UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-22044
Investment Company Act File Number
Eaton Vance Risk-Managed Diversified Equity Income Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number, Including Area Code)
December 31
Date of Fiscal Year End
September 30, 2015
Date of Reporting Period
Item 1. Schedule of Investments
Eaton Vance
Risk-Managed Diversified Equity Income Fund
September 30, 2015
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks 99.2%
Security | Shares | Value | ||||||
Aerospace & Defense 1.9% |
||||||||
United Technologies Corp. |
150,346 | $ | 13,379,291 | |||||
|
|
|||||||
$ | 13,379,291 | |||||||
|
|
|||||||
Banks 7.0% |
||||||||
Bank of America Corp. |
899,806 | $ | 14,018,977 | |||||
JPMorgan Chase & Co. |
327,802 | 19,986,088 | ||||||
PNC Financial Services Group, Inc. (The) |
166,989 | 14,895,419 | ||||||
|
|
|||||||
$ | 48,900,484 | |||||||
|
|
|||||||
Beverages 1.8% |
||||||||
Constellation Brands, Inc., Class A |
100,437 | $ | 12,575,717 | |||||
|
|
|||||||
$ | 12,575,717 | |||||||
|
|
|||||||
Biotechnology 5.9% |
||||||||
AbbVie, Inc. |
210,720 | $ | 11,465,275 | |||||
Celgene Corp.(1) |
114,097 | 12,341,873 | ||||||
Gilead Sciences, Inc. |
176,849 | 17,364,803 | ||||||
|
|
|||||||
$ | 41,171,951 | |||||||
|
|
|||||||
Capital Markets 1.8% |
||||||||
Credit Suisse Group AG |
540,831 | $ | 12,999,865 | |||||
|
|
|||||||
$ | 12,999,865 | |||||||
|
|
|||||||
Chemicals 1.2% |
||||||||
PPG Industries, Inc. |
47,749 | $ | 4,187,110 | |||||
Praxair, Inc. |
43,777 | 4,459,125 | ||||||
|
|
|||||||
$ | 8,646,235 | |||||||
|
|
|||||||
Diversified Telecommunication Services 1.4% |
||||||||
Verizon Communications, Inc. |
76,419 | $ | 3,324,990 | |||||
Zayo Group Holdings, Inc.(1) |
253,566 | 6,430,434 | ||||||
|
|
|||||||
$ | 9,755,424 | |||||||
|
|
|||||||
Electric Utilities 1.5% |
||||||||
NextEra Energy, Inc. |
106,941 | $ | 10,432,095 | |||||
|
|
|||||||
$ | 10,432,095 | |||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 2.4% |
||||||||
Corning, Inc. |
975,709 | $ | 16,704,138 | |||||
|
|
|||||||
$ | 16,704,138 | |||||||
|
|
|||||||
Energy Equipment & Services 1.0% |
||||||||
Schlumberger, Ltd. |
101,762 | $ | 7,018,525 | |||||
|
|
|||||||
$ | 7,018,525 | |||||||
|
|
|||||||
Food & Staples Retailing 2.7% |
||||||||
CVS Health Corp. |
195,188 | $ | 18,831,738 | |||||
|
|
|||||||
$ | 18,831,738 | |||||||
|
|
|||||||
Food Products 3.6% |
||||||||
General Mills, Inc. |
224,628 | $ | 12,608,370 | |||||
Mondelez International, Inc., Class A |
298,239 | 12,487,267 | ||||||
|
|
|||||||
$ | 25,095,637 | |||||||
|
|
|||||||
Health Care Equipment & Supplies 1.5% |
||||||||
Medtronic PLC |
158,715 | $ | 10,624,382 | |||||
|
|
|||||||
$ | 10,624,382 | |||||||
|
|
1
Security | Shares | Value | ||||||
Industrial Conglomerates 5.6% |
||||||||
Danaher Corp. |
173,442 | $ | 14,778,993 | |||||
General Electric Co. |
970,540 | 24,477,019 | ||||||
|
|
|||||||
$ | 39,256,012 | |||||||
|
|
|||||||
Insurance 3.4% |
||||||||
Aflac, Inc. |
182,154 | $ | 10,588,612 | |||||
American Financial Group, Inc. |
55,033 | 3,792,324 | ||||||
XL Group PLC |
267,418 | 9,712,622 | ||||||
|
|
|||||||
$ | 24,093,558 | |||||||
|
|
|||||||
Internet & Catalog Retail 4.1% |
||||||||
Amazon.com, Inc.(1) |
45,048 | $ | 23,059,621 | |||||
Netflix, Inc.(1) |
54,095 | 5,585,849 | ||||||
|
|
|||||||
$ | 28,645,470 | |||||||
|
|
|||||||
Internet Software & Services 6.3% |
||||||||
Facebook, Inc., Class A(1) |
