SEC Form N-CSRS filed by Eaton Vance Risk-Managed Diversified Equity Income Fund
% Average Annual Total Returns 1 |
Inception Date |
Six Months |
One Year |
Five Years |
Ten Years |
Fund at NAV | 07/31/2007 | 16.61% | 21.12% | 9.85% | 7.14% |
Fund at Market Price | — | 16.95 | 16.54 | 8.20 | 7.33 |
S&P 500® Index | — | 15.29% | 24.56% | 15.03% | 12.85% |
Cboe S&P 500 95-110 Collar Index SM |
— | 13.37 | 20.30 | 11.26 | 9.52 |
% Premium/Discount to NAV 2 |
|
As of period end | (7.38)% |
Distributions 3 |
|
Total Distributions per share for the period | $0.369 |
Distribution Rate at NAV | 8.24% |
Distribution Rate at Market Price | 8.90 |
1 |
Depictions do not reflect the Fund’s option positions. Excludes cash and cash equivalents. |
1 |
S&P 500® Index is an unmanaged index of large-cap stocks commonly used as a measure of U.S. stock market performance. 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. Cboe S&P 500 95–110 Collar Index SM is an unmanaged index of the S&P 500® stocks with a collar option strategy of buying put options and selling call options. 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. |
2 |
The shares of the Fund often trade at a discount or premium to their net asset value. The discount or premium may vary over time and may be higher or lower than what is quoted in this report. For up-to-date premium/discount information, please refer to https://funds.eatonvance.com/closed-end-fund-prices.php. |
3 |
The Distribution Rate is based on the Fund’s last regular distribution per share in the period (annualized) divided by the Fund’s NAV or market price at the end of the period. The Fund’s distributions may be comprised of amounts characterized for federal income tax purposes as qualified and non-qualified ordinary dividends, capital gains and nondividend distributions, also known as return of capital. For additional information about nondividend distributions, please refer to Eaton Vance Closed-End Fund Distribution Notices (19a) posted on our website, eatonvance.com. The Fund will determine the federal income tax character of distributions paid to a shareholder after the end of the calendar year. This is reported on the IRS form 1099-DIV and provided to the shareholder shortly after each year-end. For information about the tax character of distributions made in prior calendar years, please refer to Performance-Tax Character of Distributions on the Fund’s webpage available at eatonvance.com. In recent years, a significant portion of the Fund’s distributions has been characterized as a return of capital. The Fund’s distributions are determined by the investment adviser based on its current assessment of the Fund’s long-term return potential. Fund distributions may be affected by numerous factors including changes in Fund performance, the cost of financing for leverage, portfolio holdings, realized and projected returns, and other factors. As portfolio and market conditions change, the rate of distributions paid by the Fund could change. |
Fund profile subject to change due to active management. | |
Important Notice to Shareholders | |
On January 26, 2023, the Fund’s Board of Trustees voted to exempt, on a going forward basis, all prior and, until further notice, new acquisitions of Fund shares that otherwise might be deemed “Control Share Acquisitions” under the Fund’s By-Laws from the Control Share Provisions of the Fund’s By-Laws. |
Purchased Put Options (Exchange-Traded) — 0.1% | |||||||
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value | ||
S&P 500 Index | 93 | $ | 50,782,464 | $ | 5,130 | 7/1/24 | $ 1,163 |
S&P 500 Index | 93 | 50,782,464 | 5,190 | 7/2/24 | 1,860 | ||
S&P 500 Index | 93 | 50,782,464 | 5,235 | 7/3/24 | 2,790 | ||
S&P 500 Index | 93 | 50,782,464 | 5,210 | 7/8/24 | 6,975 | ||
S&P 500 Index | 92 | 50,236,416 | 5,315 | 7/10/24 | 36,800 | ||
S&P 500 Index | 94 | 51,328,512 | 5,280 | 7/12/24 | 48,880 | ||
S&P 500 Index | 93 | 50,782,464 | 5,290 | 7/15/24 | 63,705 | ||
S&P 500 Index | 93 | 50,782,464 | 5,330 | 7/17/24 | 115,320 | ||
S&P 500 Index | 93 | 50,782,464 | 5,320 | 7/19/24 | 124,620 | ||
