Parametric Market Neutral Portfolio


Common Stocks — 80.3%


Security	Shares		Value


Australia — 1.3%
AGL Energy, Ltd.		2,696	$	39,577
Amcor, Ltd.		16,392		157,313
APA Group		2,615		16,209
Australia and New Zealand Banking Group, Ltd.		1,891		60,810
BHP Billiton, Ltd.		1,306		45,993
Coca-Cola Amatil, Ltd.		1,440		12,431
Commonwealth Bank of Australia		1,741		128,070
Computershare, Ltd.		3,083		35,537
Crown, Ltd.		1,448		21,668
CSL, Ltd.		1,245		79,369
GPT Group		4,603		16,798
Harvey Norman Holdings, Ltd.		9,724		29,760
James Hardie Industries PLC CDI		1,310		16,818
National Australia Bank, Ltd.		2,005		66,019
Orica, Ltd.		3,263		66,593
Origin Energy, Ltd.		5,469		75,975
Orora, Ltd.⁽¹⁾		26,811		34,764
Rio Tinto, Ltd.		1,059		61,072
Sydney Airport		3,269		12,845
Tabcorp Holdings, Ltd.		6,320		21,903
Tatts Group, Ltd.		6,146		17,286
Telstra Corp., Ltd.		28,309		137,641
Wesfarmers, Ltd.⁽¹⁾		718		28,576
Westpac Banking Corp.		609		19,948
Woodside Petroleum, Ltd.		939		35,692
Woolworths, Ltd.		1,990		69,156

			$	1,307,823


Austria — 0.2%
OMV AG		2,821	$	131,894
Raiffeisen Bank International AG		1,483		46,879
Verbund AG		993		19,253

			$	198,026


Belgium — 0.7%
Anheuser-Busch InBev NV		2,327	$	253,633
Belgacom SA		1,613		49,370
Colruyt SA		1,104		62,426
Delhaize Group SA		332		24,722
Groupe Bruxelles Lambert SA		1,291		130,533
Solvay SA		534		86,537
Telenet Group Holding NV		989		58,001
UCB SA		922		75,629


Security	Shares		Value


Belgium (continued)
Umicore SA		792	$	38,823

			$	779,674


Brazil — 1.5%
AES Tiete SA, PFC Shares		3,300	$	25,915
All America Latina Logistica SA (Units)		5,800		22,968
Banco do Brasil SA		4,700		49,345
Banco Santander Brasil SA ADR		16,000		106,400
BM&F Bovespa SA		13,900		71,066
BR Malls Participacoes SA		5,900		50,777
Centrais Eletricas Brasileiras SA		5,300		29,973
Cia de Concessoes Rodoviarias SA (CCR)		7,400		57,912
Cia de Saneamento Basico do Estado de Sao Paulo ADR		3,700		35,076
Cia de Saneamento de Minas Gerais-COPASA		1,500		23,411
Cia Energetica de Minas Gerais SA, PFC Shares		4,707		35,866
Cia Energetica de Sao Paulo, PFC Shares		2,400		28,448
Cia Hering		3,200		33,812
Cia Siderurgica Nacional SA ADR		5,500		21,285
Cielo SA		5,248		92,968
CPFL Energia SA ADR		2,100		35,196
Embraer SA ADR		1,210		41,624
Estacio Participacoes SA		5,900		63,187
Gerdau SA ADR		4,000		24,040
Itau Unibanco Holding SA, PFC Shares		7,400		122,130
Lojas Americanas SA, PFC Shares		6,565		49,729
Lojas Renner SA		2,400		70,609
Natura Cosmeticos SA		2,400		41,106
PDG Realty SA Empreendimentos e Participacoes⁽¹⁾		31,800		19,538
Petroleo Brasileiro SA ADR		3,000		41,640
Petroleo Brasileiro SA, PFC Shares		12,100		89,919
Raia Drogasil SA		5,000		42,606
Tim Participacoes SA		7,100		38,529
Totvs SA		1,500		24,494
Ultrapar Participacoes SA		1,800		45,191
Vale SA		3,100		40,875
Vale SA ADR		5,700		75,354
Weg SA		2,340		28,241

			$	1,579,230


Chile — 0.7%
Aguas Andinas SA, Series A		32,800	$	20,235
Antarchile SA, Series A		2,600		34,328
Banco de Chile		415,901		53,438
Banco de Credito e Inversiones		524		28,974
Banco Santander Chile SA ADR		1,340		32,522


Security	Shares		Value


Chile (continued)
Besalco SA		11,900	$	10,418
Cap SA		1,500		22,490
Cencosud SA		12,500		41,648
Cia Cervecerias Unidas SA		1,900		22,426
Cia General de Electricidad SA		3,900		18,316
Colbun SA		70,800		17,518
Corpbanca SA		2,058,100		23,709
Empresa Nacional de Electricidad SA		33,900		50,151
Empresas CMPC SA		14,200		31,608
Empresas Copec SA		5,200		67,090
Enersis SA		152,500		49,324
Latam Airlines Group SA		3,100		47,303
Parque Arauco SA		10,013		17,921
Quinenco SA		5,975		13,237
S.A.C.I. Falabella		9,000		76,561
Sigdo Koppers SA		8,300		13,533
Sociedad Quimica y Minera de Chile SA, Series B ADR		1,200		38,280
Sonda SA		7,100		16,421
Vina Concha y Toro SA		6,000		12,548

			$	759,999


China — 2.2%
Agricultural Bank of China, Ltd., Class H		64,000	$	26,847
Air China, Ltd., Class H		37,313		21,271
Anhui Conch Cement Co., Ltd., Class H		19,500		72,555
Baidu, Inc. ADR⁽¹⁾		700		107,695
Bank of Communications, Ltd., Class H		84,000		52,322
Beijing Enterprises Holdings, Ltd.		3,694		32,026
Brilliance China Automotive Holdings, Ltd.		18,000		27,586
China CITIC Bank Corp., Ltd., Class H		120,000		71,683
China Coal Energy Co., Class H		155,213		83,697
China Communications Construction Co., Ltd., Class H		30,000		19,566
China Construction Bank Corp., Class H		202,000		139,859
China Eastern Airlines Corp., Ltd., Class H⁽¹⁾		64,000		19,779
China Life Insurance Co., Ltd., Class H		26,000		67,573
China Longyuan Power Group Corp., Class H		43,000		44,234
China Mengniu Dairy Co., Ltd.		7,000		35,978
China Merchants Bank Co., Ltd., Class H		30,000		53,598
China Merchants Holdings (International) Co., Ltd.		16,000		50,000
China Minsheng Banking Corp., Ltd., Class H		23,500		23,709
China Mobile, Ltd.		23,000		218,925
China National Building Material Co., Ltd., Class H		58,000		54,795
China Overseas Land & Investment, Ltd.		12,000		29,509
China Pacific Insurance (Group) Co., Ltd., Class H		6,400		20,040
China Resources Enterprise, Ltd.		10,000		28,411


Security	Shares		Value


China (continued)
China Resources Power Holdings Co., Ltd.		10,000	$	25,134
China Telecom Corp., Ltd., Class H		100,000		51,030
China Yurun Food Group, Ltd.⁽¹⁾		29,000		14,018
Citic Pacific, Ltd.		30,000		52,534
Ctrip.com International, Ltd. ADR⁽¹⁾		800		37,392
Digital China Holdings, Ltd.		32,000		29,639
Dongfeng Motor Group Co., Ltd., Class H		28,000		37,360
Guangdong Investment, Ltd.		20,000		21,770
Home Inns & Hotels Management, Inc. ADR⁽¹⁾		500		14,210
Inner Mongolia Eerduosi Cashmere Products Co., Ltd., Class B		45,800		37,992
Inner Mongolia Yitai Coal Co., Ltd., Class B		50,400		63,448
Jiangxi Copper Co., Ltd., Class H		8,000		13,214
Kunlun Energy Co., Ltd.		12,000		18,719
Lenovo Group, Ltd.		42,000		47,753
Mindray Medical International, Ltd. ADR		800		26,448
NetEase.com, Inc. ADR		600		40,854
New Oriental Education & Technology Group, Inc. ADR		800		19,360
PICC Property & Casualty Co., Ltd., Class H		50,000		66,092
Shandong Weigao Group Medical Polymer Co., Ltd., Class H		24,000		24,317
SINA Corp.⁽¹⁾		660		31,548
Sino Biopharmaceutical, Ltd.		20,000		15,670
Sinopharm Group Co., Ltd., Class H		8,800		23,124
Tingyi (Cayman Islands) Holding Corp.		14,000		38,974
Tsingtao Brewery Co., Ltd., Class H		2,000		14,565
Want Want China Holdings, Ltd.		25,000		39,169
Weichai Power Co., Ltd., Class H		8,200		28,596
WuXi PharmaTech (Cayman), Inc. ADR⁽¹⁾		800		27,200
Yanzhou Coal Mining Co., Ltd., Class H		94,000		70,420
ZTE Corp., Class H⁽¹⁾		14,400		29,468

			$	2,261,676


Colombia — 0.4%
Almacenes Exito SA		2,700	$	41,129
Banco de Bogota		763		27,540
Bancolombia SA ADR, PFC Shares		600		34,158
Celsia SA ESP		6,700		20,585
Cementos Argos SA		3,300		18,404
Ecopetrol SA		23,700		44,118
Grupo Argos SA		2,900		31,927
Grupo Aval Acciones y Valores SA		22,800		15,482
Grupo Aval Acciones y Valores SA, PFC Shares		44,700		30,237
Grupo de Inversiones Suramericana		1,850		36,091
Grupo Nutresa SA		2,820		39,579


Security	Shares		Value


Colombia (continued)
Interconexion Electrica SA		4,900	$	22,975
ISAGEN SA ESP		14,100		23,044

			$	385,269


Czech Republic — 0.4%
CEZ AS		6,700	$	201,634
Komercni Banka AS		470		108,370
New World Resources PLC, Class A⁽¹⁾		10,220		6,437
Pegas Nonwovens SA		1,790		53,853
Unipetrol AS⁽¹⁾		4,870		33,932

			$	404,226


Denmark — 0.8%
A.P. Moller-Maersk A/S, Class A		25	$	56,797
A.P. Moller-Maersk A/S, Class B		25		59,681
Coloplast A/S, Class B		2,117		177,813
DSV A/S		2,538		84,767
Novo Nordisk A/S, Class B		6,328		287,203
Novozymes A/S, Class B		2,407		115,404
TDC A/S		2,292		21,524
Tryg A/S		336		31,911
William Demant Holding A/S⁽¹⁾		128		11,470

			$	846,570


Egypt — 0.4%
Commercial International Bank		17,450	$	93,101
Eastern Tobacco		2,050		48,964
Egypt Kuwait Holding Co.		35,600		37,554
Egyptian Financial Group-Hermes Holding SAE⁽¹⁾		13,800		25,333
El Sewedy Cables Holding Co.		2,000		9,751
Ezz Steel⁽¹⁾		12,800		30,813
Global Telecom Holding SAE⁽¹⁾		63,200		47,307
Juhayna Food Industries		11,000		19,225
Orascom Telecom Media and Technology Holding SAE		53,400		9,711
Sidi Kerir Petrochemicals Co.		10,400		29,023
Talaat Moustafa Group⁽¹⁾		21,300		27,418
Telecom Egypt		8,300		17,692

			$	395,892


Finland — 0.7%
Elisa Oyj		2,293	$	68,527
Fortum Oyj		1,149		25,958
Kesko Oyj, Class B		393		16,087
Kone Oyj, Class B		4,155		178,106


Security	Shares		Value


Finland (continued)
Metso Oyj		594	$	23,908
Neste Oil Oyj		1,512		31,096
Nokia Oyj⁽¹⁾		15,059		112,755
Orion Oyj, Class B		1,565		47,768
Sampo Oyj		1,997		99,250
Stora Enso Oyj		2,983		30,461
UPM-Kymmene Oyj		2,069		36,236
Wartsila Oyj		1,149		64,143

			$	734,295


France — 1.4%
Air Liquide SA		1,064	$	152,224
AXA SA		182		4,749
Carrefour SA		875		34,108
Christian Dior SA		206		42,386
CNP Assurances		1,104		25,469
Compagnie Generale des Etablissements Michelin, Class B		95		11,650
Credit Agricole SA⁽¹⁾		852		13,443
Dassault Systemes SA		371		45,654
Essilor International SA		353		37,802
European Aeronautic Defence and Space Co. NV		681		46,812
GDF Suez		2,820		71,074
Groupe FNAC SA⁽¹⁾		7		335
Iliad SA		94		25,341
Kering SA		57		12,607
L’Oreal SA		287		49,463
Lagardere SCA		586		24,560
LVMH Moet Hennessy Louis Vuitton SA		1,096		215,906
Natixis		4,697		33,342
Pernod-Ricard SA		906		108,728
Renault SA		1,239		121,137
Safran SA		1,180		79,416
Sanofi		969		104,574
SES SA		691		26,034
Societe BIC SA		358		47,497
Sodexo		447		48,193
Suez Environnement Co. SA		1,196		23,501
Thales SA		520		33,111
Total SA		694		49,652
Unibail-Rodamco SE		90		24,322

