132
Rio Tinto, Ltd.		2,869		199,256
Shopping Centres Australasia Property Group(1)		1,119		1,902
Sydney Airport		9,194		30,451
Tabcorp Holdings, Ltd.		6,320		20,114
Tatts Group, Ltd.		6,146		20,860
Telstra Corp., Ltd.		24,616		118,157
Transurban Group		28,024		178,361
Wesfarmers, Ltd.		728		28,569
Westfield Group		2,794		32,606
Westfield Retail Trust		9,680		32,418
Westpac Banking Corp.		5,783		169,180
Woodside Petroleum, Ltd.		1,713		63,454
Woolworths, Ltd.		5,596		182,305
			$	3,618,664
Austria — 0.3%
Andritz AG		496	$	32,631
Immofinanz AG(1)		19,776		86,636
OMV AG		6,899		284,211
Raiffeisen Bank International AG		5,792		260,128
Telekom Austria AG		3,434		25,458
Verbund AG		3,498		74,540
Vienna Insurance Group		448		23,670
			$	787,274
Belgium — 0.7%
Anheuser-Busch InBev NV		8,057	$	708,924
Belgacom SA		6,195		188,993
Colruyt SA		3,325		161,265

1

Security	Shares		Value
Delhaize Group SA		682	$	32,357
Groupe Bruxelles Lambert SA		3,417		285,186
Mobistar SA		842		23,108
Solvay SA		1,339		210,376
UCB SA		2,540		146,613
Umicore SA		2,839		147,711
			$	1,904,533
Brazil — 1.4%
AES Tiete SA, PFC Shares		3,300	$	34,464
All America Latina Logistica SA (Units)		11,200		48,759
Banco do Brasil SA		13,000		159,189
Banco Santander Brasil SA ADR		16,000		118,720
BM&F Bovespa SA		22,200		155,154
BR Malls Participacoes SA		7,900		102,138
Bradespar SA, PFC Shares		2,500		38,675
CCX Carvao da Colombia SA(1)		1,500		2,811
Centrais Eletricas Brasileiras SA, Class B, PFC Shares		5,400		34,314
Cia de Companhia de Concessoes Rodoviarias (CCR)		12,900		132,886
Cia de Saneamento Basico do Estado de Sao Paulo ADR		1,400		62,314
Cia de Saneamento de Minas Gerais SA ADR		7,200		79,056
Cia de Saneamento de Minas Gerais-Copasa MG		1,500		36,460
Cia Energetica de Sao Paulo, PFC Shares		4,800		47,857
Cia Hering		4,100		77,807
Cia Paranaense de Energia ADR		2,500		40,400
Cia Siderurgica Nacional SA ADR		7,900		42,897
Cielo SA		4,020		113,794
CPFL Energia SA ADR		2,100		43,491
Diagnosticos da America SA		11,900		84,407
Embraer SA ADR		2,000		65,940
Estacio Participacoes SA		4,600		101,931
Gerdau SA ADR		6,800		60,044
Iochpe-Maxion SA		2,500		32,733
Itau Unibanco Holding SA ADR, PFC Shares		17,900		308,417
Light SA		2,200		22,636
Lojas Americanas SA, PFC Shares		11,865		105,847
Lojas Renner SA		3,500		140,030
Marcopolo SA, PFC Shares		5,700		38,452
MPX Energia SA(1)		4,500		22,320
Natura Cosmeticos SA		4,000		107,525
OGX Petroleo e Gas Participacoes SA(1)		13,100		26,970
Oi SA ADR		18,499		76,031
PDG Realty SA Empreendimentos e Participacoes		56,300		89,117
Petroleo Brasileiro SA ADR		20,100		367,428
Raia Drogasil SA		7,800		86,984
Randon Participacoes SA, PFC Shares		3,400		20,036
Tim Participacoes SA ADR		2,900		63,800
Totvs SA		2,000		43,536
Tractebel Energia SA		2,900		51,546
Ultrapar Participacoes SA		2,900		69,889
Vale SA ADR		18,500		373,145
Weg SA		3,600		45,621
			$	3,775,571
Chile — 0.7%
Administradora de Fondos de Pensiones Provida SA		5,100	$	37,542
Aguas Andinas SA, Series A		57,700		42,729
Antarchile SA, Series A		3,000		51,400

2

Security	Shares		Value
Banco de Chile		671,209	$	111,704
Banco de Credito e Inversiones		913		71,222
Banco Santander Chile SA ADR		3,256		98,331
Cap SA		1,500		55,512
Cencosud SA		18,600		115,686
Cia Cervecerias Unidas SA		2,400		38,499
Cia Cervecerias Unidas SA ADR		500		15,975
Cia General de Electricidad SA		6,200		35,492
Colbun SA(1)		111,100		35,079
Corpbanca SA		3,255,600		46,609
Embotelladora Andina SA, Class B, PFC Shares		4,800		31,574
Empresa Nacional de Electricidad SA		52,100		89,966
Empresa Nacional de Electricidad SA ADR		400		20,644
Empresas CMPC SA		24,300		94,212
Empresas Copec SA		8,500		131,624
Enersis SA		186,800		73,655
ENTEL SA		2,300		49,953
Latam Airlines Group SA		3,700		90,965
Latam Airlines Group SA ADR		1,300		31,837
Parque Arauco SA		19,300		52,613
Ripley Corp. SA		17,800		19,309
S.A.C.I. Falabella SA		14,800		172,193
Salfacorp SA		14,400		35,365
Sigdo Koppers SA		16,400		42,247
Sociedad Quimica y Minera de Chile SA, Series B ADR		1,700		96,628
Sonda SA		18,800		63,785
Vina Concha y Toro SA		16,500		33,057
			$	1,885,407
China — 2.1%
AAC Technologies Holdings, Inc.		18,000	$	69,876
Agricultural Bank of China, Ltd., Class H		268,000		145,595
Air China, Ltd., Class H		40,000		34,304
Anhui Conch Cement Co., Ltd., Class H		37,500		147,232
Baidu, Inc. ADR(1)		2,100		227,430
Bank of Communications, Ltd., Class H		146,000		124,136
Beijing Enterprises Holdings, Ltd.		8,000		57,783
Brilliance China Automotive Holdings, Ltd.(1)		22,000		29,649
BYD Co., Ltd., Class H(1)		8,000		27,062
China CITIC Bank Corp., Ltd., Class H		181,000		123,947
China Coal Energy Co., Class H		145,000		161,918
China Communications Construction Co., Ltd., Class H		72,000		73,569
China Construction Bank Corp., Class H		367,000		316,585
China Eastern Airlines Corp., Ltd., Class H(1)		132,000		60,138
China Life Insurance Co., Ltd., Class H		66,000		220,271
China Longyuan Power Group Corp., Class H		86,000		72,072
China Mengniu Dairy Co., Ltd.		18,000		52,660
China Merchants Bank Co., Ltd., Class H		52,500		126,256
China Merchants Holdings (International) Co., Ltd.		16,000		56,814
China Minsheng Banking Corp, Ltd., Class H		70,000		100,868
China Mobile, Ltd.		48,500		530,620
China National Building Material Co., Ltd., Class H		18,000		28,822
China Overseas Land & Investment, Ltd.		42,000		130,534
China Pacific Insurance (Group) Co., Ltd., Class H		32,400		127,034
China Resources Enterprise, Ltd.		16,000		57,368
China Resources Power Holdings Co., Ltd.		30,000		83,393
China Telecom Corp., Ltd., Class H		174,000		94,993

3

Security	Shares		Value
China Yurun Food Group, Ltd.(1)		47,000	$	34,632
Citic Pacific, Ltd.		30,000		48,409
Ctrip.com International, Ltd. ADR(1)		3,800		75,278
Digital China Holdings, Ltd.		32,000		51,707
Dongfeng Motor Group Co., Ltd., Class H		40,000		65,471
Focus Media Holding, Ltd. ADR		1,000		25,290
Guangdong Investment, Ltd.		52,000		43,168
Guangzhou Automobile Group Co., Ltd., Class H		34,000		28,554
Home Inns & Hotels Management, Inc. ADR(1)		1,100		33,627
Inner Mongolia Eerduosi Cashmere Products Co., Ltd., Class B		110,200		120,094
Inner Mongolia Yitai Coal Co., Ltd., Class B		21,200		123,936
Jiangxi Copper Co., Ltd., Class H		55,000		149,322
Kunlun Energy Co., Ltd.		62,000		129,016
Lenovo Group, Ltd.		78,000		81,346
Lianhua Supermarket Holdings Ltd., Class H		21,000		20,528
Mindray Medical International, Ltd. ADR		800		30,240
NetEase.com, Inc. ADR		1,100		51,062
New Oriental Education & Technology Group, Inc. ADR		7,100		121,197
Parkson Retail Group, Ltd.		41,000		31,624
PICC Property & Casualty Co., Ltd., Class H		80,000		122,029
Ports Design, Ltd.		39,000		33,784
Shandong Weigao Group Medical Polymer Co., Ltd., Class H		24,000		23,121
SINA Corp.(1)		1,300		71,409
Sino Biopharmaceutical, Ltd.		48,000		23,951
Sinopharm Group Co., Ltd., Class H		9,600		29,465
Sinotrans Shipping, Ltd.		74,000		19,824
Sohu.com, Inc.(1)		700		33,516
Sound Global, Ltd.		68,000		36,260
Suntech Power Holdings Co., Ltd. ADR(1)		49,000		81,830
Tingyi (Cayman Islands) Holding Corp.		22,000		61,938
Tsingtao Brewery Co., Ltd., Class H		8,000		46,343
Want Want China Holdings, Ltd.		61,000		80,658
Weichai Power Co., Ltd., Class H		15,200		62,724
WuXi PharmaTech (Cayman), Inc. ADR(1)		1,900		30,742
Yangzijiang Shipbuilding Holdings, Ltd.		61,000		48,325
Yanzhou Coal Mining Co., Ltd., Class H		86,000		146,540
Zhongsheng Group Holdings, Ltd.		17,000		25,432
ZTE Corp., Class H		14,400		27,991
			$	5,551,312
Colombia — 0.4%
Almacenes Exito SA		6,100	$	114,069
Banco de Bogota		1,300		40,990
Bancolombia SA ADR, PFC Shares		1,600		111,216
Cia Colombiana de Inversiones SA		6,700		21,888
Ecopetrol SA		55,100		175,348
Empresa de Energia de Bogota SA		29,900		22,567
Grupo Argos SA		4,700		61,893
Grupo Argos SA, PFC Shares		2,500		31,965
Grupo Aval Acciones y Valores SA		56,100		39,814
Grupo Aval Acciones y Valores SA, PFC Shares		61,500		43,473
Grupo de Inversiones Suramericana		3,600		76,444
Grupo Nutresa SA		5,100		71,527
Grupo Odinsa SA		3,356		15,765
Interconexion Electrica SA		12,300		69,211
ISAGEN SA ESP		31,400		43,331
			$	939,501

4

Security	Shares		Value
Czech Republic — 0.3%
CEZ AS		12,000	$	389,159
Komercni Banka AS		1,110		224,736
New World Resources PLC, Class A		15,550		68,466
Pegas Nonwovens SA		3,630		101,174
Unipetrol AS(1)		8,100		72,991
			$	856,526
Denmark — 0.8%
A.P. Moller - Maersk A/S, Class A		15	$	113,426
A.P. Moller - Maersk A/S, Class B		18		143,590
Carlsberg A/S, Class B		150		16,045
Coloplast A/S		7,185		379,052
Danske Bank A/S(1)		1,163		22,286
DSV A/S		6,961		178,459
Novo Nordisk A/S, Class B		4,306		792,700
Novozymes A/S, Class B		8,925		292,486
TDC A/S		6,980		53,496
Tryg A/S		1,451		114,027
William Demant Holding A/S(1)		748		65,554
			$	2,171,121
Egypt — 0.3%
Alexandria Mineral Oils Co.		3,300	$	33,885
Amer Group Holding		188,800		17,425
Commercial International Bank		26,300		140,173
Eastern Tobacco		2,550		37,808
Egypt Kuwaiti Holding Co.		35,600		44,895
Egyptian Financial Group-Hermes Holding SAE(1)		25,300		41,252
Egyptian International Pharmaceutical Industrial Co.		6,300		37,637
El Sewedy Cables Holding Co.		2,000		6,706
Ezz Steel		23,000		34,955
Juhayna Food Industries		47,300		60,892
Orascom Construction Industries (OCI)(1)		4,000		156,099
Orascom Telecom Holding SAE(1)		190,500		125,959
Orascom Telecom Media and Technology Holding SAE		173,500		14,705
Sidi Kerir Petrochemicals Co.		16,100		31,739
Talaat Moustafa Group(1)		57,300		36,535
Telecom Egypt		24,800		53,907
			$	874,572
Finland — 0.6%
Elisa Oyj		6,836	$	162,553
Fortum Oyj		4,285		80,179
Kesko Oyj, Class B		860		28,142
Kone Oyj, Class B		5,168		426,335
Nokia Oyj		17,747		69,657
Nokian Renkaat Oyj		3,771		162,148
Orion Oyj, Class B		5,086		141,944
Pohjola Bank PLC, Class A		3,625		62,012
Sampo Oyj		6,020		216,109
Stora Enso Oyj		7,820		55,771
UPM-Kymmene Oyj		1,212		14,819
Wartsila Oyj		4,003		190,238
			$	1,609,907
France — 1.3%
Air Liquide SA		3,558	$	454,258
Alcatel-Lucent(1)		113,328		189,377

