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| Monthly Market Monitor | May 2020

Monthly Market Monitor

May 2020

Fixed Income Equities

AssetAllocation

IdeasAlternatives Additional

Information


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 contents2

AssetAllocation

Ideas

32

Equities

15

Fixed Income

3

Alternatives

26

AdditionalInformation

41

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Fixed Income


1 Mo. Ago12 Mo. Ago

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Emerging Markets(10-Yr. Yield)

April

‘20

1 Mo. Ago12 Mo. Ago

-1%

0%

1%

2%

3%

4%

Developed Markets(10-Yr. Yield)

Source: Factset as of 4/30/20. Data provided is for informational use only. See end of report for important additional information.

3

Sovereign bond yields

April

‘20

Fixed Income


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

1-Week SIFMA 0.22 2.30 1.39 0.21 5.20

1-Mo LIBOR 0.33 2.48 1.81 0.33 2.48

3-Mo LIBOR 0.56 2.58 1.92 0.56 2.58

2-Yr Treasury 0.18 2.27 1.44 0.18 2.34

5-Yr Treasury 0.34 2.28 1.46 0.33 2.35

10-Yr Treasury 0.62 2.50 1.66 0.50 2.55

30-Yr Treasury 1.28 2.93 2.16 0.92 2.94

2-Yr Japan -0.18 -0.16 -0.20 -0.34 -0.10

10-Yr Japan -0.05 -0.05 -0.10 -0.28 0.09

2-Yr German Bund -0.76 -0.59 -0.71 -1.02 -0.59

10-Yr German Bund -0.57 0.03 -0.38 -0.87 0.04

2-Yr UK Gilt 0.02 0.76 0.47 -0.01 0.80

10-Yr UK Gilt 0.23 1.22 0.67 0.13 1.26

BbgBarc US Agg 1.31 2.97 2.24 1.31 3.02

BbgBarc Global Agg 1.00 1.81 1.38 0.87 1.83

BbgBarc US Corporate 2.67 3.60 3.02 2.22 4.58

BbgBarc US Long Corporate 3.39 4.38 3.75 2.95 4.93

BbgBarc US Municipal 2.25 2.30 1.87 1.14 3.52

BbgBarc US Long Municipal 3.17 2.93 2.49 1.71 4.08

US High Yield 8.06 6.18 6.34 5.15 11.39

US Loans 8.46 6.49 6.78 5.91 11.91

Source: Bloomberg, LCD, an offering of S&P Global Market Intelligence, and Factset as of 4/30/20. 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 Barclays 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

ECBBOJ

0.12% 0.11% 0.12% 0.14%0.23%

0.10% 0.09% 0.12% 0.14%0.19%

-0.10% -0.13% -0.13% -0.16% -0.19%

-0.54% -0.57%-0.63% -0.64% -0.61%

-1%

0%

1%

3M 6M 1Y 2Y 3Y

Market Expectations for Future Central Bank Rates

BOE

U.S. Federal Reserve

ECB

BOJ

Source: Bloomberg, Factset as of 4/30/20. 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% 2.50%

BOE 0.10% 0.10% 0.75%

BOJ -0.10% -0.10% -0.10%

ECB 0.00% 0.00% 0.00%

Monetary policy

Fixed Income


Yields & Performance

Security Yield (%) Total Return (%)Current 1-Mo. Ago 12-Mo. Ago 1-Mo. 12-Mo.

3-mo. Treasury 0.10 0.10 2.42 0.01 2.07

6-mo. Treasury 0.10 0.11 2.39 0.00 2.64

2-yr. Treasury 0.18 0.20 2.27 0.03 5.22

3-yr. Treasury 0.24 0.27 2.24 0.12 7.21

5-yr. Treasury 0.34 0.37 2.28 0.18 11.08

10-yr. Treasury 0.62 0.68 2.50 0.70 19.78

30-yr. Treasury 1.28 1.32 2.93 1.96 45.19April ‘20

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 4/30/20. 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 Barclays, J.P. Morgan, ICE BofA Data Indices, LLC, Factset, and LCD, an offering of S&P Global Market Intelligence, as of 4/30/20. 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 (%)

Index Coupon (%)

Price ($)

Yield to Worst (%)

Spread (bps)

Maturity(yrs.)

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

U.S. High GradeBloomberg Barclays U.S. Aggregate Index 3.11 109.9 1.31 74 7.9 5.7 1.78 3.00 4.98 10.84 5.17 3.80 3.96

U.S. Treasury 2.23 112.3 0.51 - 8.5 7.1 0.64 6.29 8.89 14.27 5.80 3.89 3.79U.S. Agency 2.51 109.7 0.67 32 5.5 3.8 0.51 3.09 4.67 8.80 4.22 3.05 2.80U.S. Mortgage Backed Securities 3.49 107.0 1.00 40 3.1 1.3 0.64 2.75 3.47 7.77 4.04 3.06 3.29U.S. Asset Backed Securities 2.62 101.8 1.81 159 2.2 2.1 1.34 0.13 1.12 3.89 2.70 2.25 2.55U.S. Commercial Mortgage Backed Securities 3.35 105.9 2.16 172 5.9 5.3 1.22 -0.06 2.42 7.21 4.35 3.46 4.61U.S. Corp. Investment Grade 3.94 110.3 2.67 202 12.0 8.3 5.24 -0.91 1.42 9.88 5.61 4.57 5.26

Bloomberg Barclays Municipal Bond Index 4.59 108.8 2.25 - 12.9 6.1 -1.26 -3.61 -1.88 2.16 3.27 3.04 3.89Bloomberg Barclays Taxable Municipal Bond Index 4.90 117.6 2.81 - 17.2 9.8 1.62 -1.32 2.81 10.05 6.60 5.41 6.82ICE BofA US Inflation-Linked Treasury Index 0.82 110.6 -0.16 - 9.2 6.4 2.94 2.67 5.01 10.12 4.49 3.25 3.68ICE BofA Preferred Index (Fixed Rate) 5.61 101.7 3.52 228 - 4.4 6.30 -3.87 -3.08 3.80 4.19 5.15 6.55U.S. High YieldICE BofA US High Yield Index 6.09 89.1 8.06 763 6.3 4.2 3.80 -9.82 -9.82 -5.26 1.43 3.19 5.66S&P/LSTA Leveraged Loan Index L+3.44 86.1 8.46 898 4.9 - 4.50 -9.64 -9.13 -6.61 0.54 1.85 3.39Emerging MarketsJ.P. Morgan EM Bond Index (EMBI) Global Diversified 5.54 93.1 6.80 611 - 7.4 2.25 -12.76 -11.44 -4.97 0.67 2.94 5.08J.P. Morgan Corp. EM Bond Index (CEMBI) Broad Diversified 5.03 95.5 5.93 537 - 4.7 4.09 -7.91 -6.49 -0.21 2.54 3.68 4.98J.P. Morgan Govt. Bond Index-EM (GBI-EM) Global Diversified 5.80 - 4.86 - - 5.3 3.92 -10.74 -11.89 -2.68 0.09 0.44 0.72Global Developed MarketsBloomberg Barclays Global Aggregate Ex-U.S. Index 2.08 112.3 0.63 - 9.8 8.3 2.04 -1.44 -0.69 3.43 2.78 2.01 1.67FTSE World Government Bond Index 2.23 - 0.49 - - 8.6 1.19 1.57 3.22 7.97 4.24 2.98 2.35ICE BofA U.K. Gilts Index 3.08 140.4 0.33 - 18.2 13.9 4.97 1.65 4.95 12.31 5.06 2.02 4.45ICE BofA European Union Government Bond Index 2.36 118.4 0.22 81 10.1 8.5 0.27 -3.14 -1.67 3.06 3.23 1.42 2.47ICE BofA Developed Mtks HY Ex-Sub Fincl Index (USD Hedged) 5.55 89.4 7.63 743 4.6 4.1 4.30 -9.61 -9.58 -4.88 1.67 3.41 5.87

Fixed Income


34 8 -13 0 56 82 -88 222 162 241

258 180 192

1018

1581

618

1644

2474

901

2147

-200

0

200

400

600

800

1000

1200

1400

1600

1800

2000

2200

2400

2600

50 20 40 59 106 136174

516

315

466

74 32 39159 172 202 228

898

610763

Spread analysis (bps)