			$	1,513,090


Germany — 1.5%
Adidas AG		428	$	45,754
BASF SE		206		23,897


Security	Shares		Value


Germany (continued)
Bayerische Motoren Werke AG		443	$	55,687
Bayerische Motoren Werke AG, PFC Shares		802		79,057
Celesio AG		733		25,475
Commerzbank AG⁽¹⁾		2,611		46,557
Continental AG		85		20,001
Daimler AG		478		44,501
Deutsche Post AG		2,558		96,521
Deutsche Telekom AG		1,969		33,081
Hannover Rueckversicherung AG		307		28,607
Henkel AG & Co. KGaA		551		56,653
Henkel AG & Co. KGaA, PFC Shares		854		95,264
Linde AG		1,203		249,845
Muenchener Rueckversicherungs-Gesellschaft AG		103		23,809
Osram Licht AG⁽¹⁾		1,615		84,786
Porsche Automobil Holding SE, PFC Shares		228		25,216
QIAGEN NV⁽¹⁾		1,968		43,205
RWE AG		215		8,205
Salzgitter AG		502		21,323
SAP AG		3,426		276,913
Siemens AG		226		29,814
ThyssenKrupp AG⁽¹⁾		591		16,869
United Internet AG		1,951		83,813
Volkswagen AG		18		4,827
Volkswagen AG, PFC Shares		95		25,681

			$	1,545,361


Greece — 0.3%
Alpha Bank AE⁽¹⁾		21,300	$	20,632
Costamare, Inc.		600		12,864
Diana Shipping, Inc.⁽¹⁾		942		10,607
DryShips, Inc.⁽¹⁾		3,900		11,388
Ellaktor SA⁽¹⁾		2,100		11,093
Folli Follie SA⁽¹⁾		500		17,355
GEK Terna Holding Real Estate Construction SA⁽¹⁾		2,300		12,023
Hellenic Exchanges SA		703		8,288
Hellenic Petroleum SA		993		8,525
Hellenic Telecommunications Organization SA⁽¹⁾		2,550		40,738
JUMBO SA⁽¹⁾		1,568		25,363
Metka SA		700		12,545
Motor Oil (Hellas) Corinth Refineries SA		1,600		20,197
Mytilineos Holdings SA⁽¹⁾		2,100		18,766
National Bank of Greece SA⁽¹⁾		5,100		19,938
OPAP SA		2,000		31,940
Piraeus Bank SA⁽¹⁾		10,900		25,724


Security	Shares		Value


Greece (continued)
Public Power Corp. SA		1,099	$	16,630
Titan Cement Co. SA⁽¹⁾		883		27,838

			$	352,454


Hong Kong — 0.9%
Bank of East Asia, Ltd.		9,400	$	38,830
BOC Hong Kong (Holdings), Ltd.		22,000		65,121
Cathay Pacific Airways, Ltd.		26,000		49,204
Cheung Kong Infrastructure Holdings, Ltd.		5,000		32,643
CLP Holdings, Ltd.		5,500		43,969
Galaxy Entertainment Group, Ltd.⁽¹⁾		19,000		150,112
Hang Seng Bank, Ltd.		9,700		158,613
Hong Kong & China Gas Co., Ltd.		48,180		111,171
Hopewell Holdings, Ltd.		11,500		39,586
Li & Fung, Ltd.		20,000		29,112
Link REIT (The)		4,000		19,915
MTR Corp., Ltd.		15,000		56,877
Power Assets Holdings, Ltd.		14,500		125,343
Wing Hang Bank, Ltd.		2,500		40,306

			$	960,802


Hungary — 0.4%
Magyar Telekom Rt.		38,210	$	54,513
MOL Hungarian Oil & Gas Rt.		1,860		107,011
OTP Bank Rt.		6,960		132,908
Richter Gedeon Nyrt.		6,270		107,389

			$	401,821


India — 0.1%
Dr. Reddy’s Laboratories, Ltd. ADR		700	$	31,549
Infosys, Ltd. ADR		1,900		102,049

			$	133,598


Indonesia — 0.8%
Adaro Energy Tbk PT		332,100	$	34,168
AKR Corporindo Tbk PT		39,000		16,093
Bank Central Asia Tbk PT		59,800		56,953
Bank Mandiri Tbk PT		64,200		54,854
Bank Negara Indonesia Persero Tbk PT		66,200		27,668
Bank Rakyat Indonesia Tbk PT		65,900		56,592
Bumi Resources Tbk PT⁽¹⁾		560,000		9,916
Energi Mega Persada Tbk PT⁽¹⁾		1,737,000		14,167
Gudang Garam Tbk PT		5,500		26,946
Indo Tambangraya Megah Tbk PT		3,500		7,736


Security	Shares		Value


Indonesia (continued)
Indocement Tunggal Prakarsa Tbk PT		12,900	$	24,483
Indofood Sukses Makmur Tbk PT		72,300		44,228
Jasa Marga (Persero) Tbk PT		24,300		12,415
Kalbe Farma Tbk PT		269,700		36,121
Lippo Karawaci Tbk PT		274,500		25,459
Media Nusantara Citra Tbk PT		123,000		28,999
Perusahaan Gas Negara Tbk PT		117,800		54,406
Perusahaan Perkebunan London Sumatra Indonesia Tbk PT		89,900		19,102
Semen Gresik (Persero) Tbk PT		31,700		40,867
Surya Semesta Internusa Tbk PT		156,289		11,277
Tambang Batubara Bukit Asam Tbk PT		19,500		16,694
Telekomunikasi Indonesia Tbk PT		380,600		74,807
Unilever Indonesia Tbk PT		17,000		43,190
United Tractors Tbk PT		23,200		43,619
Wijaya Karya Persero Tbk PT		60,800		11,954
XL Axiata Tbk PT		28,500		12,784

			$	805,498


Ireland — 0.3%
CRH PLC		3,198	$	93,105
Kerry Group PLC, Class A		2,431		191,861

			$	284,966


Israel — 0.4%
Bank Hapoalim B.M.		6,753	$	38,148
Bank Leumi Le-Israel B.M.⁽¹⁾		13,873		54,282
Bezeq Israeli Telecommunication Corp., Ltd.		23,649		42,857
Israel Chemicals, Ltd.		3,091		27,434
Israel Corp., Ltd.⁽¹⁾		67		37,834
Mizrahi Tefahot Bank, Ltd.		3,692		49,354
NICE Systems, Ltd.		1,124		48,645
Teva Pharmaceutical Industries, Ltd. ADR		3,443		168,225

			$	466,779


Italy — 0.9%
Atlantia SpA		1,920	$	50,014
Autogrill SpA⁽¹⁾		2,491		23,912
Enel Green Power SpA		28,579		81,793
ENI SpA		10,056		260,444
Fiat SpA⁽¹⁾		2,318		27,985
Finmeccanica SpA⁽¹⁾		3,610		33,408
Luxottica Group SpA		1,959		112,361
Snam Rete Gas SpA		19,248		115,776
Telecom Italia SpA		21,220		27,268


Security	Shares		Value


Italy (continued)
Telecom Italia SpA, PFC Shares		73,089	$	72,649
Tenaris SA		1,506		33,291
Terna Rete Elettrica Nazionale SpA		20,135		109,085

			$	947,986


Japan — 2.4%
ABC-Mart, Inc.		300	$	13,472
Air Water, Inc.		2,000		28,063
All Nippon Airways Co., Ltd.		10,000		21,838
Bank of Kyoto, Ltd. (The)		6,000		48,888
Bank of Yokohama, Ltd. (The)		7,000		35,183
Brother Industries, Ltd.		1,800		25,177
Chiba Bank, Ltd. (The)		4,000		25,426
Chugai Pharmaceutical Co., Ltd.		1,800		45,430
Chugoku Bank, Ltd. (The)		3,000		39,769
Daihatsu Motor Co., Ltd.		3,000		49,692
Denso Corp.		400		18,221
Electric Power Development Co., Ltd.		600		15,911
FUJIFILM Holdings Corp.		900		23,249
Gunma Bank, Ltd. (The)		7,000		37,207
Hachijuni Bank, Ltd. (The)		8,000		43,735
Hamamatsu Photonics K.K.		800		36,046
Hirose Electric Co., Ltd.		100		14,115
Hiroshima Bank, Ltd. (The)		7,000		28,800
Hitachi, Ltd.		4,000		28,516
Hoya Corp.		500		14,789
Ibiden Co., Ltd.		1,300		23,465
IHI Corp.		5,000		19,936
Isetan Mitsukoshi Holdings, Ltd.		1,100		13,688
Isuzu Motors, Ltd.		2,000		11,615
ITOCHU Techno-Solutions Corp.		600		25,073
Iyo Bank, Ltd. (The)		1,000		8,991
Japan Airlines Co., Ltd.		1,300		67,300
Japan Tobacco, Inc.		300		9,861
Joyo Bank, Ltd. (The)		3,000		14,601
JSR Corp.		1,200		19,664
JTEKT Corp.		800		11,672
JX Holdings, Inc.		4,000		20,783
Kamigumi Co., Ltd.		4,000		38,129
Kansai Paint Co., Ltd.		4,000		55,923
Kao Corp.		1,500		56,471
Kawasaki Heavy Industries, Ltd.		4,000		14,846
KDDI Corp.		800		42,665
Keikyu Corp.		3,000		24,902
Keio Corp.		3,000		21,233
Keyence Corp.		100		38,576


Security	Shares		Value


Japan (continued)
Kuraray Co., Ltd.		1,800	$	20,239
Kyowa Hakko Kirin Co., Ltd.		2,000		22,775
Lawson, Inc.		200		13,890
Makita Corp.		200		10,638
Mazda Motor Corp.⁽¹⁾		4,000		17,885
Miraca Holdings, Inc.		500		21,674
Mitsubishi Electric Corp.		3,000		34,161
Mitsui Chemicals, Inc.		3,000		7,310
NGK Spark Plug Co., Ltd.		2,000		45,789
NHK Spring Co., Ltd.		800		7,242
Nippon Electric Glass Co., Ltd.		4,000		19,568
Nippon Meat Packers, Inc.		1,000		17,331
Nippon Telegraph & Telephone Corp.		800		44,394
Nippon Yusen KK		5,000		13,553
Nishi-Nippon City Bank, Ltd. (The)		16,000		36,394
Nisshin Seifun Group, Inc.		1,500		17,452
Nitori Holdings Co., Ltd.		300		13,761
NOK Corp.		1,300		21,253
NSK, Ltd.		3,000		31,538
NTT DoCoMo, Inc.		5,300		84,538
Odakyu Electric Railway Co., Ltd.		2,000		17,559
OMRON Corp.		200		7,083
Ono Pharmaceutical Co., Ltd.		300		23,794
Oracle Corp. Japan		300		13,826
Osaka Gas Co., Ltd.		9,000		33,924
Panasonic Corp.		2,100		22,890
Rakuten, Inc.		1,829		23,732
Rinnai Corp.		200		16,668
ROHM Co., Ltd.		400		19,129
Santen Pharmaceutical Co., Ltd.		400		17,828
Seven Bank, Ltd.		8,300		31,467
Shin-Etsu Chemical Co., Ltd.		300		17,599
Shizuoka Bank, Ltd. (The)		5,000		47,775
SoftBank Corp.		300		22,343
Stanley Electric Co., Ltd.		900		19,948
Sumitomo Chemical Co., Ltd.		7,000		26,262
Sumitomo Electric Industries, Ltd.		1,800		24,914
Sumitomo Metal Mining Co., Ltd.		2,000		30,209
Suntory Beverage & Food, Ltd.⁽¹⁾		800		27,938
Suruga Bank, Ltd.		1,000		17,154
Suzuken Co., Ltd.		1,000		36,045
Suzuki Motor Corp.		800		20,640
Sysmex Corp.		400		12,681
Taiyo Nippon Sanso Corp.		3,000		23,912
Takashimaya Co., Ltd.		3,000		28,423
Terumo Corp.		800		15,877


Security	Shares		Value


Japan (continued)
THK Co., Ltd.		1,300	$	27,477
Toho Gas Co., Ltd.		9,000		44,159
Tokyo Gas Co., Ltd.		6,000		31,436
TonenGeneral Sekiyu K.K.		5,000		47,229
Toyota Industries Corp.		400		18,439
Toyota Motor Corp.		300		16,208
Unicharm Corp.		400		21,691
USS Co., Ltd.		2,400		34,983
Yakult Honsha Co., Ltd.		600		32,430
Yamaguchi Financial Group, Inc.		3,000		27,665
Yamato Holdings Co., Ltd.		700		14,405

			$	2,550,048


Kuwait — 0.4%
Agility Public Warehousing Co. KSC		5,000	$	14,253
Al-Qurain Petrochemicals Co.		20,000		17,795
Boubyan Bank KSC⁽¹⁾		6,152		12,024
Boubyan Petrochemicals Co.		12,100		32,300
Burgan Bank SAK		6,152		12,029
Commercial Bank of Kuwait SAK⁽¹⁾		10,000		26,492
Gulf Bank⁽¹⁾		12,469		16,857
Gulf Cable and Electrical Industries Co.		4,300		11,783
Kuwait Finance House KSC		17,917		53,000
Kuwait Foods Co. (Americana)		2,800		27,678
Kuwait Portland Cement Co.		1,500		7,267
Mabanee Co. SAKC		3,500		14,682
Mobile Telecommunications Co.		18,600		43,070
National Bank of Kuwait SAK		17,888		62,315
National Industries Group Holding⁽¹⁾		25,200		22,886
National Mobile Telecommunication Co. KSC		2,500		16,012