5

Security	Shares		Value
Carrefour SA		2,148	$	61,240
Compagnie Generale des Etablissements Michelin, Class B		1,709		158,943
Dassault Systemes SA		1,901		211,377
Essilor International SA		1,948		198,559
Eutelsat Communications SA		3,857		132,493
France Telecom SA		1,643		18,659
GDF Suez		5,973		122,529
Iliad SA		189		35,014
Imerys SA		706		46,687
L’Oreal SA		4,124		612,387
LVMH Moet Hennessy Louis Vuitton SA		2,410		453,748
Natixis		8,696		34,457
PPR SA		148		31,830
Safran SA		2,605		119,642
Sanofi		2,149		209,498
SES SA		1,330		40,704
Societe BIC SA		1,002		134,825
Sodexo		875		77,999
Suez Environnement Co. SA		2,287		30,243
Thales SA		520		18,727
Total SA		1,640		88,875
Unibail-Rodamco SE		90		21,255
			$	3,503,326
Germany — 1.4%
Adidas AG		1,161	$	107,819
Bayerische Motoren Werke AG		2,397		241,422
Bayerische Motoren Werke AG, PFC Shares		1,650		112,821
Beiersdorf AG		2,401		210,720
Brenntag AG		228		32,461
Continental AG		775		90,954
Daimler AG		2,915		169,659
Deutsche Lufthansa AG		1,799		35,735
Deutsche Post AG		6,063		142,371
Deutsche Telekom AG		7,347		90,259
E.ON AG		1,092		18,988
Fraport AG		277		16,789
Fresenius Medical Care AG & Co. KGaA		261		18,398
Hannover Rueckversicherung AG		560		45,209
Henkel AG & Co. KGaA		1,421		105,409
Henkel AG & Co. KGaA, PFC Shares		1,962		173,223
Linde AG		2,051		373,842
Porsche Automobil Holding SE, PFC Shares		486		42,315
SAP AG		11,453		939,230
Siemens AG		2,409		263,939
United Internet AG		5,043		117,249
Volkswagen AG		97		22,408
Volkswagen AG, PFC Shares		846		209,449
			$	3,580,669
Greece — 0.1%
Coca-Cola Hellenic Bottling Co. SA(1)		3,475	$	90,271
OPAP SA		12,823		111,017
			$	201,288
Hong Kong — 1.0%
Bank of East Asia, Ltd.		32,200	$	131,723
BOC Hong Kong (Holdings), Ltd.		71,500		245,342

6

Security	Shares		Value
Cathay Pacific Airways, Ltd.		43,000	$	83,132
Cheung Kong Infrastructure Holdings, Ltd.		25,000		157,794
CLP Holdings, Ltd.		22,000		186,517
Hang Lung Group, Ltd.		5,000		30,310
Hang Seng Bank, Ltd.		25,700		420,844
Hong Kong & China Gas Co., Ltd.		109,800		311,869
Hopewell Holdings, Ltd.		23,500		96,793
Link REIT (The)		73,000		378,582
MTR Corp., Ltd.		40,500		166,658
Power Assets Holdings, Ltd.		38,500		332,847
Wing Hang Bank, Ltd.		6,500		67,816
			$	2,610,227
Hungary — 0.4%
EGIS Pharmaceuticals PLC		340	$	29,239
FHB Mortgage Bank Rt.(1)		3,500		6,822
Magyar Telekom Rt.		66,340		125,276
MOL Hungarian Oil & Gas Rt.		3,020		259,999
OTP Bank Rt.		13,220		284,291
Richter Gedeon Rt.		1,250		215,269
			$	920,896
India — 0.1%
Dr. Reddy’s Laboratories, Ltd. ADR		1,500	$	53,910
Infosys, Ltd. ADR		5,700		300,504
			$	354,414
Indonesia — 0.7%
Adaro Energy Tbk PT		287,500	$	48,724
AKR Corporindo Tbk PT		76,500		30,456
Bank Central Asia Tbk PT		146,000		144,653
Bank Mandiri Tbk PT		128,000		118,998
Bank Negara Indonesia Persero Tbk PT		133,000		53,612
Bank Pembangunan Daerah Jawa Barat Dan Banten Tbk PT		358,000		44,144
Bank Rakyat Indonesia Tbk PT		145,500		118,826
Bumi Resources Tbk PT		560,000		39,111
Energi Mega Persada Tbk PT(1)		1,737,000		16,594
Gudang Garam Tbk PT		19,500		103,826
Indo Tambangraya Megah Tbk PT		11,000		46,827
Indocement Tunggal Prakarsa Tbk PT		41,000		91,564
Indofood Sukses Makmur Tbk PT		153,500		95,082
Jasa Marga (Persero) Tbk PT		52,500		29,634
Kalbe Farma Tbk PT		645,000		72,126
Lippo Karawaci Tbk PT		274,500		29,049
Media Nusantara Citra Tbk PT		120,000		29,293
Perusahaan Gas Negara Tbk PT		206,500		99,137
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT		204,500		46,279
Semen Gresik (Persero) Tbk PT		64,000		103,574
Surya Semesta Internusa Tbk PT		462,500		66,072
Tambang Batubara Bukit Asam Tbk PT		30,500		48,616
Telekomunikasi Indonesia Tbk PT		202,000		202,314
Unilever Indonesia Tbk PT		41,500		93,986
United Tractors Tbk PT		37,000		75,224
XL Axiata Tbk PT		76,000		39,054
			$	1,886,775
Ireland — 0.3%
CRH PLC		7,794	$	168,135
Eaton Corp. PLC		1,486		84,628

7

Security	Shares		Value
Elan Corp. PLC(1)		9,358	$	98,738
Kerry Group PLC, Class A		7,083		371,557
			$	723,058
Israel — 0.5%
Bank Hapoalim B.M.(1)		33,193	$	139,940
Bank Leumi Le-Israel B.M.(1)		37,387		124,924
Bezeq Israeli Telecommunication Corp., Ltd.		32,974		38,643
Delek Group, Ltd.		104		25,690
Elbit Systems, Ltd.		1,930		74,199
Israel Chemicals, Ltd.		6,130		81,417
Israel Corp., Ltd.		132		90,333
Mellanox Technologies, Ltd.(1)		1,353		68,718
Mizrahi Tefahot Bank, Ltd.(1)		7,531		79,743
NICE Systems, Ltd.(1)		3,684		135,381
Teva Pharmaceutical Industries, Ltd. ADR		9,184		348,900
			$	1,207,888
Italy — 0.8%
Atlantia SpA		3,644	$	67,289
Autogrill SpA		3,445		42,246
Enel Green Power SpA		7,388		15,234
Enel SpA		5,639		24,587
ENI SpA		36,514		912,030
Luxottica Group SpA		3,631		167,576
Pirelli & C. SpA		15,972		195,904
Saipem SpA		3,849		109,291
Snam Rete Gas SpA		64,096		323,920
Telecom Italia SpA		13,750		13,644
Telecom Italia SpA, PFC Shares		67,529		57,692
Tenaris SA		1,396		29,284
Terna Rete Elettrica Nazionale SpA		55,693		234,488
			$	2,193,185
Japan — 2.2%
ABC-Mart, Inc.		1,000	$	38,047
Air Water, Inc.		3,000		38,318
All Nippon Airways Co., Ltd.		10,000		19,580
Aozora Bank, Ltd.		8,000		22,491
Bank of Kyoto, Ltd. (The)		10,000		82,744
Bank of Yokohama, Ltd. (The)		32,000		152,843
Benesse Holdings, Inc.		500		21,797
Bridgestone Corp.		1,300		34,095
Canon, Inc.		700		25,491
Chiba Bank, Ltd. (The)		15,000		93,469
Chugai Pharmaceutical Co., Ltd.		5,700		117,255
Chugoku Bank, Ltd. (The)		9,000		123,963
Daihatsu Motor Co., Ltd.		9,000		187,223
Dainippon Sumitomo Pharma Co., Ltd.		6,400		90,223
Electric Power Development Co., Ltd.		600		13,795
Gunma Bank, Ltd. (The)		17,000		82,055
Hachijuni Bank, Ltd. (The)		15,000		75,098
Hamamatsu Photonics K.K.		4,100		156,760
Hirose Electric Co., Ltd.		300		35,711
Hiroshima Bank, Ltd. (The)		23,000		97,781
Honda Motor Co., Ltd.		2,300		86,938
Hoya Corp.		1,500		28,963
Isetan Mitsukoshi Holdings, Ltd.		2,500		24,688
ITOCHU Techno-Solutions Corp.		1,000		43,398

8

Security	Shares		Value
Iyo Bank, Ltd. (The)		8,000	$	65,422
Japan Prime Realty Investment Corp.		7		19,902
Japan Real Estate Investment Corp.		3		30,333
Joyo Bank, Ltd. (The)		3,000		14,065
JX Holdings, Inc.		6,700		39,529
Kamigumi Co., Ltd.		9,000		73,310
Kansai Paint Co., Ltd.		8,000		89,090
Keikyu Corp.		3,000		25,447
Keio Corp.		18,000		133,600
Keyence Corp.		1,200		332,919
Kintetsu Corp.		15,000		61,631
Kyowa Hakko Kirin Co., Ltd.		6,000		56,731
Lawson, Inc.		700		50,727
McDonald’s Holdings Co. (Japan), Ltd.		4,000		102,671
Miraca Holdings, Inc.		500		20,847
Mitsubishi Logistics Corp.		2,000		29,997
Mitsubishi Motors Corp.(1)		35,000		36,391
Mitsubishi Tanabe Pharma Corp.		3,900		52,282
Mizuho Financial Group, Inc.		16,500		32,934
NGK Spark Plug Co., Ltd.		6,000		76,321
Nidec Corp.		400		22,864
Nippon Telegraph & Telephone Corp.		300		12,564
Nishi-Nippon City Bank, Ltd. (The)		26,000		67,386
Nitori Co., Ltd.		400		30,533
NTT DoCoMo, Inc.		206		312,312
Odakyu Electric Railway Co., Ltd.		19,000		190,335
Ono Pharmaceutical Co., Ltd.		2,600		136,981
Oracle Corp. Japan		1,200		49,958
Oriental Land Co., Ltd.		1,400		186,141
Osaka Gas Co., Ltd.		7,000		26,258
Rakuten, Inc.(1)		20,929		191,023
Rinnai Corp.		1,000		70,704
Sankyo Co., Ltd.		600		23,904
Santen Pharmaceutical Co., Ltd.		2,600		107,077
Seven Bank, Ltd.		8,300		20,080
Shizuoka Bank, Ltd. (The)		22,000		207,434
Sumitomo Metal Mining Co., Ltd.		3,000		46,658
Sumitomo Rubber Industries, Ltd.		2,500		33,362
Suruga Bank, Ltd.		7,000		91,259
Suzuken Co., Ltd.		2,200		67,337
Sysmex Corp.		600		28,625
Taisho Pharmaceutical Holdings Co., Ltd.		200		13,803
Takashimaya Co., Ltd.		3,000		22,076
Takeda Pharmaceutical Co., Ltd.		1,000		51,387
Toho Gas Co., Ltd.		18,000		96,224
Tokyo Gas Co., Ltd.		16,000		75,449
TonenGeneral Sekiyu K.K.		15,000		130,801
Tsumura & Co.		800		26,279
Unicharm Corp.		3,900		206,851
USS Co., Ltd.		910		102,224
Yahoo! Japan Corp.		61		23,921
Yakult Honsha Co., Ltd.		600		25,284
Yamaguchi Financial Group, Inc.		3,000		28,904
Yamato Holdings Co., Ltd.		1,900		31,934
Yokogawa Electric Corp.		1,400		15,588
			$	5,810,395