S&P 500 Index | 92 | 50,236,416 | 5,340 | 7/22/24 | 155,940 | ||
S&P 500 Index | 93 | 50,782,464 | 5,325 | 7/24/24 | 160,425 | ||
S&P 500 Index | 92 | 50,236,416 | 5,385 | 7/26/24 | 193,605 | ||
Total |
$912,083 |
Written Call Options (Exchange-Traded) — (0.5)% | |||||||
Description |
Number of Contracts |
Notional Amount |
Exercise Price |
Expiration Date |
Value | ||
S&P 500 Index | 93 | $ | 50,782,464 | $ | 5,380 | 7/1/24 | $ (819,330) |
S&P 500 Index | 93 | 50,782,464 | 5,425 | 7/2/24 | (447,795) | ||
S&P 500 Index | 93 | 50,782,464 | 5,475 | 7/3/24 | (173,445) | ||
S&P 500 Index | 93 | 50,782,464 | 5,460 | 7/8/24 | (348,750) | ||
S&P 500 Index | 92 | 50,236,416 | 5,550 | 7/10/24 | (74,980) | ||
S&P 500 Index | 94 | 51,328,512 | 5,525 | 7/12/24 | (204,450) | ||
S&P 500 Index | 93 | 50,782,464 | 5,550 | 7/15/24 | (146,475) | ||
S&P 500 Index | 93 | 50,782,464 | 5,600 | 7/17/24 | (75,795) | ||
S&P 500 Index | 93 | 50,782,464 | 5,585 | 7/19/24 | (126,015) | ||
S&P 500 Index | 92 | 50,236,416 | 5,600 | 7/22/24 | (108,100) | ||
S&P 500 Index | 93 | 50,782,464 | 5,580 | 7/24/24 | (173,910) | ||
S&P 500 Index | 92 | 50,236,416 | 5,630 | 7/26/24 | (195,555) | ||
Total |
$(2,894,600) |
Abbreviations: | |
ADR | – American Depositary Receipt |
June 30, 2024 | |
Assets | |
Unaffiliated investments, at value (identified cost $371,229,083) | $642,108,621 |
Affiliated investments, at value (identified cost $625,711) | 625,711 |
Dividends receivable | 242,263 |
Dividends receivable from affiliated investments | 14,896 |
Receivable for premiums on written options | 195,555 |
Tax reclaims receivable | 14,114 |
Trustees' deferred compensation plan | 116,086 |
Total assets |
$643,317,246 |
Liabilities | |
Written options outstanding, at value (premiums received $2,590,058) | $2,894,600 |
Payable for investments purchased | 193,605 |
Payable for closed written options | 1,648,939 |
Due to custodian | 80,976 |
Payable to affiliates: | |
Investment adviser fee | 520,248 |
Trustees' fees | 8,624 |
Trustees' deferred compensation plan | 116,086 |
Accrued expenses | 196,282 |
Total liabilities |
$5,659,360 |
Net Assets |
$637,657,886 |
Sources of Net Assets | |
Common shares, $0.01 par value, unlimited number of shares authorized | $673,018 |
Additional paid-in capital | 388,050,283 |
Distributable earnings | 248,934,585 |
Net Assets |
$637,657,886 |
Net Asset Value Per Common Share | |
Net assets ÷ common shares issued and outstanding |
$9.47 |
Six Months Ended | |
June 30, 2024 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $5,652) | $2,755,692 |
Dividend income from affiliated investments | 120,947 |
Total investment income |
$2,876,639 |
Expenses | |
Investment adviser fee | $3,027,859 |
Trustees’ fees and expenses | 26,088 |
Custodian fee | 114,803 |
Transfer and dividend disbursing agent fees | 9,118 |
Legal and accounting services | 58,836 |
Printing and postage | 51,741 |
Miscellaneous | 32,396 |
Total expenses |
$3,320,841 |
Deduct: | |
Waiver and/or reimbursement of expenses by affiliates | $3,482 |
Total expense reductions |
$3,482 |
Net expenses |
$3,317,359 |
Net investment loss |
$(440,720) |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment transactions | $26,194,846 |
Written options | (15,519,374) |
Net realized gain |
$10,675,472 |
Change in unrealized appreciation (depreciation): | |
Investments | $78,708,495 |
Written options | 2,484,403 |
Net change in unrealized appreciation (depreciation) |
$81,192,898 |
Net realized and unrealized gain |
$91,868,370 |
Net increase in net assets from operations |
$91,427,650 |
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, 2023 | |
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income (loss) | $(440,720) | $1,387,706 |
Net realized gain | 10,675,472 | 37,324,830 |
Net change in unrealized appreciation (depreciation) | 81,192,898 | 41,641,292 |
Net increase in net assets from operations |
$91,427,650 |
$80,353,828 |
Distributions to shareholders |
$ (24,834,359) * |
$(43,357,343) |
Tax return of capital to shareholders |
$— |
$(3,403,939) |