145,946 | $ | 13,120,545 | |||||
Google, Inc., Class C(1) |
42,229 | 25,692,968 | ||||||
Twitter, Inc.(1) |
197,272 | 5,314,508 | ||||||
|
|
|||||||
$ | 44,128,021 | |||||||
|
|
|||||||
IT Services 3.0% |
||||||||
Visa, Inc., Class A |
300,484 | $ | 20,931,715 | |||||
|
|
|||||||
$ | 20,931,715 | |||||||
|
|
|||||||
Machinery 1.3% |
||||||||
Deere & Co. |
126,696 | $ | 9,375,504 | |||||
|
|
|||||||
$ | 9,375,504 | |||||||
|
|
|||||||
Media 5.9% |
||||||||
Comcast Corp., Class A |
201,969 | $ | 11,487,997 | |||||
Live Nation Entertainment, Inc.(1) |
353,978 | 8,509,631 | ||||||
Walt Disney Co. (The) |
207,074 | 21,162,963 | ||||||
|
|
|||||||
$ | 41,160,591 | |||||||
|
|
|||||||
Multi-Utilities 1.8% |
||||||||
Sempra Energy |
128,799 | $ | 12,457,439 | |||||
|
|
|||||||
$ | 12,457,439 | |||||||
|
|
|||||||
Multiline Retail 3.3% |
||||||||
Dollar General Corp. |
213,425 | $ | 15,460,507 | |||||
Target Corp. |
97,098 | 7,637,729 | ||||||
|
|
|||||||
$ | 23,098,236 | |||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 5.8% |
||||||||
Anadarko Petroleum Corp. |
89,754 | $ | 5,420,244 | |||||
Devon Energy Corp. |
193,102 | 7,162,153 | ||||||
Exxon Mobil Corp. |
218,079 | 16,214,174 | ||||||
Occidental Petroleum Corp. |
179,721 | 11,888,544 | ||||||
|
|
|||||||
$ | 40,685,115 | |||||||
|
|
|||||||
Pharmaceuticals 7.4% |
||||||||
Bristol-Myers Squibb Co. |
192,652 | $ | 11,404,998 | |||||
Eli Lilly & Co. |
128,918 | 10,789,148 | ||||||
Merck & Co., Inc. |
237,017 | 11,706,270 | ||||||
Perrigo Co. PLC |
72,816 | 11,451,772 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR |
122,505 | 6,916,632 | ||||||
|
|
|||||||
$ | 52,268,820 | |||||||
|
|
|||||||
Real Estate Investment Trusts (REITs) 2.4% |
||||||||
Simon Property Group, Inc. |
92,894 | $ | 17,066,486 | |||||
|
|
|||||||
$ | 17,066,486 | |||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 4.0% |
||||||||
Intel Corp. |
457,380 | $ | 13,785,433 | |||||
NXP Semiconductors NV(1) |
167,276 | 14,564,721 | ||||||
|
|
|||||||
$ | 28,350,154 | |||||||
|
|
2
Security | Shares | Value | ||||||
Software 2.7% |
||||||||
Oracle Corp. |
327,788 | $ | 11,839,702 | |||||
Tableau Software, Inc., Class A(1) |
86,869 | 6,930,409 | ||||||
|
|
|||||||
$ | 18,770,111 | |||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 4.5% |
||||||||
Apple, Inc. |
289,412 | $ | 31,922,144 | |||||
|
|
|||||||
$ | 31,922,144 | |||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 2.3% |
||||||||
NIKE, Inc., Class B |
134,732 | $ | 16,567,994 | |||||
|
|
|||||||
$ | 16,567,994 | |||||||
|
|
|||||||
Tobacco 1.7% |
||||||||
Altria Group, Inc. |
215,874 | $ | 11,743,546 | |||||
|
|
|||||||
$ | 11,743,546 | |||||||
|
|
|||||||
Total Common Stocks |
$ | 696,656,398 | ||||||
|
|
Put Options Purchased 0.7%
Description | Number of Contracts |
Strike |
Expiration Date |
Value | ||||||||||||
S&P 500 Index |
289 | $ | 1,790 | 10/2/15 | $ | 4,335 | ||||||||||
S&P 500 Index |
291 | 1,825 | 10/9/15 | 176,055 | ||||||||||||
S&P 500 Index |
295 | 1,875 | 10/16/15 | 651,950 | ||||||||||||
S&P 500 Index |
286 | 1,840 | 10/23/15 | 547,690 | ||||||||||||
S&P 500 Index FLEX |
281 | 1,840 | 10/5/15 | 77,771 | ||||||||||||
S&P 500 Index FLEX |
288 | 1,850 | 10/7/15 | 173,832 | ||||||||||||
S&P 500 Index FLEX |
290 | 1,845 | 10/12/15 | 289,578 | ||||||||||||
S&P 500 Index FLEX |
293 | 1,880 | 10/14/15 | 571,927 | ||||||||||||
S&P 500 Index FLEX |
290 | 1,885 | 10/19/15 | 748,602 | ||||||||||||
S&P 500 Index FLEX |