9

Security	Shares		Value
Kuwait — 0.4%
Al Ahli Bank of Kuwait KSC		10,500	$	21,626
Boubyan Bank KSC(1)		15,000		34,652
Boubyan Petrochemicals Co.		35,000		72,130
Burgan Bank SAK		15,000		30,920
Commercial Bank of Kuwait SAK(1)		20,000		51,178
Gulf Bank(1)		35,750		52,108
Gulf Cable and Electrical Industries Co.		10,000		45,496
Kuwait Finance House KSC		25,800		77,032
Kuwait Foods Co. (Americana)		2,500		16,292
Kuwait Pipes Industries & Oil Services Co.(1)		60,000		24,290
Mabanee Co. SAKC		15,000		65,005
Mobile Telecommunications Co.		65,700		193,671
National Bank of Kuwait SAK		45,750		159,303
National Industries Group Holding(1)		57,700		46,370
Sultan Center Food Products Co.(1)		74,929		28,276
			$	918,349
Malaysia — 0.7%
Airasia Bhd		23,600	$	21,093
AMMB Holdings Bhd		19,900		40,742
Axiata Group Bhd		43,300		87,806
Batu Kawan Bhd		8,600		51,008
Boustead Holdings Bhd		12,050		18,771
British American Tobacco Malaysia Bhd		2,300		42,464
Dialog Group Bhd		58,400		43,430
Digi.com Bhd		33,100		52,416
Gamuda Bhd		40,100		48,015
Genting Bhd		28,200		86,206
Hong Leong Bank Bhd		14,300		65,526
IJM Corp. Bhd		22,200		36,026
IOI Corp. Bhd		49,900		79,826
Kuala Lumpur Kepong Bhd		9,400		65,658
Lafarge Malayan Cement Bhd		13,500		40,370
Malayan Banking Bhd		38,300		109,459
Malaysian Resources Corp. Bhd		41,600		18,599
Maxis Bhd		25,400		52,081
Multi-Purpose Holdings Bhd		23,600		24,995
Parkson Holdings Bhd		30,000		46,666
Petronas Chemicals Group Bhd		55,900		107,062
Petronas Dagangan Bhd		8,800		64,558
PPB Group Bhd		12,300		49,304
Public Bank Bhd		13,900		69,429
Resorts World Bhd		59,800		70,648
RHB Capital Bhd		21,100		52,551
Sapurakencana Petroleum Bhd(1)		56,897		53,491
Sime Darby Bhd		61,600		184,451
Telekom Malaysia Bhd		29,400		52,524
Tenaga Nasional Bhd		33,300		75,089
			$	1,810,264
Mexico — 1.4%
Alfa SAB de CV, Series A		95,800	$	231,012
America Movil SAB de CV ADR, Series L		29,900		752,284
Bolsa Mexicana de Valores SAB de CV		26,300		66,502
Cemex SAB de CV ADR(1)		23,004		249,593
Coca Cola Femsa SAB de CV ADR		500		79,040
Compartamos SAB de CV		39,900		61,978

10

Security	Shares		Value
Embotelladoras Arca SAB de CV		9,900	$	75,496
Empresas ICA SAB de CV(1)		20,700		62,045
Fomento Economico Mexicano SA de CV ADR		2,100		226,569
Genomma Lab Internacional SA de CV(1)		9,700		22,155
Grupo Aeroportuario del Pacifico SAB de CV ADR		600		37,344
Grupo Aeroportuario del Sureste SAB de CV, Class B		3,800		45,392
Grupo Bimbo SA de CV, Series A		36,500		94,303
Grupo Carso SA de CV, Series A1		13,600		66,104
Grupo Elektra SA de CV		500		23,261
Grupo Financiero Banorte SAB de CV, Class O		44,700		307,654
Grupo Financiero Inbursa SAB de CV, Class O		95,500		267,769
Grupo Mexico SAB de CV, Series B		45,643		169,798
Grupo Modelo SA de CV, Series C		8,400		71,681
Grupo Televisa SA ADR		5,000		140,050
Impulsora del Desarrollo y el Empleo en America Latina SA de CV, Series B1(1)		6,400		13,465
Industrias CH SAB de CV, Series B(1)		5,100		42,197
Industrias Penoles SA de CV		2,700		132,375
Kimberly-Clark de Mexico SAB de CV, Class A		25,000		70,450
Mexichem SAB de CV		15,232		86,136
Minera Frisco SAB de CV(1)		12,200		52,438
Promotora y Operadora de Infraestructura SAB de CV(1)		5,800		41,425
TV Azteca SAB de CV, Series CPO		39,000		27,545
Wal-Mart de Mexico SAB de CV, Series V		67,500		218,406
			$	3,734,467
Morocco — 0.3%
Alliances Developpement Immobilier SA		489	$	30,889
Attijariwafa Bank		3,250		122,657
Banque Centrale Populaire		4,000		90,592
Banque Marocaine du Commerce Exterieur (BMCE)		3,100		56,256
Ciments du Maroc		200		16,694
Delta Holding SA		1,800		6,692
Douja Promotion Groupe Addoha SA		11,600		85,646
Lafarge Ciments		200		29,618
Managem		400		73,038
Maroc Telecom		13,800		176,411
			$	688,493
Netherlands — 1.1%
Akzo Nobel NV		4,706	$	322,092
ASML Holding NV		8,041		603,197
European Aeronautic Defence and Space Co. NV		7,168		336,044
Gemalto NV		337		29,997
Heineken Holding NV		1,465		86,560
Heineken NV		4,009		281,918
Koninklijke Ahold NV		24,653		362,266
Koninklijke DSM NV		3,945		241,651
Koninklijke KPN NV		34,396		193,365
Koninklijke Vopak NV		802		54,737
QIAGEN NV(1)		6,848		143,758
Reed Elsevier NV		4,414		68,557
Unilever NV		5,995		242,895
			$	2,967,037
New Zealand — 0.2%
Auckland International Airport, Ltd.		57,862	$	137,727
Chorus, Ltd.		8,812		21,088
Contact Energy, Ltd.(1)		8,594		37,651

11

Security	Shares		Value
Fletcher Building, Ltd.		13,289	$	106,164
SKYCITY Entertainment Group, Ltd.		9,328		31,083
Telecom Corporation of New Zealand, Ltd.		32,008		65,182
			$	398,895
Norway — 0.7%
Aker Solutions ASA		4,895	$	107,055
Gjensidige Forsikring ASA		2,549		40,066
Norsk Hydro ASA		48,651		233,561
Orkla ASA		24,718		218,026
Seadrill, Ltd.		4,836		191,175
Statoil ASA		15,009		399,877
Telenor ASA		20,565		453,057
Yara International ASA		889		47,409
			$	1,690,226
Peru — 0.4%
Alicorp SA		38,300	$	130,556
Cia de Minas Buenaventura SA ADR		3,700		109,483
Credicorp, Ltd. ADR		1,340		210,018
Ferreyros SA		28,063		26,820
Grana y Montero SA		23,300		97,816
Intergroup Financial Services Corp.		500		19,250
Luz del Sur SAA		6,300		21,500
Minsur SA		20,900		18,761
Sociedad Minera Cerro Verde SAA(1)		600		22,800
Southern Copper Corp.		3,952		155,669
Union Andina de Cementos SAA		17,000		24,338
Volcan Cia Minera SA, Class B		66,141		68,073
			$	905,084
Philippines — 0.4%
Aboitiz Equity Ventures, Inc.		41,200	$	56,307
Aboitiz Power Corp.		30,200		28,296
Alliance Global Group, Inc.		94,000		43,704
Ayala Corp.		4,000		55,923
Ayala Land, Inc.		106,900		76,200
Ayala Land, Inc., PFC Shares(2)		65,600		161
Bank of the Philippine Islands		12,700		31,267
DMCI Holdings, Inc.		24,700		33,388
International Container Terminal Services, Inc.		23,200		43,397
JG Summit Holding, Inc.		50,500		49,584
Jollibee Foods Corp.		12,900		34,799
Manila Electric Co.		3,700		26,422
Metro Pacific Investments Corp.		263,000		33,675
Philex Mining Corp.		75,900		32,741
Philex Petroleum Corp.(1)		29,500		24,290
Philippine Long Distance Telephone Co.		1,520		104,677
Puregold Price Club, Inc.		42,100		36,169
Robinsons Land Corp.		89,500		47,124
San Miguel Corp.		9,500		26,240
Semirara Mining Corp.		5,500		33,268
SM Investments Corp.		2,500		58,463
SM Prime Holdings, Inc.		89,500		38,565
Universal Robina Corp.		21,000		45,166
			$	959,826
Poland — 0.7%
Agora SA		14,100	$	40,823

12

Security	Shares		Value
AmRest Holdings SE(1)		1,400	$	39,548
Asseco Poland SA		5,810		84,564
Bank Pekao SA		2,800		137,718
Boryszew SA(1)		93,680		16,951
BRE Bank SA(1)		470		49,200
Budimex SA		710		15,390
Cyfrowy Polsat SA(1)		17,244		93,463
Emperia Holding SA		1,350		25,592
Enea SA		4,500		22,244
Eurocash SA		6,240		101,664
ING Bank Slaski SA(1)		1,400		40,089
Jastrzebska Spolka Weglowa SA		1,200		36,594
KGHM Polska Miedz SA		2,483		151,938
Lubelski Wegiel Bogdanka SA		1,040		45,988
Netia SA(1)		13,000		19,357
NG2 SA		2,690		62,525
Polimex-Mostostal SA(1)		32,200		5,815
Polish Oil & Gas(1)		44,800		79,757
Polska Grupa Energetyczna SA		25,610		141,244
Polski Koncern Naftowy Orlen SA(1)		7,480		118,420
Powszechna Kasa Oszczednosci Bank Polski SA		13,600		152,047
Powszechny Zaklad Ubezpieczen SA		1,417		186,761
Tauron Polska Energia SA		47,400		72,469
Telekomunikacja Polska SA		23,350		90,667
TVN SA		7,240		22,736
Zaklady Azotowe w Tarnowie-Moscicach SA(1)		300		5,488
			$	1,859,052
Portugal — 0.2%
EDP-Energias de Portugal SA		46,501	$	149,734
Galp Energia SGPS SA, Class B		2,862		46,457
Jeronimo Martins SGPS SA		7,997		170,125
Portugal Telecom SGPS SA		7,749		45,238
			$	411,554
Qatar — 0.4%
Aamal Co. QSC(1)		6,300	$	26,184
Commercial Bank of Qatar		1,900		40,793
Doha Bank, Ltd.		2,600		40,302
Gulf International Services QSC		3,900		34,364
Industries Qatar		4,350		202,278
Masraf Al Rayan		11,950		84,651
Qatar Electricity & Water Co.		1,400		54,745
Qatar Gas Transport Co., Ltd. (NAKILAT)		13,000		56,729
Qatar Islamic Bank		2,500		50,712
Qatar National Bank		5,448		194,971
Qatar National Cement Co.		600		17,072
Qatar National Navigation		1,500		26,842
Qatar Telecom QSC		4,394		135,266
			$	964,909
Russia — 1.5%
CTC Media, Inc.		3,900	$	41,730
E.ON Russia JSC		607,000		55,499
Etalon Group, Ltd. GDR(1)(3)		4,600		22,715
Federal Grid Co. Unified Energy System JSC(1)		7,226,300		52,138
Federal Hydrogenerating Co. JSC ADR		28,000		68,354

13

Security	Shares		Value
Globaltrans Investment PLC GDR(3)		2,700	$	41,802
KamAZ(1)		13,000		16,639
LUKOIL OAO ADR		5,700		384,348
Magnit OJSC		1,570		294,120
Mail.ru Group, Ltd. GDR(3)		1,800		59,950
MMC Norilsk Nickel GDR		9,100		181,284
Mobile TeleSystems OJSC		28,800		244,638
Novolipetsk Steel GDR(3)		2,500		53,042
OAO Gazprom ADR		55,200		519,873
OAO Inter Rao Ues(1)		41,577,400		34,093
Pharmstandard OJSC GDR(1)(3)		2,600		50,518
PIK Group GDR(1)(3)		9,700		21,000
Rosneft Oil Co. GDR(3)		15,300		134,524
Rostelecom		30,700		123,175
Sberbank of Russia ADR		43,600		643,247
Severstal OAO GDR(3)		4,600		57,320
Surgutneftegas OJSC ADR		13,600		140,988
Surgutneftegas OJSC, PFC Shares		130,200		98,995
Tatneft ADR		3,000		138,455
Uralkali OJSC GDR(3)		3,400		129,371
VimpelCom, Ltd. ADR		5,800		69,658
VTB Bank OJSC GDR(3)		22,500		82,187
X5 Retail Group NV GDR(1)(3)		2,900		49,300
Yandex NV, Class A(1)		1,300		31,473
			$	3,840,436
Singapore — 0.9%
Ascendas Real Estate Investment Trust		64,000	$	130,903
CapitaMall Trust		18,000		30,808
ComfortDelGro Corp., Ltd.		14,000		21,829
DBS Group Holdings, Ltd.		49,000		592,223
Fraser and Neave, Ltd.		1,000		7,703
Oversea-Chinese Banking Corp., Ltd.		53,000		418,700
Singapore Airlines, Ltd.		23,000		204,252
Singapore Press Holdings, Ltd.		50,000		165,656
Singapore Technologies Engineering, Ltd.		24,000		76,016
Singapore Telecommunications, Ltd.		114,000		322,193
StarHub, Ltd.		11,000		34,668
United Overseas Bank, Ltd.		16,000		243,673
UOL Group, Ltd.		25,000		126,269
			$	2,374,893
South Africa — 1.4%
ABSA Group, Ltd.		4,500	$	86,140
Adcock Ingram Holdings, Ltd.		5,800		37,214
AECI, Ltd.		2,500		23,798
African Bank Investments, Ltd.		12,000		41,370
African Rainbow Minerals, Ltd.		1,000		22,518
Anglo Platinum, Ltd.		800		39,223
AngloGold Ashanti, Ltd.		4,300		120,197