			$	390,443


Malaysia — 0.8%
Airasia Bhd		8,600	$	5,851
AMMB Holdings Bhd		15,300		33,674
Axiata Group Bhd		20,700		42,694
Batu Kawan Bhd		2,400		14,396
Boustead Holdings Bhd		12,050		20,488
British American Tobacco Malaysia Bhd		800		15,003
Dialog Group Bhd		20,700		22,795
Digi.com Bhd		17,400		29,567
Felda Global Ventures Holdings Bhd		10,200		14,125
Gamuda Bhd		14,300		20,213
Genting Bhd		12,100		36,369
Hong Leong Bank Bhd		5,800		24,884


Security	Shares		Value


Malaysia (continued)
IHH Healthcare Bhd⁽¹⁾		10,100	$	12,409
IJM Corp. Bhd		10,700		20,937
IOI Corp. Bhd		18,900		28,920
IOI Properties Group Bhd⁽¹⁾		9,450		7,769
Kuala Lumpur Kepong Bhd		1,600		11,867
Lafarge Malayan Cement Bhd		8,200		22,851
Malayan Banking Bhd		11,900		36,122
Maxis Bhd		10,500		22,360
Multi-Purpose Holdings Bhd		11,500		10,636
Petronas Chemicals Group Bhd		18,200		37,544
Petronas Dagangan Bhd		3,400		31,595
PPB Group Bhd		3,300		16,654
Public Bank Bhd		4,700		29,014
Resorts World Bhd		20,400		26,387
RHB Capital Bhd		9,000		22,868
Sapurakencana Petroleum Bhd⁽¹⁾		32,997		43,620
Sime Darby Bhd		24,800		71,741
Telekom Malaysia Bhd		9,300		17,673
Tenaga Nasional Bhd		10,300		37,546

			$	788,572


Mexico — 1.5%
Alfa SAB de CV, Series A		35,500	$	93,778
America Movil SAB de CV ADR, Series L		12,800		257,024
Bolsa Mexicana de Valores SAB de CV		20,000		41,046
Cemex SAB de CV ADR⁽¹⁾		10,899		137,766
Coca Cola Femsa SAB de CV ADR		300		33,588
Compartamos SAB de CV		26,800		46,747
Embotelladoras Arca SAB de CV		5,300		33,705
Empresas ICA SAB de CV⁽¹⁾		12,000		21,482
Fomento Economico Mexicano SAB de CV ADR		1,100		99,847
Genomma Lab Internacional SA de CV⁽¹⁾		9,700		24,638
Grupo Aeroportuario del Pacifico SAB de CV ADR		400		24,120
Grupo Aeroportuario del Sureste SAB de CV, Class B		1,400		17,134
Grupo Bimbo SA de CV, Series A		13,700		37,782
Grupo Carso SA de CV, Series A1		6,000		30,571
Grupo Elektra SA de CV		500		14,315
Grupo Financiero Banorte SAB de CV, Class O		18,200		120,877
Grupo Financiero Inbursa SAB de CV, Class O		32,400		82,989
Grupo Mexico SAB de CV, Series B		24,743		74,516
Grupo Televisa SA ADR		2,270		74,479
Impulsora del Desarrollo y el Empleo en America Latina SA de CV, Series B1⁽¹⁾		11,200		25,777
Industrias CH SAB de CV, Series B⁽¹⁾		2,000		10,609
Industrias Penoles SA de CV		1,600		37,251
Kimberly-Clark de Mexico SAB de CV, Class A		9,900		25,834


Security	Shares		Value


Mexico (continued)
Mexichem SAB de CV		8,732	$	32,538
Promotora y Operadora de Infraestructura SAB de CV⁽¹⁾		3,700		51,670
Wal-Mart de Mexico SAB de CV, Series V		32,100		81,215

			$	1,531,298


Netherlands — 0.9%
Akzo Nobel NV		1,698	$	130,851
ASML Holding NV		2,720		221,990
Heineken Holding NV		770		49,212
Heineken NV		1,451		100,783
ING Groep NV⁽¹⁾		1,620		23,158
Koninklijke Ahold NV		6,930		133,970
Koninklijke DSM NV		1,862		133,706
Koninklijke KPN NV⁽¹⁾		6,128		21,772
Reed Elsevier NV		2,837		57,906
Unilever NV		779		33,404

			$	906,752


New Zealand — 0.1%
Auckland International Airport, Ltd.		13,563	$	46,452
Fletcher Building, Ltd.		3,787		32,202
Telecom Corporation of New Zealand, Ltd.		10,700		25,562

			$	104,216


Norway — 0.6%
Aker Solutions ASA		4,169	$	66,798
Gjensidige Forsikring ASA		642		11,848
Norsk Hydro ASA		9,911		53,154
Orkla ASA		3,932		32,520
Seadrill, Ltd.		1,650		57,735
Statoil ASA		7,386		225,165
Subsea 7 SA		702		14,057
Telenor ASA		7,523		176,768

			$	638,045


Peru — 0.5%
Alicorp SA		21,600	$	65,396
Banco Continental SA		3,344		6,503
Cia de Minas Buenaventura SA ADR		2,700		35,100
Credicorp, Ltd.		660		98,505
Ferreycorp SAA		33,024		19,762
Grana y Montero SA		12,100		42,754
Intergroup Financial Services Corp.		570		18,240
Luz del Sur SAA		7,800		25,699


Security	Shares		Value


Peru (continued)
Sociedad Minera Cerro Verde SAA⁽¹⁾		600	$	13,710
Southern Copper Corp.		6,189		186,537
Union Andina de Cementos SAA		8,500		10,899
Volcan Cia Minera SA, Class B		33,414		12,616

			$	535,721


Philippines — 0.4%
Aboitiz Equity Ventures, Inc.		13,650	$	17,364
Aboitiz Power Corp.		17,100		14,000
Alliance Global Group, Inc.		25,000		17,509
Ayala Corp.		870		12,204
Ayala Land, Inc.		22,600		15,315
Ayala Land, Inc., PFC Shares⁽³⁾		65,600		147
Bank of the Philippine Islands		14,685		29,935
International Container Terminal Services, Inc.		9,481		23,037
JG Summit Holding, Inc.		18,200		20,661
Jollibee Foods Corp.		4,300		16,608
Manila Electric Co.		1,500		9,451
Metro Pacific Investments Corp.		141,000		16,087
Petron Corp.		37,600		10,378
Philex Mining Corp.⁽¹⁾		75,900		15,277
Philex Petroleum Corp.⁽¹⁾		29,500		6,076
Philippine Long Distance Telephone Co.		660		42,664
Puregold Price Club, Inc.		10,800		11,144
Robinsons Land Corp.		40,900		20,525
San Miguel Corp.		9,500		17,808
Semirara Mining Corp.		2,400		22,150
SM Investments Corp.		1,225		19,969
SM Prime Holdings, Inc.		65,800		24,155
Universal Robina Corp.		7,400		24,300

			$	406,764


Poland — 0.7%
AmRest Holdings SE⁽¹⁾		480	$	12,974
Asseco Poland SA		1,770		26,356
Bank Pekao SA		1,170		75,091
BRE Bank SA		170		27,818
Budimex SA		370		17,206
Cyfrowy Polsat SA⁽¹⁾		2,734		18,580
Emperia Holding SA		410		9,082
Enea SA		2,470		12,506
Eurocash SA		1,230		16,265
ING Bank Slaski SA⁽¹⁾		430		19,305
KGHM Polska Miedz SA		1,423		51,524
LPP SA		17		44,046


Security	Shares		Value


Poland (continued)
Lubelski Wegiel Bogdanka SA		290	$	11,871
NG2 SA		540		22,692
Orange Polska SA		10,940		37,380
Polish Oil & Gas		18,340		28,506
Polska Grupa Energetyczna SA		9,340		64,902
Polski Koncern Naftowy Orlen SA		3,090		46,269
Powszechna Kasa Oszczednosci Bank Polski SA		7,320		100,455
Powszechny Zaklad Ubezpieczen SA		487		69,081
Rovese SA⁽¹⁾		18,200		8,430
Tauron Polska Energia SA		14,460		25,616
TVN SA		1,820		9,917

			$	755,872


Portugal — 0.1%
Banco Espirito Santo SA⁽¹⁾		7,153	$	12,679
EDP-Energias de Portugal SA		14,587		70,859
Jeronimo Martins SGPS SA		1,415		24,747
Portugal Telecom SGPS SA		4,791		19,905

			$	128,190


Qatar — 0.4%
Al Meera Consumer Goods Co.		300	$	15,064
Barwa Real Estate Co.		2,800		28,857
Doha Bank, Ltd.		1,200		21,384
Gulf International Services QSC		750		18,538
Industries Qatar		1,245		60,993
Masraf Al Rayan		4,850		64,268
Ooredoo Q.S.C		644		26,004
Qatar Electricity & Water Co.		330		16,491
Qatar Gas Transport Co., Ltd. (NAKILAT)		2,400		15,815
Qatar National Bank		848		44,261
Qatar National Cement Co.		600		23,436
Qatar National Navigation		830		22,396
Qatari Investors Group		1,000		18,227
United Development Co.		3,255		22,857
Vodafone Qatar⁽¹⁾		5,500		25,564

			$	424,155


Russia — 1.3%
CTC Media, Inc.		1,270	$	11,011
E.ON Russia JSC		232,000		16,278
Etalon Group, Ltd. GDR⁽¹⁾⁽⁴⁾		2,300		8,061
Federal Grid Co. Unified Energy System JSC⁽¹⁾		4,681,800		7,290
Federal Hydrogenerating Co. JSC ADR		19,300		30,031
Globaltrans Investment PLC GDR⁽⁴⁾		2,200		20,967


Security	Shares		Value


Russia (continued)
LUKOIL OAO ADR		2,800	$	148,230
Magnit OJSC		685		135,149
Mail.ru Group, Ltd. GDR⁽⁴⁾		1,040		28,326
MMC Norilsk Nickel ADR		4,200		75,932
Mobile TeleSystems OJSC		9,300		67,656
Novolipetsk Steel GDR⁽⁴⁾		900		10,493
OAO Gazprom ADR		30,100		217,531
OAO Inter Rao Ues⁽¹⁾		91,419,700		18,924
Pharmstandard OJSC GDR⁽¹⁾⁽⁴⁾		1,286		9,988
PIK Group GDR⁽¹⁾⁽⁴⁾		9,700		22,348
Rosneft Oil Co. GDR⁽⁴⁾		5,700		35,836
Rostelecom		11,150		24,011
Sberbank of Russia ADR		18,600		156,688
Severstal OAO GDR⁽⁴⁾		2,200		15,551
Surgutneftegas OJSC ADR		5,900		41,838
Surgutneftegas OJSC, PFC Shares		40,400		28,220
Tatneft ADR		1,500		51,595
Uralkali OJSC GDR⁽⁴⁾		1,700		37,707
VimpelCom, Ltd. ADR		3,275		27,510
VTB Bank OJSC GDR⁽⁴⁾		22,600		48,076
Yandex NV, Class A⁽¹⁾		2,400		63,600

			$	1,358,847


Singapore — 0.8%
Ascendas Real Estate Investment Trust		11,000	$	20,134
ComfortDelGro Corp., Ltd.		14,000		23,742
DBS Group Holdings, Ltd.		20,000		270,943
Noble Group, Ltd.		26,000		26,772
Olam International, Ltd.		17,000		30,335
Oversea-Chinese Banking Corp., Ltd.		17,000		131,107
Singapore Airlines, Ltd.		10,000		82,904
Singapore Telecommunications, Ltd.		42,000		128,651
StarHub, Ltd.		8,000		26,538
United Overseas Bank, Ltd.		5,000		87,026
UOL Group, Ltd.		9,000		46,208

			$	874,360


South Africa — 1.5%
AECI, Ltd.		1,300	$	14,520
African Bank Investments, Ltd.		10,080		11,953
African Rainbow Minerals, Ltd.		1,000		18,829
Anglo Platinum, Ltd.⁽¹⁾		500		23,808
AngloGold Ashanti, Ltd.		2,200		39,770
AVI, Ltd.		2,500		13,794
Barclays Africa Group, Ltd.		1,800		26,368


Security	Shares		Value


South Africa (continued)
Barloworld, Ltd.		3,400	$	37,091
Bidvest Group, Ltd.		2,950		81,001
Capital Property Fund		19,700		19,863
Clicks Group, Ltd.		4,000		24,389
FirstRand, Ltd.		13,800		50,776
Impala Platinum Holdings, Ltd.		2,786		31,407
Imperial Holdings, Ltd.		800		14,920
Kumba Iron Ore, Ltd.		300		10,684
Kumba Resources, Ltd.		900		12,284
Liberty Holdings, Ltd.		1,100		13,195
Massmart Holdings, Ltd.		2,200		29,160
Mediclinic International, Ltd.		6,100		42,668
MMI Holdings, Ltd.		10,300		25,896
Mondi, Ltd.		600		9,991
Mr. Price Group, Ltd.		1,400		21,095
MTN Group, Ltd.		12,800		256,791
Murray & Roberts Holdings, Ltd.⁽¹⁾		5,700		13,347
Nampak, Ltd.		4,800		17,907
Nedbank Group, Ltd.		1,100		23,581
Netcare, Ltd.		10,000		24,258
Remgro, Ltd.		1,800		36,249
Reunert, Ltd.		3,300		21,686
RMB Holdings, Ltd.		6,000		28,791
Sanlam, Ltd.		7,500		40,179
Sasol, Ltd.		2,400		134,506
Shoprite Holdings, Ltd.		3,300		55,205
Spar Group, Ltd. (The)		3,300		38,773
Standard Bank Group, Ltd.		4,600		60,439
Steinhoff International Holdings, Ltd.		10,400		54,042
Sun International, Ltd.		2,500		24,711
Tiger Brands, Ltd.		900		24,077
Truworths International, Ltd.		4,100		32,941
Vodacom Group (Pty), Ltd.		4,000		47,737
Wilson Bayly Holmes-Ovcon, Ltd.		1,800		23,277
Woolworths Holdings, Ltd.		2,600		17,695