290 | 1,845 | 10/21/15 | 508,497 | ||||||||||||
S&P 500 Index FLEX |
290 | 1,785 | 10/26/15 | 339,763 | ||||||||||||
S&P 500 Index FLEX |
282 | 1,810 | 10/28/15 | 485,575 | ||||||||||||
|
|
|||||||||||||||
Total Put Options Purchased |
$ | 4,575,575 | ||||||||||||||
|
|
|||||||||||||||
Short-Term Investments 0.3% |
||||||||||||||||
Description | Interest (000s omitted) |
Value | ||||||||||||||
Eaton Vance Cash Reserves Fund, LLC, 0.23%(2) |
$ | 2,043 | $ | 2,042,985 | ||||||||||||
|
|
|||||||||||||||
Total Short-Term Investments |
$ | 2,042,985 | ||||||||||||||
|
|
|||||||||||||||
Total Investments 100.2% |
$ | 703,274,958 | ||||||||||||||
|
|
3
Call Options Written (0.3)% |
||||||||||||||||
Description | Number of Contracts |
Strike |
Expiration Date |
Value | ||||||||||||
S&P 500 Index |
289 | $ | 1,980 | 10/2/15 | $ | (15,172 | ) | |||||||||
S&P 500 Index |
291 | 2,000 | 10/9/15 | (51,653 | ) | |||||||||||
S&P 500 Index |
295 | 2,020 | 10/16/15 | (41,300 | ) | |||||||||||
S&P 500 Index |
286 | 1,995 | 10/23/15 | (230,230 | ) | |||||||||||
S&P 500 Index FLEX |
281 | 2,005 | 10/5/15 | (12,161 | ) | |||||||||||
S&P 500 Index FLEX |
288 | 2,008 | 10/7/15 | (26,170 | ) | |||||||||||
S&P 500 Index FLEX |
290 | 2,007 | 10/12/15 | (76,884 | ) | |||||||||||
S&P 500 Index FLEX |
293 | 2,027 | 10/14/15 | (51,927 | ) | |||||||||||
S&P 500 Index FLEX |
290 | 2,020 | 10/19/15 | (112,624 | ) | |||||||||||
S&P 500 Index FLEX |
290 | 1,983 | 10/21/15 | (330,100 | ) | |||||||||||
S&P 500 Index FLEX |
290 | 1,955 | 10/26/15 | (694,105 | ) | |||||||||||
S&P 500 Index FLEX |
282 | 1,972 | 10/28/15 | (461,298 | ) | |||||||||||
|
|
|||||||||||||||
Total Call Options Written |
$ | (2,103,624 | ) | |||||||||||||
|
|
|||||||||||||||
Other Assets, Less Liabilities 0.1% |
$ | 845,460 | ||||||||||||||
|
|
|||||||||||||||
Net Assets 100.0% |
$ | 702,016,794 | ||||||||||||||
|
|
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
ADR |
- | American Depositary Receipt | ||
FLEX |
- | FLexible EXchange traded option, representing a customized option contract with negotiated contract terms. |
(1) | Non-income producing security. |
(2) | Affiliated investment company, available to Eaton Vance portfolios and funds, which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of September 30, 2015. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2015 was $6,162. |
The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2015, as determined on a federal income tax basis, were as follows:
Aggregate cost |
$ | 599,635,022 | ||
|
|
|||
Gross unrealized appreciation |
$ | 144,037,302 | ||
Gross unrealized depreciation |
(40,397,366 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 103,639,936 | ||
|
|
Written options activity for the fiscal year to date ended September 30, 2015 was as follows:
Number of Contracts |
Premiums Received |
|||||||
Outstanding, beginning of period |
3,547 | $ | 4,179,654 | |||||
Options written |
33,806 | 43,108,463 | ||||||
Options terminated in closing purchase transactions |
(5,300 | ) | (7,070,315 | ) | ||||
Options expired |
(28,588 | ) | (34,239,209 | ) | ||||
|
|
|
|
|||||
Outstanding, end of period |
3,465 | $ | 5,978,593 | |||||
|
|
|
|
All of the securities of the Fund, unless otherwise pledged, are subject to segregation to satisfy the requirements of the escrow agent with respect to exchange-traded options. At September 30, 2015, the Fund had sufficient cash and/or securities to cover commitments under these contracts.
