monthly market monitor - eaton vance · 2021. 9. 3. · | monthly market monitor | september 2021...

| Monthly Market Monitor | September 2021

FIXED INCOME

Monthly Market MonitorSeptember 2021

EQUITIES ASSET ALLOCATIONALTERNATIVES MORE

eatonvance.com


Eaton Vance Monthly Market Monitor presents a concise review of economic and asset class data through clear and impactful charts.

Providing timely information across a broad array of markets and investment topics, this guide serves as a helpful resource in providing

connectivity between changing market events and implications for investor portfolios. Use Eaton Vance Monthly Market Monitor as a

critical desk reference that enables more informed discussion and understanding of financial markets.

Data provided is for informational use only. See end of report for important additional information.

Table of contents

2

Asset

Allocation

Ideas

32

Equities

15

Fixed

Income

3

Alternatives

26

Additional

Information

41

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Fixed Income


1 Mo. Ago

12 Mo. Ago

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Emerging Markets(10-Yr. Yield)

Au

g ‘

21

1 Mo. Ago

12 Mo. Ago

-1%

0%

1%

2%

3%

4%

Developed Markets(10-Yr. Yield)

Source: Factset as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

3

Sovereign bond yields

Au

g ‘

21

Fixed Income


Key rates (%)Security Current 12-Mo. Ago Average Minimum Maximum

1-Week SIFMA 0.02 0.09 0.06 0.02 0.13

Secured Overnight Financing Rate 0.01 0.01 0.01 0.01 0.01

1-Mo LIBOR 0.08 0.16 0.12 0.07 0.16

3-Mo LIBOR 0.12 0.24 0.19 0.12 0.25

2-Yr Treasury 0.20 0.13 0.16 0.09 0.27

5-Yr Treasury 0.77 0.26 0.60 0.23 0.94

10-Yr Treasury 1.30 0.70 1.21 0.62 1.74

30-Yr Treasury 1.93 1.46 1.93 1.34 2.48

2-Yr Japan -0.13 -0.12 -0.13 -0.16 -0.11

10-Yr Japan 0.02 0.04 0.05 0.00 0.16

2-Yr German Bund -0.73 -0.67 -0.72 -0.81 -0.65

10-Yr German Bund -0.40 -0.40 -0.41 -0.65 -0.11

2-Yr UK Gilt 0.13 -0.06 0.00 -0.18 0.16

10-Yr UK Gilt 0.59 0.31 0.52 0.14 0.89

Bloomberg US Agg 1.42 1.15 1.35 1.09 1.62

Bloomberg Global Agg 1.03 0.90 1.00 0.83 1.17

Bloomberg US Corporate 1.99 1.95 2.01 1.74 2.32

Bloomberg US Long Corporate 2.99 3.02 3.10 2.78 3.58

Bloomberg US Municipal 0.95 1.30 1.10 0.86 1.41

Bloomberg US Long Municipal 1.64 2.16 1.87 1.44 2.36

US High Yield 3.95 5.36 4.44 3.78 6.01

US Loans 4.27 5.79 4.64 4.21 5.73

Source: Bloomberg, LCD, an offering of S&P Global Market Intelligence, and Factset as of 8/31/21. Current represents most recent month. Average, minimum, and maximum measure a 12-month period ending most recent month. Data provided is for informational use only. US High Yield is represented by ICE BofA US High Yield Index. US Loans is represented by S&P/LSTA Leveraged Loan Index. Bloomberg indices and ICE BofA US HY index using yield to worst. S&P/LSTA Leverage Loan Index using yield to maturity. See end of report for important additional information.

Fixed Income


-1%

1%

3%

5%

7%

9%

'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20

Central Bank Policy Rates

BOE

U.S. Federal Reserve

ECB

BOJ

0.13%

0.13%0.18%

0.59%

0.96%

0.11%

0.19%

0.36% 0.51%

0.60%

-0.04% -0.06% -0.07% -0.08% -0.08%

-0.51% -0.52% -0.50%-0.47%

-0.39%

-0.8%

-0.5%

-0.3%

0.0%

0.3%

0.5%

0.8%

1.0%

3M 6M 1Y 2Y 3Y

Market Expectations for Future Central Bank Rates

BOE

U.S. Federal Reserve

ECB

BOJ

Source: Bloomberg, Factset as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

5

Current 1-Mo. Ago 12-Mo. Ago

U.S. Federal Reserve 0.25% 0.25% 0.25%

BOE 0.10% 0.10% 0.10%

BOJ -0.10% -0.10% -0.10%

ECB 0.00% 0.00% 0.00%

Monetary policy

Fixed Income


Yields & Performance

SecurityYield (%) Total Return (%)

Current 1-Mo. Ago 12-Mo. Ago 1-Mo. 12-Mo.

3-mo. Treasury 0.04 0.05 0.11 0.00 0.08

6-mo. Treasury 0.06 0.06 0.13 0.01 0.14

2-yr. Treasury 0.20 0.18 0.13 0.00 0.17

3-yr. Treasury 0.39 0.35 0.16 -0.07 -0.05

5-yr. Treasury 0.77 0.70 0.26 -0.24 -1.21

10-yr. Treasury 1.30 1.23 0.70 -0.29 -4.12

30-yr. Treasury 1.93 1.89 1.46 -0.37 -9.81

August ‘21

1-Mo. Ago

12-Mo. Ago

0%

1%

2%

3%

4%

3M 2Y 5Y 10Y 30Y

U.S. Treasury Yield Curves

Source: Factset, Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.

6

U.S. Treasury yields

Fixed Income


Source: Bloomberg, J.P. Morgan, ICE BofA Data Indices, LLC, Factset, and LCD, an offering of S&P Global Market Intelligence, as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Yield to maturity is shown for the S&P/LSTA Leveraged Loan Index and the FTSE World Government Bond Index. Loan Index coupon value includes LIBOR (shown as “L+”). Loan Index spread represents the three-year discounted spread over LIBOR. Returns of the ICE BofA Developed Mtks HY Ex-Sub Financial Index are USD Hedged. The averages for the index are unhedged.

7

Characteristics and performance analysis

Averages Total Returns (%)

IndexCoupon

(%)

Price

($)

Yield to

Worst (%)Spread (bps)

Maturity

(yrs.)

Duration

(yrs.)1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y

U.S. High Grade

Bloomberg U.S. Aggregate Index 2.50 106.7 1.42 35 8.6 6.7 -0.19 1.63 -0.69 -0.08 5.43 3.11 3.18

U.S. Treasury 1.61 104.6 0.86 - 8.4 7.2 -0.17 1.83 -1.43 -2.11 4.95 2.43 2.49

U.S. Mortgage Backed Securities 2.74 104.4 1.71 33 5.6 4.2 -0.16 0.42 -0.31 -0.18 3.77 2.30 2.46

U.S. Asset Backed Securities 1.43 102.0 0.51 27 2.3 2.2 -0.01 0.18 0.38 0.87 3.54 2.45 2.17

U.S. Commercial Mortgage Backed Securities 3.11 107.4 1.42 61 5.6 5.2 -0.18 0.95 0.24 1.64 5.91 3.42 4.15

U.S. Corp. Investment Grade 3.61 112.3 1.99 87 12.3 8.8 -0.30 2.71 -0.22 2.53 7.70 4.78 5.01

Bloomberg Municipal Bond Index 4.48 114.9 0.95 - 13.1 5.1 -0.37 0.74 1.53 3.40 5.09 3.30 4.05

Bloomberg Taxable Municipal Bond Index 4.27 118.0 2.08 - 16.0 9.7 -0.19 3.16 1.76 3.62 8.10 5.12 6.28

ICE BofA US Inflation-Linked Treasury Index 0.78 116.4 -1.50 - 9.0 4.8 -0.08 3.47 4.29 5.67 7.56 4.74 3.31

ICE BofA Preferred Index (Fixed Rate) 5.16 107.0 2.32 115 - 4.7 0.05 1.63 2.27 5.94 6.76 5.38 6.52

U.S. High Yield

ICE BofA US High Yield Index 5.75 105.1 3.95 321 6.7 4.1 0.55 2.28 4.64 10.26 6.82 6.49 6.90

S&P/LSTA Leveraged Loan Index L+3.70 98.3 4.27 423 4.8 - 0.47 0.83 3.76 8.39 4.16 4.63 4.89

Emerging Markets

J.P. Morgan EM Bond Index (EMBI) Global Diversified 5.21 103.9 4.79 341 - 8.0 0.98 2.15 0.73 4.59 6.93 4.41 5.55

J.P. Morgan Corp. EM Bond Index (CEMBI) Broad Diversified 4.72 105.3 3.56 253 - 4.9 0.71 1.77 2.21 6.24 7.71 5.38 5.63

J.P. Morgan Govt. Bond Index-EM (GBI-EM) Global Diversified 5.29 - 4.99 - - 5.2 0.77 -0.88 -3.05 4.14 5.78 3.18 0.36

Global Developed Markets

Bloomberg Global Aggregate Ex-U.S. Index 1.95 109.6 0.71 28 9.6 8.2 -0.61 -1.15 -3.57 0.75 3.66 1.81 0.72

FTSE World Government Bond Index 1.73 - 0.42 - - 9.0 -0.57 -0.02 -3.76 -1.31 4.16 1.95 1.09

ICE BofA U.K. Gilts Index 2.26 122.2 0.70 - 16.6 13.1 -1.86 -0.52 -3.29 0.89 6.04 2.59 2.84

ICE BofA European Union Government Bond Index 1.98 117.1 -0.08 42 10.1 8.7 -1.03 -1.81 -5.24 -0.48 4.58 2.72 2.24

ICE BofA Developed Mkts HY Ex-Sub Fincl Index (USD Hedged) 5.25 104.4 3.63 331 4.96 3.9 0.50 2.06 4.54 10.04 6.67 6.42 7.11

Fixed Income


Spread analysis (bps)

Source: Factset as of 8/31/21. Spread history measures past 15 years. Data provided is for informational use only. See end of report for important additional information. All fixed-income spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries using daily data. Loan Index spread represents the three-year discounted spread over LIBOR. Aggregate represented by Bloomberg US Aggregate Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. ABS represented by Bloomberg U.S. Asset Backed Securities (ABS) Index. CMBS represented by Bloomberg U.S. CMBS Investment Grade Index. Corporate represented by Bloomberg U.S. Corporate Investment Grade Index. Preferred represented by ICE BofA Fixed Rate Preferred Securities Index. Floating-Rate Loans represented by S&P/LSTA Leveraged Loan Index. Emerging Markets(USD) represented by J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified. High Yield represented by ICE BofA US High Yield Index.