Net increase in net assets |
$66,593,291 |
$33,592,546 |
Net Assets | ||
At beginning of period | $571,064,595 | $537,472,049 |
At end of period |
$637,657,886 |
$571,064,595 |
* | A portion of the distributions may be deemed a tax return of capital at year-end. See Note 2. |
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, | |||||
2023 |
2022 |
2021 |
2020 |
2019 | ||
Net asset value — Beginning of period | $8.490 | $7.990 | $10.380 | $10.080 | $9.340 | $8.950 |
Income (Loss) From Operations | ||||||
Net investment income (loss) (1) |
$(0.007) | $0.021 | $0.035 | $0.045 | $0.067 | $0.066 |
Net realized and unrealized gain (loss) | 1.356 | 1.174 | (1.555) | 1.159 | 1.585 | 1.236 |
Total income (loss) from operations |
$1.349 |
$1.195 |
$(1.520) |
$1.204 |
$1.652 |
$1.302 |
Less Distributions | ||||||
From net investment income | $(0.369)* | $(0.020) | $(0.033) | $(0.045) | $(0.080) | $(0.066) |
From net realized gain | — | (0.624) | (0.549) | (0.181) | (0.194) | — |
Tax return of capital | — | (0.051) | (0.294) | (0.686) | (0.638) | (0.846) |
Total distributions |
$(0.369) |
$(0.695) |
$(0.876) |
$(0.912) |
$(0.912) |
$(0.912) |
Premium from common shares sold through shelf offering (see Note 5) (1) |
$— |
$— |
$0.006 |
$0.008 |
$— |
$— |
Net asset value — End of period |
$9.470 |
$8.490 |
$7.990 |
$10.380 |
$10.080 |
$9.340 |
Market value — End of period |
$8.780 |
$7.840 |
$7.500 |
$10.690 |
$10.370 |
$9.330 |
Total Investment Return on Net Asset Value (2) |
16.61% (3) |
15.94% |
(14.93)% |
12.35% |
18.78% |
15.18% |
Total Investment Return on Market Value (2) |
16.95% (3) |
14.05% |
(22.46)% |
12.47% |
22.33% |
26.82% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000’s omitted) | $637,658 | $571,065 | $537,472 | $677,045 | $643,771 | $595,471 |
Ratios (as a percentage of average daily net assets): | ||||||
Expenses | 1.09% (4)(5) |
1.13% (5) |
1.12% (5) |
1.10% | 1.11% | 1.11% |
Net investment income (loss) | (0.15)% (4) |
0.25% | 0.39% | 0.44% | 0.70% | 0.71% |
Portfolio Turnover | 17% (3) |
73% | 55% | 41% | 52% | 57% |
(1) |
Computed using average shares outstanding. |
(2) |
Returns are historical and are calculated by determining the percentage change in net asset value or market value with all distributions reinvested. Distributions are assumed to be reinvested at prices obtained under the Fund's dividend reinvestment plan. |
(3) |
Not annualized. |
(4) |
Annualized. |
(5) |
Includes a reduction by the investment adviser of a portion of its adviser fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2024 and the years ended December 31, 2023 and 2022). |
* | A portion of the distributions may be deemed from net realized gain or a tax return of capital at year-end. See Note 2. |
Aggregate cost |
$370,187,569 |
Gross unrealized appreciation | $274,922,559 |
Gross unrealized depreciation | (5,270,396) |
Net unrealized appreciation |
$269,652,163 |
Fair Value | ||
Derivative |
Asset Derivative (1) |
Liability Derivative (2) |
Purchased options | $912,083 | $ — |
Written options | — | (2,894,600) |
Total |
$912,083 |
$(2,894,600) |
(1) |
Statement of Assets and Liabilities location: Unaffiliated investments, at value. |
(2) |
Statement of Assets and Liabilities location: Written options outstanding, at value. |
Derivative |
Realized Gain (Loss) on Derivatives Recognized in Income (1) |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income (2) |
Purchased options | $(12,436,942) | $(140,335) |
Written options | (15,519,374) | 2,484,403 |
Total |
$(27,956,316) |
$2,344,068 |
(1) |
Statement of Operations location: Net realized gain (loss): Investment transactions and Written options, respectively. |
(2) |
Statement of Operations location: Change in unrealized appreciation (depreciation): Investments and Written options, respectively. |
Name |
Value, beginning of period |
Purchases |
Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Dividend income |
Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $9,422,220 | $68,335,736 | $(77,132,245) | $ — | $ — | $625,711 | $120,947 | 625,711 |