Source: Factset as of 4/30/20. 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 Barclays US Aggregate Index. Agency represented by Bloomberg Barclays U.S. Agency Index. MBS represented by Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index. ABS represented by Bloomberg Barclays U.S. Asset Backed Securities (ABS) Index. CMBS represented by Bloomberg Barclays U.S. CMBS Investment Grade Index. Corporate represented by Bloomberg Barclays 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 Agency MBS ABS CMBS Corporate Preferred Floating-RateLoans

Emerging Markets (USD) High Yield

Max Spread Date 12/3/2008 11/20/2008 12/3/2008 1/6/2009 11/21/2008 12/3/2008 3/9/2009 12/19/2008 10/24/2008 12/15/2008Min Spread Date 1/31/2018 12/12/2019 7/27/2010 10/1/2009 1/31/2018 2/22/2007 12/6/2017 3/31/2006 6/1/2007 6/1/2007Spread on 12/31/19 39 10 39 44 72 93 17 461 291 360Spread on 12/31/18 54 16 35 53 86 153 242 551 415 533Spread on 12/31/17 36 14 25 36 62 93 -30 405 285 358

High

CurrentMedian

Low

8

Fixed Income


Source: Bloomberg Barclays, JPMorgan, ICE BofA Data Indices, LLC, Factset, and LCD, an offering of S&P Global Market Intelligence, as of 4/30/20. 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

Averages Total Returns (%)Coupon

(%)Price

($)

Yield to Worst

(%)

Spread(bps)

Maturity (yrs.)

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

U.S. High Grade

Bloomberg Barclays U.S. Corp. Investment Grade Index 3.94 110.3 2.67 202 12.0 8.3 5.24 -0.91 1.42 9.88 5.61 4.57 5.26

AAA Index 3.51 120.5 1.84 101 18.8 12.1 3.17 4.53 8.06 18.56 8.71 6.22 5.67

AA Index 3.25 111.3 1.85 122 12.3 8.6 2.64 1.81 4.06 10.96 5.55 4.29 4.36

A Index 3.65 112.4 2.17 153 11.6 8.4 4.54 1.40 3.84 11.97 5.97 4.71 5.24

BBB Index 4.32 108.0 3.30 264 11.9 8.1 6.41 -3.35 -1.15 7.74 5.22 4.42 5.53

U.S. High Yield

ICE BofAML U.S. High Yield Index 6.09 89.1 8.06 763 6.3 4.2 3.80 -9.82 -9.82 -5.26 1.43 3.19 5.66

BB Index 5.35 95.8 5.85 539 7.0 4.6 4.78 -6.27 -5.94 0.29 3.26 4.24 6.30

B Index 6.42 91.0 8.39 798 5.5 3.8 3.31 -10.98 -11.25 -6.79 0.91 2.63 5.32

CCC Index 7.88 62.9 18.12 1779 5.0 3.3 0.54 -21.66 -22.01 -22.89 -5.18 0.20 3.87

S&P/LSTA Leveraged Loan Index L+3.44 86.1 8.46 898 4.9 - 4.50 -9.64 -9.13 -6.61 0.54 1.85 3.39

BBB Index L+1.90 95.5 4.19 356 5.2 - 3.19 -4.31 -4.15 -0.86 2.12 2.81 3.17

BB Index L+2.47 92.3 5.58 546 5.3 - 4.12 -7.48 -7.20 -4.24 1.16 2.13 3.27

B Index L+3.70 87.4 8.64 903 4.8 - 4.99 -10.01 -9.41 -6.69 0.74 2.01 3.74

CCC Index L+4.97 69.1 19.54 2,214 4.2 - 4.00 -20.78 -19.76 -21.12 -4.00 1.34 4.44

D Index - 37.6 - - - - -2.54 -32.01 -35.88 -51.22 -24.25 -19.25 -8.17

Fixed Income


0

200

400

600

800

1000

1200Average Spread (bps)

High Yield CorporateLoans

InvestmentGrade Corporate

0%

2%

4%

6%Annual Default Rate

High YieldCorporate

Loans

Source: J.P. Morgan, LCD, an offering of S&P Global Market Intelligence, as of 4/30/20. 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 763 877 373 460

Loans 898 1076 418 503

IG Corporate 202 272 111 135


HY Corporate 4.71 3.35 1.29 1.90

Loans 2.32 1.84 1.01 1.55

Corporate bond market update

Fixed Income


Source: Bloomberg Barclays, Morningstar as of 4/30/20. 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

Averages Total Returns (%)

Coupon (%)

Price($)

Yield To Worst (%)

Maturity(yrs.)

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

Bloomberg Barclays Municipal Bond Index 4.59 108.8 2.25 12.9 6.1 -1.26 -3.61 -1.88 2.16 3.27 3.04 3.89

AAA Index 4.50 111.9 1.64 11.3 5.7 -0.38 -1.51 0.16 3.84 3.38 2.90 3.31

AA Index 4.61 111.0 1.93 12.6 5.7 -0.92 -2.55 -0.89 2.98 3.33 2.99 3.75

A Index 4.63 106.2 2.71 14.0 6.6 -1.79 -4.84 -3.06 1.16 3.22 3.25 4.40

BBB Index 4.57 97.6 4.15 15.0 8.3 -3.45 -10.07 -8.01 -2.87 2.99 2.95 4.23

5-Year Index 4.67 110.8 1.74 4.9 3.8 -0.12 -2.35 -1.16 2.05 2.13 2.07 2.67

10-Year Index 4.62 112.5 2.02 9.9 5.3 -1.02 -3.28 -1.41 2.67 3.51 3.25 4.21

22+ Year Index 4.51 105.9 3.17 26.6 10.8 -2.64 -6.08 -3.80 1.31 3.96 3.83 5.05

Bloomberg Barclays High Yield Municipal Bond Index 4.84 63.6 5.67 20.8 10.8 -3.37 -12.19 -10.02 -4.63 2.99 3.57 5.44

Hospital 5.51 90.6 6.01 21.9 10.0 -5.84 -14.14 -12.71 -8.36 1.30 2.65 5.68

IDR/PCR 4.67 40.6 5.81 21.2 12.1 -1.86 -11.07 -9.25 -3.34 2.97 5.39 7.00

Tobacco 3.93 25.1 5.85 27.1 15.5 0.31 -8.72 -6.34 1.22 4.37 8.70 6.99

Puerto Rico 3.77 43.7 5.48 25.9 14.9 -2.03 -13.84 -9.01 0.17 7.68 4.06 -1.27

Fixed Income


Source: Bloomberg Barclays as of 4/30/20. 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

50%

100%

150%

200%

250%

300%

AAA Muni-to-Treasury Yield Ratios

5Y 10Y

30Y


5Y 317 291 71 80

10Y 234 191 74 92

30Y 179 147 87 100

0

100

200

300

Credit Quality Spreads vs. AAA (bps)

AA

A

BBB


AA 15 13 12 21

A 36 29 36 56

BBB 121 86 70 97

Fixed Income


Source: J.P. Morgan, Morningstar as of 4/30/20. 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

'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20

bps

Sovereign EMD Spreads (USD)

100

300

500

700

900

'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20

bps

Corporate EMD Spreads (USD)

4%

6%

8%

10%

'10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20

bps

Local EMD Yields (%)

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

JPMorgan Emerging Markets Bond Index (EMBI) Global Diversified 5.54 93.1 6.80 7.4 2.25 -12.76 -11.44 -4.97 0.67 2.94 5.08

JPMorgan Corporate Emerging Markets Bond Index (CEMBI) Broad Diversified 5.03 95.5 5.93 4.7 4.09 -7.91 -6.49 -0.21 2.54 3.68 4.98

JPMorgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified 5.80 - 4.86 5.3 3.92 -10.74 -11.89 -2.68 0.09 0.44 0.72

Avg. Spread (bps)Current 6111-Mo. Ago 62712-Mo. Ago 344Median 332

Avg. Spread (bps)Current 5371-Mo. Ago 59912-Mo. Ago 286Median 316

Avg. Yield (%)Current 4.861-Mo. Ago 5.3612-Mo. Ago 6.22Median 6.41

Fixed Income


Source: Morningstar as of 4/30/20. 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 BloombergBarclays U.S. Corporate Index. MBS represented by Bloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index. Treasury represented by Bloomberg Barclays U.S. Treasury Index. High Yield represented by ICE BofA US High YieldIndex. Municipal represented by Bloomberg Barclays Municipal Bond Index. Bank Loan represented by S&P/LSTA Leveraged Loan Index. Global Agg Ex-U.S. represented by Bloomberg Barclays Global Aggregate Ex-USD Index. EMD (LocalCurrency) represented by J.P. Morgan Government Bond 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 Emerging Market Bond Index (CEMBI) Broad Diversified.