14

Security	Shares		Value
Aquarius Platinum, Ltd.(1)		15,400	$	15,397
Aveng, Ltd.		14,200		49,637
AVI, Ltd.		7,900		48,248
Barloworld, Ltd.		7,500		70,186
Bidvest Group, Ltd.		6,300		150,396
Capital Property Fund		19,700		23,142
Clicks Group, Ltd.		6,800		45,576
Discovery Holdings, Ltd.		7,500		55,469
FirstRand, Ltd.		26,600		95,904
Harmony Gold Mining Co., Ltd.		5,600		36,088
Impala Platinum Holdings, Ltd.		6,286		113,934
Imperial Holdings, Ltd.		3,400		74,026
Kumba Iron Ore, Ltd.		1,000		67,341
Kumba Resources, Ltd.		2,200		43,204
Liberty Holdings, Ltd.		2,300		29,605
Massmart Holdings, Ltd.		2,200		44,914
Mediclinic International, Ltd.		2,800		17,715
MMI Holdings, Ltd.		18,700		48,356
Mondi, Ltd.		3,100		36,866
Mr. Price Group, Ltd.		4,200		57,974
MTN Group, Ltd.		32,700		639,796
Murray & Roberts Holdings, Ltd.(1)		11,600		33,181
Nampak, Ltd.		9,600		33,707
Nedbank Group, Ltd.		2,200		47,740
Netcare, Ltd.		26,000		56,971
Remgro, Ltd.		4,700		85,641
Reunert, Ltd.		5,500		45,871
RMB Holdings, Ltd.		12,000		57,553
Sanlam, Ltd.		22,500		114,174
Sasol, Ltd.		5,400		233,197
Shoprite Holdings, Ltd.		5,100		95,971
Spar Group, Ltd. (The)		3,300		43,416
Standard Bank Group, Ltd.		11,600		150,922
Steinhoff International Holdings, Ltd.(1)		24,600		74,654
Sun International, Ltd.		4,200		48,128
Telkom South Africa, Ltd.(1)		7,300		13,578
Tiger Brands, Ltd.		2,600		85,523
Truworths International, Ltd.		7,200		81,821
Vodacom Group (Pty), Ltd.		8,900		123,791
Wilson Bayly Holmes-Ovcon, Ltd.		3,100		53,759
Woolworths Holdings, Ltd.		10,500		74,609
			$	3,688,441
South Korea — 1.4%
Asiana Airlines, Inc.(1)		3,000	$	16,618
BS Financial Group, Inc.		5,220		69,012
Celltrion, Inc.		3,014		71,018
Cheil Industries, Inc.		670		53,711
Cheil Worldwide, Inc.		2,670		54,948
CJ Corp.		300		34,373
Dongbu Insurance Co., Ltd.		1,430		61,353
Hankook Tire Co., Ltd.(1)		1,560		64,156
Hankook Tire Worldwide Co., Ltd.		3,569		55,410
Hite-Jinro Co., Ltd.		2,800		82,246
Honam Petrochemical Corp.		270		62,655
Hynix Semiconductor, Inc.(1)		2,810		62,891

15

Security	Shares		Value
Hyundai Glovis Co., Ltd.		290	$	54,016
Hyundai Heavy Industries Co., Ltd.		280		55,287
Hyundai Marine & Fire Insurance Co., Ltd.		1,900		58,446
Hyundai Merchant Marine Co., Ltd.(1)		1,080		20,282
Hyundai Motor Co.		1,000		188,311
Hyundai Steel Co.		700		53,315
Industrial Bank of Korea		4,750		53,671
Kangwon Land, Inc.		2,740		78,601
Korea Electric Power Corp.(1)		2,600		77,169
Korea Zinc Co., Ltd.		170		59,943
Korean Air Lines Co., Ltd.(1)		660		27,557
Korean Reinsurance Co.		4,578		48,095
KT&G Corp.		1,080		75,311
LG Chem, Ltd.		460		128,711
LG Corp.		870		51,252
LG Display Co., Ltd.(1)		1,210		32,493
LG Electronics, Inc.		1,050		69,522
LG Hausys, Ltd.		540		36,852
LIG Insurance Co., Ltd.		2,290		53,675
NHN Corp.		330		72,982
POSCO		760		248,446
S-Oil Corp.		590		53,074
Samsung C&T Corp.		990		57,660
Samsung Electro-Mechanics Co., Ltd.		350		29,487
Samsung Electronics Co., Ltd.		490		651,913
Samsung Engineering Co., Ltd.		370		52,814
Samsung Fine Chemicals Co., Ltd.		470		22,747
Samsung Fire & Marine Insurance Co., Ltd.		550		111,307
Samsung Heavy Industries Co., Ltd.		1,900		66,763
Samsung Life Insurance Co., Ltd.		600		57,862
Samsung Securities Co., Ltd.		500		25,891
SK Broadband Co., Ltd.(1)		7,780		34,971
SK Chemicals Co., Ltd.		510		28,021
SK Telecom Co., Ltd. ADR		4,600		77,970
TONGYANG Securities, Inc.		9,480		35,245
Woori Finance Holdings Co., Ltd.		6,060		71,252
			$	3,609,305
Spain — 0.9%
Abertis Infraestructuras SA		7,619	$	130,447
Acerinox SA		5,359		59,384
ACS Actividades de Construccion y Servicios SA		1,151		27,628
Amadeus IT Holding SA, Class A		5,522		138,376
CaixaBank SA		23,817		94,281
Distribuidora Internacional de Alimentacion SA(1)		4,948		36,527
Enagas		8,349		197,540
Ferrovial SA		15,324		246,077
Grifols SA(1)		3,487		118,691
Iberdrola SA		4,551		24,488
Indra Sistemas SA		3,009		39,424
Industria de Diseno Textil SA		3,281		458,578
International Consolidated Airlines Group SA(1)		13,289		44,969
Red Electrica Corp. SA		2,929		162,996
Repsol SA		7,079		157,871
Telefonica SA		20,035		289,966
Zardoya Otis SA		8,452		129,559
			$	2,356,802

16

Security	Shares		Value
Sweden — 0.9%
Atlas Copco AB, Class A		1,107	$	31,536
Boliden AB		13,495		249,429
Hennes & Mauritz AB, Class B		7,196		264,779
Holmen AB, Class B		3,062		94,395
Investor AB, Class B		6,033		171,362
Lundin Petroleum AB(1)		1,265		32,495
Millicom International Cellular SA SDR		1,492		137,462
Nordea Bank AB		32,431		357,692
Scania AB, Class B		2,369		48,610
Skandinaviska Enskilda Banken AB, Class A		15,422		154,482
Skanska AB, Class B		7,267		123,592
Svenska Cellulosa AB, Class B		3,080		74,672
Swedbank AB, Class A		6,877		162,384
Tele2 AB, Class B		8,723		156,455
Telefonaktiebolaget LM Ericsson, Class B		5,785		67,287
TeliaSonera AB		40,021		288,676
			$	2,415,308
Switzerland — 1.4%
Actelion, Ltd.		2,628	$	130,180
Adecco SA		2,368		135,789
Baloise Holding AG		532		48,143
Geberit AG		106		24,796
Givaudan SA		70		77,730
Nestle SA		14,325		1,005,865
Novartis AG		6,980		474,475
Roche Holding AG PC		2,227		492,254
Schindler Holding AG		1,178		170,435
Schindler Holding AG PC		196		29,074
Sonova Holding AG		1,282		148,264
Sulzer AG		328		51,581
Swatch Group, Ltd. (The), Bearer Shares		325		178,021
Swiss Reinsurance Co., Ltd.		4,047		300,886
Swisscom AG		482		213,789
Zurich Insurance Group AG		482		138,607
			$	3,619,889
Taiwan — 1.4%
Acer, Inc.(1)		73,000	$	64,570
Advanced Semiconductor Engineering, Inc.		112,931		91,151
Ambassador Hotel		22,000		22,684
Asia Cement Corp.		30,900		39,333
Asia Optical Co., Inc.(1)		27,000		27,821
Asustek Computer, Inc.		9,000		103,145
AU Optronics Corp.(1)		197,000		80,136
Catcher Technology Co., Ltd.		15,000		67,122
Cathay Financial Holding Co., Ltd.		62,600		69,793
Chang Hwa Commercial Bank		74,520		41,168
Cheng Shin Rubber Industry Co., Ltd.		25,100		65,592
Chimei Innolux Corp.(1)		195,795		101,954
China Airlines, Ltd.(1)		68,178		29,936
China Development Financial Holding Corp.(1)		132,000		36,507
Chinatrust Financial Holding Co., Ltd.		105,479		60,450
Chong Hong Construction Co., Ltd.		11,110		36,924
Chunghwa Telecom Co., Ltd.		55,000		175,269
Compal Electronics, Inc.		104,000		75,635

17

Security	Shares		Value
Delta Electronics, Inc.		27,000	$	97,821
EVA Airways Corp.(1)		81,000		51,905
Far Eastern Department Stores, Ltd.		30,680		30,443
Far Eastern International Bank		17,907		7,258
Far Eastern New Century Corp.		74,740		86,653
Far EasTone Telecommunications Co., Ltd.		31,000		78,872
First Financial Holding Co., Ltd.		81,280		49,566
Formosa Chemicals & Fibre Corp.		30,000		81,533
Formosa Petrochemical Corp.		17,000		49,036
Formosa Plastics Corp.		47,000		127,704
Formosan Rubber Group, Inc.		29,000		20,945
Foxconn International Holdings, Ltd.(1)		100,000		41,061
Foxconn Technology Co., Ltd.		18,900		55,314
Fubon Financial Holding Co., Ltd.		50,496		64,539
Giant Manufacturing Co., Ltd.		6,000		31,907
Goldsun Development & Construction Co., Ltd.		63,000		24,455
Hotai Motor Co., Ltd.		6,000		47,888
Hua Nan Financial Holdings Co., Ltd.		45,177		26,092
Mega Financial Holding Co., Ltd.		89,900		73,628
Nan Ya Plastics Corp.		61,000		124,098
Pou Chen Corp.		50,000		49,964
President Chain Store Corp.		10,000		54,047
Quanta Computer, Inc.		50,000		116,864
Radiant Opto-Electronics Corp.		16,300		63,277
Radium Life Tech Co., Ltd.		32,309		30,795
Ruentex Industries, Ltd.		19,000		48,325
Sanyang Industrial Co., Ltd.(1)		29,000		20,767
Shin Kong Synthetic Fibers Corp.		71,000		22,936
Siliconware Precision Industries Co., Ltd.		71,000		74,167
Sincere Navigation		24,000		21,801
Solar Applied Materials Technology Corp.		7,699		9,534
Standard Foods Corp.		10,480		29,288
Synnex Technology International Corp.		33,000		66,991
Taishin Financial Holdings Co., Ltd.		58,835		23,318
Taiwan Cement Corp.		43,000		58,178
Taiwan Cooperative Financial Holding Co., Ltd.		73,692		41,076
Taiwan Fertilizer Co., Ltd.		11,000		27,300
TPK Holding Co., Ltd.		5,887		101,452
TTY Biopharm Co., Ltd.		7,480		27,392
Uni-President Enterprises Corp.		61,170		107,454
United Microelectronics Corp.		222,000		86,722
Waterland Financial Holdings		65,520		22,139
Wei Chuan Food Corp.		21,000		29,214
Wistron Corp.		68,100		78,915
Yageo Corp.(1)		120,000		35,293
Yieh Phui Enterprise		63,240		20,354
Yuanta Financial Holding Co., Ltd.		96,000		52,062
Yuen Foong Yu Paper Manufacturing Co., Ltd.		49,000		23,658
Yulon Motor Co., Ltd.		22,000		40,833
			$	3,744,024
Thailand — 0.7%
Advanced Info Service PCL(4)		22,700	$	160,024
Airports of Thailand PCL(4)		8,400		29,709
Bangkok Bank PCL(4)		8,600		63,423
Bangkok Dusit Medical Services PCL(4)		7,200		32,100
Bank of Ayudhya PCL(4)		53,400		59,537