• | 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 fund's own assumptions in determining the fair value of investments) |
Asset Description |
Level 1 |
Level 2 |
Level 3 |
Total |
Common Stocks | $641,196,538* | $ — | $ — | $641,196,538 |
Short-Term Investments | 625,711 | — | — | 625,711 |
Purchased Put Options | 912,083 | — | — | 912,083 |
Total Investments |
$ 642,734,332 |
$ — |
$ — |
$642,734,332 |
Liability Description |
||||
Written Call Options | $ (2,894,600) | $ — | $ — | $ (2,894,600) |
Total |
$ (2,894,600) |
$ — |
$ — |
$ (2,894,600) |
* | The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments. |
Number of Shares | ||||
Nominees for Trustee |
For |
Withheld | ||
Alan C. Bowser | 49,441,746 | 1,636,528 | ||
George J. Gorman | 49,515,835 | 1,562,439 | ||
Susan J. Sutherland | 49,469,588 | 1,608,686 | ||
Nancy A. Wiser | 49,437,267 | 1,641,007 |
Officers | |
R. Kelly Williams, Jr. President |
Nicholas S. Di Lorenzo Secretary |
Deidre E. Walsh Vice President and Chief Legal Officer |
Laura T. Donovan Chief Compliance Officer |
James F. Kirchner Treasurer |
Trustees |
U.S. Customer Privacy Notice | March 2024 |
FACTS |
WHAT DOES EATON VANCE DO WITH YOUR PERSONAL INFORMATION? |
Why? |
Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? |
The types of personal information we collect and share depend on the product or service you have with us. This information can include:■ Social Security number and income ■ investment experience and risk tolerance ■ checking account information and wire transfer instructions |
How? |
All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Eaton Vance chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information |
Does Eaton Vance share? |
Can you limit this sharing? |
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus |
Yes | No |
For our marketing purposes — to offer our products and services to you |
Yes | No |
For joint marketing with other financial companies |
No | We don’t share |
For our affiliates’ everyday business purposes — information about your transactions and experiences |
Yes | No* |
For our affiliates’ everyday business purposes — information about your creditworthiness |
Yes | Yes* |
For our affiliates to market to you |
Yes | Yes* |
For nonaffiliates to market to you |
No | We don’t share |
To limit our sharing |
Call toll-free 1-800-262-1122 or email: Please note: new no longer |
Questions? |
Call toll-free 1-800-262-1122 or email: |
U.S. Customer Privacy Notice — continued | March 2024 |
Who we are | |
Who is providing this notice? |
Eaton Vance Management and our investment management affiliates (“Eaton Vance”) (see Affiliates definition below.) |
What we do | |
How does Eaton Vance protect my personal information? |
To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We have policies governing the proper handling of customer information by personnel and requiring third parties that provide support to adhere to appropriate security standards with respect to such information. |
How does Eaton Vance collect my personal information? |
We collect your personal information, for example, when you■ open an account or make deposits or withdrawals from your account ■ buy securities from us or make a wire transfer ■ give us your contact informationWe also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? |
Federal law gives you the right to limit only■ sharing for affiliates’ everyday business purposes — information about your creditworthiness ■ affiliates from using your information to market to you ■ sharing for nonaffiliates to market to youState laws and individual companies may give you additional rights to limit sharing. (See below for more on your rights under state law.) |
What happens when I limit sharing for an account I hold jointly with someone else? |
Your choices will apply to everyone on your account. |
Definitions | |
Affiliates |