Aggregate MBS ABS CMBS Corporate PreferredFloating-Rate

Loans

Emerging

Markets (USD)High Yield

Max Spread Date 12/3/2008 12/3/2008 1/6/2009 11/21/2008 12/3/2008 3/9/2009 12/19/2008 10/24/2008 12/15/2008

Min Spread Date 4/14/2021 7/27/2010 10/1/2009 1/31/2018 6/30/2021 12/6/2017 5/31/2007 6/1/2007 6/1/2007

Spread on 12/31/20 42 39 33 81 96 71 475 352 386

Spread on 12/31/19 39 39 44 72 93 17 461 291 360

Spread on 12/31/18 54 35 53 86 153 242 551 415 533

High

CurrentMedian

Low

8

52 37 60 109 137 178

517

331

477258

192

1,018

1,581

618

1,644

2,474

901

2,147

29 -13 054 80

-88

230162

24135 33 27 61

87 115

423341

321

-200

0

200

400

600

800

1000

1200

1400

1600

1800

2000

2200

2400

2600

Fixed Income


Source: Bloomberg, JPMorgan, ICE BofA Data Indices, LLC, Factset, and LCD, an offering of S&P Global Market Intelligence, as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. Yield to maturity is shown for the S&P/LSTA Leveraged Loan Index. Loan Index coupon value includes LIBOR (shown as “L+”). Loan Index spread represents the three-year discounted spread over LIBOR. Past performance is not a reliable indicator of future results.

9

Corporate bond market update


Coupon

(%)

Price

($)

Yield to

Worst

(%)

Spread

(bps)

Maturity

(yrs.)

Duration


U.S. High Grade

Bloomberg U.S. Corp. Investment Grade Index 3.61 112.3 1.99 87 12.3 8.8 -0.30 2.71 -0.22 2.53 7.70 4.78 5.01

AAA Index 3.09 112.2 1.87 49 19.9 13.1 -0.31 4.12 -1.57 0.05 8.48 4.80 4.61

AA Index 3.05 110.6 1.72 55 14.5 10.2 -0.29 2.76 -0.90 0.62 6.31 3.73 3.89

A Index 3.29 111.6 1.77 69 11.6 8.5 -0.32 2.43 -0.98 0.90 7.15 4.22 4.66

BBB Index 3.96 113.1 2.20 107 12.4 8.7 -0.29 2.88 0.54 4.25 8.34 5.43 5.55

U.S. High Yield

ICE BofA U.S. High Yield Index 5.75 105.1 3.95 321 6.7 4.1 0.55 2.28 4.64 10.26 6.82 6.49 6.90

BB Index 5.10 107.5 3.03 221 7.5 4.8 0.57 2.82 4.00 8.41 8.35 6.65 7.12

B Index 6.11 103.5 4.37 372 5.8 3.3 0.48 1.42 3.80 8.74 5.65 5.87 6.35

CCC Index 7.10 98.4 7.17 660 5.3 2.9 0.64 2.23 9.86 23.78 3.77 7.10 7.28

S&P/LSTA Leveraged Loan Index L+3.70 98.3 4.27 423 4.8 - 0.47 0.83 3.76 8.39 4.16 4.63 4.89

BBB Index L+1.98 99.4 2.35 221 4.6 - 0.41 0.35 1.57 3.90 3.10 3.25 3.62

BB Index L+2.84 99.1 3.27 318 5.1 - 0.41 0.43 1.89 4.94 2.87 3.34 4.16

B Index L+4.01 99.0 4.46 437 4.9 - 0.45 0.90 3.66 8.26 4.55 4.94 5.23

CCC Index L+5.24 92.2 8.02 850 4.0 - 0.95 1.69 10.77 23.73 4.58 8.49 7.75

D Index - 55.4 - - - - -0.01 1.87 7.06 5.05 -18.94 -10.34 -5.79

Fixed Income


0

200

400

600

800

1000

1200

Average Spread (bps)

High Yield Corporate

Loans

Investment

Grade Corporate

0%

2%

4%

6%

8%

Annual Default Rate

High Yield

Corporate

Loans

Source: J.P. Morgan, LCD, an offering of S&P Global Market Intelligence, as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. Corporate spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries. Loan Index spread represents the three-year discounted spread over LIBOR

10

Current 1-Mo. Ago 12-Mo. Ago Median

HY Corporate 321 332 502 433

Loans 423 427 572 496

IG Corporate 87 86 129 127


HY Corporate 1.06 1.10 5.77 1.95

Loans 0.47 0.58 4.08 1.65

Corporate bond market update

Fixed Income


Source: Bloomberg, Morningstar as of 8/31/21. Coupon and Yield To Worst figures are based on average market prices while Price is based on an average of par value. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.

11

Municipal bond market update


Coupon

(%)

Price

($)

Yield To

Worst (%)

Maturity

(yrs.)

Duration


Bloomberg Municipal Bond Index 4.48 114.9 0.95 13.1 5.1 -0.37 0.74 1.53 3.40 5.09 3.30 4.05

AAA Index 4.37 115.4 0.81 11.6 5.3 -0.40 0.51 0.45 1.72 4.60 2.81 3.21

AA Index 4.51 115.8 0.87 12.7 5.1 -0.34 0.60 0.94 2.48 4.78 3.04 3.75

A Index 4.51 113.6 1.08 14.3 5.0 -0.40 0.86 2.26 4.69 5.51 3.65 4.69

BBB Index 4.41 112.3 1.37 14.9 5.5 -0.36 1.57 4.84 8.38 6.65 4.90 5.51

5-Year Index 4.65 116.6 0.51 4.9 3.8 -0.06 0.61 0.76 1.70 3.83 2.42 2.55

10-Year Index 4.57 118.7 0.84 10.0 5.2 -0.26 0.87 1.25 3.10 5.33 3.36 4.11

22+ Year Index 4.30 114.1 1.64 26.6 7.5 -0.80 0.95 2.60 5.54 6.52 4.22 5.69

Bloomberg High Yield Municipal Bond Index 4.60 76.7 2.93 21.2 6.0 -0.16 2.32 7.23 12.17 7.54 6.19 6.89

Hospital 5.22 104.3 3.44 21.8 6.2 0.09 2.68 6.57 11.23 5.43 4.85 6.76

IDR/PCR 4.37 49.2 2.93 21.0 4.9 -0.11 2.18 7.53 12.95 7.46 6.87 8.76

Tobacco 3.19 27.8 3.33 28.5 4.7 -0.15 1.92 6.93 11.94 9.04 9.47 11.84

Puerto Rico 3.67 57.5 2.41 24.2 6.2 -0.15 2.51 6.44 12.32 13.22 8.91 2.29

Fixed Income


50%

100%

150%

200%

250%

300%

350%

AAA Muni-to-Treasury Yield Ratios

5Y 10Y

30Y

Source: Bloomberg as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries.

12

Municipal bond market update

0

100

200

300

Credit Quality Spreads vs. AAA (bps)

AA

A

BBB


AA 12 13 15 20

A 25 25 34 53

BBB 59 63 136 96


5Y 52 52 84 78

10Y 71 66 109 91

30Y 79 73 104 99

Fixed Income


Source: J.P. Morgan, Morningstar as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. All spreads are in basis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries.

13

Emerging markets bond market update

100

300

500

700

900

'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

bp

s

Sovereign EMD Spreads (USD)

100

300

500

700

900

'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

bp

s

Corporate EMD Spreads (USD)

4%

6%

8%

10%

'11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

bp

s

Local EMD Yields (%)


Coupon (%) Price ($) Yield (%) Duration 1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y

JPMorgan Emerging Markets

Bond Index (EMBI) Global Diversified5.21 103.9 4.79 8.0 0.98 2.15 0.73 4.59 6.93 4.41 5.55

JPMorgan Corporate Emerging Markets

Bond Index (CEMBI) Broad Diversified4.72 105.3 3.56 4.9 0.71 1.77 2.21 6.24 7.71 5.38 5.63

JPMorgan Government Bond Index-Emerging Markets

(GBI-EM) Global Diversified5.29 - 4.99 5.2 0.77 -0.88 -3.05 4.14 5.78 3.18 0.36

Avg. Spread (bps)

Current 341

1-Mo. Ago 354

12-Mo. Ago 422

Median 340

Avg. Spread (bps)

Current 253

1-Mo. Ago 269

12-Mo. Ago 351

Median 310

Avg. Yield (%)

Current 4.99

1-Mo. Ago 4.92

12-Mo. Ago 4.45

Median 6.25

Fixed Income


Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Investment Grade represented by Bloomberg U.S.Corporate Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities (MBS) Index. Treasury represented by Bloomberg U.S. Treasury Index. High Yield represented by ICE BofA US High Yield Index. Municipal represented byBloomberg Municipal Bond Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Global Agg Ex-U.S. represented by Bloomberg Global Aggregate Ex-USD Index. EMD (Local Currency) represented by J.P. Morgan GovernmentBond Index-Emerging Markets (GBI-EM) Global Diversified. EMD (Hard Currency) represented by J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified. EMD (Corp. Bonds) represented by J.P. Morgan Corporate EmergingMarket Bond Index (CEMBI) Broad Diversified.

14

Asset class return analysis (%)2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 8/21

Municipal

10.70

EMD (Hard

Currency)

18.54

High Yield

7.42

Municipal

9.05

Municipal

3.30

High Yield

17.49

EMD (Local

Currency)

15.21

Municipal

1.28

Investment

Grade

14.54

Global Agg

Ex-U.S.

10.11

High Yield

4.64

Treasury

9.81

EMD (Local

Currency)

16.76

Bank Loan

5.29

Investment

Grade

7.46

MBS

1.51

EMD (Hard

Currency)

10.19

Global Agg

Ex-U.S.

10.51

MBS

0.99

EMD (Hard

Currency)

14.42

Investment

Grade

9.89

Bank Loan

3.76

EMD (Hard

Currency)

8.46

High Yield

15.58

EMD (Corp.

Bonds)

-0.60

MBS

6.08

EMD (Corp.

Bonds)

1.30

Bank Loan

10.16

EMD (Hard

Currency)

9.32

Treasury

0.86

High Yield

14.41

Treasury

8.00

EMD (Corp.

Bonds)

2.21

Investment

Grade

8.15

EMD (Corp.