18

Security	Shares		Value
Banpu PCL(4)		2,300	$	29,944
BEC World PCL(4)		15,500		37,594
Berli Jucker PCL(4)		18,000		45,262
Big C Supercenter PCL(4)		4,000		28,842
BTS Group Holdings PCL		102,400		26,797
Bumrungrad Hospital PCL(4)		3,800		9,906
Central Pattana PCL(4)		8,300		23,723
Charoen Pokphand Foods PCL(4)		52,900		62,966
CP ALL PCL(4)		54,600		85,604
Delta Electronics (Thailand) PCL(4)		29,900		35,576
Dynasty Ceramic PCL(4)		2,900		5,060
Electricity Generating PCL(4)		7,500		38,464
Glow Energy PCL(4)		13,700		36,276
Hana Microelectronics PCL(4)		37,700		29,595
Home Product Center PCL(4)		15,960		7,368
IRPC PCL(4)		142,000		20,957
Kasikornbank PCL(4)		16,600		110,535
Krung Thai Bank PCL(4)		29,650		22,798
Land & Houses PCL(4)		82,300		31,207
Minor International PCL(4)		44,000		32,635
PTT Exploration & Production PCL(4)		19,012		105,877
PTT Global Chemical PCL(4)		24,500		65,727
PTT PCL(4)		9,100		104,076
Ratchaburi Electricity Generating Holding PCL(4)		9,000		18,269
Robinson Department Store PCL(4)		3,700		8,679
Shin Corp. PCL(4)		15,000		34,330
Siam Cement PCL(4)		4,100		63,618
Siam City Cement PCL(4)		1,600		22,092
Siam Commercial Bank PCL(4)		21,300		127,904
Siam Makro PCL(4)		1,900		28,450
Sino Thai Engineering & Construction PCL(4)		35,300		33,146
Thai Beverage PCL		169,000		71,808
Thai Oil PCL(4)		9,000		22,258
Thai Union Frozen Products PCL(4)		11,160		25,656
Thanachart Capital PCL(4)		19,800		25,742
TMB Bank PCL(4)		355,700		26,960
Total Access Communication PCL(4)		13,600		39,459
True Corp. PCL(1)		206,200		45,660
			$	1,935,613
Turkey — 0.7%
Akbank TAS		25,500	$	128,950
Akenerji Elektrik Uretim AS(1)		32,983		31,721
Anadolu Efes Biracilik ve Malt Sanayii AS		4,000		59,754
Arcelik AS		4,100		26,796
BIM Birlesik Magazalar AS		1,600		77,578
Cimsa Cimento Sanayi ve Ticaret AS		4,600		26,828
Coca-Cola Icecek AS		1,500		36,472
Dogan Sirketler Grubu Holding AS(1)		10,000		6,143
Enka Insaat ve Sanayi AS		12,176		36,562
Eregli Demir ve Celik Fabrikalari TAS		38,400		54,599
Ford Otomotiv Sanayi AS		2,100		23,885
Haci Omer Sabanci Holding AS		11,200		64,543
Ihlas Holding AS(1)		44,800		30,316
Is Gayrimenkul Yatirim Ortakligi AS		23,800		21,633
Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS, Class D		38,500		34,607
KOC Holding AS		17,120		89,333

19

Security	Shares		Value
Koza Altin Isletmeleri AS		1,100	$	27,074
Koza Anadolu Metal Madencilik Isletmeleri AS(1)		9,300		26,637
Petkim Petrokimya Holding AS		15,600		27,222
Tekfen Holding AS		6,700		27,431
Tofas Turk Otomobil Fabrikasi AS		4,800		28,961
Tupras-Turkiye Petrol Rafinerileri AS		3,200		88,269
Turk Hava Yollari Anonim Ortakligi (THY) AS(1)		14,300		53,122
Turk Sise ve Cam Fabrikalari AS		21,446		37,420
Turk Telekomunikasyon AS		18,100		75,903
Turkcell Iletisim Hizmetleri AS(1)		18,300		114,365
Turkiye Garanti Bankasi AS		29,800		149,440
Turkiye Halk Bankasi AS		5,800		57,269
Turkiye Is Bankasi		24,300		89,794
Turkiye Sinai Kalkinma Bankasi AS		25,025		32,326
Turkiye Vakiflar Bankasi TAO		19,300		56,398
Ulker Gida Sanayi ve Ticaret AS		5,300		30,156
Yapi ve Kredi Bankasi AS(1)		16,600		48,704
Yazicilar Holding AS		3,200		31,750
			$	1,751,961
United Arab Emirates — 0.4%
Abu Dhabi Commercial Bank (PJSC)		132,000	$	127,614
Abu Dhabi National Hotels		13,000		6,415
Air Arabia (PJSC)		286,700		69,135
Aldar Properties (PJSC)		119,000		46,352
DP World, Ltd.		18,000		236,149
Dubai Financial Market(1)		107,700		37,560
Dubai Islamic Bank (PJSC)		26,000		15,856
Emaar Properties (PJSC)		164,700		218,688
First Gulf Bank (PJSC)		25,200		87,863
National Bank of Abu Dhabi (PJSC)		53,835		160,447
Ras Al Khaimah Ceramics(1)		82,200		25,307
Union National Bank		61,500		62,827
			$	1,094,213
United Kingdom — 2.7%
Associated British Foods PLC		4,094	$	113,528
AstraZeneca PLC		10,217		493,683
BAE Systems PLC		53,340		287,077
BHP Billiton PLC		8,331		285,686
BP PLC		53,286		394,450
Bunzl PLC		1,911		34,338
Burberry Group PLC		8,212		176,418
Centrica PLC		70,374		390,782
Compass Group PLC		12,242		148,196
Croda International PLC		816		31,357
Diageo PLC		2,889		86,000
Experian PLC		3,566		61,001
GlaxoSmithKline PLC		4,970		113,683
Imperial Tobacco Group PLC		500		18,592
Kingfisher PLC		5,668		24,221
Marks & Spencer Group PLC		10,988		66,105
National Grid PLC		1,714		18,768
Next PLC		4,932		317,271
Randgold Resources, Ltd.		1,330		125,276
Reckitt Benckiser Group PLC		334		22,252

20

Security	Shares		Value
Reed Elsevier PLC		2,870	$	31,237
Rexam PLC		21,005		156,145
Rexam PLC, Class B, PFC Shares(1)		23,339		16,657
Rolls-Royce Holdings PLC		29,192		438,258
Royal Dutch Shell PLC, Class A		17,056		604,613
Royal Dutch Shell PLC, Class B		17,511		636,470
Sage Group PLC (The)		36,503		186,918
Serco Group PLC		14,171		124,592
Severn Trent PLC		1,097		28,217
Shire PLC		7,492		250,624
SSE PLC		1,270		28,585
Subsea 7 SA		4,061		98,100
Tesco PLC		48,136		272,047
Tullow Oil PLC		10,062		181,424
Unilever PLC		603		24,562
United Utilities Group PLC		1,376		15,968
Vodafone Group PLC		122,534		334,415
Whitbread PLC		2,865		116,767
WM Morrison Supermarkets PLC		62,028		246,715
			$	7,000,998
United States — 20.1%
3M Co.		4,029	$	405,116
A.O. Smith Corp.		271		18,775
Abaxis, Inc.		1,922		74,420
Abbott Laboratories		5,546		187,898
AbbVie, Inc.		5,546		203,483
Accenture PLC, Class A		4,815		346,150
Acorda Therapeutics, Inc.(1)		2,871		82,914
Actavis, Inc.(1)		734		63,410
Acuity Brands, Inc.		418		28,758
Advance Auto Parts, Inc.		215		15,807
Advanced Energy Industries, Inc.(1)		178		2,732
Advisory Board Co. (The)(1)		845		45,824
Affymax, Inc.(1)		2,189		41,175
AGL Resources, Inc.		1,729		72,272
Air Products and Chemicals, Inc.		1,065		93,113
Airgas, Inc.		769		73,240
Akamai Technologies, Inc.(1)		501		20,396
Alaska Air Group, Inc.(1)		1,448		66,796
Alere, Inc.(1)		1,686		35,844
Alexion Pharmaceuticals, Inc.(1)		1,229		115,514
Allegiant Travel Co.		636		47,363
Allergan, Inc.		1,480		155,415
ALLETE, Inc.		1,557		71,840
Alliant Energy Corp.		254		11,643
Allied Nevada Gold Corp.(1)		1,142		27,054
Allied World Assurance Co. Holdings, Ltd.		261		22,141
Altera Corp.		2,732		91,303
Altria Group, Inc.		13,358		449,897
Amazon.com, Inc.(1)		1,448		384,444
Amdocs, Ltd.		1,060		37,831
American Express Co.		2,133		125,442
American Greetings Corp.		1,423		22,768
American States Water Co.		747		37,761
American Tower Corp.		2,498		190,223
American Water Works Co., Inc.		2,751		105,308

21

Security	Shares		Value
AmerisourceBergen Corp.		1,704	$	77,310
Amgen, Inc.		1,762		150,581
Amsurg Corp.(1)		2,208		68,912
Analog Devices, Inc.		4,022		175,520
Analogic Corp.		311		23,695
Anworth Mortgage Asset Corp.		9,836		61,573
AOL, Inc.		2,076		63,629
Aon PLC		5,340		308,332
Apple, Inc.		1,214		552,746
Applied Industrial Technologies, Inc.		1,936		85,107
Applied Materials, Inc.		10,835		139,880
Applied Micro Circuits Corp.(1)		443		3,797
AptarGroup, Inc.		278		14,325
Aqua America, Inc.		2,857		77,796
Arbitron, Inc.		2,655		124,519
Arch Capital Group, Ltd.(1)		2,260		104,909
Argo Group International Holdings, Ltd.		1,765		63,699
Arthur J. Gallagher & Co.		1,506		55,647
Ascena Retail Group, Inc.(1)		684		11,594
Ascent Capital Group, Inc., Series A(1)		880		56,065
Associated Banc-Corp.		2,471		35,261
Astoria Financial Corp.		1,769		17,230
AT&T, Inc.		18,694		650,364
Atlantic Power Corp.		10,651		130,901
ATMI, Inc.(1)		1,089		22,226
Atmos Energy Corp.		625		23,350
Automatic Data Processing, Inc.		5,575		330,542
AutoNation, Inc.(1)		435		21,098
AutoZone, Inc.(1)		257		95,013
Avago Technologies, Ltd.		1,933		69,143
Avid Technology, Inc.(1)		2,833		20,964
Avista Corp.		2,940		76,028
Axis Capital Holdings, Ltd.		1,105		42,288
AZZ, Inc.		1,018		43,560
Badger Meter, Inc.		95		4,702
Balchem Corp.		310		11,594
Banco Latinoamericano de Comercio Exterior SA, Class E		936		21,715
Bank of Hawaii Corp.		1,027		49,388
Bank of New York Mellon Corp. (The)		3,363		91,339
Bank of the Ozarks, Inc.		480		17,434
BankUnited, Inc.		892		23,995
Banner Corp.		95		2,869
BB&T Corp.		3,474		105,193
BBCN Bancorp, Inc.		8,227		99,464
Berkshire Hathaway, Inc., Class B(1)		4,321		418,835
Bio Reference Labs, Inc.(1)		808		22,438
Biogen Idec, Inc.(1)		653		101,920
BioMarin Pharmaceutical, Inc.(1)		519		28,488
BJ’s Restaurants, Inc.(1)		404		12,916
Black Hills Corp.		1,679		67,748
Blackbaud, Inc.		2,611		65,066
Bob Evans Farms, Inc.		1,846		81,722
Boston Private Financial Holdings, Inc.		2,240		20,720
Bristol-Myers Squibb Co.		8,350		301,769
Bristow Group, Inc.		1,838		104,729
Brookline Bancorp, Inc.		365		3,216

22

Security	Shares		Value
Brooks Automation, Inc.		1,961	$	18,355
Brown and Brown, Inc.		1,635		44,701
Buffalo Wild Wings, Inc.(1)		272		20,006
Bunge, Ltd.		1,570		125,066
C.H. Robinson Worldwide, Inc.		2,614		172,916
CACI International, Inc., Class A(1)		279		14,963
California Water Service Group		1,648		32,136
Campbell Soup Co.		4,538		166,590
Capitol Federal Financial, Inc.		4,335		50,936
Carnival Corp.		2,309		89,404
Cash America International, Inc.		371		17,775
Caterpillar, Inc.		600		59,034
Cato Corp. (The)		716		19,740
Cavium, Inc.(1)		570		19,061
Celgene Corp.(1)		2,991		295,989
CenturyLink, Inc.		9,031		365,304
Cerner Corp.(1)		1,940		160,147
CH Energy Group, Inc.		444		28,860
Charles River Laboratories(1)		1,062		43,882
Cheesecake Factory, Inc. (The)		534		17,707
Chemed Corp.		1,048		79,176
Chemical Financial Corp.		534		12,982
Chesapeake Lodging Trust		3,061		65,352
Chevron Corp.		5,754		662,573
Children’s Place Retail Stores, Inc. (The)(1)		61		3,040
Chipotle Mexican Grill, Inc.(1)		395		121,269
Cirrus Logic, Inc.(1)		932		26,310
City Holding Co.		521		19,689
City National Corp.		1,034		54,761
Clean Energy Fuels Corp.(1)		1,714		21,956
Clean Harbors, Inc.(1)		866		48,141
Clorox Co. (The)		1,193		93,543
Coca-Cola Co. (The)		12,379		460,994
Cogent Communications Group, Inc.		1,139		28,213
Cognizant Technology Solutions Corp., Class A(1)		2,868		224,220
Colgate-Palmolive Co.		833		89,439
Colony Financial, Inc.		5,004		107,686
Columbia Banking System, Inc.		563		11,373
Comcast Corp., Class A		1,636		62,299
Comerica, Inc.		2,539		87,240
Comfort Systems USA, Inc.		269		3,473
Commerce Bancshares, Inc.		141		5,295
comScore, Inc.(1)		719		10,591
Concho Resources, Inc.(1)		45		4,105
CONMED Corp.		3,682		108,140
ConocoPhillips		5,628		326,424
Consolidated Edison, Inc.		4,839		275,242
Copa Holdings SA, Class A		659		72,226
Corporate Executive Board Co. (The)		80		4,009
Costar Group, Inc.(1)		320		30,010
Costco Wholesale Corp.		4,626		473,425
Covanta Holding Corp.		3,410		67,245
Credit Acceptance Corp.(1)		192		19,117
Cree, Inc.(1)		606		26,149
CreXus Investment Corp.		5,405		71,832
Cullen/Frost Bankers, Inc.		777		45,758