Companies related by common ownership or control. They can be financial and nonfinancial companies.■ Our affiliates include registered investment advisers such as Eaton Vance Management, Eaton Vance Advisers International Ltd., Boston Management and Research, Calvert Research and Management, Parametric Portfolio Associates LLC, Atlanta Capital Management Company LLC, Morgan Stanley Investment Management Inc., Morgan Stanley Investment Management Co.; registered broker-dealers such as Morgan Stanley Distributors Inc. and Eaton Vance Distributors, Inc. (together, the “Investment Management Affiliates”); and companies with a Morgan Stanley name and financial companies such as Morgan Stanley Smith Barney LLC and Morgan Stanley & Co. (the “Morgan Stanley Affiliates”). |
Nonaffiliates |
Companies not related by common ownership or control. They can be financial and nonfinancial companies.■ Eaton Vance does not share with nonaffiliates so they can market to you. |
Joint marketing |
A formal agreement between nonaffiliated financial companies that together market financial products or services to you.■ Eaton Vance does not jointly market. |
U.S. Customer Privacy Notice — continued | March 2024 |
Other important information | |
*PLEASE NOTE: Eaton Vance does not share your creditworthiness information or your transactions and experiences information with the Morgan Stanley Affiliates, nor does Eaton Vance enable the Morgan Stanley Affiliates to market to you. Your opt outs will prevent Eaton Vance from sharing your creditworthiness information with the Investment Management Affiliates and will prevent the Investment Management Affiliates from marketing their products to you. Vermont: Except as permitted by law, we will not share personal information we collect about Vermont residents with Nonaffiliates unless you provide us with your written consent to share such information. California: Except as permitted by law, we will not share personal information we collect about California residents with Nonaffiliates and we will limit sharing such personal information with our Affiliates to comply with California privacy laws that apply to us. |
(a) |
(b) | Not applicable. |
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not required in this filing.
Item 6. Schedule of Investments
(a) | Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies
Not applicable.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Not applicable.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract
The information is included in Item 1 of this Form N-CSR.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not required in this filing.
Item 13. Portfolio Managers of Closed-End Management Investment Companies
Not required in this filing.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
No such purchases this period.
Item 15. Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominee to the Fund’s Board of Trustees since the Fund last provided disclosure in response to this item.
Item 16. Controls and Procedures
(a) | It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There have been no changes in the registrant’s internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
No activity to report for the registrant’s most recent fiscal year end.
Item 18. Recovery of Erroneously Awarded Compensation
Not applicable.
Item 19. Exhibits
(a)(1) | Registrant’s Code of Ethics – Not applicable (please see Item 2). | |
(a)(2)(i) | Principal Financial Officer’s Section 302 certification. | |
(a)(2)(ii) | Principal Executive Officer’s Section 302 certification. | |
(b) | Combined Section 906 certification. | |
(c) | Registrant’s notices to shareholders pursuant to Registrant’s exemptive order granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 thereunder regarding distributions paid pursuant to the Registrant’s Managed Distribution Plan. |
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/ R. Kelly Williams, Jr. | |
R. Kelly Williams, Jr. | ||
Principal Executive Officer | ||
Date: | August 23, 2024 |
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/ James F. Kirchner | |
James F. Kirchner | ||
Principal Financial Officer | ||
Date: | August 23, 2024 | |
By: | /s/ R. Kelly Williams, Jr. | |
R. Kelly Williams, Jr. | ||
Principal Executive Officer | ||
Date: | August 23, 2024 |