Bonds)

15.02

MBS

-1.41

EMD (Hard

Currency)

5.53

EMD (Hard

Currency)

1.23

EMD (Local

Currency)

9.94

EMD (Corp.

Bonds)

7.96

Bank Loan

0.44

EMD (Local

Currency)

13.47

EMD (Corp.

Bonds)

7.13

Municipal

1.53

MBS

6.23

Investment

Grade

9.82

Investment

Grade

-1.53

Treasury

5.05

Treasury

0.84

EMD (Corp.

Bonds)

9.65

High Yield

7.48

EMD (Corp.

Bonds)

-1.65

EMD (Corp.

Bonds)

13.09

High Yield

6.17

EMD (Hard

Currency)

0.45

High Yield

4.38

Bank Loan

9.66

Municipal

-2.55

EMD (Corp.

Bonds)

4.96

Investment

Grade

-0.68

Investment

Grade

6.11

Investment

Grade

6.42

Global Agg

Ex-U.S.

-2.15

Bank Loan

8.64

EMD (Hard

Currency)

5.88

Investment

Grade

-0.22

Global Agg

Ex-U.S.

4.36

Municipal

6.78

Treasury

-2.75

High Yield

2.50

Bank Loan

-0.69

MBS

1.67

Municipal

5.45

High Yield

-2.26

Municipal

7.54

Municipal

5.21

MBS

-0.31

EMD (Corp.

Bonds)

2.31

Global Agg

Ex-U.S.

4.09

Global Agg

Ex-U.S.

-3.08

Bank Loan

1.60

High Yield

-4.64

Global Agg

Ex-U.S.

1.49

Bank Loan

4.12

Investment

Grade

-2.51

Treasury

6.86

MBS

3.87

Treasury

-1.43

Bank Loan

1.52

MBS

2.59

EMD (Hard

Currency)

-6.58

Global Agg

Ex-U.S.

-3.08

Global Agg

Ex-U.S.

-6.02

Treasury

1.04

MBS

2.47

EMD (Hard

Currency)

-4.61

MBS

6.35

Bank Loan

3.12

EMD (Local

Currency)

-3.05

EMD (Local

Currency)

-1.75

Treasury

1.99

EMD (Local

Currency)

-8.98

EMD (Local

Currency)

-5.72

EMD (Local

Currency)

-14.92

Municipal

0.25

Treasury

2.31

EMD (Local

Currency)

-6.21

Global Agg

Ex-U.S.

5.09

EMD (Local

Currency)

2.69

Global Agg

Ex-U.S.

-3.57

Higher

Lower


Equities

Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Returns over 1 year are annualized. Large Cap Value represented by Russell 1000 Value Index. Large Cap Core represented by Russell 1000 Index. Large Cap Growth represented by Russell 1000 Growth Index. Mid Cap Value represented by Russell Mid Cap Value Index. Mid Cap Core represented by Russell Mid Cap Index. Mid Cap Growth represented by Russell Mid Cap Growth Index. Small Cap Value represented by Russell 2000 Value Index. Small Cap Core represented by Russell 2000 Index. Small Cap Growth represented by Russell 2000 Growth Index. Global represented by MSCI ACWI Index. US represented by S&P 500 Index. International represented by MSCI EAFE Index. Emerging Markets represented by MSCI Emerging Markets Index.

15

Performance: market barometer (%)

Equities

Value Core Growth

1.98 2.89 3.74

2.14 2.54 3.23

2.68 2.24 1.82

1-Month Returns

Value Core Growth

36.44 32.25 28.53

44.50 41.24 35.17

59.49 47.08 35.61

1-Year Returns

Value Core Growth

11.45 18.42 24.60

11.37 15.58 20.96

8.41 10.75 12.27

Global

2.50

U.S.

3.04

International

1.76

Emerging

Markets

2.62

Global

28.64

U.S.

31.17

International

26.12

Emerging

Markets

21.12

Global

14.34

U.S.

18.07

International

9.00

Emerging

Markets

9.87

3-Year Returns

< -20

-20 to -10

-10 to 0

0 to 10

10 to 20

> 20

Large Cap

Mid Cap

Small Cap


Equities

Source: FactSet and Ned Davis Research as of 8/31/21. Correlation of S&P 500 Stocks is measured by the median 63-day rolling correlation of one day returns

Data provided is for informational use only. See end of report for important additional information.

16

Dividend yields and volatility analysis

Equities

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

'16 '17 '18 '19 '20 '21

Historical Yields

S&P 500

MSCI EAFE

MSCI EM

MSCI World

1.3 1.31.5

1.7

2.1

0.0%

1.0%

2.0%

3.0%

S&P 500 10 Yr Treasury MSCI World MSCI EM MSCI EAFE

Current Yields

0.0

10.0

20.0

30.0

40.0

50.0

60.0

'16 '17 '18 '19 '20 '21

CBOE Market Volatility Index (VIX)

VIX

0.0

0.2

0.4

0.6

0.8

1.0

'02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 '21

Correlation of S&P 500 Stocks

AverageAverage


Equities

16.3

22.719.6

14.4 15.5 15.914.0

11.7

14.013.3

22.9

57.7

32.7

18.2

21.2 21.5

17.9

15.6

18.0 17.5

10.312.3 11.9

9.4 10.0 11.09.4 8.7 8.7

10.5

21.2

26.0

30.5

16.5

19.417.5

15.7

13.015.7 15.1

5.0

15.0

25.0

35.0

45.0

55.0

65.0

Regions/Styles: Current NTM P/E vs. 10-Year High, Low, Average

S&P 500 Russell 2000Russell 1000

Growth

Russell 1000

ValueMSCI World

MSCI World ex

USA Small CapMSCI EAFE MSCI EM MSCI Europe

MSCI AC

Asia Pac

High Date 8/20 6/20 8/20 3/21 8/20 8/20 8/20 1/21 6/20 1/21

Low Date 9/11 9/11 9/11 9/11 9/11 9/11 9/11 9/11 9/11 9/11

MSCI World

Current P/E

High

Current

Average

Low

17

Valuation analysis

Source: FactSet as of 8/31/21. NTM P/E is market price per share divided by expected earnings per share over the next twelve months. Data provided is for informational use only. See end of report for important additional information.


Equities

15.8

20.618.4

15.212.6 15.3

16.7 17.2 15.816.7

24.0

45.0

21.3

77.2

14.917.7

26.2 28.0

22.1 21.1

10.012.0 13.3

-332.6 *Not to scale

8.5 10.3 10.5 10.58.3

13.2

22.5

30.4

20.8

12.814.3

17.722.3

26.8

17.220.1

-30.0

-10.0

10.0

30.0

50.0

70.0

S&P 500 Sectors: Current NTM P/E vs. 10-Year High, Low, Average

18

Valuation analysis

Source: FactSet as of 8/31/21. NTM P/E is market price per share divided by expected earnings per share over the next twelve months. The Real Estate sector is excluded from this 10-year chart since the sector was created on August 31, 2016. Data provided is for informational use only. See end of report for important additional information.

S&P 500

Current P/E

High

Current

Average

Low

Communication

Services

Consumer

Discretionary

Consumer

StaplesEnergy Financials Health Care Industrials

Information

TechnologyMaterials Utilities

High Date 8/20 6/20 8/20 4/16 11/17 8/21 8/20 8/20 7/20 1/20

Low Date 5/18 9/11 9/11 7/20 9/11 9/11 9/11 9/11 9/11 9/11


Equities

Source: FactSet as of 8/31/21. Expected EPS Growth is defined as the expected % change in the EPS growth from the beginning of the current calendar year though the end of the calendar year. 2020 EPS Growth is defined as the % change in EPS from the beginning of the year through the end of the year. Data provided is for informational use only. See end of report for important additional information.

19

Corporate earnings growth

575.1*Not to scale

128.7

56.2 54.6 46.7 44.7 42.8 42.8 42.6 34.9

-47.5 -44.8

-0.5

-26.8 -23.3 -21.3

17.1

-12.9 -11.1-0.6

-50.0

0.0

50.0

100.0

150.0

200.0

250.0

300.0

350.0

Russell 2000 MSCI World ex USASmall Cap

MSCI EM MSCI Europe Russell 1000 Value MSCI EAFE Russell 1000Growth

MSCI World S&P 500 MSCI Asia Pac

Regions/Styles Expected EPS Growth

2020 EPS Growth

1275.3 *Not to scale

111.3

81.0 71.656.0

33.9 27.0 20.9 13.0 8.8 1.1

-110.8 *Not to scale

-56.4

-5.9

-23.9-19.4

1.9 8.4 10.1 -1.1 4.3 2.6

-60.0

-30.0

0.0

30.0

60.0

90.0

120.0

Energy Industrials Materials Discretionary Financials Communications Info. Tech. Health Care Real Estate Staples Utilities

S&P 500 Sectors Expected EPS Growth

2020 EPS Growth


Equities

Source: FactSet as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

20

S&P 500 Index: 1-month return analysis

3.0

1.71.9

2.5 2.7

4.0

0.0%

2.0%

4.0%

6.0%

S&P 500 3.5+ 2.4-3.5 1.6-2.4 0.6-1.6 0.0-0.6

Dividend Yield

3.0

3.53.3

3.6 3.5

0.6

0.0%

2.0%

4.0%

S&P 500 35.7+ 21.5-35.5 13.2-21.5 7.5-13.1 <7.4

Return On Equity

3.0

3.7

1.91.6

0.0%

2.0%

4.0%

S&P 500 $100B+ $15B-$100B <$15B

Market Cap

3.0

2.4

1.1

3.4

4.1

2.8

0.0%

2.0%

4.0%

6.0%

S&P 500 1.4+ 1.1-1.4 0.9-1.1 0.6-0.9 <0.6

Beta

3.0 3.2

3.63.4

1.4

3.9

0.0%

2.0%

4.0%

6.0%

S&P 500 48.3+ 31.3-48.2 23.3-31.2 15.2-23.3 <15.1

Trailing 12 Month P/E

3.0

3.53.7

3.0

1.3

2.6

0.0%

2.0%

4.0%

S&P 500 19.0+ 13.3-19.0 10.0-13.2 6.0-10.0 <5.9

3-5 Year Earnings Growth


Equities

Source: FactSet as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

21

S&P 500 Index: YTD analysis

21.6 22.6

17.820.3

22.3 22.7

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

S&P 500 3.5+ 2.4-3.5 1.6-2.4 0.6-1.6 0.0-0.6

Dividend Yield

21.623.9 23.1 21.9

17.916.1

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

S&P 500 34.7+ 21.4-34.7 12.9-21.1 7.3-12.9 <7.3

Return On Equity

21.6 21.6 21.1

26.0

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

S&P 500 $100B+ $15B-$100B <$15B

Market Cap

21.6

26.2

22.9

17.3

29.1

16.9

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

S&P 500 1.6+ 1.1-1.6 1.0-1.1 0.7-1.0 <0.7

Beta

21.6

17.2

21.925.9

22.2

25.2

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

S&P 500 51.0+ 31.8-50.8 23.7-31.8 16.2-23.7 <16.2

Trailing 12 Month P/E

21.6 22.7 22.5

18.3

23.2

17.6

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

S&P 500 12.8+ 9.3-12.7 6.5-9.2 3.5-6.5 <3.5

3-5 Year Earnings Growth


Equities

Source: Morningstar as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

22

Index sectors: return analysis

1 month

YTD

1 year

1 month

YTD

1 year

-10.00

0.00

10.00

20.00

30.00

40.00

50.00

60.00

Re

turn

%

MSCI World

-10.00

0.00

10.00

20.00

30.00

40.00

50.00

60.00

Retu

rn %

S&P 500


Equities

Communication Services9%

Discretionary12%

Staples7%

Energy3%

Financials13%Health Care

13%

Industrials10%

Information Technology23%

Materials4%

Real Estate3%

Utilities3%

MSCI WorldSource: FactSet as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