			$	1,549,654


South Korea — 1.5%
Celltrion, Inc.		1,553	$	72,418
Cheil Industries, Inc.		440		28,098
Cheil Worldwide, Inc.⁽¹⁾		1,110		27,018
CJ Corp.		150		18,167
Dongbu Insurance Co., Ltd.		590		32,609
Hankook Tire Co., Ltd.		410		23,787
Honam Petrochemical Corp.		140		22,162


Security	Shares		Value


South Korea (continued)
Hynix Semiconductor, Inc.⁽¹⁾		1,300	$	50,692
Hyundai Glovis Co., Ltd.		110		25,946
Hyundai Heavy Industries Co., Ltd.		140		26,322
Hyundai Marine & Fire Insurance Co., Ltd.		1,110		32,567
Hyundai Merchant Marine Co., Ltd.⁽¹⁾		1,080		10,860
Hyundai Motor Co.		450		100,335
Hyundai Steel Co.		630		41,280
Industrial Bank of Korea		2,770		34,119
Kangwon Land, Inc.		850		24,586
Korea Electric Power Corp.⁽¹⁾		1,320		50,470
Korea Zinc Co., Ltd.		100		32,952
Korean Air Lines Co., Ltd.⁽¹⁾		531		17,074
Korean Reinsurance Co.		2,629		25,984
KT&G Corp.		290		23,241
LG Chem, Ltd.		190		48,499
LG Corp.		490		27,323
LG Display Co., Ltd.⁽¹⁾		430		11,453
LG Electronics, Inc.		680		45,292
LG Hausys, Ltd.		140		24,716
LIG Insurance Co., Ltd.		490		14,364
Naver Corp.		55		39,606
NHN Entertainment Corp.⁽¹⁾		214		17,506
POSCO		320		94,537
S-Oil Corp.		200		11,705
Samsung C&T Corp.		260		16,351
Samsung Electro-Mechanics Co., Ltd.		350		22,495
Samsung Electronics Co., Ltd.		206		268,616
Samsung Fine Chemicals Co., Ltd.		470		18,775
Samsung Fire & Marine Insurance Co., Ltd.		200		47,506
Samsung Heavy Industries Co., Ltd.		520		14,244
Samsung Life Insurance Co., Ltd.		510		47,466
Samsung Securities Co., Ltd.		690		26,368
SK Chemicals Co., Ltd.		120		6,999
SK Telecom Co., Ltd. ADR		1,500		34,635
TONGYANG Securities, Inc.		9,480		21,126
Woori Finance Holdings Co., Ltd.		1,900		21,422

			$	1,601,691


Spain — 1.0%
Abertis Infraestructuras SA		3,328	$	74,912
Acerinox SA		1,283		22,435
ACS Actividades de Construccion y Servicios SA		288		12,362
Amadeus IT Holding SA, Class A		2,081		86,550
CaixaBank SA		7,874		47,990
Enagas		3,436		105,859


Security	Shares		Value


Spain (continued)
Ferrovial SA		5,948	$	132,214
Grifols SA		1,297		69,334
Iberdrola SA		734		5,127
Indra Sistemas SA		1,786		33,545
Industria de Diseno Textil SA		825		123,954
International Consolidated Airlines Group SA⁽¹⁾		3,982		27,249
Red Electrica Corp. SA		1,150		94,663
Repsol SA		3,117		83,924
Telefonica SA		6,298		105,694

			$	1,025,812


Sweden — 1.1%
Atlas Copco AB, Class A		258	$	7,503
Elekta AB, Class B		1,029		14,360
Getinge AB, Class B		1,220		35,757
Hennes & Mauritz AB, Class B		3,229		132,172
Holmen AB, Class B		798		28,204
Investor AB, Class B		2,624		101,643
Millicom International Cellular SA SDR		510		50,549
Nordea Bank AB		12,845		186,132
Scania AB, Class B		1,443		43,963
Skandinaviska Enskilda Banken AB, Class A		8,671		119,772
Skanska AB, Class B		3,208		73,653
SKF AB, Class B		1,702		44,198
Svenska Cellulosa AB (SCA), Class B		149		4,189
Swedbank AB, Class A		2,741		73,354
Tele2 AB, Class B		1,802		23,028
Telefonaktiebolaget LM Ericsson, Class B		391		4,715
TeliaSonera AB		21,348		155,393

			$	1,098,585


Switzerland — 1.5%
Actelion, Ltd.⁽¹⁾		805	$	79,255
Adecco SA⁽¹⁾		1,004		84,288
Baloise Holding AG		319		38,846
Geberit AG		32		10,688
Givaudan SA⁽¹⁾		40		63,127
Lonza Group AG⁽¹⁾		258		27,002
Nestle SA		3,710		286,725
Novartis AG		2,526		219,591
Roche Holding AG PC		713		209,156
Schindler Holding AG		291		44,418
Schindler Holding AG PC		60		9,296
Sonova Holding AG⁽¹⁾		503		72,666
Sulzer AG		212		32,712


Security	Shares		Value


Switzerland (continued)
Swatch Group, Ltd. (The), Bearer Shares		123	$	79,094
Swiss Life Holding AG⁽¹⁾		44		10,840
Swiss Reinsurance Co., Ltd		1,472		128,713
Swisscom AG		193		117,417
Zurich Insurance Group AG⁽¹⁾		192		55,058

			$	1,568,892


Taiwan — 1.5%
Acer, Inc.⁽¹⁾		73,000	$	45,143
Advanced Semiconductor Engineering, Inc.		32,931		38,347
Ambassador Hotel		11,000		10,150
Asia Cement Corp.		12,178		16,021
Asia Optical Co., Inc.⁽¹⁾		10,000		9,981
Asustek Computer, Inc.		6,000		62,034
Catcher Technology Co., Ltd.		7,000		59,105
Cathay Financial Holding Co., Ltd.		21,610		30,556
Cheng Shin Rubber Industry Co., Ltd.		11,765		33,791
China Airlines, Ltd.⁽¹⁾		68,178		22,818
China Development Financial Holding Corp.		71,000		20,363
Chunghwa Telecom Co., Ltd.		22,000		68,795
Compal Electronics, Inc.		54,000		38,525
CTBC Financial Holding Co., Ltd.		62,057		36,922
Delta Electronics, Inc.		9,000		55,257
EVA Airways Corp.⁽¹⁾		27,000		13,696
Far Eastern Department Stores, Ltd.		11,600		10,806
Far Eastern New Century Corp.		10,494		10,753
Far EasTone Telecommunications Co., Ltd.		9,000		19,460
First Financial Holding Co., Ltd.		15,313		8,983
Formosa Chemicals & Fibre Corp.		13,900		33,660
Formosa Petrochemical Corp.		11,000		27,667
Formosa Plastics Corp.		16,240		41,905
Formosan Rubber Group, Inc.		11,000		10,302
Foxconn International Holdings, Ltd.⁽¹⁾		17,000		9,182
Foxconn Technology Co., Ltd.		19,845		49,379
Fubon Financial Holding Co., Ltd.		26,496		34,293
Giant Manufacturing Co., Ltd.		3,000		23,490
Goldsun Development & Construction Co., Ltd.		21,000		7,414
Hotai Motor Co., Ltd.		2,000		23,467
Hua Nan Financial Holdings Co., Ltd.		19,435		10,949
Mega Financial Holding Co., Ltd.		35,519		27,193
Nan Ya Plastics Corp.		24,410		53,528
Pou Chen Corp.		22,000		28,012
President Chain Store Corp.		5,000		37,206
Quanta Computer, Inc.		12,000		32,925
Radiant Opto-Electronics Corp.		7,789		31,403


Security	Shares		Value


Taiwan (continued)
Sanyang Industrial Co., Ltd.		12,000	$	10,989
Shin Kong Synthetic Fibers Corp.		54,000		17,386
Siliconware Precision Industries Co., Ltd.		46,000		68,161
Standard Foods Corp.		7,052		19,402
Synnex Technology International Corp.		20,000		31,125
Taishin Financial Holdings Co., Ltd.		50,180		22,792
Taiwan Cement Corp.		23,000		36,546
Taiwan Cooperative Financial Holding Co., Ltd.		32,533		17,307
Taiwan Fertilizer Co., Ltd.		7,000		13,930
TPK Holding Co., Ltd.		6,887		52,612
TTY Biopharm Co., Ltd.		4,145		12,975
Uni-President Enterprises Corp.		19,100		32,336
United Microelectronics Corp.		30,000		13,081
Waterland Financial Holdings		67,485		21,157
Wistron Corp.		38,505		32,175
Yageo Corp.		84,000		39,998
Yuanta Financial Holding Co., Ltd.		54,000		26,956
Yuen Foong Yu Paper Manufacturing Co., Ltd.		21,000		9,258
Yulon Motor Co., Ltd.		13,000		20,230

			$	1,591,897


Thailand — 0.8%
Advanced Info Service PCL⁽⁵⁾		10,700	$	80,226
Airports of Thailand PCL⁽⁵⁾		3,400		20,533
Bangkok Bank PCL⁽⁵⁾		3,900		22,809
Bangkok Dusit Medical Services PCL⁽⁵⁾		46,000		21,115
Banpu PCL⁽⁵⁾		11,700		10,868
BEC World PCL⁽⁵⁾		15,500		26,256
Berli Jucker PCL⁽⁵⁾		11,500		17,016
Big C Supercenter PCL⁽⁵⁾		4,000		23,536
BTS Group Holdings PCL		50,000		12,927
Central Pattana PCL⁽⁵⁾		16,600		23,310
Charoen Pokphand Foods PCL⁽⁵⁾		24,400		20,405
CP ALL PCL⁽⁵⁾		26,300		34,186
Delta Electronics (Thailand) PCL⁽⁵⁾		13,100		23,141
Electricity Generating PCL⁽⁵⁾		3,800		15,455
Hana Microelectronics PCL⁽⁵⁾		14,200		14,170
Intouch Holdings PCL⁽⁵⁾		8,200		19,810
Kasikornbank PCL⁽⁵⁾		7,900		48,110
Krung Thai Bank PCL⁽⁵⁾		32,600		18,282
Minor International PCL⁽⁵⁾		16,200		12,342
PTT Exploration & Production PCL⁽⁵⁾		8,612		42,507
PTT Global Chemical PCL⁽⁵⁾		12,600		27,198
PTT PCL⁽⁵⁾		6,000		58,090
Siam Cement PCL (The)⁽⁵⁾		2,200		29,712


Security	Shares		Value


Thailand (continued)
Siam Commercial Bank PCL⁽⁵⁾		8,700	$	44,606
Sino Thai Engineering & Construction PCL⁽⁵⁾		20,586		11,872
Thai Beverage PCL		77,411		36,524
Thai Oil PCL⁽⁵⁾		9,000		14,555
Thai Union Frozen Products PCL⁽⁵⁾		4,560		9,881
Thanachart Capital PCL⁽⁵⁾		19,800		21,318
TMB Bank PCL⁽⁵⁾		171,700		12,226
Total Access Communication PCL⁽⁵⁾		5,900		22,762
True Corp. PCL⁽¹⁾⁽⁵⁾		85,200		17,838

			$	813,586


Turkey — 0.8%
Akbank TAS		15,500	$	54,416
Akenerji Elektrik Uretim AS⁽¹⁾		32,983		20,210
Anadolu Efes Biracilik ve Malt Sanayii AS		2,500		29,983
Arcelik AS		3,600		22,252
BIM Birlesik Magazalar AS		2,300		53,242
Coca-Cola Icecek AS		800		18,789
Enka Insaat ve Sanayi AS		8,515		25,884
Eregli Demir ve Celik Fabrikalari TAS		31,980		44,499
Haci Omer Sabanci Holding AS		10,600		44,876
Kardemir Karabuk Demir Celik Sanayi ve Ticaret AS, Class D⁽¹⁾		33,629		24,155
KOC Holding AS		12,020		53,864
Koza Anadolu Metal Madencilik Isletmeleri AS⁽¹⁾		9,300		11,222
Petkim Petrokimya Holding AS⁽¹⁾		9,000		12,834
Tekfen Holding AS		6,700		16,966
Tupras-Turkiye Petrol Rafinerileri AS		2,200		49,770
Turk Hava Yollari Anonim Ortakligi (THY) AS		11,345		36,427
Turk Sise ve Cam Fabrikalari AS		13,061		16,395
Turk Telekomunikasyon AS		5,500		16,555
Turkcell Iletisim Hizmetleri AS⁽¹⁾		11,300		65,997
Turkiye Garanti Bankasi AS		16,600		61,149
Turkiye Halk Bankasi AS		7,600		51,099
Turkiye Is Bankasi		13,500		31,927
Turkiye Vakiflar Bankasi TAO		4,800		10,081
Ulker Gida Sanayi ve Ticaret AS		1,300		9,962
Yapi ve Kredi Bankasi AS		10,500		21,953
Yazicilar Holding AS		2,100		19,182

