ESATX — Parametric Research Affiliates Systematic Alternative Risk Premia Fund

ESATX Fund Overview

ESATX — Parametric Research Affiliates Systematic Alternative Risk Premia Fund is a US mutual fund managed by Eaton Vance Growth Trust, categorised as Total Return Allocation. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: Eaton Vance Growth Trust
• Category: Total Return Allocation
• Assets under management: $15.84M
• Ticker: ESATX
• SEC CIK: 0000102816
• SEC series ID: S000062555
• Share class ID: C000202959

ESATX Investment Objective and Strategy

Parametric Research Affiliates Systematic Alternative Risk Premia Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Eaton Vance Growth Trust.

Investment objective

The Funds investment objective is total return.

Principal investment strategy

The Fund seeks to provide exposure to risk premia by taking long and short positions using derivative instruments to gain market exposure across four asset classes as described below. Risk premia are the returns assets are expected to generate in excess of the return of a risk-free investment as compensation for taking risk. The Funds strategy focuses on so-called alternative risk premia that are not commonly considered in the management of portfolios investing primarily in securities on a long-only and unlevered basis. In a long position, the Fund generally expects that the position will increase in value as the market rises and decrease in value as the market falls. In a short position, the Fund generally expects that the position will increase in value as the market falls and decrease in value as the market rises.

Various factors are drivers of risk premia. The Fund seeks to generate positive returns from carry, value and momentum factor risk premia by taking long and short positions across four asset classes: equities, fixed income, commodities and currencies. Depending on market conditions, the Fund may also seek to generate positive returns from exposure to the equity volatility factor risk premium by entering into long and short futures contracts on the CBOE Volatility Index. The Funds sub-advisers generally have defined the carry, value and momentum factor risk premia for equities, fixed income, commodities and currencies as shown below, and have defined the volatility factor for equities only. ? Carry premium is the expected return of an investment assuming prices stay the same. An example of carry premium is going long higher yielding assets and shorting lower yielding assets; ?

Value premium is compensation for taking the risk of taking a long position in an asset believed to be underpriced and shorting assets that are believed to be overpriced; ? Momentum premium is the return if prices continue to follow recent price trends. An example is buying assets that have recently gone up in price and selling assets that have recently gone down in price; and ? Volatility premium is the historical tendency for the implied volatility of an index option to be greater than the realized volatility of the underlying index securities. Implied volatility refers to an estimate of future index volatility that can be derived from the price of options on the index. Realized volatility refers to the indexs volatility calculated based on actual events. The derivative instruments in which may Fund will invest include foreign exchange forward contracts; futures on securities, indices, currencies, commodities and other investments; options; interest rate swaps; cross-currency swaps; total return swaps; and credit default swaps.

The Funds long and short investments may include sovereign exposures, including sovereign debt, currencies, and interest rates, as well as exposures to foreign and domestic credit and equity issuers, volatility indices and commodities-related investments. The Fund will seek investment opportunities around the world. The Fund may also enter into repurchase agreements, reverse repurchase agreements, forward commitments and short sales. The Fund may achieve investment exposures through exchange-traded funds (ETFs). The Funds derivative positions will be backed by a portfolio of cash equivalent investments, including U.S. Treasury securities, with a maximum remaining maturity of one year or less. The Fund expects to use leverage, which represents a non-cash exposure to the underlying asset, index, rate or instrument.

Leverage can increase both the risk and return potential of the Fund. Under normal market conditions, the sub-advisers target Fund performance volatility (defined as the annualized standard deviation of monthly returns over a three-year period) ranging between approximately 8% and 16%. The Funds actual, or realized, volatility for longer or shorter periods may, however, be materially higher or lower than the target range, depending on market conditions. Actual or realized volatility can and will differ from the target volatility described above. The Fund will gain exposure to commodities, in whole or in part, through investments in SARP Commodity Subsidiary, Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the Subsidiary) with the same investment objective and principal investment strategies as the Fund.

The Fund may invest up to 25% of its assets in the Subsidiary, which invests primarily in commodity-related investments, and may also invest in other instruments in which the Fund is permitted to invest. The Fund employs an absolute return investment approach. This means that the Fund benchmarks itself to an index of cash instruments, rather than a stock or bond market index, and seeks to achieve returns that exceed its benchmark and are largely independent of broad movements in stocks and bonds. The Funds benchmark is the ICE BofAML 3-Month U.S. Treasury Bill Index. The Funds sub-advisers utilize a systematic investment model and pre-defined trading rules to construct the Funds portfolio. The investment model is periodically re-evaluated and adjusted to ensure that the model is consistent with the Funds investment objective and strategies.

The sub-advisers construct the portfolio by using proprietary factor definitions for carry and value per asset class, and by ranking the individual assets within each asset class based on the strength of certain indicators or signals that are proprietary. The Fund will go long the assets with the strongest positive signals for value and carry factors and short those with the strongest negative signals. The Fund will either go long or short assets to capture the momentum factor, depending on the recent price trend. The sub-advisers assign leverage to each factor according to a pre-defined methodology. After leverage is assigned to each factor, the individual factors are combined into a model and portfolio offsetting positions are then netted across the different factors. The final netted portfolio represents the model portfolio for the Fund.

Volatility exposure is assigned separately and is binary, with the position either on or off, depending on whether the conditions have been met for the volatility factor premium. The Funds asset allocation will be rebalanced periodically. The model portfolio implements a process intended to reduce model changes and turnover, and to minimize transaction costs and trading expense.

ESATX Costs and Fees

ESATX costs about $99 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.99%
• Gross expense ratio: 2.28%
• Portfolio turnover: 0%
• Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)

ESATX Cashflows

Over the 12 months to 2020-04, Parametric Research Affiliates Systematic Alternative Risk Premia Fund had net inflows of $2.91M, from monthly SEC N-PORT filings.

ESATX Debt Constituents

No individual debt constituents are reported in Parametric Research Affiliates Systematic Alternative Risk Premia Fund's latest SEC N-PORT filing.

ESATX Prospectus and SEC Filings

Official Parametric Research Affiliates Systematic Alternative Risk Premia Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-12-12
• Prospectus supplement (497) — filed 2018-08-20
• Portfolio holdings (N-PORT) — filed 2020-06-26
• Portfolio holdings (N-PORT) — filed 2020-03-20
• Portfolio holdings (N-PORT) — filed 2019-12-27
• Annual census (N-CEN) — filed 2019-10-09

Related Funds

Other Total Return Allocation funds tracked on ABC INVEST:

• Federated Total Return Bond Fund (FTRFX)
• Columbia Balanced Fund (CBLAX)
• MFS Total Return Fund (MSFRX)
• AllianzGI Income & Growth Fund (AZNAX)
• AQR Risk Parity Fund (AQRNX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.