23

Current characteristics and sector weights

S&P 500 R2000 R1000G R1000V MSCI World MSCI World

ex USA Small

Cap

MSCI EAFE MSCI EM MSCI

Europe

MSCI Asia

Pac

Number of Holdings 505 1971 496 842 1557 2577 843 1407 432 1542

Maximum Market Cap $2,401.90B $46.88B $2,401.31B $535.12B $2,570.59B $11.55B $367.91B $536.26B $367.91B $536.26B

Minimum Market Cap $2.68B $0.02B $0.10B $0.03B $1.56B $0.05B $1.56B $0.08B $2.56B $0.08B

Dividend Yield 1.27 0.88 0.64 1.82 1.53 1.79 2.14 1.68 2.15 1.75

NTM PE 21.22 26.02 30.52 16.49 19.36 17.51 15.75 13.05 15.73 15.07

Price to Book 4.61 2.63 14.16 2.61 3.24 1.68 1.93 2.04 2.17 1.83

Price to Cash Flow 18.04 17.33 26.82 13.79 14.83 9.82 10.78 9.88 10.50 11.28

Price to Sales 3.12 1.61 5.64 2.06 2.39 1.17 1.52 1.68 1.58 1.54

Est 3-5 Yr EPS Growth 15.64 17.44 19.61 11.44 16.09 17.08 16.63 17.59 17.52 16.16

5Yr. Div Growth Rate 7.01 7.88 5.75 5.99 6.40 7.39 5.12 8.63 4.67 6.64

Communication Services11%

Discretionary12%

Staples6%

Energy2%

Financials11%Health Care

13%

Industrials8%

Information Technology28%

Materials3%

Real Estate3%

Utilities3%

S&P 500


Equities

Source: Morningstar as of 8/31/21. Data provided is for informational use only. Results in US Dollar. Past Performance is not a reliable indicator of future results. See end of report for important additional information.

24

Asset class return analysis (%)

1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y 2020 2019 2018 2017 2016S&P 500 3.04 7.95 21.58 31.17 18.07 18.02 16.34 18.40 31.49 -4.38 21.83 11.96

Russell 1000 Defensive 2.79 9.79 21.04 26.29 18.30 17.07 15.98 13.93 30.47 -0.04 20.64 10.04

Russell 1000 Dynamic 3.01 5.56 20.05 37.26 18.08 19.12 16.59 27.69 32.35 -9.48 22.74 13.71

Russell 2500 2.27 1.67 17.53 45.87 13.09 15.10 14.32 19.99 27.77 -10.00 16.81 17.59

Russell 1000 Growth 3.74 13.88 21.08 28.53 24.60 24.35 19.45 38.49 36.39 -1.51 30.21 7.08

Russell 1000 Value 1.98 1.62 20.32 36.44 11.45 11.68 13.03 2.80 26.54 -8.27 13.66 17.34

Russell Mid Cap 2.54 4.85 20.12 41.24 15.58 15.40 14.84 17.10 30.54 -9.06 18.52 13.80

Russell 2000 2.24 0.45 15.83 47.08 10.75 14.38 13.62 19.96 25.52 -11.01 14.65 21.31

CBOE S&P 500 Buywrite BXM 2.67 5.50 14.64 23.26 4.79 7.35 8.22 -2.75 15.68 -4.77 13.00 7.07

MSCI World 2.49 5.88 17.94 29.76 14.96 14.83 12.14 15.90 27.67 -8.71 22.40 7.51

MSCI EAFE 1.76 1.38 11.58 26.12 9.00 9.72 7.34 7.82 22.01 -13.79 25.03 1.00

MSCI EM 2.62 -4.12 2.84 21.12 9.87 10.40 4.85 18.31 18.44 -14.58 37.28 11.19

MSCI AC Asia Pac 2.46 -2.91 2.26 19.07 9.28 10.42 7.48 19.71 19.36 -13.52 31.67 4.89

MSCI ACWI 2.50 4.57 15.91 28.64 14.34 14.29 11.27 16.25 26.60 -9.41 23.97 7.86

MSCI Europe 1.51 1.98 15.59 29.18 9.71 10.11 7.43 5.38 23.77 -14.86 25.51 -0.40

MSCI World Small Cap 2.43 1.95 16.87 41.60 11.52 13.51 11.95 15.96 26.19 -13.86 22.66 12.71

MSCI World Ex USA Small Cap 2.69 2.60 14.58 33.13 10.49 11.71 9.07 12.78 25.41 -18.07 31.04 4.32

FTSE 100 1.02 -0.73 14.03 27.07 4.40 6.03 5.03 -8.73 22.03 -14.08 22.56 -0.17

FTSE All Small 2.75 2.17 25.61 57.34 14.43 13.60 10.97 10.77 22.63 -14.71 29.78 -4.02

STOXX Europe 600 1.72 2.19 15.85 29.50 10.34 10.52 7.87 6.83 24.53 -15.05 25.89 -1.22

Nikkei 225 Average 2.89 -2.92 -3.14 18.70 9.11 11.08 9.82 23.99 21.35 -8.27 25.15 5.18

S&P 500 Comm. Services 5.01 11.72 30.15 38.56 24.55 13.87 13.06 23.61 32.69 -12.53 -1.25 23.49

S&P 500 Cons Disc 2.12 6.55 13.17 17.85 17.69 19.54 19.01 33.30 27.94 0.83 22.98 6.03

S&P 500 Cons Staples 1.40 3.80 9.21 14.44 13.91 9.15 12.03 10.75 27.61 -8.38 13.49 5.38

S&P 500 Energy -2.04 -6.00 30.87 42.94 -8.79 -2.74 -0.14 -33.68 11.81 -18.10 -1.01 27.36

S&P 500 Financials 5.14 1.58 31.57 56.48 13.23 16.43 15.81 -1.69 32.13 -13.03 22.18 22.80

S&P 500 Health Care 2.38 9.90 20.12 26.97 15.65 15.37 17.20 13.45 20.82 6.47 22.08 -2.69

S&P 500 Industrials 1.15 -0.21 18.78 36.36 12.99 13.91 14.61 11.06 29.37 -13.29 21.03 18.86

S&P 500 Info Tech 3.56 15.04 22.36 29.47 29.67 30.59 23.45 43.89 50.29 -0.29 38.83 13.85

S&P 500 Materials 1.92 -1.52 19.07 38.14 15.42 14.36 11.66 20.73 24.58 -14.70 23.84 16.69

S&P 500 Real Estate 2.81 11.01 32.64 36.35 16.16 11.34 12.45 -2.17 29.01 -2.22 10.85 3.39

S&P 500 Utilities 3.98 6.13 11.07 19.66 12.42 10.59 11.32 0.48 26.35 4.11 12.11 16.29

U.S.

Equities

Global

Equities

Sectors


Equities

Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Small-Cap represented by Russell 2000 Index. Emerging Markets represented by MSCI Emerging Markets Index. Value represented by Russell 1000 Value Index. Mid-Cap represented by Russell Midcap Index. Global represented by MSCI ACWI Index. Growth represented by Russell 1000 Growth Index. International represented by MSCI EAFE Index. International Small-Cap represented by MSCI World Ex USA Small Cap Index

25

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 8/21

Growth

2.64

Emerging

Markets

18.22

Small-Cap

38.82

S&P 500

13.69

Growth

5.67

Small-Cap

21.31

Emerging

Markets

37.28

Growth

-1.51

Growth

36.39

Growth

38.49

S&P 500

21.58

S&P 500

2.11

Value

17.51

Mid-Cap

34.76

Value

13.45

International

Small-Cap

5.46

Value

17.34

International

Small-Cap

31.04

S&P 500

-4.38

S&P 500

31.49

Small-Cap

19.96

Growth

21.08

Value

0.39

International

Small-Cap

17.48

Growth

33.48

Mid-Cap

13.22

S&P 500

1.38

Mid-Cap

13.80

Growth

30.21

Value

-8.27

Mid-Cap

30.54

S&P 500

18.40

Value

20.32

Mid-Cap

-1.55

International

17.32

Value

32.53

Growth

13.05

International

-0.81

S&P 500

11.96

International

25.03

Mid-Cap

-9.06

Global

26.60

Emerging

Markets

18.31

Mid-Cap

20.12

Small-Cap

-4.18

Mid-Cap

17.28

S&P 500

32.39

Small-Cap

4.89

Global

-2.36

Emerging

Markets

11.19

Global

23.97

Global

-9.42

Value

26.54

Mid-Cap

17.10

Global

15.91

Global

-7.35

Small-Cap

16.35

International

Small-Cap

25.55

Global

4.16

Mid-Cap

-2.44

Global

7.86

S&P 500

21.83

Small-Cap

-11.01

Small-Cap

25.52

Global

16.25

Small-Cap

15.83

International

-12.14

Global

16.13

Global

22.80

Emerging

Markets

-2.19

Value

-3.83

Growth

7.08

Mid-Cap

18.52

International

-13.79

International

Small-Cap

25.41

International

Small-Cap

12.78

International

Small-Cap

14.58

International

Small-Cap

-15.81

S&P 500

16.00

International

22.78

International

-4.90

Small-Cap

-4.41

International

Small-Cap

4.32

Small-Cap

14.65

Emerging

Markets

-14.58

International

22.01

International

7.82

International

11.58

Emerging

Markets

-18.42

Growth

15.26

Emerging

Markets

-2.60

International

Small-Cap

-5.34

Emerging

Markets

-14.92

International

1.00

Value

13.66

International

Small-Cap

-18.07

Emerging

Markets

18.42

Value

2.80

Emerging

Markets

2.84

Asset class return analysis (%)Higher

Lower

Alternatives


Spot Returns vs. USD (%) Spot Returns vs. EUR (%)Local Interest

Rates (%)