23

Security	Shares		Value
Cummins, Inc.		780	$	89,567
CVB Financial Corp.		7,964		87,604
CVR Energy, Inc.(1)(2)		122		0
CVS Caremark Corp.		5,108		261,530
Danaher Corp.		1,617		96,907
Darden Restaurants, Inc.		342		15,903
DaVita HealthCare Partners, Inc.(1)		546		63,014
Delta Air Lines, Inc.(1)		2,450		34,031
Deluxe Corp.		758		27,887
Devon Energy Corp.		1,518		86,814
Dexcom, Inc.(1)		3,460		52,696
Dime Community Bancshares, Inc.		239		3,301
Discovery Communications, Inc., Class A(1)		1,976		137,095
Dollar Tree, Inc.(1)		318		12,717
Dominion Resources, Inc.		2,526		136,682
Donaldson Co., Inc.		148		5,566
DSW, Inc., Class A		62		4,150
DTE Energy Co.		1,213		76,795
Duke Energy Corp.		5,552		381,644
E.I. du Pont de Nemours & Co.		3,091		146,668
Earthlink, Inc.		3,876		26,357
eBay, Inc.(1)		2,377		132,946
Ecolab, Inc.		3,073		222,485
Edwards Lifesciences Corp.(1)		785		70,595
El Paso Electric Co.		3,562		120,004
Electronics for Imaging, Inc.(1)		5,006		113,236
Eli Lilly & Co.		5,543		297,604
EMC Corp.(1)		5,696		140,179
EMCOR Group, Inc.		999		36,294
Emerson Electric Co.		5,206		298,043
Endurance Specialty Holdings, Ltd.		1,489		63,908
Ennis, Inc.		1,146		17,889
EnPro Industries, Inc.(1)		539		23,975
Enstar Group, Ltd.(1)		607		74,697
Equifax, Inc.		1,187		69,677
Erie Indemnity Co.		207		14,767
ESCO Technologies, Inc.		2,149		88,474
Everest Re Group, Ltd.		692		80,141
Expeditors International of Washington, Inc.		1,284		55,084
Exponent, Inc.(1)		386		18,872
Express Scripts Holding Co.(1)		1,186		63,356
Exxon Mobil Corp.		7,754		697,627
EZCorp, Inc.(1)		560		12,432
FactSet Research Systems, Inc.		766		70,870
Family Dollar Stores, Inc.		1,027		58,231
Fastenal Co.		688		34,180
FedEx Corp.		2,715		275,437
Fidelity National Information Services, Inc.		2,258		83,794
First Cash Financial Services, Inc.(1)		448		23,883
First Citizens BancShares, Inc.		21		3,662
First Commonwealth Financial Corp.		2,296		16,233
First Financial Bankshares, Inc.		3,302		135,580
First Horizon National Corp.		4,074		41,596
First Midwest Bancorp, Inc.		1,278		16,192
First Niagara Financial Group, Inc.		8,625		67,620
Fiserv, Inc.(1)		1,110		89,144

24

Security	Shares		Value
Flushing Financial Corp.		237	$	3,754
Foot Locker, Inc.		669		22,980
Forward Air Corp.		2,416		89,658
Franklin Electric Co., Inc.		1,014		67,451
Fresh Del Monte Produce, Inc.		545		14,361
Frontier Communications Corp.		17,145		78,353
FTI Consulting, Inc.(1)		578		18,785
Gartner, Inc.(1)		2,164		111,468
General Mills, Inc.		3,945		165,453
Genesco, Inc.(1)		287		17,889
Gilead Sciences, Inc.(1)		2,080		82,056
Global Payments, Inc.		916		45,122
Global Power Equipment Group, Inc.		486		7,975
Google, Inc., Class A(1)		810		612,109
Gorman-Rupp Co. (The)		396		12,034
Government Properties Income Trust		2,609		64,834
Granite Construction, Inc.		1,060		38,542
Greatbatch, Inc.(1)		748		19,852
Greenlight Capital Re, Ltd.(1)		2,332		56,085
GulfMark Offshore, Inc., Class A		628		21,829
H.J. Heinz Co.		1,049		63,601
Halliburton Co.		1,149		46,741
Hancock Holding Co.		96		2,901
Hanger Orthopedic Group, Inc.(1)		2,264		65,045
Hawaiian Electric Industries Co.		635		17,126
Haynes International, Inc.		345		17,636
Healthcare Services Group, Inc.		2,476		59,795
HeartWare International, Inc.(1)		378		34,164
HEICO Corp.		2,531		114,806
Herbalife, Ltd.		344		12,494
Hershey Co. (The)		849		67,453
Hillenbrand, Inc.		4,098		101,426
Hittite Microwave Corp.(1)		1,054		64,695
HollyFrontier Corp.		4,330		226,113
Hologic, Inc.(1)		891		21,241
Home BancShares, Inc.		131		4,548
Home Depot, Inc. (The)		5,550		371,406
Howard Hughes Corp. (The)(1)		581		41,832
Hubbell, Inc., Class B		819		74,570
Huron Consulting Group, Inc.(1)		508		17,323
Hyatt Hotels Corp.(1)		535		21,437
IAC/InterActiveCorp		1,224		50,490
IBERIABANK Corp.		578		29,761
ICF International, Inc.(1)		619		14,169
ICG Group, Inc.(1)		1,883		22,596
ICU Medical, Inc.(1)		542		32,764
IDACORP, Inc.		1,875		87,019
IDEX Corp.		526		26,242
IHS, Inc.(1)		719		73,985
Illinois Tool Works, Inc.		3,377		212,177
Insperity, Inc.		424		14,259
Integrys Energy Group, Inc.		1,243		67,980
Intel Corp.		18,178		382,465
International Business Machines Corp.		3,810		773,697
International Rectifier Corp.(1)		819		15,962
Intersil Corp.		9,699		83,896

25

Security	Shares		Value
Investors Bancorp, Inc.		1,430	$	25,240
IPC The Hospitalist Co., Inc.(1)		70		2,985
Isis Pharmaceuticals, Inc.(1)		2,198		31,937
ITC Holdings Corp.		89		7,209
J&J Snack Foods Corp.		1,452		98,954
J.B. Hunt Transport Services, Inc.		68		4,574
j2 Global, Inc.		3,293		104,783
Jack Henry & Associates, Inc.		616		25,552
Jack in the Box, Inc.(1)		3,531		102,505
JetBlue Airways Corp.(1)		6,734		39,125
John Wiley & Sons, Inc., Class A		776		29,721
Johnson & Johnson		6,946		513,448
Jones Lang LaSalle, Inc.		750		69,105
JoS. A. Bank Clothiers, Inc.(1)		699		28,337
Kaiser Aluminum Corp.		534		33,193
Kellogg Co.		2,117		123,844
Kennametal, Inc.		372		15,256
KeyCorp		5,730		53,862
Kimberly-Clark Corp.		678		60,688
Kinder Morgan, Inc.		7,985		299,118
Kirby Corp.(1)		273		19,287
Knight Transportation, Inc.		1,032		16,460
Kohl’s Corp.		2,270		105,078
Kraft Foods Group, Inc.		2,014		93,087
L.B. Foster Co., Class A		65		2,815
Laboratory Corp. of America Holdings(1)		1,125		100,688
Laclede Group, Inc. (The)		85		3,393
Lam Research Corp.(1)		953		39,206
Landstar System, Inc.		65		3,708
Layne Christensen Co.(1)		4,051		91,836
Lennox International, Inc.		972		55,900
Lindsay Corp.		1,473		137,048
Lions Gate Entertainment Corp.(1)		6,528		119,593
Live Nation, Inc.(1)		312		3,201
LivePerson, Inc.(1)		524		7,006
Loews Corp.		2,581		111,938
LogMeIn, Inc.(1)		288		6,538
Lowe’s Companies, Inc.		4,032		153,982
LSI Corp.(1)		2,402		16,910
LTC Properties, Inc.		1,803		67,144
Luminex Corp.(1)		903		16,597
M&T Bank Corp.		3,079		316,183
Madison Square Garden Co. (The)(1)		1,273		66,221
Manhattan Associates, Inc.(1)		1,011		69,264
Marathon Oil Corp.		2,619		88,025
Marathon Petroleum Corp.		6,766		502,105
Marsh & McLennan Cos., Inc.		7,940		281,711
Martin Marietta Materials, Inc.		722		71,283
MasterCard, Inc., Class A		717		371,693
Maxim Integrated Products, Inc.		362		11,385
MAXIMUS, Inc.		806		55,267
McCormick & Co., Inc.		1,706		106,369
McDonald’s Corp.		6,822		650,068
McGraw-Hill Cos., Inc. (The)		2,828		162,667
McKesson Corp.		1,807		190,151
MDC Holdings, Inc.		765		30,080
Medicines Co. (The)(1)		888		26,533

26

Security	Shares		Value
Men’s Wearhouse, Inc. (The)		473	$	14,356
Merck & Co., Inc.		9,284		401,533
Meredith Corp.		1,343		48,697
MGE Energy, Inc.		1,364		71,460
Micrel, Inc.		1,588		16,531
Microchip Technology, Inc.		2,817		94,229
Microsoft Corp.		11,546		317,169
Minerals Technologies, Inc.		932		38,557
Mondelez International, Inc., Class A		8,252		229,323
Monsanto Co.		2,549		258,341
Morningstar, Inc.		230		15,569
MSCI, Inc., Class A(1)		554		18,692
Mueller Industries, Inc.		843		44,982
Murphy Oil Corp.		1,445		86,006
MWI Veterinary Supply, Inc.(1)		182		20,440
MYR Group, Inc.(1)		151		3,390
National Fuel Gas Co.		69		3,754
National Health Investors, Inc.		1,125		71,606
National Healthcare Corp.		397		19,108
National Oilwell Varco, Inc.		1,213		89,932
Nektar Therapeutics(1)		3,830		32,823
Neogen Corp.(1)		1,438		66,853
Neustar, Inc., Class A(1)		1,008		45,501
New Jersey Resources Corp.		845		35,515
New York Community Bancorp, Inc.		7,830		104,530
Newmont Mining Corp.		9,702		416,798
NextEra Energy, Inc.		2,168		156,204
NIC, Inc.		4,561		74,344
NIKE, Inc., Class B		1,300		70,265
Nordstrom, Inc.		704		38,882
Northeast Utilities		1,364		55,556
Northern Trust Corp.		2,242		115,396
NorthStar Realty Finance Corp.		9,360		73,008
Northwest Bancshares, Inc.		1,264		15,421
Northwest Natural Gas Co.		439		19,939
NorthWestern Corp.		3,393		125,507
NPS Pharmaceuticals, Inc.(1)		322		2,846
NVR, Inc.(1)		181		186,368
O’Reilly Automotive, Inc.(1)		1,077		99,784
Occidental Petroleum Corp.		1,056		93,213
OGE Energy Corp.		1,366		80,198
Omnicare, Inc.		523		20,371
Omnicell, Inc.(1)		750		11,850
Omnicom Group, Inc.		1,471		79,846
Oneok, Inc.		2,995		140,795
OpenTable, Inc.(1)		392		20,654
Oracle Corp.		5,099		181,065
OraSure Technologies, Inc.(1)		2,027		14,290
Oritani Financial Corp.		251		3,800
PacWest Bancorp		170		4,672
Pall Corp.		947		64,680
Panera Bread Co., Class A(1)		557		89,014
Papa John’s International, Inc.(1)		88		4,937
Parker Hannifin Corp.		637		59,222
PartnerRe, Ltd.		1,012		88,742
Paychex, Inc.		3,735		121,873
Penn National Gaming, Inc.(1)		436		21,216