4
In the normal course of pursuing its investment objectives, the Fund is subject to the following risks:
Equity Price Risk: The Fund pursues a collared options strategy which consists of buying S&P 500 index put options below the current value of the index and writing S&P 500 index call options above the current value of the index with the same expiration. The strategy uses the premium income from the written call options to buy an equal number of put options. In buying put options on an index, the Fund in effect, acquires protection against decline in the value of the applicable index below the exercise price in exchange for the option premium paid. In writing index call options, the Fund in effect, sells potential appreciation in the value of the applicable index above the exercise price. The Fund retains the risk of lost appreciation, minus the premium received, should the price of the underlying index rise above the strike price. Under normal market conditions, the Funds use of option collars is expected to provide a more consistent level of market exposure and market protection.
The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk at September 30, 2015 was as follows:
Fair Value | ||||||||
Derivative |
Asset Derivative |
Liability Derivative |
||||||
Purchased options |
$ | 4,575,575 | $ | | ||||
Written options |
| (2,103,624 | ) | |||||
|
|
|
|
|||||
Total |
$ | 4,575,575 | $ | (2,103,624 | ) | |||
|
|
|
|
Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments) |
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
At September 30, 2015, the hierarchy of inputs used in valuing the Funds investments and open derivative instruments, which are carried at value, were as follows:
Asset Description | Level 1 | Level 2 | Level 3 | Total |
||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary |
$ | 109,472,291 | $ | | $ | | $ | 109,472,291 | ||||||||
Consumer Staples |
68,246,638 | | | 68,246,638 | ||||||||||||
Energy |
47,703,640 | | | 47,703,640 | ||||||||||||
Financials |
90,060,528 | 12,999,865 | | 103,060,393 | ||||||||||||
Health Care |
104,065,153 | | | 104,065,153 | ||||||||||||
Industrials |
62,010,807 | | | 62,010,807 | ||||||||||||
Information Technology |
160,806,283 | | | 160,806,283 | ||||||||||||
Materials |
8,646,235 | | | 8,646,235 | ||||||||||||
Telecommunication Services |
9,755,424 | | | 9,755,424 | ||||||||||||
Utilities |
22,889,534 | | | 22,889,534 | ||||||||||||
Total Common Stocks |
$ | 683,656,533 | $ | 12,999,865 | * | $ | | $ | 696,656,398 | |||||||
Put Options Purchased |
$ | 1,380,030 | $ | 3,195,545 | $ | | $ | 4,575,575 | ||||||||
Short-Term Investments |
| 2,042,985 | | 2,042,985 | ||||||||||||
Total Investments |
$ | 685,036,563 | $ | 18,238,395 | $ | | $ | 703,274,958 | ||||||||
Liability Description | ||||||||||||||||
Call Options Written |
$ | (338,355 | ) | $ | (1,765,269 | ) | $ | | $ | (2,103,624 | ) | |||||
Total |
$ | (338,355 | ) | $ | (1,765,269 | ) | $ | | $ | (2,103,624 | ) |
* | Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets. |
5
The Fund held no investments or other financial instruments as of December 31, 2014 whose fair value was determined using Level 3 inputs. At September 30, 2015, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Funds policy regarding the valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements included in its semiannual or annual report to shareholders.
6
Item 2. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrants internal control over financial reporting.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Eaton Vance Risk-Managed Diversified Equity Income Fund
By: | /s/ Michael A. Allison | |
Michael A. Allison | ||
President | ||
Date: | November 23, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Michael A. Allison | |
Michael A. Allison | ||
President | ||
Date: | November 23, 2015 |
By: | /s/ James F. Kirchner | |
James F. Kirchner | ||
Treasurer | ||
Date: | November 23, 2015 |