Currency 1-Mo. YTD 1Y 3Y 5Y 1-Mo. YTD 1Y 3Y 5Y 1Y

U.S. Dollar (USD) - - - - - 0.45 3.65 1.31 -0.48 -1.16 0.06

Euro (EUR) * -0.45 -3.52 -1.30 0.48 1.17 - - - - - -0.66

British Pound (GBP) -1.01 0.68 2.79 1.92 1.00 -0.57 4.36 4.14 1.43 -0.17 0.14

Japanese Yen (JPY) -0.10 -6.02 -3.47 0.31 -1.20 0.35 -2.59 -2.21 -0.17 -2.34 -0.10

Australian Dollar (AUD) -0.57 -5.29 -1.18 0.35 -0.56 -0.12 -1.83 0.12 -0.13 -1.71 0.00

Canadian Dollar (CAD) -1.21 0.82 3.11 1.05 0.75 -0.76 4.50 4.46 0.57 -0.41 0.28

New Zealand Dollar (NZD) 0.85 -2.24 4.14 1.99 -0.60 1.30 1.33 5.50 1.50 -1.75 0.30

Norwegian Krone (NOK) 1.49 -1.65 -0.31 -1.33 -0.85 1.95 1.94 0.99 -1.80 -2.00 0.14

Swedish Krona (SEK) -0.40 -4.93 -0.16 1.89 -0.15 0.05 -1.46 1.15 1.40 -1.30 -0.27

Danish Krone (DKK) -0.43 -3.43 -1.19 0.57 1.19 0.02 0.09 0.10 0.08 0.02 -0.68

Swiss Franc (CHF) -1.06 -3.50 -1.70 1.82 1.41 -0.62 0.02 -0.41 1.33 0.24 -0.77

* German Rate. Source: Factset, Bloomberg as of 8/31/21. Dollar is represented by the US Trade Weighted Dollar Index (DXY). Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.

60

80

100

120

140

160

'70 '72 '74 '76 '78 '80 '82 '84 '86 '88 '90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20

U.S. Dollar Index

Developed market currency performance and yields

26

Alternatives


Source: Factset, Bloomberg as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.

27


Rates (%)


Asia, excluding Japan

Chinese Renminbi (CNY) -0.11 1.19 6.06 1.86 0.66 0.35 4.88 7.45 1.37 -0.51 2.24

Malaysian Ringgit (MYR) 1.52 -3.24 0.20 -0.38 -0.49 1.98 0.30 1.52 -0.86 -1.64 1.77

Indian Rupee (INR) 1.93 0.08 0.82 -0.96 -1.71 2.39 3.74 2.15 -1.44 -2.85 3.74

Indonesian Rupiah (IDR) 1.40 -1.49 2.10 1.08 -1.44 1.86 2.11 3.44 0.59 -2.58 2.94

Philippine Peso (PHP) 0.47 -3.47 -2.54 2.43 -1.30 0.93 0.05 -1.26 1.94 -2.44 1.50

Singapore Dollar (SGD) 0.67 -1.74 1.08 0.61 0.26 1.13 1.84 2.41 0.13 -0.90 0.35

South Korean Won (KRW) -0.79 -6.31 2.45 -1.35 -0.78 -0.34 -2.89 3.80 -1.82 -1.93 1.25

Taiwanese Dollar (TWD) 0.91 1.39 5.87 3.49 2.74 1.36 5.09 7.26 2.99 1.56 0.08

Thai Baht (THB) 1.97 -7.05 -3.44 0.51 1.44 2.43 -3.66 -2.18 0.03 0.26 0.47

Latin America

Brazilian Real (BRL) 0.54 1.46 7.16 -6.98 -8.78 0.99 5.16 8.56 -7.43 -9.83 7.98

Chilean Peso (CLP) -2.07 -8.32 0.08 -4.35 -2.61 -1.63 -4.97 1.39 -4.81 -3.74 1.55

Colombian Peso (COP) 2.71 -9.10 -0.35 -6.72 -4.73 3.18 -5.79 0.96 -7.16 -5.83 2.02

Mexican Peso (MXN) -0.90 -0.57 9.21 -1.55 -1.20 -0.45 3.06 10.65 -2.03 -2.34 5.49

Peruvian New Sol (PEN) -0.79 -11.42 -13.16 -6.81 -3.63 -0.34 -8.18 -12.02 -7.26 -4.74 2.45

Emerging market currency performance and yields

Alternatives


Source: Factset, Bloomberg as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information.

28

Emerging market currency performance and yields


Rates (%)


Europe

Czech Koruna (CZK) -0.21 -0.30 2.05 0.90 2.42 0.25 3.34 3.39 0.41 1.24 0.86

Hungarian Forint (HUF) 1.98 0.21 0.33 -1.78 -1.23 2.44 3.87 1.65 -2.25 -2.37 1.12

Polish Zloty (PLN) 0.55 -2.68 -4.19 -1.31 0.43 1.01 0.87 -2.93 -1.78 -0.73 -0.01

Romanian Leu (RON) -0.86 -4.84 -3.23 -1.62 -0.90 -0.41 -1.36 -1.96 -2.09 -2.04 2.32

Russian Ruble (RUB) -0.13 0.98 1.13 -2.76 -2.26 0.32 4.67 2.46 -3.22 -3.39 5.67

Turkish New Lira (TRY) 1.29 -10.61 -11.49 -7.30 -18.67 1.75 -7.34 -10.33 -7.75 -19.61 17.89

Middle East and Africa

Ghanaian Cedi (GHS) -1.57 -2.90 -4.30 -7.12 -8.07 -1.13 0.65 -3.05 -7.56 -9.13 17.90

Israeli Shekel (ILS) 0.72 0.22 4.62 3.96 3.38 1.17 3.88 5.99 3.46 2.18 0.00

Kenyan Shilling (KES) -1.18 -0.64 -1.55 -2.82 -1.63 -0.74 2.99 -0.25 -3.29 -2.76 7.52

Moroccan Dirham (MAD) -0.21 -0.55 1.95 1.72 1.76 0.24 3.09 3.29 1.23 0.58 1.56

Nigerian Naira (NGN) -0.12 -4.19 -6.43 -4.23 -5.21 0.33 -0.69 -5.20 -4.69 -6.31 6.80

South African Rand (ZAR) 1.13 1.55 17.12 0.43 0.34 1.59 5.25 18.66 -0.06 -0.82 5.03

Ugandan Shilling (UGX) 0.48 3.37 4.04 2.13 -0.92 0.94 7.14 5.40 1.64 -2.06 9.70

Zambian Kwacha (ZMK) 20.62 32.79 22.82 -13.57 -9.72 21.17 37.64 24.43 -13.99 -10.76 25.50

Alternatives


* German Rate. Source: Bloomberg as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

29

0.30

0.28

0.14

0.14

0.06

0.00

-0.10

-0.27

-0.66

-0.68

-0.77

0.04

0.22

0.06

-0.01

0.11

0.19

-0.10

-0.16

-0.54

-0.59

-0.90

-5.00 0.00 5.00 10.00

New Zealand Dollar (NZD)

Canadian Dollar (CAD)

Norwegian Krone (NOK)

British Pound (GBP)

U.S. Dollar (USD)

Australian Dollar (AUD)

Japanese Yen (JPY)

Swedish Krona (SEK)

Euro (EUR) *

Danish Krone (DKK)

Swiss Franc (CHF)

Developed Market Local Interest Rates % (1 Year)

17.89

7.98

6.80

5.67

5.49

5.03

2.94

2.45

2.02

1.77

1.55

1.50

1.12

0.47

-0.01

13.28

2.67

3.34

4.73

4.52

3.89

4.01

1.40

2.68

1.67

0.42

1.69

0.42

0.50

0.05

-5.00 5.00 15.00 25.00

Turkish New Lira (TRY)

Brazilian Real (BRL)

Nigerian Naira (NGN)

Russian Ruble (RUB)

Mexican Peso (MXN)

South African Rand (ZAR)

Indonesian Rupiah (IDR)

Peruvian New Sol (PEN)

Colombian Peso (COP)

Malaysian Ringgit (MYR)

Chilean Peso (CLP)

Philippine Peso (PHP)

Hungarian Forint (HUF)

Thai Baht (THB)

Polish Zloty (PLN)

Emerging Market Local Interest Rates % (1 Year)

Aug ’20Aug ‘21

Aug ’20Aug ‘21

Local sovereign currency yields

Alternatives


Source: Bloomberg, Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Commodity represented by Bloomberg Commodity Index. Agriculture represented by Bloomberg Agriculture Subindex. Energy represented by Bloomberg Energy Subindex. Grains represented by Bloomberg Grains Subindex. Industrial Metals represented by Bloomberg Industrial Metals Subindex. Livestock represented by Bloomberg Livestock Subindex. Precious Metals represented by Bloomberg Precious Metals Subindex.