27

Security	Shares		Value
PennyMac Mortgage Investment Trust		1,550	$	41,230
People’s United Financial, Inc.		15,905		195,791
PepsiCo, Inc.		7,132		519,566
Perrigo Co.		595		59,803
Pfizer, Inc.		14,478		394,960
PG&E Corp.		1,670		71,209
Philip Morris International, Inc.		7,726		681,124
Phillips 66		1,807		109,450
Piedmont Natural Gas Co., Inc.		1,147		36,429
Pinnacle Financial Partners, Inc.(1)		706		15,158
Platinum Underwriters Holdings, Ltd.		1,923		93,708
PNC Financial Services Group, Inc.		1,865		115,257
PNM Resources, Inc.		251		5,361
Portland General Electric Co.		180		5,170
Power Integrations, Inc.		543		20,308
PPG Industries, Inc.		786		108,366
Praxair, Inc.		3,379		372,940
Prestige Brands Holdings, Inc.(1)		5,759		123,531
priceline.com, Inc.(1)		548		375,638
Pricesmart, Inc.		293		22,564
Procter & Gamble Co.		6,358		477,867
Provident Financial Services, Inc.		968		14,355
QUALCOMM, Inc.		2,132		140,776
Quanex Building Products Corp.		1,483		30,639
Quanta Services, Inc.(1)		1,816		52,610
Rackspace Hosting, Inc.(1)		363		27,352
Ralph Lauren Corp.		500		83,240
RBC Bearings, Inc.(1)		1,715		90,432
Red Robin Gourmet Burgers, Inc.(1)		583		21,554
Regal-Beloit Corp.		1,222		90,624
Regeneron Pharmaceuticals, Inc.(1)		232		40,354
RenaissanceRe Holdings, Ltd.		605		51,812
Republic Services, Inc.		4,420		140,954
Retail Opportunity Investments Corp.		2,403		31,359
Reynolds American, Inc.		5,944		261,417
RLI Corp.		877		60,522
Rockwell Automation, Inc.		283		25,241
Ross Stores, Inc.		632		37,730
Royal Gold, Inc.		1,114		83,182
RR Donnelley & Sons Co.		3,058		28,134
RTI International Metals, Inc.(1)		124		3,522
Ryman Hospitality Properties		645		25,781
S&T Bancorp, Inc.		987		18,200
Salesforce.com, Inc.(1)		521		89,680
SBA Communications Corp., Class A(1)		993		69,172
ScanSource, Inc.(1)		2,169		63,031
Schlumberger, Ltd.		3,647		284,648
Scholastic Corp.		469		13,911
Seattle Genetics, Inc.(1)		1,072		31,570
Selective Insurance Group, Inc.		3,029		62,125
SemGroup Corp., Class A(1)		520		22,443
Sempra Energy		2,702		202,785
Semtech Corp.(1)		1,185		35,740
Sequenom, Inc.(1)		4,068		16,882
Sherwin-Williams Co. (The)		1,898		307,742
Sigma-Aldrich Corp.		459		35,494
Signature Bank(1)		2,142		158,358

28

Security	Shares		Value
Silicon Laboratories, Inc.(1)		602	$	26,271
South Jersey Industries, Inc.		2,512		136,351
Southern Co. (The)		7,349		325,046
Southwest Airlines Co.		14,855		166,525
Southwest Gas Corp.		640		28,506
Southwestern Energy Co.(1)		1,662		57,007
Spectra Energy Corp.		11,579		321,665
St. Jude Medical, Inc.		1,397		56,858
Standex International Corp.		316		17,901
Stanley Black & Decker, Inc.		1,456		111,864
Starbucks Corp.		4,435		248,892
Stericycle, Inc.(1)		1,795		169,358
Stryker Corp.		1,122		70,293
SVB Financial Group(1)		62		4,115
Sysco Corp.		3,381		107,414
Targa Resources Corp.		1,170		70,621
Target Corp.		2,875		173,679
Techne Corp.		1,218		87,306
Teekay Corp.		1,030		36,235
Telephone & Data Systems, Inc.		3,483		88,085
Teradata Corp.(1)		239		15,932
Tesoro Corp.		2,403		117,002
Tetra Tech, Inc.(1)		1,285		36,828
Texas Capital Bancshares, Inc.(1)		504		20,866
Texas Industries, Inc.(1)		575		32,683
Texas Instruments, Inc.		7,641		252,764
Texas Roadhouse, Inc.		1,171		20,598
TFS Financial Corp.(1)		2,168		22,179
Thomson Reuters Corp.		4,401		134,847
Time Warner, Inc.		4,463		225,471
TJX Companies, Inc. (The)		6,817		307,992
Toro Co. (The)		482		21,222
Towers Watson & Co., Class A		885		54,056
Tredegar Corp.		1,164		26,551
Trex Co., Inc.(1)		90		3,803
Trustco Bank Corp.		2,143		11,336
Trustmark Corp.		5,461		126,313
TW Telecom, Inc.(1)		2,447		67,611
Tyco International, Ltd.		2,444		73,882
Tyler Technologies, Inc.(1)		1,390		75,130
U.S. Bancorp		6,533		216,242
UGI Corp.		1,894		66,745
UIL Holdings Corp.		310		11,535
Ultra Petroleum Corp.(1)		985		17,947
Umpqua Holdings Corp.		2,564		32,409
Union Pacific Corp.		1,496		196,664
United Bankshares, Inc.		3,988		101,654
United Parcel Service, Inc., Class B		5,983		474,392
United Technologies Corp.		2,915		255,267
United Therapeutics Corp.(1)		358		19,293
UnitedHealth Group, Inc.		2,569		141,834
Universal Corp.		663		36,054
URS Corp.		1,580		65,538
Valero Energy Corp.		8,861		387,492
Valmont Industries, Inc.		389		56,685
Valspar Corp.		409		27,109
Vectren Corp.		104		3,282

29

Security			Shares		Value
VeriSign, Inc.(1)				2,079	$	90,249
Verisk Analytics, Inc., Class A(1)				126		6,950
Verizon Communications, Inc.				15,115		659,165
Viacom, Inc., Class B				2,332		140,736
Visa, Inc., Class A				3,349		528,841
Vistaprint NV(1)				466		16,704
Vitamin Shoppe, Inc.(1)				274		16,736
Volterra Semiconductor Corp.(1)				459		7,546
W.W. Grainger, Inc.				978		213,028
Wal-Mart Stores, Inc.				9,838		688,168
Walgreen Co.				1,930		77,123
Walt Disney Co. (The)				1,306		70,367
Washington Federal, Inc.				2,109		37,097
Washington Post Co., Class B				309		119,175
Waste Connections, Inc.				3,629		130,717
Waste Management, Inc.				8,126		295,624
Watsco, Inc.				560		42,196
Webster Financial Corp.				146		3,249
Wells Fargo & Co.				3,534		123,089
Wendy’s Co. (The)				3,955		20,329
Westamerica Bancorporation				65		2,887
Western Alliance Bancorp(1)				1,256		15,449
Western Refining, Inc.				1,219		40,995
Western Union Co.				1,860		26,468
WGL Holdings, Inc.				936		39,246
White Mountains Insurance Group, Ltd.				31		17,070
Williams Cos., Inc.				1,447		50,717
Windstream Corp.				1,997		19,451
Wisconsin Energy Corp.				1,552		61,195
World Fuel Services Corp.				1,435		61,863
WPX Energy, Inc.(1)				758		11,393
Wright Medical Group, Inc.(1)				4,020		84,984
Xilinx, Inc.				3,164		115,454
Yahoo! Inc.(1)				3,584		70,354
Yum! Brands, Inc.				5,429		352,559
Zions Bancorporation				2,563		59,769
					$	52,591,296
Total Common Stocks (identified cost $136,789,065)					$	154,297,844
Equity-Linked Securities(5)  — 1.3%
Security	Maturity Date		Shares		Value
India(6) — 1.3%
ABB Ltd.		11/2/16		1,900	$	23,209
Adani Enterprises Ltd.		11/2/16		7,600		35,758
Adani Ports and Special Economic Zone		11/2/16		14,900		42,241
Adani Power Ltd.		11/2/16		11,200		12,824
Apollo Hospitals Enterprises Ltd.		11/2/16		1,900		28,909
Asian Paints Ltd.		8/17/16		800		67,772
Axis Bank Ltd.		10/8/14		2,600		73,658
Bajaj Auto Ltd.		7/29/16		700		26,705
Bank of Baroda		9/29/14		2,700		44,091
Bharat Forge Ltd.		11/2/16		4,200		18,165

30

Security	Maturity Date		Shares		Value
Bharat Heavy Electricals Ltd.		9/29/14		13,100	$	56,199
Bharti Airtel Ltd.		9/29/14		26,800		171,252
Cairn India Ltd.		9/29/14		10,500		63,840
Cipla Ltd.		9/29/14		3,000		22,980
Coal India Ltd.		11/2/16		12,000		79,800
Colgate-Palmolive (India) Ltd.		10/1/14		1,300		33,033
Divi’s Laboratories Ltd.		11/2/16		1,200		23,718
DLF Ltd.		11/2/16		8,400		43,890
Essar Oil Ltd.		11/2/16		28,700		46,494
Exide Industries Ltd.		11/2/16		8,400		19,404
Federal Bank Ltd.		7/29/16		5,000		47,575
GAIL India Ltd.		4/6/16		8,100		52,164
GlaxoSmithKline Pharmaceuticals Ltd.		11/3/16		500		19,280
Glenmark Pharmaceuticals Ltd.		11/2/16		4,500		42,547
Grasim Industries Ltd.		9/29/14		300		16,971
Gujarat State Petronet Ltd.		11/2/16		16,300		22,250
Hero Motocorp Ltd.		10/8/14		1,300		44,577
Hindalco Industries Ltd.		6/30/16		19,100		41,829
Hindustan Petroleum Corp., Ltd.		10/13/14		4,800		29,688
Hindustan Unilever Ltd.		10/1/14		9,900		88,308
Hindustan Zinc Ltd.		10/13/14		11,300		27,346
IDBI Bank Ltd.		11/2/16		28,400		57,510
Idea Cellular Ltd.		11/2/16		24,600		52,398
IFCI Ltd.		10/13/14		94,100		62,576
Indiabulls Financial Services Ltd.		11/2/16		9,200		56,534
Indian Oil Corp., Ltd.		4/26/16		10,700		65,912
IndusInd Bank Ltd.		12/15/14		10,600		86,920
Infrastructure Development Finance Company Ltd.		10/8/14		22,400		71,568
ITC Ltd.		9/29/14		21,300		123,327
Jaiprakash Associates Ltd.		10/13/14		17,200		28,122
Jindal Steel and Power Ltd. JSPL		9/29/14		6,800		53,788
Kotak Mahindra Bank Ltd.		10/13/14		4,600		58,903
Larsen & Toubro Ltd.		11/4/14		2,200		63,833
Lupin Ltd.		11/2/16		2,000		22,750
Mahindra & Mahindra Ltd.		10/15/14		3,700		61,956
Maruti Suzuki India Ltd.		9/29/14		800		23,812
National Hydroelectric Power Corp., Ltd.		11/2/16		57,100		31,120
Nestle India, Ltd.		9/8/15		400		35,780
NMDC Ltd.		11/2/16		14,500		42,123
NTPC Ltd.		4/26/16		28,500		84,217
Oil and Natural Gas Corp., Ltd.		4/26/16		17,700		113,191
Oil India Ltd.		11/2/16		5,450		55,372
Power Finance Co.		7/27/15		16,100		63,917
Power Grid Corp. of India Ltd.		11/16/15		17,900		37,053
Ranbaxy Laboratories Ltd.		11/2/16		2,000		16,850
Reliance Communications Ltd.		4/26/16		10,200		15,861
Reliance Infrastructure Ltd.		4/26/16		3,900		37,830
Reliance Power Ltd.		11/2/16		9,700		16,830
Shriram Transport Finance Co.		9/24/14		4,800		71,352
Siemens Ltd.		11/2/16		3,200		39,536
Sun Pharmaceutical Industries Ltd.		4/26/16		4,300		58,114
Tata Chemicals Ltd.		6/30/16		5,500		37,043
Tata Consultancy Services Ltd.		10/13/14		7,000		177,065
Tata Power Co., Ltd.		4/26/16		12,900		24,510
Tata Steel Ltd.		10/13/14		5,500		41,910
Torrent Power Ltd.		11/2/16		800		2,532

31

Security	Maturity Date		Shares		Value
Union Bank of India Ltd.		7/29/16		6,800	$	32,640
United Breweries Ltd.		11/2/16		2,200		30,250
Wipro Ltd.		10/13/14		8,200		63,509
Yes Bank Ltd.		11/2/16		5,900		57,997
					$	3,442,988
Kuwait(7) — 0.0%(8)
Al Safwa Group Holding Co. KSC(1)(2)		11/15/13		160,000	$	3,680
Kuwait Finance House KSC		1/14/14		5,000		14,835
Kuwait Foods Co. (Americana)		11/15/13		2,500		21,233
Kuwait Pipes Industries & Oil Services Co.		5/16/14		20,000		8,170
National Mobile Telecommunications Co. KSC		1/7/14		2,500		16,259
					$	64,177
Total Equity-Linked Securities (identified cost $3,194,640)					$	3,507,165
Rights(1) — 0.0%(8)
Security			Shares		Value
Corpbanca SA, Exp. 2/14/13				521,592	$	587
Total Rights (identified cost $0)					$	587
Short-Term Investments — 39.3%
U.S. Treasury Obligations — 20.1%
Security			Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 2/7/13(9)			$	20,000	$	19,999,900
U.S. Treasury Bill, 0.00%, 5/2/13				12,500		12,497,975
U.S. Treasury Bill, 0.00%, 10/17/13(9)				20,000		19,985,320
Total U.S. Treasury Obligations (identified cost $52,470,055)					$	52,483,195
Other — 19.2%
Description			Interest (000’s omitted)		Value
Eaton Vance Cash Reserves Fund, LLC, 0.12%(10)			$	50,118	$	50,117,609
Total Other (identified cost $50,117,609)					$	50,117,609
Total Short-Term Investments (identified cost $102,587,664)					$	102,600,804
Total Investments — 99.7% (identified cost $242,571,369)					$	260,406,400

32

	Value
Other Assets, Less Liabilities — 0.3%	$	687,742
Net Assets — 100.0%	$	261,094,142

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

ADR	-	American Depositary Receipt
CDI	-	CHESS Depositary Interest
GDR	-	Global Depositary Receipt
PC	-	Participation Certificate
PCL	-	Public Company Ltd.
PFC Shares	-	Preference Shares
SDR	-	Swedish Depositary Receipt

(1) Non-income producing security.