14

Asset class return analysis (%)2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD 4/20

EMD (Local Currency)

15.68

Municipal10.70

EMD (Hard Currency)

18.54

High Yield7.42

Municipal9.05

Municipal3.30

High Yield17.49


15.21

Municipal1.28

InvestmentGrade14.54

Treasury8.89

High Yield15.19

Treasury9.81


16.76

Bank Loan5.29

Investment Grade7.46

MBS1.51

EMD (Hard Currency)

10.19

Global AggEx-U.S.10.51

MBS0.99

EMD (Hard Currency)

14.42

MBS3.47

EMD (Corp. Bonds)13.08

EMD (Hard Currency)

8.46

High Yield15.58

EMD (Corp. Bonds)-0.60

MBS6.08

EMD (Corp. Bonds)

1.30

Bank Loan10.16

EMD (Hard Currency)

9.32

Treasury0.86

High Yield14.41

InvestmentGrade1.42

EMD (Hard Currency)

12.04



MBS-1.41

EMD (Hard Currency)

5.53

EMD (Hard Currency)

1.23


9.94

EMD (Corp. Bonds)

7.96

Bank Loan0.44


13.47

Global AggEx-U.S.

-0.69

Bank Loan10.13

MBS6.23


InvestmentGrade-1.53

Treasury5.05

Treasury0.84

EMD (Corp. Bonds)

9.65

High Yield7.48



Municipal-1.88

InvestmentGrade9.00

High Yield4.38

Bank Loan9.66

Municipal-2.55

EMD (Corp. Bonds)

4.96



InvestmentGrade6.42

Global AggEx-U.S.

-2.15

Bank Loan8.64


Treasury5.87

Global AggEx-U.S.

4.36

Municipal6.78

Treasury-2.75

High Yield2.50

Bank Loan-0.69

MBS1.67

Municipal5.45

High Yield-2.26

Municipal7.54

Bank Loan-9.13

MBS5.37

EMD (Corp. Bonds)

2.31

Global AggEx-U.S.

4.09

Global AggEx-U.S.

-3.08

Bank Loan1.60

High Yield-4.64

Global AggEx-U.S.

1.49

Bank Loan4.12


Treasury6.86

EMD (Hard Currency)

-9.81Global Agg

Ex-U.S.4.95

Bank Loan1.52

MBS2.59

EMD (Hard Currency)

-6.58

Global AggEx-U.S.

-3.08

Global AggEx-U.S.

-6.02

Treasury1.04

MBS2.47

EMD (Hard Currency)

-4.61

MBS6.35

High Yield-9.82

Municipal2.38


-1.75

Treasury1.99


-8.98


-5.72


-14.92

Municipal0.25

Treasury2.31


-6.21

Global AggEx-U.S.

5.09


-11.89

Higher

Lower


Equities

Source: Morningstar as of 4/30/20. 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

11.24 13.21 14.80

13.35 14.36 15.66

12.34 13.74 14.89

1-Month Returns

Value Core Growth

-11.01 0.09 10.84

-16.74 -10.00 0.23

-23.84 -16.39 -9.22

1-Year Returns

Value Core Growth

1.42 8.68 15.69

-2.02 3.46 11.28

-6.06 -0.82 4.21

Global10.71

U.S.12.82

International6.46

EmergingMarkets

9.16

Global-4.96

U.S.0.86

International-11.34

EmergingMarkets-12.00

Global4.46

U.S.9.04

International-0.58

EmergingMarkets

0.57

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 4/30/20. 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 analysisEquities

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

'15 '16 '17 '18 '19 '20

Historical Yields

S&P 500

MSCI EAFE

MSCI EM

MSCI World0.6

2.02.5 2.7

3.6

0.0%

1.0%

2.0%

3.0%

4.0%

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

Current Yields

0.0

10.0

20.0

30.0

40.0

50.0

60.0

'15 '16 '17 '18 '19 '20

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

Correlation of S&P 500 Stocks

Average Average


Equities

15.1

20.8

17.5

13.6 14.4 15.113.3

11.2

13.112.8

20.4

34.3

25.2

16.918.5 17.7

16.0

13.0

16.214.4

10.3

13.911.8

9.3 10.011.0

9.4 8.7 8.710.5

20.4

34.3

25.2

16.918.5

16.8 15.4

12.9

16.114.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

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

S&P 500 Russell 2000 Russell 1000 Growth

Russell 1000 Value MSCI World MSCI World ex

USA Small Cap MSCI EAFE MSCI EM MSCI Europe MSCI ACAsia Pac

High Date 4/20 4/20 4/20 4/20 4/20 5/15 5/15 1/18 3/15 5/15

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

CurrentAverage

Low

17

Valuation analysis

Source: FactSet as of 4/30/20. 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

14.917.6 17.5

20.3

12.2 14.5 15.3 15.4 14.7 15.8

20.3

33.4

21.0

76.9

14.917.7

22.7 22.0 19.6 21.1

10.0 12.0 12.5

-50.7 *Not to scale

8.5 9.9 10.5 10.5 8.311.1

20.3

33.4

19.4

-50.7

14.216.4

22.7 22.019.6 17.5

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

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

18

Valuation analysis

Communication Services

Consumer Discretionary

Consumer Staples Energy Financials Health Care Industrials Information

Technology Materials Utilities

High Date 4/20 4/20 6/16 4/16 11/17 2/15 4/20 4/20 4/20 1/20

Low Date 5/18 9/11 6/10 4/20 9/11 8/10 9/11 9/11 9/11 6/10

Source: FactSet as of 4/30/20. 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

CurrentAverage

Low


Equities

Source: FactSet as of 4/30/20. 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. 2018 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

0.5 0.4

-3.5 -7.7

-17.1 -17.3 -17.8-24.8 -28.0

-41.4

-5.5 -3.15.9

2.0 -0.3 -2.0 0.5 1.9-3.8

-6.6

-45.0

-35.0

-25.0

-15.0

-5.0

5.0

MSCI Asia Pac MSCI EM Russell 1000Growth

MSCI World ex USASmall Cap

MSCI World MSCI EAFE S&P 500 MSCI Europe Russell 1000 Value Russell 2000

Regions/Styles Expected EPS Growth2019 EPS Growth

2.8 1.8 0.1-0.3 -2.2

-9.4-16.4

-33.0 -35.9 -40.2 -115*Not to scale

1.49.2

0.710.0

4.55.9

-25.4

3.5 -0.1-4.1

-30.9

-45.0

-35.0

-25.0

-15.0

-5.0

5.0

15.0

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

S&P 500 Sectors Expected EPS Growth2019 EPS Growth


Equities

Source: FactSet as of 4/30/20. Data provided is for informational use only. See end of report for important additional information.

20

S&P 500 Index: 1-month return analysis

12.811.6 11.7

10.513.3

15.7

0.0%

5.0%

10.0%

15.0%

20.0%

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

Dividend Yield

12.8 12.3 12.3

16.0

9.7

14.8

0.0%

5.0%

10.0%

15.0%

20.0%

S&P 500 29.7+ 18.3-29.7 11.4-18.2 7.1-11.2 <7.4

Return On Equity

12.8 13.511.3

15.7

0.0%

5.0%

10.0%

15.0%

20.0%

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

Market Cap

12.8

16.713.9 13.4

11.5 12.2

0.0%

5.0%

10.0%

15.0%

20.0%

S&P 500 1.5+ 1.1-1.5 0.9-1.1 0.7-0.9 <0.7

Beta

12.815.2

12.5 12.810.6

12.5

0.0%

5.0%

10.0%

15.0%

20.0%

S&P 500 30.8+ 21.7-30.8 15.2-21.6 9.8-15.2 <9.8

Trailing 12 Month P/E

12.816.0

13.7

10.49.4

13.0

0.0%

5.0%

10.0%

15.0%

20.0%

S&P 500 11.8+ 9.1-11.8 6.5-9.1 4.1-6.4 <4.1

3-5 Year Earnings Growth


Equities

Source: FactSet as of 4/30/20. Data provided is for informational use only. See end of report for important additional information.