30

Index 1-Mo. 3-Mo. YTD 1Y 3Y 5Y

Bloomberg Commodity Index -0.30 3.42 23.01 31.00 5.82 4.17

Bloomberg Sub Agriculture 0.05 -1.11 19.33 49.81 11.51 2.75

Coffee 7.28 17.10 43.70 39.35 12.52 -3.83

Corn -2.96 -11.87 23.05 63.17 9.78 3.78

Cotton 3.52 11.59 13.64 32.75 0.41 5.46

Soybean -4.20 -9.63 6.03 45.05 13.08 3.42

Soybean Oil -6.80 -4.35 56.38 102.53 27.78 11.18

Sugar 10.78 13.85 33.51 54.69 17.20 -4.74

Wheat 0.85 6.01 8.59 24.33 6.06 3.64

Bloomberg Sub Energy -0.43 15.22 49.48 38.10 -9.26 -1.63

Brent Crude -3.96 7.07 45.95 60.10 -1.69 8.50

Heating Oil -3.42 3.76 43.07 66.93 -5.99 4.37

Natural Gas 10.78 44.87 60.60 12.83 -15.67 -15.89

Unleaded Gas -2.56 7.35 51.58 82.46 0.03 6.82

WTI Crude Oil -6.94 4.86 44.09 59.65 -14.21 -1.85

Index 1-Mo. 3-Mo. YTD 1Y 3Y 5Y

Bloomberg Sub Industrial Metals 0.33 0.98 22.65 36.20 12.50 12.16

Aluminum 4.54 9.27 34.97 47.46 5.45 9.01

Copper -2.20 -6.42 24.19 42.51 17.47 14.98

Nickel -0.05 7.86 17.13 26.10 14.77 14.19

Zinc -1.14 -2.14 7.72 16.64 9.40 7.33

Bloomberg Sub Precious Metals -1.37 -7.08 -5.86 -10.99 13.80 4.95

Gold 0.05 -4.78 -4.73 -9.04 13.14 5.51

Platinum -3.27 -14.52 -6.69 6.24 7.63 -1.60

Silver -6.23 -14.58 -9.63 -16.98 16.07 3.45

Bloomberg Sub Livestock 0.15 -2.89 8.71 19.62 -5.26 -3.02

Lean Hogs 0.89 -9.48 30.47 69.70 -6.72 -7.67

Live Cattle -0.23 2.00 -1.97 -0.05 -4.41 -0.52

Commodities return analysis (%)

Alternatives


Source: Morningstar as of 7/31/2021. *Data is on a 1-month lag. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. Global Macro represented by Credit Suisse Global Macro Index. Private equity represented by Cambridge Associates US Private Equity Index. MLP represented by Alerian MLP Index. Event Driven represented by Credit Suisse Event Driven Index. Multi-Strategy represented by Credit Suisse Multi-Strategy Index. Long/Short Equity represented by Credit Suisse Long/Short Equity Index. Convertible Arbitrage represented by Credit Suisse Convertible Arbitrage Index. Currency represented by J.P. Morgan EMLI+ Index. Equity Market Neutral represented by Credit Suisse Equity Market Neutral Index. Fixed Income Arbitrage represented by Credit Suisse Fixed Income Arbitrage Index. Managed Futures represented by Credit Suisse Managed Futures Index. Commodity represented by Bloomberg Commodity Index

31

Asset class return analysis (%)2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 7/21

MLP

13.88

Private Equity

14.19

MLP

27.58

Managed Futures

18.37

Private Equity

5.66

MLP

18.31

Private Equity

17.52

Private Equity

10.16

Private Equity

13.85

Convertible

Arbitrage

10.25

MLP

38.51

Private Equity

11.34

Multi-Strategy

11.19

Private Equity

21.32

Private Equity

11.13

Multi-Strategy

3.84

Private Equity

13.00

Long/Short

Equity

13.41

Fixed Income

Arbitrage

1.10

Long/Short Equity

12.17

Long/Short Equity

7.86

Commodity

23.37

Global Macro

6.44

Fixed Income

Arbitrage

11.04

Long/Short Equity

17.74

Multi-Strategy

6.09

Long/Short Equity

3.55

Commodity

11.77

Currency

11.54

Global Macro

-0.11

Global Macro

10.38

Event Driven

6.95

Event Driven

9.57

Fixed Income

Arbitrage

4.69

Event Driven

10.63

Event Driven

15.47

Long/Short Equity

5.55

Equity Market

Neutral

1.69

Convertible

Arbitrage

6.60

Equity Market

Neutral

8.45

Multi-Strategy

-1.05

Managed Futures

9.01

Global Macro

6.53

Managed Futures

7.16

Equity Market

Neutral

4.49

Long/Short Equity

8.21

Multi-Strategy

11.23

MLP

4.80

Convertible

Arbitrage

0.81

Multi-Strategy

4.41

Multi-Strategy

6.83

Convertible

Arbitrage

-2.26

Event Driven

8.22

Multi-Strategy

5.60

Long/Short Equity

6.82

Multi-Strategy

1.83

Convertible

Arbitrage

7.82

Equity Market

Neutral

9.27

Fixed Income

Arbitrage

4.37

Fixed Income

Arbitrage

0.59

Fixed Income

Arbitrage

4.29

Fixed Income

Arbitrage

6.52

Currency

-3.33

Convertible

Arbitrage

8.15

Fixed Income

Arbitrage

3.64

Global Macro

6.29

Convertible

Arbitrage

1.13

Currency

7.45

Convertible

Arbitrage

6.03

Global Macro

3.11

Global Macro

0.18

Global Macro

3.58

Event Driven

6.30

Event Driven

-3.95

Commodity

7.69

Managed Futures

1.86

Multi-Strategy

5.55

Managed Futures

-4.19

MLP

4.80

Global Macro

4.32

Event Driven

1.57

Managed Futures

-0.93

Currency

3.54

Convertible

Arbitrage

5.01

Long/Short Equity

-4.62

Multi-Strategy

7.25

Currency

1.73

Equity Market

Neutral

4.57

Currency

-5.19

Global Macro

4.58

Fixed Income

Arbitrage

3.80

Equity Market

Neutral

-1.19

Event Driven

-6.29

Event Driven

2.68

Managed Futures

3.29

Equity Market

Neutral

-5.00

MLP

6.56

Equity Market

Neutral

1.69

Fixed Income

Arbitrage

4.40

Long/Short Equity

-7.31

Equity Market

Neutral

0.85

Currency

-2.04

Convertible

Arbitrage

-1.68

Currency

-7.61

Long/Short Equity

-3.43

Global Macro

2.14

Managed Futures

-6.67

Fixed Income

Arbitrage

6.10

Commodity

-3.12

Convertible

Arbitrage

3.34

Event Driven

-9.09

Commodity

-1.06

Managed Futures

-2.56

Currency

-7.03

Commodity

-24.66

Equity Market

Neutral

-4.58

Commodity

1.70

Commodity

-11.25

Currency

5.20

MLP

-28.69

Currency

-1.11

Commodity

-13.32

Managed Futures

-2.93

Commodity

-9.52

Commodity

-17.01

MLP

-32.59

Managed Futures

-6.84

MLP

-6.52

MLP

-12.42

Equity Market

Neutral

1.58

Private Equity

--

Private Equity

--

Higher

Lower


Asset Allocation Ideas

Source: Factset as of 8/31/21. Data provided is for informational use only. See end of report for important additional information.

32

Equity yields around the globe

United States

1.29%

Canada

2.60%

Australia

3.61%

China

1.61%

Russia

4.63%

Brazil

4.15%

Mexico

2.22%

South Africa

2.89%

India

1.00%

Korea

1.56%

Japan

2.07%

Sweden

1.72%

Spain

2.78%

France

2.21%

United Kingdom

3.68%

Germany

2.24%

Italy

2.56%



China18%

United States16%

India7%

Japan4%

Germany3%

Rest of World52%

GDP % of World Total

Source: World Economic Outlook Database, April 2021; World Bank.Data provided is for informational use only. See end of report for important additional information.Gross domestic product based on purchasing-power-parity (PPP) share of world total (percent). Purchasing-power-parity adjusts GDPs for differences in prices, so aggregate country values are more comparable.

33

U.S. dominates global equity allocations

United States44%

China9%

Japan8%

Hong Kong6%

France3%

Rest of World30%

Market Capitalization % of World Total



International Small Cap

International Large Cap

Emerging Markets

0.00

2.00

4.00

6.00

8.00

10.00

0.00 5.00 10.00 15.00 20.00 25.00

Re

turn

%

Risk

Annualized Risk/Return over 10 years

34

International small cap stocks may offer attractive diversification benefits

Source: Morningstar, FactSet as of 8/31/2021. Data provided is for informational use only. See end of report for important additional information. International Small-Cap represented by the MSCI World Ex USA Small Cap (Net) Index. International Large-Cap represented by the MSCI EAFE (Net) Index. Emerging Markets represented by the MSCI Emerging Markets (Net) Index. Risk is measured by standard deviation which measures the historic volatility of the index. Sharpe Ratio uses standard deviation and excess return to determine reward per unit of risk. Past performance is no guarantee of future results.

Annualized

Returns

(%)

Cumulative

Returns

(%)

Standard

Deviation

(%)

Sharpe

Ratio

International Small Cap 9.07 138.16 15.91 0.59

International Large Cap 7.34 102.98 14.68 0.52

Emerging Markets 4.85 60.60 17.57 0.32



35

Loans & high-yield: swapping rate risk for credit exposure

1.00

0.880.81

0.550.48

0.06

-0.21

-0.33

-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

10-Year Correlation with U.S. Treasuries

Source: Factset, Morningstar as of 8/31/21. Data provided is for informational use only. See end of report for important additional information. Aggregate represented by Bloomberg U.S. Aggregate Index. EM Sovereign (USD) represented by J.P. Morgan EM Bond Index (EMBI) Global Diversified Index. Floating-Rate Loan represented by S&P / LSTA Leveraged Loan Index. High Yield Corp. represented by ICE BofA US High Yield Index. Investment Grade Corp. represented by Bloomberg U.S. Corp. Investment Grade Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities Index. Municipal represented by Bloomberg Municipal Bond Index. Treasury represented by Bloomberg U.S. Treasury Index. Past performance is no guarantee of future results.

Aggregate

Treasury

MBS

Investment Grade Corp

Municipal

High-Yield Corp

Floating-Rate Loan

EM Sovereign (USD)

0%

2%

4%

6%

8%

10%

0 2 4 6 8 10

Yield/Duration



Source: Factset, Morningstar as of 8/31/2021. Taxable equivalent yield assumes a maximum federal income tax rate of 37% and a 3.8% healthcare tax. Data provided is for informational use only. See end of report for important additional information. Treasury represented by Bloomberg U.S. Treasury Index. Agency represented by Bloomberg U.S. Agency Index. Aggregate represented by Bloomberg U.S. Aggregate Index. . Investment Grade Corp. represented by Bloomberg U.S. Corp. Investment Grade Index. MBS represented by Bloomberg U.S. Mortgage Backed Securities Index. Municipal represented by Bloomberg Municipal Bond Index. Floating-Rate Loan represented by S&P / LSTA Leveraged Loan Index. High Yield Corp. represented by ICE BofA US High Yield Index. Past performance is no guarantee of future results.