(2) For fair value measurement disclosure purposes, security is categorized as Level 3.

(3) Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At January 31, 2013, the aggregate value of these securities is $701,729 or 0.3% of the Portfolio’s net assets.

(4) Indicates a foreign registered security. Shares issued to foreign investors in markets that have foreign ownership limits.

(5) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be sold in certain transactions (normally to qualified institutional buyers) and remain exempt from registration. At January 31, 2013, the aggregate value of these securities is $3,507,165 or 1.4% of the Portfolio’s net assets.

(6) Security whose performance, including redemption at maturity, is linked to the price of the underlying equity security. The investment is subject to credit risk of the issuing financial institution (JPMorgan Chase) in addition to the market risk of the underlying security.

(7) Security whose performance, including redemption at maturity, is linked to the price of the underlying equity security. The investment is subject to credit risk of the issuing financial institution (Citigroup Global Markets Holdings Inc.) in addition to the market risk of the underlying security.

(8) Amount is less than 0.05%.

(9) Security (or a portion thereof) has been pledged to cover collateral requirements on open financial contracts.

(10) 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 January 31, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended January 31, 2013 was $10,677.

Currency Concentration of Portfolio

Currency	Percentage of Net Assets			Value
United States Dollar		64.6	%	$	168,790,722
Euro		7.7			20,154,005
Hong Kong Dollar		2.7			7,092,364
British Pound Sterling		2.7			6,918,295
Japanese Yen		2.2			5,810,395
New Taiwan Dollar		1.4			3,702,963
South African Rand		1.4			3,673,044
Swiss Franc		1.4			3,619,889

33

Currency	Percentage of Net Assets			Value
Australian Dollar		1.4	%	$	3,618,664
South Korean Won		1.4			3,531,335
Other currency, less than 1% each		12.8			33,494,724
Total Investments		99.7	%	$	260,406,400

Sector Classification of Portfolio

Sector	Percentage of Net Assets			Value
Financials		11.9	%	$	30,979,720
Industrials		6.9			17,917,390
Consumer Staples		6.5			17,047,586
Consumer Discretionary		6.0			15,769,980
Information Technology		6.0			15,547,199
Energy		5.4			14,149,829
Materials		5.2			13,704,563
Health Care		4.7			12,339,877
Telecommunication Services		4.2			10,877,055
Utilities		3.6			9,472,397
Short-Term Investments		39.3			102,600,804
Total Investments		99.7	%	$	260,406,400

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in PSAR Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at January 31, 2013 were $12,993,809 or 5.0% of the Portfolio’s consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

A summary of open financial instruments at January 31, 2013 is as follows:

Forward Foreign Currency Exchange Contracts

Purchases

Settlement Date	In Exchange For	Deliver	Counterparty	Net  Unrealized Appreciation (Depreciation)
2/20/13	Australian Dollar 4,559,157	United States Dollar 4,794,957	State Street Bank and Trust Co.	$	(46,458	)
2/20/13	British Pound Sterling 2,982,206	United States Dollar 4,802,187	State Street Bank and Trust Co.		(72,834	)
2/20/13	Canadian Dollar 4,744,366	United States Dollar 4,825,188	State Street Bank and Trust Co.		(70,428	)
2/20/13	Euro 3,632,439	United States Dollar 4,846,691	State Street Bank and Trust Co.		85,895
2/20/13	Israeli Shekel 18,087,194	United States Dollar 4,832,479	State Street Bank and Trust Co.		40,674
2/20/13	Japanese Yen 426,554,971	United States Dollar 4,776,972	State Street Bank and Trust Co.		(111,883	)
2/20/13	New Zealand Dollar 5,718,106	United States Dollar 4,781,709	State Street Bank and Trust Co.		11,825

34

Settlement Date	In Exchange For	Deliver	Counterparty	Net  Unrealized Appreciation (Depreciation)
2/20/13	Norwegian Krone 26,662,569	United States Dollar 4,814,824	State Street Bank and Trust Co.	$	62,700
2/20/13	Singapore Dollar 5,889,315	United States Dollar 4,805,564	State Street Bank and Trust Co.		(47,208	)
2/20/13	Swedish Krona 31,311,394	United States Dollar 4,826,546	State Street Bank and Trust Co.		96,591
2/20/13	Swiss Franc 4,404,803	United States Dollar 4,825,066	State Street Bank and Trust Co.		15,901
				$	(35,225	)

Futures Contracts

Expiration Month/Year	Contracts	Position	Aggregate Cost			Value			Net  Unrealized Depreciation
3/13	247 E-mini MSCI EAFE Index	Short	$	(19,655,176	)	$	(20,765,290	)	$	(1,110,114	)
3/13	379 E-mini MSCI Emerging Markets Index	Short		(19,835,150	)		(20,310,610	)		(475,460	)
3/13	646 E-mini S&P 500 Index	Short		(46,171,275	)		(48,233,590	)		(2,062,315	)
3/13	664 United States Dollar Index	Long		53,176,894			52,606,064			(570,830	)
									$	(4,218,719	)

Total Return Swaps

Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/ Receives Return  on Reference Index	Reference Index	Portfolio Pays/ Receives Rate	Rate	Expiration Date	Net Unrealized Appreciation (Depreciation)
Bank of America	$	27,538	Pays	Total Return on MSCI Daily Net EAFE USD Index	Receives	3-Month USD-LIBOR- BBA-0.32%	10/31/13	$	(19	)
Bank of America		24,234	Pays	Total Return on MSCI Daily Net Emerging Markets USD Index	Receives	3-Month USD-LIBOR- BBA+0.07	10/31/13		256
Merrill Lynch International		49,744	Pays	Excess Return on Dow Jones- UBS Commodity Index	Pays	0.15%	2/6/13		(538,311	)
Merrill Lynch International		4,107	Receives	Excess Return on S&P GSCI 1 Month Forward Aluminum Index	Pays	0.23	2/6/13		(128,173	)
Merrill Lynch International		1,027	Receives	Excess Return on S&P GSCI 1 Month Forward Brent Crude Index	Pays	0.23	2/6/13		75,070
Merrill Lynch International		4,107	Receives	Excess Return on S&P GSCI 1 Month Forward Copper Index	Pays	0.23	2/6/13		9,111
Merrill Lynch International		1,027	Receives	Excess Return on S&P GSCI 1 Month Forward Crude Oil Index	Pays	0.23	2/6/13		112,520
Merrill Lynch International		4,107	Receives	Excess Return on S&P GSCI 1 Month Forward GasOil Index	Pays	0.23	2/6/13		256,146
Merrill Lynch International		4,107	Receives	Excess Return on S&P GSCI 1 Month Forward Gold Index	Pays	0.23	2/6/13		(139,790	)
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Lead Index	Pays	0.23	2/6/13		92,409

35

Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/ Receives Return  on Reference Index	Reference Index	Portfolio Pays/ Receives Rate	Rate	Expiration Date	Net Unrealized Appreciation (Depreciation)
Merrill Lynch International	$	2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Nickel Index	Pays	0.23%	2/6/13	$	68,291
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Silver Index	Pays	0.23	2/6/13		(148,296	)
Merrill Lynch International		4,107	Receives	Excess Return on S&P GSCI 1 Month Forward Unleaded Gasoline Index	Pays	0.23	2/6/13		523,580
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Zinc Index	Pays	0.23	2/6/13		38,410
Merrill Lynch International		1,027	Receives	Excess Return on S&P GSCI Platinum Index	Pays	0.23	2/6/13		15,396
Merrill Lynch International		1,027	Receives	Excess Return on S&P GSCI 1 Month Forward Cocoa Index	Pays	0.28	2/6/13		(102,110	)
Merrill Lynch International		1,027	Receives	Excess Return on S&P GSCI 1 Month Forward Coffee Index	Pays	0.28	2/6/13		4,919
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Corn Index	Pays	0.28	2/6/13		48,590
Merrill Lynch International		1,027	Receives	Excess Return on S&P GSCI 1 Month Forward Cotton Index	Pays	0.28	2/6/13		96,805
Merrill Lynch International		1,027	Receives	Excess Return on S&P GSCI 1 Month Forward Lean Hogs Index	Pays	0.28	2/6/13		(12,970	)
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Live Cattle Index	Pays	0.28	2/6/13		(45,289	)
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Soybeans Index	Pays	0.28	2/6/13		(732	)
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Sugar Index	Pays	0.28	2/6/13		5,992
Merrill Lynch International		2,053	Receives	Excess Return on S&P GSCI 1 Month Forward Wheat Index	Pays	0.28	2/6/13		(83,269	)

36

Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/ Receives Return  on Reference Index	Reference Index	Portfolio Pays/ Receives Rate	Rate	Expiration Date	Net Unrealized Appreciation (Depreciation)
Merrill Lynch International	$	2,053	Receives	Excess Return on Dow Jones - UBS 3 Month Forward Soybean Oil Subindex	Pays	0.33%	2/6/13	$	108,819
Merrill Lynch International		4,107	Receives	Excess Return on S&P GSCI Enhanced Natural Gas Official Close Index	Pays	0.38	2/6/13		36,624
								$	293,979

At January 31, 2013, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Commodity Risk: Commodity risk is the risk that the value of a commodity or commodity index will fluctuate based on increases or decreases in the commodities market and factors specific to a particular industry or commodity. The Portfolio invests in commodities-linked derivative investments, including total return swaps based on a commodity index that provide exposure to the investment returns of the commodities market, without investing directly in physical commodities.

Equity Price Risk: The Portfolio enters into total return swap agreements on equity indices to enhance return, to hedge against fluctuations in securities prices or as substitution for the purchase or sale of securities. The Portfolio also enters into equity index futures contracts to enhance return or hedge volatility as an overall asset/risk instrument.

Foreign Exchange Risk: The Portfolio enters into forward foreign currency exchange contracts and currency futures contracts to enhance return, to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at January 31, 2013 was as follows:

		Fair Value
Risk	Derivative	Asset Derivative		Liability Derivative
Commodity	Total Return Swaps	$	1,492,682	$	(1,198,940	)
		$	1,492,682	$	(1,198,940	)
Equity Price	Futures Contracts*	$	—	$	(3,647,889	)
	Total Return Swaps		256		(19	)
		$	256	$	(3,647,908	)
Foreign Exchange	Forward Foreign Currency
	Exchange Contracts	$	313,586	$	(348,811	)
	Futures Contracts*		—		(570,830	)
		$	313,586	$	(919,641	)

* Amount represents cumulative unrealized appreciation or (depreciation) on futures contracts in the Futures Contracts table above.

37

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at January 31, 2013, as determined on a federal income tax basis, were as follows:

Aggregate cost	$	242,925,617
Gross unrealized appreciation	$	20,765,165
Gross unrealized depreciation		(3,284,382	)
Net unrealized appreciation	$	17,480,783

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.

At January 31, 2013, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1			Level 2			Level 3*		Total
Common Stocks
Asia/Pacific	$	1,215,907		$	33,448,539		$	161	$	34,664,607
Developed Europe		84,628			37,051,547			—		37,136,175
Developed Middle East		348,900			858,988			—		1,207,888
Emerging Europe		696,065			8,532,806			—		9,228,871
Latin America		7,544,150			3,695,880			—		11,240,030
Middle East/Africa		—			8,228,977			—		8,228,977
North America		52,591,296			—			0		52,591,296
Total Common Stocks	$	62,480,946		$	91,816,737	**	$	161	$	154,297,844
Equity-Linked Securities	$	—		$	3,503,485		$	3,680	$	3,507,165
Rights		587			—			—		587
Short-Term Investments -
U.S. Treasury Obligations		—			52,483,195			—		52,483,195
Other		—			50,117,609			—		50,117,609
Total Investments	$	62,481,533		$	197,921,026		$	3,841	$	260,406,400
Forward Foreign Currency Exchange Contracts	$	—		$	313,586		$	—	$	313,586
Swap Contracts		—			1,492,938			—		1,492,938
Total	$	62,481,533		$	199,727,550		$	3,841	$	262,212,924
Liability Description
Forward Foreign Currency Exchange Contracts	$	—		$	(348,811	)	$	—	$	(348,811	)
Futures Contracts		(4,218,719	)		—			—		(4,218,719	)
Swap Contracts		—			(1,198,959	)		—		(1,198,959	)
Total	$	(4,218,719	)	$	(1,547,770	)	$	—	$	(5,766,489	)

38

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio.

** Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended January 31, 2013 is not presented.

At January 31, 2013, the value of investments transferred between Level 1 and Level 2 during the fiscal year to date then ended was not significant.

For information on the Portfolio’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio’s most recent financial statements included in its semiannual or annual report to shareholders.

Subsequent Event

The name of the Portfolio was changed to Parametric Market Neutral Portfolio effective March 1, 2013.

39

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.

Parametric Structured Absolute Return Portfolio (Currently known as Parametric Market Neutral Portfolio)

By:	/s/ Duncan W. Richardson
	Duncan W. Richardson
	President
Date:	March 25, 2013

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:	March 25, 2013
By:	/s/ James F. Kirchner
	James F. Kirchner
	Treasurer
Date:	March 25, 2013