21

S&P 500 Index: YTD analysis

-9.3

-20.8-15.8

-14.2

-4.0

0.7

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

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

Dividend Yield

-9.3

-4.0 -4.5 -4.9

-18.7-21.4-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

S&P 500 29.7+ 18.3-29.7 11.4-18.2 7.1-11.4 <7.1

Return On Equity

-9.3

-4.3

-14.9

-22.6-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

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

Market Cap

-9.3

-24.1

-15.8

-3.1

-10.1-5.5

-30.0%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

S&P 500 1.8+ 1.4-1.8 0.9-1.4 0.4-0.9 <0.4

Beta

-9.3

2.4

-2.7

-9.6-13.8

-24.3-30.0%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

S&P 500 38.3+ 26.1-38.0 20.3-26.1 13.7-20.3 <13.6

Trailing 12 Month P/E

-9.3

1.6

-7.1

-15.9-13.3

-16.9

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

S&P 500 13.0+ 9.9-12.9 7.5-9.9 4.8-7.4 <4.8

3-5 Year Earnings Growth


Equities

Source: Morningstar as of 4/30/20. Data provided is for informational use only. See end of report for important additional information.

22

Index sectors: return analysis

-40.00

-30.00

-20.00

-10.00

0.00

10.00

20.00

30.00

Ret

urn

%

S&P 500 1 monthYTD1 year

1 monthYTD1 year

-40.00

-30.00

-20.00

-10.00

0.00

10.00

20.00

Ret

urn

%

MSCI World


Equities

Communication Services9%

Discretionary11%

Staples9%

Energy4%

Financials13%

Health Care15%

Industrials10%

Information Technology19%

Materials4%

Real Estate3%

Utilities3%

MSCI WorldSource: FactSet as of 4/30/20. 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 533 766 1640 2529 915 1404 437 1585Maximum Market Cap $1,367.16B $11.78B $1,354.14B $366.14B $1,305.43B $7.92B $314.20B $352.17B $314.20B $352.17B Minimum Market Cap $1.24B $0.00B $0.06B $0.07B $0.75B $0.03B $1.00B $0.08B $1.11B $0.08B Dividend Yield 2.00 1.70 1.14 3.03 2.52 3.06 3.58 2.71 3.86 2.68NTM PE 20.37 34.31 25.24 16.92 18.50 16.77 15.44 12.91 16.09 14.01Price to Book 3.12 1.68 8.00 1.67 2.21 1.23 1.40 1.48 1.55 1.37Price to Cash Flow 11.78 10.08 18.76 7.98 10.19 8.59 8.17 7.19 8.21 7.96Price to Sales 2.07 0.95 3.47 1.30 1.53 0.81 0.98 1.13 0.99 1.05Est 3-5 Yr EPS Growth 9.36 11.22 12.74 6.01 8.46 11.83 5.61 12.70 7.42 8.225Yr. Div Growth Rate 7.25 7.50 6.22 6.55 6.34 7.49 4.85 5.35 4.27 6.26

Communication Services11%

Discretionary10%

Staples7%

Energy3%

Financials11%Health Care

15%

Industrials8%

Information Technology26%

Materials3%

Real Estate3%

Utilities3%

S&P 500


Equities

Source: Morningstar as of 4/30/20. 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.

24

Asset class return analysis (%)1-Mo. 3-Mo. YTD 1Y 3Y 5Y 10Y 2019 2018 2017 2016 2015

S&P 500 12.82 -9.26 -9.29 0.86 9.04 9.12 11.69 31.49 -4.38 21.83 11.96 1.38Russell 1000 Defensive 11.14 -8.81 -7.79 2.51 10.78 10.12 12.29 30.47 -0.04 20.64 10.04 2.54Russell 1000 Dynamic 15.44 -10.74 -11.54 -2.41 6.54 7.24 10.71 32.35 -9.48 22.74 13.71 -0.71Russell 2500 14.55 -17.83 -19.50 -14.20 1.13 3.62 8.70 27.77 -10.00 16.81 17.59 -2.90Russell 1000 Growth 14.80 -3.54 -1.39 10.84 15.69 13.34 14.41 36.39 -1.51 30.21 7.08 5.67Russell 1000 Value 11.24 -16.70 -18.49 -11.01 1.42 3.90 8.54 26.54 -8.27 13.66 17.34 -3.83Russell Mid Cap 14.36 -15.92 -16.60 -10.00 3.46 4.81 9.83 30.54 -9.06 18.52 13.80 -2.44Russell 2000 13.74 -18.47 -21.08 -16.39 -0.82 2.88 7.69 25.52 -11.01 14.65 21.31 -4.41CBOE S&P 500 Buywrite BXM 4.64 -17.68 -18.61 -13.18 -1.17 2.05 4.78 15.68 -4.77 13.00 7.07 5.24

MSCI World 10.92 -11.89 -12.43 -4.00 4.99 4.92 7.68 27.67 -8.71 22.40 7.51 -0.87MSCI EAFE 6.46 -16.09 -17.84 -11.34 -0.58 -0.17 3.55 22.01 -13.79 25.03 1.00 -0.81MSCI EM 9.16 -12.52 -16.60 -12.00 0.57 -0.10 1.45 18.42 -14.57 37.28 11.19 -14.92MSCI AC Asia Pac 8.17 -10.13 -12.69 -6.48 2.28 1.74 4.18 19.36 -13.52 31.67 4.89 -1.96MSCI ACWI 10.71 -11.97 -12.94 -4.96 4.46 4.37 6.94 26.60 -9.41 23.97 7.86 -2.36MSCI Europe 5.93 -17.78 -19.84 -13.58 -1.59 -1.01 3.34 23.77 -14.86 25.51 -0.40 -2.84MSCI World Small Cap 13.44 -18.40 -20.66 -14.62 -0.49 2.43 6.83 26.19 -13.86 22.66 12.71 -0.31MSCI World Ex USA Small Cap 11.70 -17.62 -20.01 -11.97 -1.13 1.62 4.90 25.41 -18.07 31.04 4.32 5.46FTSE 100 5.69 -21.65 -24.66 -19.83 -3.30 -3.18 2.51 17.32 -8.73 11.95 -0.17 -6.72FTSE All Small 12.16 -23.75 -24.64 -17.84 -3.44 -0.89 5.62 17.90 -9.40 18.55 -4.02 3.46STOXX Europe 600 6.31 -17.52 -19.53 -12.84 -1.39 -0.75 3.66 24.53 -15.05 25.89 -1.22 -1.61Nikkei 225 Average 7.77 -11.09 -12.55 -3.81 4.84 4.63 6.55 20.20 -10.66 20.88 5.18 10.24

S&P 500 Comm. Services 13.82 -6.34 -5.48 3.30 5.27 5.17 9.53 32.69 -12.53 -1.25 23.49 3.40S&P 500 Cons Disc 20.55 -3.32 -2.71 1.75 11.58 11.46 15.02 27.94 0.83 22.98 6.03 10.11S&P 500 Cons Staples 6.86 -7.09 -6.76 3.62 4.81 6.76 10.87 27.61 -8.38 13.49 5.38 6.60S&P 500 Energy 29.78 -27.70 -35.70 -38.29 -13.68 -10.78 -1.63 11.81 -18.10 -1.01 27.36 -21.12S&P 500 Financials 9.58 -23.42 -25.40 -16.71 1.00 5.24 7.72 32.13 -13.03 22.18 22.80 -1.53S&P 500 Health Care 12.65 1.12 -1.63 14.52 11.97 8.86 14.63 20.82 6.47 22.08 -2.69 6.89S&P 500 Industrials 8.73 -20.32 -20.68 -15.90 0.40 4.71 9.05 29.37 -13.29 21.03 18.86 -2.53S&P 500 Info Tech 13.80 -3.60 0.22 18.07 21.79 19.56 17.09 50.29 -0.29 38.83 13.85 5.92S&P 500 Materials 15.31 -9.22 -14.83 -7.18 1.46 2.85 7.04 24.58 -14.70 23.84 16.69 -8.38S&P 500 Real Estate 9.48 -12.80 -11.56 -2.46 6.06 6.29 10.26 29.01 -2.22 10.85 3.39 4.68S&P 500 Utilities 3.22 -16.29 -10.72 0.83 7.08 9.06 10.65 26.35 4.11 12.11 16.29 -4.85

U.S. Equities

Global Equities

Sectors


Equities

Source: Morningstar as of 4/30/20. 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