			$	823,689


United Arab Emirates — 0.4%
Abu Dhabi Commercial Bank (PJSC)		17,000	$	36,015
Abu Dhabi National Hotels		13,000		11,686
Air Arabia (PJSC)		48,200		17,375


Security	Shares		Value


United Arab Emirates (continued)
Aldar Properties (PJSC)		10,700	$	11,740
Arabtec Holding Co.⁽¹⁾		27,700		67,761
DP World, Ltd.		4,000		74,048
Emaar Properties (PJSC)		20,400		60,665
First Gulf Bank (PJSC)		11,700		55,304
National Bank of Abu Dhabi (PJSC)		10,579		41,131
Ras Al Khaimah Ceramics		9,768		10,138
Union National Bank		17,575		34,440

			$	420,303


United Kingdom — 2.6%
Aberdeen Asset Management PLC		1,370	$	10,133
Anglo American PLC		2,201		58,840
Associated British Foods PLC		1,345		67,533
AstraZeneca PLC		852		67,252
Aviva PLC		16,068		143,195
BAE Systems PLC		6,326		42,798
Barclays PLC		21,142		90,277
BHP Billiton PLC		1,281		41,587
BP PLC		19,562		165,164
Bunzl PLC		889		25,329
Burberry Group PLC		3,498		87,850
Capita PLC		2,152		39,462
Centrica PLC		25,833		144,072
Cobham PLC		12,471		65,059
Coca-Cola HBC AG		1,526		38,673
Diageo PLC		5,237		160,461
Experian PLC		1,622		31,186
HSBC Holdings PLC		7,922		80,944
Kingfisher PLC		2,686		19,007
Lloyds Banking Group PLC⁽¹⁾		72,076		91,912
Marks & Spencer Group PLC		4,767		35,640
Melrose Industries PLC		2,413		11,653
National Grid PLC		1,688		23,992
Old Mutual PLC		27,076		91,519
Prudential PLC		1,639		37,679
Randgold Resources, Ltd.		694		55,786
Reed Elsevier PLC		1,183		17,446
Rio Tinto PLC		949		51,595
Royal Dutch Shell PLC, Class A		5,248		207,475
Royal Dutch Shell PLC, Class B		629		26,708
Sage Group PLC (The)		4,702		33,918
Schroders PLC		596		25,775
Serco Group PLC		5,870		33,457
Severn Trent PLC		778		24,251


Security	Shares		Value


United Kingdom (continued)
Shire PLC		569	$	32,542
Smiths Group PLC		1,513		34,154
SSE PLC		350		9,025
Standard Chartered PLC		3,539		76,645
Tesco PLC		19,556		96,879
Travis Perkins PLC		1,209		34,904
Tullow Oil PLC		2,917		43,391
Unilever PLC		603		26,974
United Utilities Group PLC		1,376		18,509
Vodafone Group PLC ADR		22,169		84,167
Whitbread PLC		727		50,146
Wolseley PLC		632		36,621

			$	2,691,585


United States — 40.4%
3M Co.		2,062	$	286,804
A.O. Smith Corp.		542		25,344
Abaxis, Inc.⁽¹⁾		716		29,077
Abbott Laboratories		3,499		135,551
AbbVie, Inc.		2,662		138,637
Accenture PLC, Class A		1,915		153,621
Acorda Therapeutics, Inc.⁽¹⁾		789		27,970
Actavis PLC⁽¹⁾		612		125,050
Advance Auto Parts, Inc.		215		26,077
AGL Resources, Inc.		3,074		165,996
Air Products and Chemicals, Inc.		1,557		182,979
Airgas, Inc.		1,044		110,935
Akamai Technologies, Inc.⁽¹⁾		501		26,588
Alaska Air Group, Inc.		652		61,340
Alere, Inc.⁽¹⁾		1,048		35,003
Alexion Pharmaceuticals, Inc.⁽¹⁾		663		104,887
Allergan, Inc.		248		41,128
Allied Nevada Gold Corp.⁽¹⁾		11,792		39,975
Allied World Assurance Co. Holdings, Ltd.		261		28,107
Altera Corp.		533		17,333
Altria Group, Inc.		7,946		318,714
Amazon.com, Inc.⁽¹⁾		511		155,410
Amdocs, Ltd.		4,549		211,665
Ameren Corp.		2,515		103,895
American Electric Power Co., Inc.		2,656		142,919
American Express Co.		908		79,386
American Financial Group, Inc.		2,206		128,897
American States Water Co.		1,494		45,358
American Tower Corp.		604		50,446
American Water Works Co., Inc.		867		39,475


Security	Shares		Value


United States (continued)
AmerisourceBergen Corp.		2,751	$	179,310
Amgen, Inc.		1,814		202,714
Amsurg Corp.⁽¹⁾		956		41,404
Analog Devices, Inc.		2,718		139,406
Analogic Corp.		311		23,350
AOL, Inc.⁽¹⁾		1,065		45,593
Aon PLC		1,042		88,445
Apache Corp.		148		12,846
Apple, Inc.		326		192,369
Applied Industrial Technologies, Inc.		306		14,664
Applied Materials, Inc.		2,608		49,708
AptarGroup, Inc.		2,395		161,471
Aqua America, Inc.		825		20,699
Arch Capital Group, Ltd.⁽¹⁾		1,291		74,000
Argo Group International Holdings, Ltd.		425		18,879
Arthur J. Gallagher & Co.		2,726		122,725
Ascent Capital Group, Inc., Series A⁽¹⁾		213		14,648
Associated Banc-Corp.		2,471		43,366
Astoria Financial Corp.		1,769		23,457
AT&T, Inc.		12,772		455,960
Automatic Data Processing, Inc.		4,009		312,542
AutoNation, Inc.⁽¹⁾		435		23,051
AutoZone, Inc.⁽¹⁾		103		54,991
Avago Technologies, Ltd.		394		25,019
Avery Dennison Corp.		2,582		125,640
Avista Corp.		1,068		34,336
Axis Capital Holdings, Ltd.		1,105		50,554
AZZ, Inc.		1,018		44,202
Banco Latinoamericano de Comercio Exterior SA, Class E		936		24,074
Bank of Hawaii Corp.		2,184		120,491
Bank of the Ozarks, Inc.		480		28,752
Baxter International, Inc.		1,073		78,104
BB&T Corp.		1,973		73,652
Becton, Dickinson and Co.		920		103,988
Bemis Co., Inc.		1,952		78,548
Berkshire Hathaway, Inc., Class B⁽¹⁾		1,517		195,465
Bio Reference Labs, Inc.⁽¹⁾		808		20,523
Biogen Idec, Inc.⁽¹⁾		266		76,374
BioMarin Pharmaceutical, Inc.⁽¹⁾		519		30,221
Black Hills Corp.		393		22,696
Blackbaud, Inc.		1,358		41,351
Bob Evans Farms, Inc.		215		10,077
Boston Private Financial Holdings, Inc.		2,240		28,022
Bristol-Myers Squibb Co.		4,629		231,867
Bristow Group, Inc.		1,440		110,592
Broadridge Financial Solutions, Inc.		3,218		123,378


Security	Shares		Value


United States (continued)
Brown-Forman Corp., Class B		1,452	$	130,273
Buffalo Wild Wings, Inc.⁽¹⁾		272		39,745
Bunge, Ltd.		200		15,930
CA, Inc.		2,922		88,069
Cabot Microelectronics Corp.⁽¹⁾		632		27,410
California Water Service Group		1,648		37,080
Campbell Soup Co.		3,680		167,403
Cardinal Health, Inc.		2,136		148,473
Carnival Corp.		3,554		139,708
Caterpillar, Inc.		1,382		145,663
Celgene Corp.⁽¹⁾		799		117,461
CenturyLink, Inc.		4,011		140,024
Cerner Corp.⁽¹⁾		1,977		101,420
Chemical Financial Corp.		558		15,663
Chevron Corp.		2,308		289,700
Chipotle Mexican Grill, Inc.⁽¹⁾		211		105,184
Cincinnati Financial Corp.		2,123		103,475
Cinemark Holdings, Inc.		2,696		79,856
Cintas Corp.		2,660		156,754
City National Corp.		356		25,835
Clean Harbors, Inc.⁽¹⁾		866		51,960
Clorox Co. (The)		1,605		145,573
CME Group, Inc.		1,250		87,988
Coca-Cola Co. (The)		7,126		290,670
Coeur d’Alene Mines Corp.⁽¹⁾		4,865		42,131
Cogent Communications Group, Inc.		1,139		39,261
Cognizant Technology Solutions Corp., Class A⁽¹⁾		1,644		78,756
Colgate-Palmolive Co.		2,254		151,694
Colony Financial, Inc.		854		18,575
Columbia Banking System, Inc.		563		13,974
Comerica, Inc.		1,423		68,646
Commerce Bancshares, Inc.		1,881		81,786
Compass Minerals International, Inc.		1,001		91,692
ConAgra Foods, Inc.		3,585		109,378
CONMED Corp.		899		41,651
ConocoPhillips		2,488		184,883
Consolidated Edison, Inc.		3,040		176,411
Copa Holdings SA, Class A		670		90,638
Costar Group, Inc.⁽¹⁾		320		51,485
Costco Wholesale Corp.		3,074		355,600
Covanta Holding Corp.		5,264		97,121
Cracker Barrel Old Country Store, Inc.		1,339		126,857
CST Brands, Inc.		667		21,764
Cullen/Frost Bankers, Inc.		1,718		131,272
Cummins, Inc.		306		46,160
CVR Energy, Inc.		1,690		83,064


Security	Shares		Value


United States (continued)
CVS Caremark Corp.		1,715	$	124,715
Darden Restaurants, Inc.		2,784		138,393
Deere & Co.		1,003		93,620
Delta Air Lines, Inc.		2,450		90,234
Devon Energy Corp.		2,244		157,080
Diamond Offshore Drilling, Inc.		2,353		128,497
DineEquity, Inc.		1,778		134,790
Discovery Communications, Inc., Class A⁽¹⁾		511		38,785
Dollar Tree, Inc.⁽¹⁾		318		16,558
Dominion Resources, Inc.		1,674		121,432
Domtar Corp.		1,086		101,389
Dow Chemical Co. (The)		2,167		108,133
Dr Pepper Snapple Group, Inc.		1,534		85,014
DST Systems, Inc.		1,778		163,914
DSW, Inc., Class A		124		4,140
DTE Energy Co.		1,308		102,207
Duke Energy Corp.		4,060		302,429
E.I. du Pont de Nemours & Co.		4,206		283,148
Eaton Corp. PLC		810		58,838
eBay, Inc.⁽¹⁾		1,182		61,263
Ecolab, Inc.		628		65,714
Edwards Lifesciences Corp.⁽¹⁾		289		23,545
Eli Lilly & Co.		2,799		165,421
EMC Corp.		1,209		31,192
EMCOR Group, Inc.		999		45,944
Emerson Electric Co.		3,089		210,608
Endurance Specialty Holdings, Ltd.		2,155		109,517
EnPro Industries, Inc.⁽¹⁾		539		38,382
Entergy Corp.		2,145		155,512
ESCO Technologies, Inc.		488		16,309
Everest Re Group, Ltd.		294		46,461
Exxon Mobil Corp.		4,934		505,291
Facebook, Inc., Class A⁽¹⁾		3,582		214,132
Fastenal Co.		282		14,123
FedEx Corp.		802		109,272
Fidelity National Information Services, Inc.		1,276		68,177
First Commonwealth Financial Corp.		2,296		19,723
First Financial Bankshares, Inc.		1,009		59,581
First Midwest Bancorp, Inc.		1,278		20,921
First Niagara Financial Group, Inc.		5,011		44,698
FirstEnergy Corp.		3,337		112,624
Fiserv, Inc.⁽¹⁾		908		55,188
Foot Locker, Inc.		669		31,129
Forward Air Corp.		1,084		47,945
Franklin Electric Co., Inc.		554		21,423
Freeport-McMoRan Copper & Gold, Inc.		4,557		156,624


Security	Shares		Value


United States (continued)
Frontier Communications Corp.		30,856	$	183,593
Garmin, Ltd.		2,287		130,588
General Electric Co.		4,110		110,518
General Mills, Inc.		2,260		119,825
Genuine Parts Co.		903		78,669
Gilead Sciences, Inc.⁽¹⁾		222		17,425
Global Payments, Inc.		566		37,826
Golar LNG, Ltd.		2,042		90,256
Google, Inc., Class A⁽¹⁾		269		143,883
Google, Inc., Class C		269		141,672
Graham Holdings Co., Class B		43		28,863
GulfMark Offshore, Inc., Class A		556		25,026
Hanger Orthopedic Group, Inc.⁽¹⁾		598		20,733
Harris Corp.		1,646		121,014
Hasbro, Inc.		2,479		136,990
Hawaiian Electric Industries Co.		4,885		117,191
HeartWare International, Inc.⁽¹⁾		378		32,115
Hecla Mining Co.		15,974		49,040
HEICO Corp.		480		26,554
Hershey Co. (The)		1,224		117,798
Hittite Microwave Corp.⁽¹⁾		593		35,200
HollyFrontier Corp.		2,950		155,140
Home BancShares, Inc.		262		8,308
Home Depot, Inc. (The)		1,839		146,219
Howard Hughes Corp. (The)⁽¹⁾		181		25,840
Hubbell, Inc., Class B		136		16,010
IBERIABANK Corp.		578		36,356
ICU Medical, Inc.⁽¹⁾		208		11,602
IDACORP, Inc.		407		22,849
IDEX Corp.		526		39,224
IHS, Inc.⁽¹⁾		227		27,383
Illinois Tool Works, Inc.		2,673		227,820
Integrys Energy Group, Inc.		2,707		165,885
Intel Corp.		9,065		241,945
International Business Machines Corp.		1,025		201,382
International Flavors & Fragrances, Inc.		1,412		139,110
Intersil Corp.		4,056		50,051
Investors Bancorp, Inc.		1,430		38,224
Isis Pharmaceuticals, Inc.⁽¹⁾		1,197		31,852
J.B. Hunt Transport Services, Inc.		68		5,175
j2 Global, Inc.		442		20,491
Jack Henry & Associates, Inc.		1,893		104,418
Jack in the Box, Inc.⁽¹⁾		1,099		58,840
JetBlue Airways Corp.⁽¹⁾		4,413		34,885
Johnson & Johnson		4,187		424,101
Jones Lang LaSalle, Inc.		222		25,728