36

Municipal bonds tax-equivalent yield and 5-year correlation

1.00

0.68

0.480.44

0.39

0.13

0.00

0.25

0.50

0.75

1.00

Municipal InvestmentGrade Corp

High YieldCorp

Treasury Floating-RateLoan

S&P 500

5-Year Correlation with Municipals

0.86%

1.42%

0.95%

1.71%

1.99%

1.60%

0%

1%

2%

3%

4%

Treasury Aggregate Municipal MBS InvestmentGrade Corp

Tax-Equivalent Yield



U.S. Stocks30%

Intl Stocks15%

Bonds30%

Alts25%

Portfolio 2

U.S.Stocks40%

Intl Stocks20%

Bonds40%

Asset Allocation

Portfolio 1

Source: Zephyr as of 7/31/21. *Data is on a one month lag. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. U.S Stocks represented by S&P 500 Index. International Stocks represented by MSCI EAFE Index. Bonds represented by Bloomberg US Aggregate Bond Index. Alternatives represented by 10% Credit Suisse Global Macro Index, 10% Credit Suisse Multi-Strategy Index, 5% Credit Suisse Managed Futures Index. Index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Historical performance of the index illustrates market trends and does not represent the past or future performance of any fund or strategy.The data and information noted above is based on hypothetical assumptions and the experience of Eaton Vance. It is for informational and illustrative purposes only. This material does not constitute investment advice and should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy. The hypothetical models presented do not represent the results that any particular investor actually attained. Actual performance results will differ, and may differ substantially, from the hypothetical model performance. The portfolio (1) is represented by 40% of the S&P 500®, 40% of the Bloomberg U.S. Aggregate Index, and 20% of the MCSI EAFE Index. The portfolio (2) is represented by 30% of the S&P 500®, 30% of the Bloomberg U.S. Aggregate Index, 15% of the MSCI EAFE Index, and 25% of the following three different hedge fund indices: 10% Credit Suisse Global Macro Index, 10% Credit Suisse Multi-Strategy Index, 5% Credit Suisse Managed Futures Index. Morningstar is used to calculate risk and return metrics.

37

Meaningful allocation to alts has improved performance and reduced risk

20 Years ending 7/31/21Return

(%)

Standard Deviation

(%)

Maximum Drawdown

(%)

Hypothetical Portfolio 1 6.84 9.03 -34.06

Hypothetical Portfolio 2 6.84 7.42 -27.88

0.35

0.61

-0.02

-0.25

0.00

0.25

0.50

0.75

1.00

Global Macro Multi-Strategy Managed Futures

20-Year Correlation with U.S. Stocks

0.25

0.05

0.29

-0.25

0.00

0.25

0.50

0.75

1.00

Global Macro Multi-Strategy Managed Futures

20-Year Correlation with Bonds



Source: Morningstar as of 8/31/21. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. S&P 500 represented by the S&P 500 Index. International represented by MSCI EAFE Index. Emerging Markets represented by MSCI Emerging Markets Index. Small-Cap represented by Russell 2000 Index. US Aggregate represented by the Bloomberg Capital US Aggregate Bond Index. Municipal represented by Bloomberg Municipal Bond Index. High Yield represented by ICE BofA US High Yield Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Commodity represented by Bloomberg Commodity Index. The Asset Allocation portfolio assumes the following weights: 25% in the S&P 500 Index, 15% in the MSCI EAFE Index, 5% in the MSCI Emerging Markets Index, 10% in the Russell 2000 Index, 25% in the Bloomberg Capital US Aggregate Bond Index, 5% in the Bloomberg Municipal Bond Index, 5% in the Bloomberg US Corporate High Yield Index, 5% in the S&P/LSTA Leveraged Loan Index, and 5% in the Bloomberg Commodity Index.

38

Major asset class return analysis (%)

2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 YTD 8/21

Municipal

10.70

Emerging Markets

18.22

Small-Cap

38.82

S&P 500

13.69

Municipal

3.30

Small-Cap

21.31

Emerging Markets

37.28

Municipal

1.28

S&P 500

31.49

Small-Cap

19.96

Commodities

23.01

US Agg

7.84

International

17.32

S&P 500

32.39

Municipal

9.05

S&P 500

1.38

High Yield

17.49

International

25.03

Bank Loan

0.44

Small-Cap

25.52

S&P 500

18.40

S&P 500

21.58

High Yield

4.38

Small-Cap

16.35

International

22.78

US Agg

5.97

US Agg

0.55

S&P 500

11.96

S&P 500

21.83

US Agg

0.01

International

22.01

Emerging Markets

18.31

Small-Cap

15.83

S&P 500

2.11

S&P 500

16.00

Asset Allocation

13.83

Small-Cap

4.89

Bank Loan

-0.69

Commodities

11.77

Small-Cap

14.65

High Yield

-2.26

Asset Allocation

18.70

Asset Allocation

11.95

International

11.58

Bank Loan

1.52

High Yield

15.58

High Yield

7.42

Asset Allocation

4.28

International

-0.81

Emerging Markets

11.19

Asset Allocation

14.02

S&P 500

-4.38

Emerging Markets

18.42

International

7.82

Asset Allocation

10.11

Asset Allocation

-0.35

Asset Allocation

11.91

Bank Loan

5.29

High Yield

2.50

Asset Allocation

-2.03

Bank Loan

10.16

High Yield

7.48

Asset Allocation

-5.40

High Yield

14.41

US Agg

7.51

High Yield

4.64

Small-Cap

-4.18

Bank Loan

9.66

US Agg

-2.02

Bank Loan

1.60

Small-Cap

-4.41

Asset Allocation

8.61

Municipal

5.45

Small-Cap

-11.01

US Agg

8.72

High Yield

6.17

Bank Loan

3.76

International

-12.14

Municipal

6.78

Municipal

-2.55

Emerging Markets

-2.19

High Yield

-4.64

US Agg

2.65

Bank Loan

4.12

Commodities

-11.25

Bank Loan

8.64

Municipal

5.21

Emerging Markets

2.84

Commodities

-13.32

US Agg

4.21

Emerging Markets

-2.60

International

-4.90

Emerging Markets

-14.92

International

1.00

US Agg

3.54

International

-13.79

Commodities

7.69

Bank Loan

3.12

Municipal

1.53

Emerging Markets

-18.42

Commodities

-1.06

Commodities

-9.52

Commodities

-17.01

Commodities

-24.66

Municipal

0.25

Commodities

1.70

Emerging Markets

-14.57

Municipal

7.54

Commodities

-3.12

US Agg

-0.69

Higher

Lower



Source: Morningstar as of 8/31/21. The table above shows the return correlation between various asset classes (represented by market indices as defined in this disclosure) over the past five and ten years. Data provided is for informational use only. Past Performance is not a reliable indicator of future results. See end of report for important additional information. S&P 500 is represented by the S&P 500 Index. International is represented by MSCI EAFE Index. Emerging Markets is represented by MSCI Emerging Markets Index. Small-Cap is represented by Russell 2000 Index. US Aggregate is represented by the Bloomberg Barclays Capital US Aggregate Bond Index. Municipal is represented by Bloomberg Barclays Municipal Bond Index. High Yield is represented by ICE BofA US High Yield Index. Bank Loan is represented by S&P/LSTA Leveraged Loan Index. Commodities is represented by Bloomberg Commodity Index.

39

Major asset classes correlation table

S&P 500 International Emerging Markets Small Cap U.S. Aggregate Municipal High Yield Bank Loan Commodities

S&P 500 1.00 0.86 0.73 0.88 -0.04 0.02 0.76 0.64 0.54

International 0.87 1.00 0.82 0.77 0.00 0.11 0.77 0.61 0.59

Emerging Markets 0.72 0.82 1.00 0.67 0.10 0.15 0.76 0.57 0.64

Small Cap 0.88 0.80 0.69 1.00 -0.12 -0.02 0.74 0.67 0.53

U.S. Aggregate 0.01 0.03 0.09 -0.11 1.00 0.72 0.22 0.08 -0.09

Municipal 0.13 0.25 0.24 0.07 0.68 1.00 0.34 0.28 0.05

High Yield 0.78 0.77 0.73 0.77 0.21 0.48 1.00 0.85 0.64

Bank Loan 0.69 0.66 0.63 0.73 0.07 0.39 0.92 1.00 0.51

Commodities 0.64 0.65 0.65 0.65 -0.16 0.15 0.69 0.63 1.00

5 Years ended August 31, 2021 10 Years ended August 31, 2021



Source: Morningstar as of 7/31/21. Flow data is on a one month lag. Data provided is for informational use only. See end of report for important additional information.

40

Fund and ETF flows by category

Top 10 Open-End Mutual Fund Categories by Monthly Flows ($MM)

1 Mo. 3 Mo. 12 Mo.

Foreign Large Blend 9,685 14,976 (3,727)

Short-Term Bond 4,084 17,023 82,731

Muni National Short 3,272 3,519 29,962

Multisector Bond 2,825 9,569 32,015

Diversified Emerging Mkts 2,656 4,342 23,326

Muni National Interm 2,596 8,017 29,417

High Yield Muni 2,509 7,331 20,926

Bank Loan 2,314 8,047 18,135

Inflation-Protected Bond 2,141 8,065 31,985

Ultrashort Bond 2,051 (2,401) 37,978

Bottom 10 Open-End Mutual Fund Categories by Monthly Flows ($MM)

1 Mo. 3 Mo. 12 Mo.

Long-Term Bond (544) (701) (569)

Pacific/Asia ex-Japan Stk (591) (860) 2,612

Commodities Broad Basket (664) 25 5,175

Mid-Cap Value (812) 474 (9,864)

Small Blend (915) (1,824) (6,868)

Small Growth (1,848) (4,223) (379)

Small Value (1,895) (519) (2,721)

Mid-Cap Growth (2,954) (8,645) (17,866)

Large Growth (5,900) (24,040) (83,112)

Large Blend (7,811) (16,656) (129,170)

Bottom 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)

1 Mo. 3 Mo. 12 Mo.

Consumer Cyclical (745) (2,450) 6,369

Natural Resources (836) 2,903 14,499

Equity Energy (855) 1,023 12,669

Commodities Focused (884) 1,247 (10,964)

Corporate Bond (924) (2,296) (3,975)

Real Estate (1,047) 2,986 10,586

Miscellaneous Region (1,181) (1,186) 1,879

Intermediate Government (1,316) 141 14,361

Small Value (1,609) 745 11,349

Financial (2,926) (100) 22,698

Top 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)

1 Mo. 3 Mo. 12 Mo.

Large Blend 15,806 35,819 132,328

Foreign Large Blend 8,661 21,123 60,849

Short-Term Bond 5,287 10,971 38,700

Inflation-Protected Bond 3,961 10,600 31,185

Large Growth 3,906 12,875 11,161

Health 2,719 3,125 9,873

World Large-Stock Blend 2,430 3,139 7,218

China Region 2,152 4,407 10,317

Technology 2,135 (494) 17,200

Long Government 1,571 3,513 (4,819)


Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions, expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Data provided is for informational use only. See end of report for important additional information.