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD 4/20

Small-Cap26.85

Growth 2.64

Emerging Markets 18.22

Small-Cap38.82

S&P 50013.69

Growth5.67

Small-Cap21.31

EmergingMarkets37.28

Growth-1.51

Growth36.39

Growth-1.39

Mid-Cap 25.48

S&P 5002.11

Value 17.51

Mid-Cap 34.76

Value13.45

InternationalSmall-Cap

5.46

Value17.34


31.04

S&P 500-4.38

S&P 50031.49

S&P 500-9.29


24.51

Value 0.39


17.48

Growth 33.48

Mid-Cap13.22

S&P 5001.38

Mid-Cap13.80

Growth30.21

Value-8.27

Mid-Cap30.54

Global-12.94

Emerging Markets 18.88

Mid-Cap -1.55

International 17.32

Value 32.53

Growth13.05

International-0.81

S&P 50011.96

International25.03

Mid-Cap-9.06

Global26.60

Mid-Cap-16.60

Growth 16.71

Small-Cap-4.18

Mid-Cap 17.28

S&P 50032.39

Small-Cap4.89

Global-2.36


Global23.97

Global-9.42

Value26.54


Value 15.51

Global-7.35

Small-Cap16.35


25.55

Global4.16

Mid-Cap-2.44

Global7.86

S&P 50021.83

Small-Cap-11.01

Small-Cap25.52

International-17.84

S&P 50015.06

International -12.14

Global16.13

Global22.80

EmergingMarkets

-2.19

Value-3.83

Growth7.08

Mid-Cap18.52

International-13.79


25.41

Value-18.49

Global12.67


-15.81

S&P 50016.00

International 22.78

International -4.90

Small-Cap-4.41


4.32

Small-Cap14.65


International22.01


-20.01

International 7.75

Emerging Markets -18.42

Growth 15.26

Emerging Markets

-2.60


-5.34


International1.00

Value13.66


-18.07


Small-Cap-21.08

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) - - - - - 0.18 2.48 2.32 -0.19 0.46 0.14Euro (EUR) * -0.18 -2.42 -2.27 0.19 -0.45 - - - - - -0.62British Pound (GBP) 1.73 -4.79 -3.24 -0.84 -3.87 1.91 -2.42 -1.00 -1.03 -3.43 0.08Japanese Yen (JPY) 0.95 1.63 4.15 1.39 2.28 1.13 4.15 6.57 1.20 2.74 -0.18Australian Dollar (AUD) 6.97 -6.86 -6.98 -4.34 -3.66 7.16 -4.55 -4.83 -4.52 -3.22 0.21Canadian Dollar (CAD) 2.48 -6.64 -3.15 -0.52 -2.70 2.66 -4.32 -0.90 -0.71 -2.26 0.34New Zealand Dollar (NZD) 4.07 -8.55 -7.49 -3.50 -4.12 4.25 -6.28 -5.34 -3.69 -3.68 0.11Norwegian Krone (NOK) 2.75 -14.01 -15.38 -5.71 -5.91 2.94 -11.88 -13.42 -5.89 -5.48 0.29Swedish Krona (SEK) 1.44 -4.16 -2.67 -3.22 -3.09 1.62 -1.78 -0.41 -3.40 -2.64 -0.25Danish Krone (DKK) -0.14 -2.26 -2.19 0.09 -0.45 0.03 0.17 0.08 -0.10 0.01 -0.51Swiss Franc (CHF) 0.25 0.33 5.58 1.04 -0.59 0.43 2.82 8.03 0.84 -0.14 -0.61

* German Rate. Source: Factset, Bloomberg as of 4/30/20. 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 4/30/20. 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



Asia, excluding Japan

Chinese Renminbi (CNY) 0.58 -1.23 -4.47 -0.74 -2.53 0.76 1.23 -2.26 -0.93 -2.09 1.12

Malaysian Ringgit (MYR) 0.47 -4.87 -3.85 0.32 -3.70 0.64 -2.51 -1.62 0.12 -3.26 2.34

Indian Rupee (INR) 0.74 -4.95 -7.38 -5.03 -3.29 0.92 -2.59 -5.23 -5.21 -2.85 4.08

Indonesian Rupiah (IDR) 9.65 -6.67 -4.20 -3.59 -2.71 9.84 -4.35 -1.98 -3.78 -2.27 5.71

Philippine Peso (PHP) 0.89 0.47 3.38 -0.30 -2.45 1.07 2.96 5.77 -0.49 -2.00 2.58

Singapore Dollar (SGD) 1.15 -4.48 -3.30 -0.24 -1.21 1.33 -2.11 -1.06 -0.43 -0.76 0.45

South Korean Won (KRW) -0.09 -5.09 -4.13 -2.25 -2.53 0.09 -2.73 -1.90 -2.44 -2.08 0.81

Taiwanese Dollar (TWD) 1.70 0.81 3.92 0.48 0.59 1.88 3.31 6.33 0.29 1.05 0.32

Thai Baht (THB) 1.43 -7.42 -1.33 2.25 0.37 1.61 -5.12 0.96 2.05 0.83 0.64

Latin America

Brazilian Real (BRL) -4.19 -25.69 -27.03 -16.08 -11.14 -4.02 -23.84 -25.33 -16.25 -10.73 2.93

Chilean Peso (CLP) 1.96 -10.05 -18.70 -7.26 -6.06 2.14 -7.82 -16.81 -7.44 -5.63 0.47

Colombian Peso (COP) 3.58 -16.28 -17.45 -9.01 -9.35 3.77 -14.20 -15.54 -9.18 -8.93 3.55

Mexican Peso (MXN) -1.47 -20.69 -20.11 -7.28 -8.39 -1.30 -18.72 -18.25 -7.46 -7.97 5.33

Peruvian New Sol (PEN) 1.86 -1.92 -1.93 -1.31 -1.53 2.04 0.52 0.34 -1.50 -1.08 0.60

Emerging market currency performance and yields

Alternatives


Source: Factset, Bloomberg as of 4/30/20. 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



Europe

Czech Koruna (CZK) 1.19 -8.25 -7.26 -0.04 -0.16 1.37 -5.97 -5.11 -0.23 0.30 0.75

Hungarian Forint (HUF) 2.45 -8.18 -9.94 -3.61 -3.35 2.63 -5.90 -7.85 -3.79 -2.91 1.09

Polish Zloty (PLN) 0.30 -8.54 -7.56 -2.14 -2.71 0.48 -6.27 -5.42 -2.33 -2.27 0.50

Romanian Leu (RON) -0.09 -3.27 -3.64 -1.87 -2.21 0.09 -0.86 -1.40 -2.06 -1.76 3.06

Russian Ruble (RUB) 5.66 -16.01 -12.67 -8.32 -6.95 5.85 -13.92 -10.65 -8.49 -6.52 5.52

Turkish New Lira (TRY) -5.71 -14.86 -14.59 -20.19 -17.48 -5.54 -12.74 -12.61 -20.34 -17.10 8.47

Middle East and Africa

Ghanaian Cedi (GHS) -1.38 -1.72 -11.25 -10.27 -7.87 -1.20 0.72 -9.19 -10.45 -7.45 17.90

Israeli Shekel (ILS) 1.92 -0.49 3.75 1.41 2.17 2.10 1.98 6.15 1.21 2.63 0.06

Kenyan Shilling (KES) -2.05 -5.50 -5.78 -1.32 -2.46 -1.88 -3.15 -3.60 -1.51 -2.02 9.12

Moroccan Dirham (MAD) 3.01 -3.00 -2.07 0.24 -0.30 3.19 -0.59 0.20 0.05 0.15 2.25

Nigerian Naira (NGN) -0.65 -5.49 -6.38 -7.33 -12.32 -0.47 -3.14 -4.21 -7.51 -11.92 3.84

South African Rand (ZAR) -2.75 -23.86 -21.94 -10.01 -8.23 -2.58 -21.97 -20.13 -10.18 -7.81 4.66

Ugandan Shilling (UGX) -0.36 -3.51 -1.15 -1.32 -4.67 -0.18 -1.12 1.15 -1.51 -4.23 12.98

Zambian Kwacha (ZMK) -2.11 -24.34 -31.65 -20.58 -16.72 -1.93 -22.47 -30.06 -20.74 -16.33 29.25

Alternatives


* German Rate. Source: Bloomberg as of 4/30/20. Data provided is for informational use only. See end of report for important additional information.