Security	Shares		Value


United States (continued)
JoS. A. Bank Clothiers, Inc.⁽¹⁾		435	$	28,079
Kaiser Aluminum Corp.		534		37,594
Kellogg Co.		1,710		114,279
KeyCorp		1,722		23,488
Kimberly-Clark Corp.		966		108,433
Kinder Morgan, Inc.		1,584		51,733
Kirby Corp.⁽¹⁾		273		27,469
Kohl’s Corp.		1,127		61,748
Kraft Foods Group, Inc.		1,023		58,168
L Brands, Inc.		1,441		78,102
L-3 Communications Holdings, Inc.		1,361		157,019
Lam Research Corp.⁽¹⁾		491		28,287
Landstar System, Inc.		2,336		147,145
Las Vegas Sands Corp.		133		10,524
Leggett & Platt, Inc.		2,659		87,375
Leidos Holdings, Inc.		1,700		63,308
Lennox International, Inc.		387		32,442
Linear Technology Corp.		3,544		157,708
Lions Gate Entertainment Corp.		877		23,267
Lockheed Martin Corp.		613		100,618
Lorillard, Inc.		2,799		166,317
Lowe’s Companies, Inc.		2,274		104,399
M&T Bank Corp.		2,371		289,286
Madison Square Garden Co. (The)⁽¹⁾		921		50,287
Manhattan Associates, Inc.⁽¹⁾		1,016		32,034
Marathon Oil Corp.		3,449		124,681
Marathon Petroleum Corp.		2,427		225,590
Marsh & McLennan Cos., Inc.		3,505		172,832
Martin Marietta Materials, Inc.		191		23,747
MasterCard, Inc., Class A		2,465		181,301
Mattel, Inc.		2,273		89,136
Maxim Integrated Products, Inc.		362		11,743
McDonald’s Corp.		2,863		290,251
McGraw Hill Financial, Inc.		1,311		96,922
McKesson Corp.		1,360		230,098
MDC Holdings, Inc.		765		21,114
MeadWestvaco Corp.		1,989		77,710
Medicines Co. (The)⁽¹⁾		888		23,621
Medtronic, Inc.		2,503		147,226
Merck & Co., Inc.		5,925		346,968
Mercury General Corp.		2,755		131,854
Meredith Corp.		4,483		197,566
MGE Energy, Inc.		619		23,658
Microchip Technology, Inc.		3,950		187,783
Microsoft Corp.		9,426		380,810
Minerals Technologies, Inc.		932		55,445


Security	Shares		Value


United States (continued)
Mondelez International, Inc., Class A		2,898	$	103,314
Monsanto Co.		958		106,051
Morningstar, Inc.		257		18,846
Murphy Oil Corp.		2,654		168,343
Murphy USA, Inc.⁽¹⁾		361		15,343
MWI Veterinary Supply, Inc.⁽¹⁾		182		28,508
National Health Investors, Inc.		289		17,828
National Healthcare Corp.		397		21,728
National Oilwell Varco, Inc.		2,268		178,106
Neogen Corp.⁽¹⁾		576		24,062
New York Community Bancorp, Inc.		9,833		151,527
Newmont Mining Corp.		5,821		144,535
NextEra Energy, Inc.		1,177		117,523
NIC, Inc.		1,775		32,554
NII Holdings, Inc.⁽¹⁾		8,621		7,413
Noble Energy, Inc.		1,527		109,608
Nordstrom, Inc.		288		17,649
Northern Trust Corp.		308		18,557
Northrop Grumman Corp.		1,309		159,057
NorthWestern Corp.		973		47,074
Nucor Corp.		2,137		110,590
O’Reilly Automotive, Inc.⁽¹⁾		151		22,467
Occidental Petroleum Corp.		1,859		177,999
Oceaneering International, Inc.		1,297		95,044
OGE Energy Corp.		1,034		38,599
Old Republic International Corp.		9,580		158,645
Olin Corp.		3,113		87,475
Omnicare, Inc.		523		30,998
Omnicom Group, Inc.		2,021		136,781
ONE Gas, Inc.		448		16,388
Oneok, Inc.		732		46,277
OpenTable, Inc.⁽¹⁾		392		26,327
Oracle Corp.		990		40,471
Owens & Minor, Inc.		2,158		72,379
Packaging Corp. of America		2,245		149,584
PacWest Bancorp		395		15,551
Pandora Media, Inc.⁽¹⁾		517		12,108
Panera Bread Co., Class A⁽¹⁾		232		35,489
Papa John’s International, Inc.		483		21,184
Parker Hannifin Corp.		593		75,240
PartnerRe, Ltd.		1,866		196,676
Patterson Cos., Inc.		3,555		144,688
Paychex, Inc.		4,982		208,297
PDL BioPharma, Inc.		13,313		113,027
PennyMac Mortgage Investment Trust		1,550		36,332
People’s United Financial, Inc.		8,880		126,806


Security	Shares		Value


United States (continued)
Pepco Holdings, Inc.		6,791	$	181,727
PepsiCo, Inc.		4,349		373,536
Pfizer, Inc.		9,508		297,410
Philip Morris International, Inc.		4,043		345,393
Phillips 66		1,261		104,940
Piedmont Natural Gas Co., Inc.		428		15,318
Pinnacle Financial Partners, Inc.⁽¹⁾		706		24,406
PNC Financial Services Group, Inc. (The)		1,019		85,637
Power Integrations, Inc.		543		25,646
PPG Industries, Inc.		413		79,965
PPL Corp.		2,389		79,649
Praxair, Inc.		1,810		236,295
Prestige Brands Holdings, Inc.⁽¹⁾		863		28,928
priceline.com, Inc.⁽¹⁾		181		209,553
Pricesmart, Inc.		293		28,140
ProAssurance Corp.		2,929		133,035
Procter & Gamble Co. (The)		4,062		335,318
Progressive Corp.		3,052		74,011
Public Service Enterprise Group, Inc.		2,112		86,529
Quest Diagnostics, Inc.		1,488		83,224
Ralph Lauren Corp.		78		11,807
Raytheon Co.		1,519		145,034
Regal Entertainment Group		8,200		154,160
Regal-Beloit Corp.		187		13,975
Republic Services, Inc.		4,423		155,203
Retail Opportunity Investments Corp.		1,064		16,641
Reynolds American, Inc.		2,739		154,562
Rockwell Automation, Inc.		283		33,728
Ross Stores, Inc.		352		23,964
Royal Gold, Inc.		735		48,657
RPM International, Inc.		3,658		156,050
RR Donnelley & Sons Co.		3,058		53,821
SBA Communications Corp., Class A⁽¹⁾		399		35,814
SCANA Corp.		1,844		98,986
Schlumberger, Ltd.		2,865		290,941
Science Applications International Corp.		516		20,124
Scotts Miracle-Gro Co. (The), Class A		2,318		141,885
Seattle Genetics, Inc.⁽¹⁾		1,072		41,251
Selective Insurance Group, Inc.		1,046		23,995
SemGroup Corp., Class A		520		33,218
Sempra Energy		1,551		152,944
Sherwin-Williams Co. (The)		428		85,532
Sigma-Aldrich Corp.		459		44,160
Signature Bank⁽¹⁾		509		60,479
Sonoco Products Co.		3,276		137,854
Southern Co. (The)		4,713		215,997


Security	Shares		Value


United States (continued)
Southwest Airlines Co.		4,689	$	113,333
Southwest Gas Corp.		259		14,248
Spectra Energy Corp.		7,776		308,785
Sprint Nextel Corp.⁽¹⁾		2,876		24,446
Standex International Corp.		316		18,761
Stanley Black & Decker, Inc.		144		12,368
Starbucks Corp.		2,960		209,035
Stryker Corp.		348		27,057
Sysco Corp.		4,106		149,582
TAL International Group, Inc.⁽¹⁾		2,719		114,687
Targa Resources Corp.		496		53,563
Target Corp.		3,423		211,370
Techne Corp.		361		32,241
TECO Energy, Inc.		4,268		76,653
Teekay Corp.		3,643		204,409
Teleflex, Inc.		1,183		120,772
Tesoro Corp.		1,248		70,250
Tetra Tech, Inc.⁽¹⁾		1,285		36,841
Texas Capital Bancshares, Inc.⁽¹⁾		504		28,320
Texas Industries, Inc.⁽¹⁾		575		49,853
Texas Instruments, Inc.		2,153		97,854
Texas Roadhouse, Inc.		1,171		28,971
TFS Financial Corp.⁽¹⁾		2,168		29,030
Thomson Reuters Corp.		5,475		198,085
Tidewater, Inc.		2,483		126,459
Time Warner Cable, Inc.		539		76,247
Time Warner, Inc.		3,951		262,583
TJX Cos., Inc. (The)		1,842		107,168
Towers Watson & Co., Class A		448		50,275
Tredegar Corp.		1,164		24,223
Trex Co., Inc.⁽¹⁾		90		7,067
Tyco International, Ltd.		261		10,675
Tyler Technologies, Inc.⁽¹⁾		266		21,719
U.S. Bancorp		5,583		227,675
UGI Corp.		681		31,796
UIL Holdings Corp.		530		19,467
Umpqua Holdings Corp.		1,733		28,820
Union Pacific Corp.		585		111,402
United Bankshares, Inc.		393		11,495
United Parcel Service, Inc., Class B		3,201		315,298
United Technologies Corp.		1,897		224,472
UnitedHealth Group, Inc.		2,697		202,383
URS Corp.		529		24,926
Valero Energy Corp.		2,180		124,631
Validus Holdings, Ltd.		2,249		83,370
Valspar Corp. (The)		409		29,873


Security	Shares		Value


United States (continued)
ValueVision Media, Inc.⁽¹⁾		2,843	$	13,305
Vectren Corp.		2,973		120,615
VeriSign, Inc.⁽¹⁾		298		14,060
Verizon Communications, Inc.		8,745		408,654
Viacom, Inc., Class B		1,085		92,203
Visa, Inc., Class A		1,261		255,491
Vistaprint NV⁽¹⁾		466		18,393
Vitamin Shoppe, Inc.⁽¹⁾		274		13,119
W.W. Grainger, Inc.		128		32,563
Wal-Mart Stores, Inc.		3,800		302,898
Walgreen Co.		1,057		71,770
Walt Disney Co. (The)		740		58,712
Washington Federal, Inc.		2,109		45,512
Waste Connections, Inc.		726		32,423
Waste Management, Inc.		9,455		420,275
Watsco, Inc.		358		36,842
WellPoint, Inc.		1,641		165,216
Wells Fargo & Co.		3,184		158,054
Wendy’s Co. (The)		3,955		32,866
Werner Enterprises, Inc.		3,338		85,453
Westamerica Bancorporation		569		28,917
Westar Energy, Inc.		4,246		152,346
Western Alliance Bancorp⁽¹⁾		1,256		28,976
Western Refining, Inc.		1,219		53,027
White Mountains Insurance Group, Ltd.		31		18,484
Williams Cos., Inc.		3,398		143,294
Windstream Holdings, Inc.		9,021		81,820
World Fuel Services Corp.		521		23,726
Wynn Resorts, Ltd.		416		84,818
Xcel Energy, Inc.		4,602		146,666
Xilinx, Inc.		773		36,478
Yahoo! Inc.⁽¹⁾		327		11,756
Yum! Brands, Inc.		1,565		120,489
Zions Bancorporation		770		22,268

			$	42,139,541


Total Common Stocks (identified cost $66,594,448)			$	83,783,553

Equity-Linked Securities⁽⁶⁾⁽⁷⁾ — 1.3%

Security

Maturity
Date

Shares

Value

India — 1.3%

Adani Enterprises, Ltd.