41

Bloomberg Global Aggregate Ex-USD Index is a broad-based measure of

global Investment Grade fixed-rate debt investments, excluding USD-

denominated debt

Bloomberg High Yield Municipal Bond Index is an unmanaged index of

non-Investment Grade Municipal bonds traded in the U.S.

Bloomberg Municipal Bond Index is an unmanaged index of Municipal

bonds traded in the U.S.

Bloomberg Taxable Municipal Bond Index is an unmanaged index of

Taxable Municipal bonds traded in the U.S.

Bloomberg U.S. Agency Index measures agency securities issued by U.S

government agencies, quasi-federal corporations, and corporate or foreign

debt guaranteed by the U.S. government

Bloomberg U.S. Aggregate Index is an unmanaged index of domestic

investment-grade bonds, including corporate, government and mortgage-

backed securities

Bloomberg U.S. Asset Backed Securities (ABS) Index measures ABS

with the following collateral type: credit and charge card, auto, and utility

loans

Bloomberg U.S. CMBS Index measures the market of conduit and fusion

CMBS deals with a minimum current deal size of $300mn

Bloomberg U.S. Corporate Investment Grade Index is an unmanaged

index that measures the performance of investment-grade corporate

securities within the Barclays U.S. Aggregate Index

Bloomberg U.S. Mortgage Backed Securities (MBS) Index measures

agency mortgage-backed pass-through securities issued by GNMA, FNMA,

and FHLMC

Bloomberg U.S. Treasury Index measures public debt instruments issued

by the U.S. Treasury

Bloomberg Commodity Index is a broadly diversified index tracking futures

contracts on physical commodities

CBOE Volatility Index (VIX) tracks the implied volatilities of a wide range of

S&P 500 Index options

CBOE S&P 500 BuyWrite Index measures the performance of a

hypothetical buy-write strategy on the S&P 500 Index

ICE BofA US Inflation-Linked Treasury Index tracks the performance of

USD denominated inflation linked sovereign debt publicly issued by the US

government

ICE BofA Fixed Rate Preferred Securities Index is an unmanaged index of

fixed-rate, preferred securities issued in the U.S.

ICE BofA UK Gilts Index tracks the performance of GBP denominated

sovereign debt publicly issued by the UK government in its domestic market.

ICE BofA European Union Government Bond Index tracks the

performance of sovereign debt publicly issued by countries that are members

of the European Union

ICE BofA U.S. High Yield Index is an unmanaged index of below-

investment grade U.S. corporate bonds.

ICE BofA Developed Markets High Yield Ex-Subordinated Financial

Index (Hedged) is an unmanaged index of global developed market below

investment grade corporate bonds, USD hedged.

FTSE 100 Index is an unmanaged market-capitalization weighted index

representing the performance of the 100 largest UK listed blue chip

companies, which pass screening for size and liquidity

FTSE All Small Index consists of all the companies in the FTSE SmallCap

and FTSE Fledgling indices

FTSE World Government Bond Index (WGBI) measures the performance

of fixed-rate, local currency, investment-grade sovereign bonds.

J.P. Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad

Diversified is an unmanaged index of USD-denominated emerging market

corporate bonds.

J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified is

an unmanaged index of USD-denominated bonds with maturities of more

than one year issued by emerging markets governments.

J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM)

Global Diversified is an unmanaged index of local-currency bonds with

maturities of more than one year issued by emerging market governments

Morgan Stanley Capital International (MSCI) Emerging Markets Index is

an unmanaged index of emerging markets common stocks

Morgan Stanley Capital International All Country Asia Pacific Index

(MSCI AC Asia Pac) is an unmanaged total return, capitalization-weighted

index that measures the performance of stock markets in 15 Pacific region

countries, including Australia, China, Hong Kong, India, Indonesia, Japan,

Korea, Malaysia, New Zealand, Pakistan, the Philippines, Singapore, Sri

Lanka, Taiwan and Thailand

Morgan Stanley Capital International (MSCI) Japan Index is an

unmanaged index designed to measure the performance of the large and

mid cap segments of the Japan market

Morgan Stanley Capital International (MSCI) World Index is an

unmanaged index of equity securities in the developed markets

Morgan Stanley Capital International (MSCI) World ex USA Small Cap

Index is an unmanaged index of small-cap equity securities in the developed

markets, excluding the United States.

Morgan Stanley Capital International All Country World (MSCI AC World)

Index is an unmanaged free float-adjusted market-capitalization-weighted

index designed to measure the equity market performance of developed and

emerging markets

Morgan Stanley Capital International Europe (MSCI Europe) Index is an

unmanaged free float-adjusted market-capitalization-weighted index

designed to measure the equity market performance of the developed

markets in Europe

Glossary of terms

Index definitions


Glossary of terms and about risk

Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE) Index is an unmanaged index

of equities in the developed markets, excluding the U.S. and Canada

Nikkei 225 Stock Average Index is unmanaged price-weighted index of 225 top-rated Japanese companies listed

in the First Section of the Tokyo Stock Exchange

Russell 1000 Index is an unmanaged index of 1,000 U.S. large-cap stocks

Russell 1000 Growth Index is an unmanaged index of 1,000 U.S. large-cap growth stocks

Russell 1000 Value Index is an unmanaged index of 1,000 U.S. large-cap value stocks

Russell 2000 Index is an unmanaged index of 2,000 U.S. small-cap stocks

Russell 2500 Index is an unmanaged index of approximately 2,500 U.S. small- and mid-cap U.S. stocks

Russell Midcap Index is an unmanaged index of U.S. mid-cap stocks

Standard & Poor’s 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S.

stock market performance

S&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan market

STOXX Europe 600 Index is a fixed component number index designed to provide a broad yet liquid representation

of large, mid and small capitalization companies in Europe

ICE BofA Indexes: ICE® BofA® indices are not for redistribution or other uses; provided “as is”, without warranties,

and with no liability. Eaton Vance has prepared this report and ICE Data Indices, LLC does not endorse it, or

guarantee, review, or endorse Eaton Vance’s products. BofA® is a licensed registered trademark of Bank of

America Corporation in the United States and other countries.

MSCI Indexes: Source: MSCI. MSCI data may not be reproduced or used for any other purpose. MSCI provides no

warranties, has not prepared or approved this report, and has no liability hereunder.

J.P. Morgan Indices: Information has been obtained from sources believed to be reliable but J.P. Morgan does not

warrant its completeness or accuracy. The Index is used with permission. The Index may not be copied, used, or

distributed without J.P. Morgan’s prior written approval. Copyright 2019, J.P. Morgan Chase & Co. All rights

reserved.

S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for

use. S&P® and S&P 500® are registered trademarks of S&P DJI; Dow Jones® is a registered trademark of Dow

Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones and their respective affiliates do not sponsor,

endorse, sell or promote the Fund, will not have any liability with respect thereto and do not have any liability for any

errors, omissions, or interruptions of the S&P Dow Jones Indices.

Index definitions (cont.)

Bank Loans – There can be no assurance that the liquidation of collateral securing an investment will satisfy the

issuer’s obligation in the event of non-payment or that collateral can be readily liquidated. The ability to realize the

benefits of any collateral may be delayed or limited. Commodities – The value of commodities investments will

generally be affected by overall market movements and factors specific to a particular industry or commodity

including weather, embargoes, tariffs, or health, political, international and regulatory developments. Credit –

Investments in income securities may be affected by changes in the creditworthiness of the issuer and are subject to

the risk of non-payment of principal and interest. The value of income securities also may decline because of real or

perceived concerns about the issuer’s ability to make principal and interest payments. Duration – Securities with

longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. Equity –

Equity investment values are sensitive to stock market volatility. Foreign – Investments in foreign instruments or

currencies can involve greater risk and volatility than U.S. investments because of adverse market, economic,

political, regulatory, geopolitical, or other conditions. In emerging countries, these risks may be more significant.

Gov’t Agency – While certain U.S. Government-sponsored agencies may be chartered or sponsored by acts of

Congress, their securities are neither issued nor guaranteed by the U.S. Treasury. Income Market – An imbalance in

supply and demand in the income market may result in valuation uncertainties and greater volatility, less liquidity,

widening credit spreads and a lack of price transparency in the market. There generally is limited public information

about Municipal issuers. Inflation-Linked – Interest payments on inflation-linked securities may vary widely and will

fluctuate as principal and interest are adjusted for inflation. Investments in inflation-linked securities may lose value in

the event that the actual rate of inflation is different than the rate of the inflation index. Interest Rate – As interest

rates rise, the value of certain income investments is likely to decline. Lower-Rated – Investments rated below

Investment Grade (typically referred to as “junk”) are generally subject to greater price volatility and illiquidity than

higher rated investments. Maturity – Longer-term bonds typically are more sensitive to interest rate changes than

shorter-term bonds. Preferred Stocks – When interest rates rise, the value of preferred stocks will generally decline.

Prepayment - MBS – Mortgage-backed securities are subject to prepayment risk. Prepayment - Bank Loan – Bank

Loans are subject to prepayment risk. Real Estate – Changes in real estate values or economic downturns can have

a significant negative effect on issuers in the real estate industry, including REITs.

Unless otherwise stated, index returns do not reflect the effect of any applicable sales charges, commissions,

expenses, taxes or leverage, as applicable. It is not possible to invest directly in an index. Data provided is for

informational use only. Past performance is no guarantee of future results. See end of report for important additional

information.

About risk

Municipal-to-Treasury Yield Ratios are relative value indicators that measure the richness or cheapness of

Municipal bond yields to comparable maturity Treasury bond yields.

Yield to Worst is a measure which reflects the lowest potential yield earned on a bond without the issuer

defaulting. The yield to worst is calculated by making worst-case scenario assumptions by calculating the

returns that would be received if provisions, including prepayment, call or sinking fund, are used by the issuer.

Terms


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