29

0.34

0.29

0.21

0.14

0.11

0.08

-0.18

-0.25

-0.51

-0.61

-0.62

1.71

1.24

1.41

2.37

1.44

0.77

-0.16

-0.57

-0.67

-0.74

-0.53

-5.00 0.00 5.00 10.00

Canadian Dollar (CAD)

Norwegian Krone (NOK)

Australian Dollar (AUD)

U.S. Dollar (USD)

New Zealand Dollar (NZD)

British Pound (GBP)

Japanese Yen (JPY)

Swedish Krona (SEK)

Danish Krone (DKK)

Swiss Franc (CHF)

Euro (EUR) *

Developed Market Local Interest Rates % (1 Year)

8.47

5.71

5.52

5.33

4.66

3.84

3.55

2.93

2.58

2.34

1.09

0.64

0.60

0.50

0.47

23.95

6.86

8.35

8.20

7.80

12.77

4.58

6.55

5.98

3.35

0.20

1.80

2.70

1.57

3.27

-5.00 5.00 15.00 25.00 35.00

Turkish New Lira (TRY)

Indonesian Rupiah (IDR)

Russian Ruble (RUB)

Mexican Peso (MXN)

South African Rand (ZAR)

Nigerian Naira (NGN)

Colombian Peso (COP)

Brazilian Real (BRL)

Philippine Peso (PHP)

Malaysian Ringgit (MYR)

Hungarian Forint (HUF)

Thai Baht (THB)

Peruvian New Sol (PEN)

Polish Zloty (PLN)

Chilean Peso (CLP)

Emerging Market Local Interest Rates % (1 Year)

April ’19April ‘20

April ’19April ‘20

Local sovereign currency yields

Alternatives


Source: Bloomberg, Morningstar as of 4/30/20. 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 -1.54 -18.48 -24.47 -23.18 -8.62 -9.07

Bloomberg Sub Agriculture -5.67 -10.19 -14.97 -7.59 -10.53 -8.20

Coffee -11.87 0.74 -20.16 2.84 -16.33 -14.04

Corn -7.60 -18.30 -19.56 -18.18 -13.91 -12.04

Cotton 11.56 -16.09 -17.86 -26.60 -9.44 -4.01

Soybean -4.30 -3.94 -12.17 -6.44 -8.79 -5.97

Soybean Oil -2.81 -13.21 -25.17 -9.13 -9.27 -7.25

Sugar -1.24 -27.55 -21.02 -22.10 -18.80 -10.73

Wheat -7.85 -5.23 -5.95 21.35 -2.39 -7.36

Bloomberg Sub Energy -3.46 -44.61 -52.79 -56.36 -19.95 -21.41

Brent Crude -10.71 -55.31 -60.94 -60.65 -16.79 -20.00

Heating Oil -18.33 -49.55 -59.20 -59.60 -16.82 -19.34

Natural Gas 12.81 -4.22 -18.18 -41.26 -26.89 -24.93

Unleaded Gas 16.38 -58.02 -62.87 -61.88 -21.02 -20.54

WTI Crude Oil -24.00 -70.05 -74.56 -75.35 -31.28 -30.20

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

Bloomberg Sub Industrial Metals 2.29 -10.01 -16.59 -18.13 -3.67 -4.40

Aluminum -2.99 -14.74 -19.29 -19.45 -8.93 -7.04

Copper 4.64 -7.49 -16.64 -19.24 -4.10 -5.04

Nickel 5.86 -5.54 -13.59 0.36 8.63 -3.38

Zinc 1.54 -12.38 -14.96 -28.58 -5.47 -1.97

Bloomberg Sub Precious Metals 5.90 1.46 4.73 23.61 5.93 4.60

Gold 6.13 6.69 10.92 30.74 9.34 6.69

Platinum 11.40 -15.58 -16.84 -9.38 -5.36 -6.94

Silver 4.84 -17.84 -17.32 -1.95 -5.90 -2.88

Bloomberg Sub Livestock -5.13 -23.43 -31.82 -37.31 -14.60 -10.97

Lean Hogs -2.27 -20.81 -38.19 -53.17 -21.17 -16.73

Live Cattle -6.64 -23.61 -27.74 -25.77 -11.41 -7.82

Commodities return analysis (%)

Alternatives


Source: Morningstar as of 3/31/2020. *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 (%)2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD 3/20

MLP35.85

MLP13.88

Private Equity14.19

MLP27.58

Managed Futures18.37

Private Equity5.66

MLP18.31

Private Equity17.52

Private Equity10.61

Long/Short Equity12.17

Managed Futures 0.03

Private Equity20.73

Private Equity11.34

Multi-Strategy11.19

Private Equity21.32

Private Equity11.13

Multi-Strategy3.84

Private Equity13.00


Fixed Income Arbitrage

1.10

Global Macro10.38

Equity Market Neutral

-5.26

Commodity16.83

Global Macro6.44


11.04


Multi-Strategy6.09


Commodity11.77

Currency11.54

Global Macro-0.11


ConvertibleArbitrage

-5.31

Global Macro13.47


4.69

Event Driven10.63

Event Driven15.47



1.69

Convertible Arbitrage

6.60


8.45

Multi-Strategy-1.05

Event Driven8.22


-5.76

Event Driven12.63


4.49


Multi-Strategy11.23

MLP4.80


0.81

Multi-Strategy4.41

Multi-Strategy6.83


-2.26


8.15

Multi-Strategy-6.48


12.51

Multi-Strategy1.83


7.82


9.27


4.37


0.59

Fixed IncomeArbitrage

4.29


6.52

Currency-3.33

Commodity7.69

Global Macro-8.09

Managed Futures12.22


1.13

Currency7.45


6.03

Global Macro3.11

Global Macro0.18

Global Macro3.58

Event Driven6.30

Event Driven-3.95

Multi-Strategy7.25

Currency-8.48


10.95

Managed Futures-4.19

MLP4.80

Global Macro4.32

Event Driven1.57

Managed Futures -0.93

Currency3.54


5.01

Long/Short Equity-4.62

MLP6.56


Multi-Strategy9.29

Currency-5.19

Global Macro4.58


3.80


-1.19

Event Driven-6.29

Event Driven2.68



-5.00


6.10

Event Driven-15.84




0.85

Currency-2.04


-1.68

Currency-7.61


Global Macro2.14


Currency5.20

Commodity-23.29

Currency5.68

Event Driven-9.09

Commodity-1.06


Currency-7.03

Commodity-24.66


-4.58

Commodity1.70

Commodity-11.25


1.58

MLP-57.19


-0.85

Commodity-13.32


Commodity-9.52

Commodity-17.01

MLP-32.59


MLP-6.52

MLP-12.42

Private Equity--

Private Equity--

Higher

Lower


Asset Allocation Ideas

Source: Factset as of 4/30/20. Data provided is for informational use only. See end of report for important additional information.

32

Equity yields around the globe

United States 2.01%

Canada3.71%

Australia5.05%

China1.99%

Russia7.01%

Brazil4.00%

Mexico3.97%

South Africa3.29%

India1.42%

Korea2.52%

Japan2.69%

Sweden0.83%

Spain4.96%

France1.90%

United Kingdom4.43%

Germany1.84%

Italy3.10%



China19%

United States15%

India8%

Japan4%

Germany3%

Rest of World51%

GDP % of World Total

Source: World Economic Outlook Database, April 2020; 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 States45%

China9%

Japan8%

Hong Kong6%

France3%

Rest of World29%

Market Capitalization % of World Total



International Small Cap

International Large Cap

Emerging Markets

0.00

2.00

4.00

6.00

0.00 5.00 10.00 15.00 20.00 25.00

Ret

urn

%

Risk

Annualized Risk/Return over 10 years

34

International small cap stocks may offer attractive diversification benefits

Source: Morningstar, FactSet as of 4/30/2020. 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 4.90 61.31 16.69 0.33

International Large Cap 3.55 41.73 15.47 0.26

Emerging Markets 1.45 15.47 17.98 0.14



35

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

Aggregate

TreasuryAgencyMBS

Investment Grade CorpMunicipal

High-Yield Corp

Floating-Rate Loan

EM Sovereign (USD)

0%

2%

4%

6%

8%

10%

0 2 4 6 8 10

Yield/Duration

1.00 0.960.88

0.82

0.61

0.46

0.06

-0.27

-0.39

-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 4/30/20. Data provided is for informational use only. See end of report for important additional information. Agency represented by Bloomberg Barclays U.S. Agency Index. Aggregate represented by Bloomberg Barclays 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 Barclays U.S. Corp. Investment Grade Index. MBS represented by Bloomberg Barclays U.S. Mortgage Backed Securities Index. Municipal represented by Bloomberg Barclays Municipal Bond Index. Treasury represented by Bloomberg Barclays U.S. Treasury Index. Past performance is no guarantee of future results.