11/2/16

6,600

45,705

Adani Ports and Special Economic Zone

11/2/16

5,500

17,133


Security	Maturity Date		Shares		Value


India (continued)
Apollo Hospitals Enterprises, Ltd.		11/2/16		1,100	$	16,308
Asian Paints, Ltd.		8/17/16		2,300		19,251
Axis Bank, Ltd.		10/8/14		1,000		25,145
Bajaj Auto, Ltd.		7/29/16		700		22,183
Bharat Heavy Electricals, Ltd.		9/29/14		7,300		21,864
Bharti Airtel, Ltd.		9/29/14		10,400		56,524
Cairn India, Ltd.		9/29/14		5,800		32,219
Cipla, Ltd.		9/29/14		3,100		20,414
Coal India, Ltd.		11/2/16		7,500		36,262
DLF, Ltd.		11/2/16		10,600		24,592
Federal Bank, Ltd.		7/29/16		12,862		19,293
GAIL India, Ltd.		4/6/16		4,100		25,133
GlaxoSmithKline Pharmaceuticals, Ltd.		11/3/16		300		12,263
Hero Motocorp, Ltd.		10/8/14		700		25,525
Hindalco Industries, Ltd.		6/30/16		5,400		12,015
Hindustan Unilever, Ltd.		10/1/14		3,800		35,739
Hindustan Zinc, Ltd.		10/13/14		11,300		24,182
IDBI Bank, Ltd.		11/2/16		28,400		32,092
Idea Cellular, Ltd.		11/2/16		7,800		17,394
Indian Oil Corp., Ltd.		4/26/16		5,800		25,317
IndusInd Bank, Ltd.		12/15/14		4,400		34,892
Infrastructure Development Finance Company, Ltd.		10/8/14		18,700		34,595
ITC, Ltd.		9/29/14		9,000		50,850
Jindal Steel and Power, Ltd. JSPL		9/29/14		4,300		18,189
Kotak Mahindra Bank, Ltd.		10/13/14		2,600		34,580
Larsen & Toubro, Ltd.		11/4/14		1,900		40,745
Lupin, Ltd.		11/2/16		1,660		27,224
Mahindra & Mahindra, Ltd.		10/15/14		2,100		37,401
National Hydroelectric Power Corp., Ltd.		11/2/16		57,100		17,987
Nestle India, Ltd.		9/8/15		150		11,855
NMDC, Ltd.		11/2/16		14,500		36,105
NTPC, Ltd.		4/26/16		18,800		36,284
Oil and Natural Gas Corp., Ltd.		4/26/16		10,700		57,619
Oil India, Ltd.		11/2/16		3,450		27,289
Power Finance Co.		7/27/15		6,500		19,793
Power Grid Corp. of India, Ltd.		11/16/15		18,700		32,725
Reliance Infrastructure, Ltd.		4/26/16		1,700		14,331
Shriram Transport Finance Co.		9/24/14		952		11,595
Sun Pharmaceutical Industries, Ltd.		4/26/16		3,400		35,649
Tata Chemicals, Ltd.		6/30/16		1,900		8,959
Tata Consultancy Services, Ltd.		10/13/14		2,400		87,072
Tata Power Co., Ltd.		4/26/16		15,600		20,202
Tata Power Co., Ltd.		4/5/19		2,151		2,786
Tata Steel, Ltd.		10/13/14		4,200		27,888
Union Bank of India, Ltd.		7/29/16		9,500		23,797

Security

Maturity
Date

Shares

Value

India (continued)

Wipro, Ltd.

10/13/14

3,793

32,828

Yes Bank, Ltd.

11/2/16

5,100

37,255

Total Equity-Linked Securities
(identified cost $1,260,731)

1,387,048



Rights⁽¹⁾ — 0.0%⁽²⁾


Security	Shares		Value

Egypt Kuwait Holding Co., Exp. 5/1/14		5,520	$	994


Total Rights (identified cost $0)			$	994


Warrants⁽¹⁾ — 0.0%⁽²⁾


Security	Shares		Value
BTS Group Holdings PCL, Exp. 11/1/18, Strike THB 12.00		16,667	$	417


Total Warrants (identified cost $0)			$	417


Short-Term Investments — 14.4%

U.S. Treasury Obligations — 1.9%
Security	Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 3/5/15⁽⁸⁾	$	2,000	$	1,998,632


Total U.S. Treasury Obligations (identified cost $1,997,989)			$	1,998,632


Other — 12.5%


Description	Interest (000’s omitted)		Value

Eaton Vance Cash Reserves Fund, LLC, 0.14%⁽⁹⁾	$	13,000	$	12,999,693


Total Other (identified cost $12,999,693)			$	12,999,693


Total Short-Term Investments (identified cost $14,997,682)			$	14,998,325


Total Investments — 96.0% (identified cost $82,852,861)			$	100,170,337


Other Assets, Less Liabilities — 4.0%			$	4,156,512


Net Assets — 100.0%			$	104,326,849

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
THB	–	Thai Baht

⁽¹⁾	Non-income producing security.

⁽²⁾	Amount is less than 0.05%.

⁽³⁾	For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 8).

⁽⁴⁾

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 April 30, 2014, the aggregate value of these securities is $237,353 or 0.2% of the Portfolio’s net assets.

⁽⁵⁾	Indicates a foreign registered security. Shares issued to foreign investors in markets that have foreign ownership limits.

⁽⁶⁾

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 April 30, 2014, the aggregate value of these securities is $1,387,048 or 1.3% of the Portfolio’s net assets.

⁽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 (JPMorgan Chase) in addition to the market risk of the underlying security.

⁽⁸⁾	Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

⁽⁹⁾	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 April 30, 2014.


Currency Concentration of Portfolio


Currency	Percentage of Net Assets			Value
United States Dollar		59.7	%	$	62,238,312
Euro		8.0			8,381,747
Hong Kong Dollar		2.7			2,825,513
British Pound Sterling		2.6			2,691,585
Japanese Yen		2.4			2,550,048
New Taiwan Dollar		1.5			1,582,715
Swiss Franc		1.5			1,568,892
South Korean Won		1.5			1,567,056
South African Rand		1.5			1,549,654
Australian Dollar		1.3			1,307,823
Brazilian Real		1.1			1,198,615
Swedish Krona		1.1			1,098,585
Other currency, less than 1% each		11.1			11,609,792

Total Investments		96.0	%	$	100,170,337


Sector Classification of Portfolio


Sector	Percentage of Net Assets			Value
Financials		14.3	%	$	14,980,414
Industrials		9.5			9,925,502
Consumer Discretionary		8.5			8,847,577
Consumer Staples		8.2			8,553,717
Materials		7.9			8,246,161
Information Technology		7.8			8,170,223
Energy		7.6			7,896,148
Health Care		7.2			7,536,581
Utilities		5.9			6,135,231
Telecommunication Services		4.7			4,880,458
Short-Term Investments		14.4			14,998,325

Total Investments		96.0	%	$	100,170,337

Parametric Market Neutral Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2014, Eaton Vance Multi-Strategy Absolute Return Fund, Eaton Vance Multi-Strategy All Market Fund and Parametric Market Neutral Fund held an interest of 55.6%, 7.5% and 28.3%, respectively, in the Portfolio.

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 April 30, 2014 were $2,587,250 or 2.5% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America.

A Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.

Equity Securities. Equity securities (including common shares of closed-end investment companies) listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices.

Debt Obligations. Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value.

Derivatives. Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Total return swaps are valued using valuations provided by a third party pricing service based on the value of the underlying index or instrument and reference interest rate.

Foreign Securities and Currencies. Foreign securities and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities generally is determined as of the close of trading on the principal exchange on which such securities trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities.

Affiliated Fund. The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). The value of the Portfolio’s investment in Cash Reserves Fund reflects the Portfolio’s proportionate interest in its net assets. Cash Reserves Fund generally values its investment securities utilizing the amortized cost valuation technique in accordance with Rule 2a-7 under the 1940 Act. This technique involves initially valuing a portfolio security at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. If amortized cost is determined not to approximate fair value, Cash Reserves Fund may value its investment securities in the same manner as debt obligations described above.

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

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

C Income — Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign dividends and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates. Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount.

D Federal Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and any other items of income, gain, loss, deduction or credit.

In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.

The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.

As of April 30, 2014, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

E Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Portfolio. Pursuant to the custodian agreement, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance the Portfolio maintains with SSBT. All credit balances, if any, used to reduce the Portfolio’s custodian fees are reported as a reduction of expenses in the Consolidated Statement of Operations.

F Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

G Use of Estimates — The preparation of the consolidated financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

H Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

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

J Forward Foreign Currency Exchange Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar.

K Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

L Interim Consolidated Financial Statements — The interim consolidated financial statements relating to April 30, 2014 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the consolidated financial statements.

The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. Pursuant to the investment advisory agreement between the Portfolio and BMR, the investment advisory agreement between the Subsidiary and BMR and subsequent fee reduction agreements, the Portfolio and Subsidiary each pay BMR a fee at an annual rate of 0.80% of its respective average daily net assets up to $500 million, and is payable monthly. On net assets of $500 million and over, the annual fee is reduced. The fee reduction cannot be terminated or reduced without the approval of a majority vote of the Trustees of the Portfolio who are not interested persons of BMR or the Portfolio and by the vote of a majority of the holders of interests in the Portfolio. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. For the six months ended April 30, 2014, the Portfolio’s investment adviser fee amounted to $574,982 or 0.80% (annualized) of the Portfolio’s consolidated average daily net assets. Pursuant to sub-advisory agreements, BMR pays Parametric Portfolio Associates LLC (Parametric), a majority-owned subsidiary of Eaton Vance Corp., a portion of its adviser fee for sub-advisory services provided to the Portfolio and the Subsidiary. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund.

Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2014, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

Purchases and sales of investments, other than short-term obligations, aggregated $4,511,364 and $76,432,412, respectively, for the six months ended April 30, 2014.

The cost and unrealized appreciation (depreciation) of investments of the Portfolio at April 30, 2014, as determined on a federal income tax basis, were as follows:

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include financial futures contracts and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.

A summary of obligations under these financial instruments at April 30, 2014 is as follows:

At April 30, 2014, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

In following its generally market-neutral strategy, the Portfolio achieved its long and short exposures to commodities using swap contracts and its short exposure to equities using swap contracts and futures contracts during the six months ended April 30, 2014. 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.

The Portfolio enters into swap contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2014, the fair value of derivatives with credit-related contingent features in a net liability position was $432,036. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $2,019,637 at April 30, 2014.

The over-the-counter (OTC) derivatives in which the Portfolio invests are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio (and Subsidiary) has entered into an International Swaps and Derivatives Association, Inc.

Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio (and Subsidiary) may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.

The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio (and Subsidiary) and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as restricted cash and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered portfolio.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2014 was as follows:

During the current reporting period, the Portfolio adopted the new disclosure requirements for offsetting assets and liabilities, pursuant to which an entity is required to disclose both gross and net information for assets and liabilities related to derivatives, repurchase and reverse repurchase agreements, and securities lending and securities borrowing transactions that are eligible for offset or subject to an enforceable master netting or similar agreement. The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Consolidated Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio (and Subsidiary) for assets and pledged by the Portfolio (and Subsidiary) for liabilities as of April 30, 2014.

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the six months ended April 30, 2014 was as follows:

The average notional amounts of derivative instruments outstanding during the six months ended April 30, 2014, which are indicative of the volume of these derivative types, were as follows:

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $750 million unsecured line of credit agreement with a group of banks. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.08% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2014.

Investing in securities issued by companies whose principal business activities are outside the United States may involve significant risks not present in domestic investments. For example, there is generally less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Certain foreign issuers are generally not bound by uniform accounting, auditing, and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities also involve the risk of possible adverse changes in investment or exchange control regulations, expropriation or confiscatory taxation, limitation on the removal of funds or other assets of the Portfolio, political or financial instability or diplomatic and other developments which could affect such investments. Foreign securities markets, while growing in volume and sophistication, are generally not as developed as those in the United States, and securities of some foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies. In general, there is less overall governmental supervision and regulation of foreign securities markets, broker/dealers and issuers than in the United States. The foregoing risks of foreign investing can be more significant in less developed countries characterized as emerging market countries.

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.

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 April 30, 2014, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

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 six months ended April 30, 2014 is not presented.

At April 30, 2014, the value of investments transferred between Level 1 and Level 2 during the six months then ended was not significant.

The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.

At a meeting of the Boards of Trustees (each a “Board”) of the Eaton Vance group of mutual funds (the “Eaton Vance Funds”) held on April 28, 2014, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of the Contract Review Committee of the Board, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by each adviser to the Eaton Vance Funds (including information specifically requested by the Board) for a series of meetings of the Contract Review Committee held between February and April 2014, as well as information considered throughout the year at meetings of the Board and its committees. Such information included, among other things, the following:

Over the course of the twelve-month period ended April 30, 2014, with respect to one or more funds, the Board met nine times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met seven, seventeen, eleven, six and ten times respectively. At such meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of each adviser relating to each fund, and considered the investment and trading strategies used in pursuing each fund’s investment objective, including, where relevant, the use of derivative instruments, as well as processes for monitoring best execution of portfolio transactions and risk management techniques. The Board and its Committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management and other fund advisers with respect to such matters.

For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.

The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each advisory and sub-advisory agreement. In evaluating each advisory and sub-advisory agreement, including the specific fee structures and other terms of the agreements, the Contract Review Committee was informed by multiple years of analysis and discussion among the Independent Trustees and the Funds’ advisers and sub-advisers.

Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory and administrative agreement of Parametric Market Neutral Fund (the “Fund”) with Eaton Vance Management (“EVM”), as well as the investment advisory agreement of Parametric Market Neutral Portfolio (the “Portfolio”), the portfolio in which the Fund invests, with Boston Management and Research (“BMR”), an affiliate of EVM (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”) and the sub-advisory agreement of the Fund with Parametric Portfolio Associates LLC (the “Sub-adviser”), an affiliate of EVM, as well as the sub-advisory agreement of the Portfolio with the Sub-adviser, including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee as well as the factors considered and conclusions reached by the Contract Review Committee with respect to the agreements. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreements and the sub-advisory agreements (together, the “advisory agreements”) for the Fund and the Portfolio.