Source: Factset, Morningstar as of 4/30/20. 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 Barclays U.S. Treasury Index. Agency represented by Bloomberg Barclays U.S. Agency Index. Aggregate represented by Bloomberg Barclays U.S. Aggregate Index. . Investment Grade Corp. represented by Bloomberg Barclays U.S. Corp. Investment Grade Index. MBS represented by Bloomberg Barclays U.S. Mortgage Backed Securities Index. Municipal represented by Bloomberg Barclays 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

0.65

0.50

0.320.30

0.000.00

0.25

0.50

0.75

1.00

Municipal InvestmentGrade Corp

Treasury High YieldCorp

Floating-RateLoan

S&P 500

5-Year Correlation with Municipals

0.51% 0.67%1.00%

1.31%

2.67%

2.25%

3.80%

0%

1%

2%

3%

4%

5%

Treasury Agency MBS Aggregate InvestmentGrade Corp

Municipal

Tax-Equivalent Yield



U.S. Stocks30%

Intl Stocks15%Bonds

30%

Alts25%

Portfolio 2

U.S.Stocks40%

Intl Stocks20%

Bonds40%

Asset Allocation

Portfolio 1

Source: Zephyr as of 3/31/20. *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 Barclays 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 Barclays 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 Barclays 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 3/31/20 Return(%)

Standard Deviation (%)

Maximum Drawdown (%)

Hypothetical Portfolio 1 4.69 8.94 -34.06

Hypothetical Portfolio 2 5.19 7.31 -27.88

0.27

0.59

-0.05-0.25

0.00

0.25

0.50

0.75

1.00

Global Macro Multi-Strategy Managed Futures

20-Year Correlation with U.S. Stocks

0.29

0.05

0.30

-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 4/30/20. 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 Barclays Capital US Aggregate Bond Index. Municipal represented by Bloomberg Barclays 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 Barclays Capital US Aggregate Bond Index, 5% in the Bloomberg Barclays Municipal Bond Index, 5% in the Bloomberg Barclays 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 (%)

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD 4/20Small-Cap

26.85Municipal

10.70Emerging Markets

18.22Small-Cap

38.82S&P 500

13.69Municipal

3.30Small-Cap

21.31Emerging Markets

37.28Municipal

1.28S&P 500

31.49US Agg

4.98

Emerging Markets18.88

US Agg7.84

International17.32

S&P 50032.39

Municipal9.05

S&P 5001.38

High Yield17.49

International25.03

Bank Loan0.44

Small-Cap25.52

Municipal-1.88

Commodities16.83

High Yield4.38

Small-Cap16.35

International22.78

US Agg5.97

US Agg0.55

S&P 50011.96

S&P 50021.83

US Agg0.01

International22.01

Asset Allocation-8.93

High Yield15.19

S&P 5002.11

S&P 50016.00

Asset Allocation13.83

Small-Cap4.89

Bank Loan-0.69

Commodities11.77

Small-Cap14.65

High Yield-2.26


Bank Loan-9.13

S&P 50015.06

Bank Loan1.52

High Yield15.58

High Yield7.42


International-0.81



S&P 500-4.38


S&P 500-9.29




Bank Loan5.29

High Yield2.50


Bank Loan10.16

High Yield7.48


High Yield14.41

High Yield-9.82

Bank Loan10.13

Small-Cap-4.18

Bank Loan9.66

US Agg-2.02

Bank Loan1.60

Small-Cap-4.41


Municipal5.45

Small-Cap-11.01

US Agg8.72

Emerging Markets-16.60

International7.75

International-12.14

Municipal6.78

Municipal-2.55


High Yield-4.64

US Agg2.65

Bank Loan4.12

Commodities-11.25

Bank Loan8.64

International-17.84

US Agg6.54

Commodities-13.32

US Agg4.21


International-4.90


International1.00

US Agg3.54

International-13.79

Commodities7.69

Small-Cap-21.08

Municipal2.38


Commodities-1.06

Commodities-9.52

Commodities-17.01

Commodities-24.66

Municipal0.25

Commodities1.70


Municipal7.54

Commodities-24.47

Higher

Lower



Source: Morningstar as of 4/30/20. 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 0.87 0.77 0.91 -0.14 -0.09 0.77 0.67 0.55

International 0.88 1.00 0.85 0.76 -0.07 0.01 0.81 0.64 0.63

Emerging Markets 0.77 0.85 1.00 0.69 0.04 0.06 0.78 0.59 0.66

Small Cap 0.91 0.79 0.67 1.00 -0.20 -0.14 0.74 0.67 0.54

U.S. Aggregate -0.01 -0.02 0.11 -0.12 1.00 0.75 0.16 0.02 -0.11

Municipal 0.00 0.11 0.16 -0.05 0.71 1.00 0.21 0.14 -0.04

High Yield 0.77 0.80 0.76 0.77 0.18 0.32 1.00 0.86 0.65

Bank Loan 0.69 0.67 0.61 0.73 0.09 0.30 0.90 1.00 0.49

Commodities 0.46 0.50 0.61 0.52 -0.13 0.09 0.65 0.58 1.00

5 Years ended April 30, 2020 10 Years ended April 30, 2020



Source: Morningstar as of 3/31/20. 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 9,958 28,924 35,201Large Blend 5,977 3,787 10,224Short Government 3,936 2,963 3,307Small Value 921 (739) (5,100)Miscellaneous Region 498 1,487 1,465Equity Energy 354 118 (1,572)Foreign Large Value 299 (2,199) (15,158)Foreign Small/Mid Value 136 158 (1,532)Allocation--85%+ Equity 79 (429) (4,182)Trading--Inverse Equity 69 76 83

Bottom 10 Open-End Mutual Fund Categories by Monthly Flows ($MM)1 Mo. 3 Mo. 12 Mo.

Bank Loan (11,393) (12,325) (38,801)High Yield Muni (11,560) (7,226) 6,206Nontraditional Bond (12,779) (13,992) (21,205)World Bond-USD Hedged (14,591) (15,332) (2,701)Large Growth (15,785) (34,266) (96,405)Short-Term Bond (18,922) (9,900) 13,769Multisector Bond (20,658) (14,006) 7,431Intermediate Core-Plus Bond (29,027) (9,670) 39,343Ultrashort Bond (32,448) (23,226) (2,943)Intermediate Core Bond (44,138) (37,443) 44,182

Bottom 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)1 Mo. 3 Mo. 12 Mo.

Volatility (2,089) (3,517) (1,336)Financial (2,171) (4,523) (7,001)Emerging Markets Bond (2,284) (1,764) (3,168)Inflation-Protected Bond (3,206) (2,585) (529)Europe Stock (3,684) (3,222) (6,605)Short-Term Bond (3,936) (2,444) 4,203Intermediate Government (3,975) 2,780 21,485Diversified Emerging Mkts (5,193) (4,386) (6,203)Long Government (6,484) (1,584) 9,871Intermediate Core Bond (12,144) (3,639) 18,640

Top 10 Exchange-Traded Fund Categories by Monthly Flows ($MM)1 Mo. 3 Mo. 12 Mo.