In considering whether to approve the advisory agreements of the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Fund and the Portfolio by the applicable Adviser and the Sub-adviser.

The Board considered each Adviser’s and the Sub-adviser’s management capabilities and investment process with respect to the types of investments held by the Fund and the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolio. In this regard, the Board considered the Adviser’s role in supervising the Sub-adviser and coordinating activities in implementing the Portfolio’s investment strategy. The Board also considered the abilities and experience of the Sub-adviser’s personnel in making investments in long and short exposures to equity securities and commodities, including U.S., international and emerging markets equities, and derivative instruments linked to equities and commodities. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation methods to recruit and retain investment personnel, and the time and attention devoted to the Fund and the Portfolio by senior management.

The Board reviewed the compliance programs of each Adviser and relevant affiliates thereof, including the Sub-adviser. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading,

frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of each Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.

The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large family of funds, including the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.

After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by each Adviser and the Sub-adviser, taken as a whole, are appropriate and consistent with the terms of the applicable advisory agreement.

The Board compared the Fund’s investment performance to a relevant universe of similarly managed funds identified by an independent data provider and appropriate benchmark indices. The Board reviewed comparative performance data for the one-year period ended September 30, 2013 for the Fund. In light of the Fund’s relatively brief operating history, the Board concluded that additional time is required to evaluate Fund performance.

The Board reviewed contractual fee rates for investment advisory and administrative services payable by the Portfolio and by the Fund (referred to as “management fees”). As part of its review, the Board considered the management fees and the Fund’s total expense ratio for the year ended September 30, 2013, as compared to a group of similarly managed funds selected by an independent data provider. The Board noted that the Adviser had waived fees and/or paid expenses for the Fund. The Board noted that the Portfolio has established a wholly-owned subsidiary to accommodate the Portfolio’s commodity-related investments. The subsidiary is managed by BMR and the Sub-adviser pursuant to a separate investment advisory agreement and sub-advisory agreement that is subject to annual approval by the Board. The subsidiary’s fee rates are the same as those charged to the Portfolio, and the Portfolio will not pay any additional management fees with respect to its assets invested in the subsidiary. The Board also considered factors that had an impact on Fund expense ratios, as identified by management in response to inquiries from the Contract Review Committee, as well as actions taken by management in recent years to reduce expenses at the fund complex level, including the negotiation of reduced fees for transfer agency and custody services.

After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by each Adviser and the Sub-adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.

The Board reviewed the level of profits realized by each Adviser and relevant affiliates thereof, including the Sub-adviser, in providing investment advisory and administrative services to the Fund, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to revenue sharing or other payments by each Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect benefits received by the Advisers and their affiliates, including the Sub-adviser, in connection with their relationships with the Fund and the Portfolio, including the benefits of research services that may be available to each Adviser or the Sub-adviser as a result of securities transactions effected for the Fund, the Portfolio and other investment advisory clients.

The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by each Adviser and its affiliates, including the Sub-adviser, are reasonable.

In reviewing management fees and profitability, the Board also considered the extent to which applicable Advisers and its affiliates, on the one hand, and the Fund, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of each Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in the benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Fund and the Portfolio, the structure of the advisory fees, which includes breakpoints at several asset levels, will allow the Fund and the Portfolio to continue to benefit from economies of scale in the future.

Trustees of Parametric Market Neutral Fund and Parametric Market Neutral Portfolio

Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:

Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.

Delivery of Shareholder Documents. The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-260-0761, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial advisor.

Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-260-0761 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).

Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-260-0761 and by accessing the SEC’s website at www.sec.gov.

Investment Adviser of Parametric Market Neutral Portfolio

Boston Management and Research

Two International Place

Boston, MA 02110

Sub-Adviser of Parametric Market Neutral Portfolio and Parametric Market Neutral Fund

Parametric Portfolio Associates LLC

1918 Eighth Avenue, Suite 3100

Seattle, WA 98101

Investment Adviser and Administrator of Parametric Market Neutral Fund

Eaton Vance Management

Two International Place

Boston, MA 02110

Principal Underwriter*

Eaton Vance Distributors, Inc.

Two International Place

Boston, MA 02110

(617) 482-8260

Custodian

State Street Bank and Trust Company

State Street Financial Center, One Lincoln Street

Boston, MA 02111

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Attn: Eaton Vance Funds

P.O. Box 9653

Providence, RI 02940-9653

(800) 260-0761

Fund Offices

Two International Place

Boston, MA 02110

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

(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 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 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

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.

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.


Assets	April 30, 2014
Unaffiliated investments, at value (identified cost, $69,853,168)	$	87,170,644
Affiliated investment, at value (identified cost, $12,999,693)		12,999,693
Cash		43,212
Restricted cash*		4,180,593
Foreign currency, at value (identified cost, $474,278)		474,250
Dividends receivable		170,332
Interest receivable from affiliated investment		1,443
Receivable for investments sold		2,127,590
Receivable for open swap contracts		313,441
Tax reclaims receivable		105,197
Total assets	$	107,586,395

Liabilities
Payable for investments purchased	$	891,676
Payable for variation margin on open financial futures contracts		86,302
Payable for open swap contracts		432,036
Payable for closed swap contracts		1,642,266
Payable to affiliates:
Investment adviser fee		69,936
Trustees’ fees		647
Accrued foreign capital gains taxes		512
Accrued expenses		136,171
Total liabilities	$	3,259,546
Net Assets applicable to investors’ interest in Portfolio	$	104,326,849

Sources of Net Assets
Investors’ capital	$	88,476,826
Net unrealized appreciation		15,850,023
Total	$	104,326,849


Investment Income	Six Months Ended April 30, 2014
Dividends (net of foreign taxes, $76,459)	$	1,558,002
Interest		4,691
Interest allocated from affiliated investment		10,663
Expenses allocated from affiliated investment		(1,286	)
Total investment income	$	1,572,070

Expenses
Investment adviser fee	$	574,982
Trustees’ fees and expenses		3,725
Custodian fee		206,818
Legal and accounting services		32,223
Miscellaneous		15,070
Total expenses	$	832,818
Deduct —
Reduction of custodian fee	$	95
Total expense reductions	$	95

Net expenses	$	832,723

Net investment income	$	739,347

Realized and Unrealized Gain (Loss)
Net realized gain (loss) —
Investment transactions (net of foreign capital gains taxes of $314)	$	7,609,281
Investment transactions allocated from affiliated investment		114
Financial futures contracts		(5,397,128	)
Swap contracts		(533,405	)
Foreign currency transactions		(15,184	)
Net realized gain	$	1,663,678
Change in unrealized appreciation (depreciation) —
Investments (net of decrease in accrued foreign capital gains taxes of $1,234)	$	(5,010,994	)
Financial futures contracts		1,900,295
Swap contracts		(357,294	)
Foreign currency		3,769
Net change in unrealized appreciation (depreciation)	$	(3,464,224	)

Net realized and unrealized loss	$	(1,800,546	)

Net decrease in net assets from operations	$	(1,061,199	)


Increase (Decrease) in Net Assets	Six Months Ended April 30, 2014 (Unaudited)			Year Ended October 31, 2013
From operations —
Net investment income	$	739,347		$	1,254,711
Net realized gain (loss) from investment transactions, financial futures contracts, swap contracts, and foreign currency and forward foreign currency exchange contract transactions		1,663,678			(15,740,595	)
Net change in unrealized appreciation (depreciation) from investments, financial futures contracts, swap contracts, foreign currency and forward foreign currency exchange contracts		(3,464,224	)		10,590,324
Net decrease in net assets from operations	$	(1,061,199	)	$	(3,895,560	)
Capital transactions —
Contributions	$	5,910,852		$	15,302,603
Withdrawals		(90,317,618	)		(85,317,708	)
Net decrease in net assets from capital transactions	$	(84,406,766	)	$	(70,015,105	)

Net decrease in net assets	$	(85,467,965	)	$	(73,910,665	)

Net Assets
At beginning of period	$	189,794,814		$	263,705,479
At end of period	$	104,326,849		$	189,794,814


	Six Months Ended April 30, 2014 (Unaudited)			Year Ended October 31,
Ratios/Supplemental Data	Six Months Ended April 30, 2014 (Unaudited)			2013			2012
Ratios (as a percentage of average daily net assets):
Expenses⁽¹⁾		1.17	%⁽²⁾		1.26	%		1.30	%⁽³⁾
Net investment income		1.03	%⁽²⁾		0.53	%		0.56	%
Portfolio Turnover		4	%⁽⁴⁾		65	%		22	%

Total Return		(0.33	)%⁽⁴⁾		(1.59	)%		1.60	%

Net assets, end of period (000’s omitted)	$	104,327		$	189,795		$	263,705



Aggregate cost	$	83,558,452

Gross unrealized appreciation	$	19,165,197
Gross unrealized depreciation		(2,553,312	)

Net unrealized appreciation	$	16,611,885


Futures Contracts
Expiration Month/Year	Contracts	Position	Aggregate Cost			Value			Net Unrealized Depreciation

6/14	96 E-mini MSCI EAFE Index	Short	$	(8,821,964	)	$	(9,236,640	)	$	(414,676	)
6/14	41 E-mini MSCI Emerging Markets Index	Short		(1,904,540	)		(2,038,725	)		(134,185	)
6/14	423 E-mini S&P 500 Index	Short		(38,912,963	)		(39,717,585	)		(804,622	)

									$	(1,353,483	)


	Fair Value
Consolidated Statement of Assets and Liabilities Caption	Commodity			Equity Price			Total

Receivable for open swap contracts	$	313,441		$	—		$	313,441

Total Asset Derivatives subject to master netting or similar agreements	$	313,441		$	—		$	313,441


	Commodity			Equity Price			Total

Net unrealized appreciation*	$	—		$	(1,353,483	)	$	(1,353,483	)
Payable for open swap contracts		(374,861	)		(57,175	)		(432,036	)

Total Liability Derivatives	$	(374,861	)	$	(1,410,658	)	$	(1,785,519	)

Derivatives not subject to master netting or similar agreements	$	—		$	(1,353,483	)	$	(1,353,483	)

Total Liability Derivatives subject to master netting or similar agreements	$	(374,861	)	$	(57,175	)	$	(432,036	)


Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received^(a)		Cash Collateral Received^(a)		Net Amount of Derivative Assets^(b)

Merrill Lynch International	$	313,441		$	(313,441	)	$	—	$	—	$	—


Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged^(a)		Cash Collateral Pledged^(a)		Net Amount of Derivative Liabilities^(c)

Bank of America	$	(57,175	)	$	—		$	—	$	57,175	$	—
Merrill Lynch International		(374,861	)		313,441			61,420		—		—

	$	(432,036	)	$	313,441		$	61,420	$	57,175	$	—


Consolidated Statement of Operations Caption	Commodity			Equity Price

Net realized gain (loss) —
Financial futures contracts	$	—		$	(5,397,128	)
Swap contracts		(649,034	)		115,629

Total	$	(649,034	)	$	(5,281,499	)

Change in unrealized appreciation (depreciation) —
Financial futures contracts	$	—		$	1,900,295
Swap contracts		(269,474	)		(87,820	)

Total	$	(269,474	)	$	1,812,475


Futures Contracts - Short	Swap Contracts

$74,479,000	$	88,417,000


Asset Description	Level 1			Level 2			Level 3*		Total

Common Stocks
Asia/Pacific	$	494,362		$	13,706,022		$	147	$	14,200,531
Developed Europe		—			14,907,829			—		14,907,829
Developed Middle East		168,226			298,553			—		466,779
Emerging Europe		136,980			3,959,929			—		4,096,909
Latin America		4,791,517			—			—		4,791,517
Middle East/Africa		—			3,180,447			—		3,180,447
North America		42,139,541			—			—		42,139,541

Total Common Stocks	$	47,730,626		$	36,052,780	**	$	147	$	83,783,553

Equity-Linked Securities	$	—		$	1,387,048		$	—	$	1,387,048
Rights		994			—			—		994
Warrants		417			—			—		417
Short-Term Investments —
U.S. Treasury Obligations		—			1,998,632			—		1,998,632
Other		—			12,999,693			—		12,999,693

Total Investments	$	47,732,037		$	52,438,153		$	147	$	100,170,337

Swap Contracts	$	—		$	313,441		$	—	$	313,441

Total	$	47,732,037		$	52,751,594		$	147	$	100,483,778

Liability Description
Futures Contracts	$	(1,353,483	)	$	—		$	—	$	(1,353,483	)
Swap Contracts		—			(432,036	)		—		(432,036	)

Total	$	(1,353,483	)	$	(432,036	)	$	—	$	(1,785,519	)


(a)(1)		Registrant’s Code of Ethics – Not applicable (please see Item 2).

(a)(2)(i)		Treasurer’s Section 302 certification.

(a)(2)(ii)		President’s Section 302 certification.

(b)		Combined Section 906 certification.


By:		/s/ Payson F. Swaffield
		Payson F. Swaffield
		President

Date:		June 13, 2014


By:		/s/ James F. Kirchner
		James F. Kirchner
		Treasurer

Date:		June 13, 2014

By:		/s/ Payson F. Swaffield
		Payson F. Swaffield
		President

Date:		June 13, 2014


		13		See Notes to Consolidated Financial Statements.


		14		See Notes to Consolidated Financial Statements.


		15		See Notes to Consolidated Financial Statements.


		16		See Notes to Consolidated Financial Statements.