Large Blend 21,768 24,447 103,231Short Government 8,464 8,957 6,963Large Growth 6,243 9,720 18,100Trading--Leveraged Equity 5,324 7,377 1,888Corporate Bond 5,254 6,327 13,248Ultrashort Bond 3,732 8,786 19,905Large Value 3,517 3,060 28,049Commodities Precious Metals 3,348 6,782 17,295World Large Stock 2,969 2,217 2,565Small Blend 2,662 1,593 7,163


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 Barclays Global Aggregate Ex-USD Index is a broad-based measure of global Investment Grade fixed-rate debt investments, excluding USD-denominated debtBloomberg Barclays High Yield Municipal Bond Index is an unmanaged index of non-Investment Grade Municipal bonds traded in the U.S. Bloomberg Barclays Municipal Bond Index is an unmanaged index of Municipal bonds traded in the U.S. Bloomberg Barclays Taxable Municipal Bond Index is an unmanaged index of Taxable Municipal bonds traded in the U.S. Bloomberg Barclays 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. governmentBloomberg Barclays U.S. Aggregate Index is an unmanaged index of domestic investment-grade bonds, including corporate, government and mortgage-backed securitiesBloomberg Barclays U.S. Asset Backed Securities (ABS) Index measures ABS with the following collateral type: credit and charge card, auto, and utility loansBloomberg Barclays U.S. CMBS Index measures the market of conduit and fusion CMBS deals with a minimum current deal size of $300mnBloomberg Barclays 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 IndexBloomberg Barclays U.S. Mortgage Backed Securities (MBS) Index measures agency mortgage-backed pass-through securities issued by GNMA, FNMA, and FHLMCBloomberg Barclays U.S. Treasury Index measures public debt instruments issued by the U.S. TreasuryBloomberg 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 optionsCBOE S&P 500 BuyWrite Index measures the performance of a hypothetical buy-write strategy on the S&P 500 IndexICE BofA US Inflation-Linked Treasury Index tracks the performance of USD denominated inflation linked sovereign debt publicly issued by the US governmentICE 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 UnionICE 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 liquidityFTSE All Small Index consists of all the companies in the FTSE SmallCapand FTSE Fledgling indicesFTSE 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 governmentsMorgan Stanley Capital International (MSCI) Emerging Markets Index is an unmanaged index of emerging markets common stocksMorgan 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 ThailandMorgan 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 marketMorgan Stanley Capital International (MSCI) World Index is an unmanaged index of equity securities in the developed marketsMorgan 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 marketsMorgan 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 ExchangeRussell 1000 Index is an unmanaged index of 1,000 U.S. large-cap stocksRussell 1000 Growth Index is an unmanaged index of 1,000 U.S. large-cap growth stocksRussell 1000 Value Index is an unmanaged index of 1,000 U.S. large-cap value stocksRussell 2000 Index is an unmanaged index of 2,000 U.S. small-cap stocksRussell 2500 Index is an unmanaged index of approximately 2,500 U.S. small- and mid-cap U.S. stocksRussell Midcap Index is an unmanaged index of U.S. mid-cap stocksStandard & Poor’s 500 Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performanceS&P/LSTA Leveraged Loan Index is an unmanaged index of the institutional leveraged loan marketSTOXX 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


About Eaton VanceEaton Vance provides advanced investment strategies and wealth management solutions to forward-thinking investors around the world. Through principal investment affiliates Eaton Vance Management, Parametric, Atlanta Capital, Hexavest and Calvert, the Company offers a diversity of investment approaches, encompassing bottom-up and top-down fundamental active management, Responsible Investing, systematic investing and customized implementation of client-specified portfolio exposures. Exemplary service, timely innovation and attractive returns across market cycles have been hallmarks of Eaton Vance since 1924.

This material is presented for informational and illustrative purposes only and should not be construed as investment advice, a recommendation to purchase or sell, or to adopt any particular investment strategy. This material has been prepared on the basis of publicly available information, internally developed data and other third party sources believed to be reliable. However, no assurances are provided and Eaton Vance has not sought to independently verify information taken from public and third party sources. Information contained in this material is current as of the date indicated and is subject to change at any time without notice. Future results may differ significantly from those stated, depending on factors such as changes in the financial markets or general economic conditions.

This material is for the benefit of persons whom Eaton Vance reasonably believes it is permitted to communicate to and should not be forwarded to any other person without the consent of Eaton Vance. It is not addressed to any other person and may not be used by them for any purpose whatsoever. It expresses no views as to the suitability of the investments described herein to the individual circumstances of any recipient or otherwise. It is the responsibility of every person reading this document to satisfy himself as to the full observance of the laws of any relevant country, including obtaining any governmental or other consent which may be required or observing any other formality which needs to be observed in that country. Unless otherwise stated, returns and market values contained herein are presented in US Dollars.

In the United Kingdom, this material is issued by Eaton Vance Management (International) Limited (“EVMI”), 125 Old Broad Street, London, EC2N 1AR, UK, and is authorised and regulated by the Financial Conduct Authority. EVMI markets the services of the following strategic affiliates: Parametric Portfolio Associates® LLC (“PPA”), an investment advisor registered with the SEC. Hexavest Inc. (“Hexavest”) is an investment advisor based in Montreal, Canada and registered with the SEC in the United States, and has a strategic partnership with Eaton Vance, and Calvert Research and Management (“CRM”) is an investment advisor registered with the SEC. This material is issued by EVMI and is for Professional Clients/Accredited Investors only.This material does not constitute an offer to sell or the solicitation of an offer to buy any services referred to expressly or impliedly in the material in the People's Republic of China (excluding Hong Kong, Macau and Taiwan, the "PRC") to any person to whom it is unlawful to make the offer or solicitation in the PRC.

The material may not be provided, sold, distributed or delivered, or provided or sold or distributed or delivered to any person for forwarding or resale or redelivery, in any such case directly or indirectly, in the People's Republic of China (the PRC, excluding Hong Kong, Macau and Taiwan) in contravention of any applicable laws.

Eaton Vance Asia Pacific Ltd. is a company incorporated in the Cayman Islands with its Japan branch registered as a financial instruments business operator in Japan (Registration Number: Director General of the Kanto Local Finance Bureau (Kinsho) No. 3068) and conducting the Investment Advisory and Agency Business as defined in Article 28(3) of the Financial Instruments and Exchange Act (as amended) (“FIEA”). Eaton Vance Asia Pacific Ltd. is acting as an intermediary to promote asset management capabilities of Eaton Vance Management (International) Limited and other Eaton Vance group affiliates to registered financial instruments business operators conducting the Investment Management Business, as defined in the FIEA. Eaton Vance Asia Pacific Ltd. is a member of JIAA Japan with registration number 01202838.

In Singapore, Eaton Vance Management International (Asia) Pte. Ltd. (“EVMIA”) holds a Capital Markets Licence under the Securities and Futures Act of Singapore (“SFA”) to conduct, among others, fund management, is an exempt Financial Adviser pursuant to the Financial Adviser Act Section 23(1)(d) and is regulated by the Monetary Authority of Singapore (“MAS”). Eaton Vance Management, Eaton Vance Management (International) Limited and Parametric Portfolio Associates® LLC holds an exemption under Paragraph 9, 3rd Schedule to the SFA in Singapore to conduct fund management activities under an arrangement with EVMIA and subject to certain conditions. None of the other Eaton Vance group entities or affiliates holds any licences, approvals or authorisations in Singapore to conduct any regulated or licensable activities and nothing in this material shall constitute or be construed as these entities or affiliates holding themselves out to be licensed, approved, authorised or regulated in Singapore, or offering or marketing their services or products.

In Australia, EVMI is exempt from the requirement to hold an Australian financial services license under the Corporations Act in respect of the provision of financial services to wholesale clients as defined in the Corporations Act 2001 (Cth) and as per the ASIC Corporations (Repeal and Transitional) Instrument 2016/396.

Important Additional Information and Disclosures


Important Additional Information and DisclosuresEVMI is registered as a Discretionary Investment Manager in South Korea pursuant to Article 18 of Financial Investment Services and Capital Markets Act of South Korea.

In Ireland, Eaton Vance Global Advisors Ltd ("EVGA") is registered in the Republic of Ireland with Registered Office at 70 Sir John Rogerson’s Quay, Dublin 2, Ireland. EVGA is regulated by the Central Bank of Irelandwith Company Number: 224763.

EVMI utilises a third-party organisation in the Middle East, Wise Capital (Middle East) Limited ("Wise Capital"), to promote the investment capabilities of Eaton Vance to institutional investors. For these services, WiseCapital is paid a fee based upon the assets that Eaton Vance provides investment advice to following these introductions.

In Germany, Eaton Vance Global Advisors Limited, Deutschland (“EVGAD”) is a branch office of Eaton Vance Global Advisors Limited ("EVGA"). EVGAD has been approved as a branch of EVGA by BaFin.

Eaton Vance Distributors, Inc. (“EVD”). Two International Place, Boston, MA 02110, (800) 225-6265. Member FINRA/ SIPC.

Eaton Vance Investment Counsel. Two International Place, Boston, MA 02110. Eaton Vance Investment Counsel is a wholly-owned subsidiary of EVC and is registered with the SEC as an investment adviser under theAdvisers Act.

Investing entails risks and there can be no assurance that Eaton Vance, or its affiliates, will achieve profits or avoid incurring losses. It is not possible to invest directly in an index. Past performance isnot a reliable indicator of future results.

©2020 Eaton Vance Management

5265 5.5.20

For more information, please contact:Eaton VanceTwo International PlaceBoston, MA 02110800 225 6265617 482 8260eatonvance.com

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