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Global macro november 2012 citywire conference Presentation Transcript

  • 1. Global MacroNovember 2012 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 2. Disclosures This material is presented and issued by Eaton Vance Management (International) Limited (“EVMI”), which is authorised and regulated by the Financial Services Authority in the United Kingdom and is located at 125 Old Broad Street, London, EC2N 1AR, United Kingdom. EVMI is a wholly owned subsidiary of Eaton Vance Management. Eaton Vance Management (“EVM”) is an investment adviser registered with the United States Securities and Exchange Commission (“SEC“) and is a wholly owned subsidiary of Eaton Vance Corp. (“EVC”). The non-voting common stock of EVC, parent company of EVM, is publicly traded on the NYSE under the symbol “EV”. For purposes of this presentation, “Eaton Vance” or the “Firm” is defined as all three entities operating under the Eaton Vance brand. EVMI markets the services of the following strategic affiliates; Parametric Portfolio Associates (“PPA”) is an investment advisor registered with the SEC and is a majority owned subsidiary of EVM, and Hexavest which is an investment advisor, based in Montreal Canada, and registered with the SEC in the United States and which has a strategic partnership with Eaton Vance, who own 49% of the stock of Hexavest. EVMI has a wholly owned subsidiary, Eaton Vance Management International (Asia) Pte Limited, based in Singapore which holds a Capital Markets License under the Securities and Futures Act of Singapore (CMS100185-1). EVMI 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. 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 the Australian Securities and Investments Commissions (ASIC) Class Order 2003/1099. As stated above, EVMI is regulated by the Financial Services Authority under the laws of the United Kingdom, which differ from Australian laws. EVMI is registered as a Financial Services Provider in South Africa under the Financial Advisory and Intermediary Services Act 2002 of South Africa (Licence number 43676) The information in this presentation should not be considered investment advice, a recommendation to buy or sell any particular security or tax advice. The information in this presentation does not constitute an offer to sell or solicitation of an offer to anyone in any jurisdiction to buy investments and/or the Eaton Vance funds, and products and services offered by Eaton Vance are only available to residents of countries where offers of such products and services are permitted by law. This presentation is for the benefit of persons whom Eaton Vance reasonably believes it is permitted to communicate this information and should not be forwarded to any other person without the consent of the 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 attending this presentation and 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 U.S. Dollars. Eaton Vance Management (International) Limited utilises a third party organisation in Australia, Allen, Allen & Partners, and in the Middle East, Wise Capital Management, to promote the investment capabilities of Eaton Vance Investment Managers to institutional investors. For these services both parties are paid a fee based upon the assets that Eaton Vance provide investment advice to following these introductions.2 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 3. Firm Overview Our Firm –  Eaton Vance can trace its roots back to 1924 and is listed on the NYSE (Eaton Vance Corp.) –  Market capitalisation US$3.22bn1 • Eaton Vance • Parametric –  US$198.2 billion in assets under management2 Management across all major asset classes for a broad array EM Inc. Frontier of investors Floating-Rate Loan EM Ex. Frontier –  Offices of Eaton Vance and its affiliates in U.S. High Yield Global Equity London, Boston, New York, Seattle, Atlanta, Commodities Global Macro Singapore, Montreal and Sydney. Agent Currency representation in Middle East (Wise Capital) Global Equity Our People U.S. Equities Emerging −  20 years on average in the investment Markets management business, 10 years with Eaton Vance • Hexavest • Atlanta Capital −  Experienced and tenured team of over 160 investment professionals, more than 80 holding the CFA designation and/or advanced degrees Source: 1Eaton Vance Corp as of 12th October 2012. 2Eaton Vance Management and its affiliates as of 30th September 2012 (not including Hexavest assets).3 All other data as at 30th September 2012. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 4. Performance of Global Macro Composite at 31st October 2012 Investment Returns (gross-of-fees): The performance of the Global Macro Composite is used to illustrate the longer term performance track record of the Global Macro Strategy. The Composite investment objective differs from EVI (Ireland) Global Macro Fund in that the Fund cannot invest directly in commodities, it also has a different charging structure, and regulatory differences may impact on the implementation of the strategy. 10% 7.8 8.3 6.8 7.1 7.6 Annualised Results (%) 4.7 5.5 6.0 4.1 3.9 4.6 5% 3.9 3.5 2.0 3.3 3.0 1.8 2.4 2.2 0.4 1.2 0.0 0.1 0.4 0.5 0% -0.3 -0.4 EV Global Macro Composite (gross) -5% EV Global Macro Composite (net) 1 Month 3 Months YTD 1 year 3 years 5 years 7 years 10 Years Since US LIBOR Market 3-Month Return Index Ending Inception 31/10/2012 (1/1/1996) Annual Results 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 EV Institutional Global Macro Composite 0.4% 5.6% 12.1% 2.6% 12.3% 7.8% 7.0% 10.5% 13.0% 6.7% 12.2% 5.4% (Gross) EV Institutional Global Macro Composite (Net) -0.46% 4.7% 11.2% 1.9% 11.6% 7.2% 6.3% 9.9% 12.4% 6.0% 11.5% 4.8% U.S. LIBOR Market 3-Month Return Index 0.32% 0.3% 0.8% 3.5% 5.6% 5.2% 3.4% 1.5% 1.3% 1.9% 4.5% 6.7% As of 30th September 2012 1 Year 3 Year 5 Year 7 Year 10 Year Volatility (%) 3.42 2.76 3.03 2.90 2.97 Sharpe Ratio 1.62 1.45 1.52 1.54 1.97 EV Composite Positive Return (gross-of-fees) Monthly 67% 72% 77% 79% 81% Quarterly 75% 83% 85% 86% 88% Source: Eaton Vance. The above information is for informational purposes only and does not constitute investment advice and should not be viewed as a recommendation to buy or sell any particular securities or to adopt any investment strategy. The information for the Global Macro Composite is based upon the total net assets of all discretionary, fee-paying accounts eligible for inclusion in such Composite for the periods shown. Gross returns are calculated in US dollars and include the reinvestment of distributions, are after transactions costs, any foreign withholding taxes and other direct expenses, but before management fees, custody charges and other indirect expenses. Such fees and expenses would reduce the results shown. This information is supplemental to the Composite’s fully-compliant GIPS® presentation contained herein. Past performance does not predict future results. The index represents the amount generated based on the compounded daily rate of a three-month LIBOR deposit in USD. It is not possible to invest directly in an4 Index. Please refer to the Appendix and GIPS® presentations for important additional information and disclosure. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 5. Quarterly Absolute Returns – 7 Negative Quarters in 67 Global Macro Composite (not the EVI (Ireland) Global Macro Fund) Absolute Returns (%) 8.00 6.00 4.00 2.00 0.00 -2.00 -4.00 The performance of the Global Macro Composite is used to illustrate the longer term performance track record of the Global Macro Strategy. The Composite investment objective differs from EVI (Ireland) Global Macro Fund in that the Fund cannot invest directly in commodities, it also has a different charging structure, and regulatory differences may impact on the implementation of the strategy. Sources: Eaton Vance. Performance as 30th September 2012 is for illustrative purposes only. Past performance is not a reliable indicator of future5 performance. Full details of the Composite calculation methodology is contained in the appendix and are supplemental to the GIPS presentation. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 6. Global Macro Philosophy Process Outcome Top-down macroeconomic & political Inefficiencies in the global financial research across all investable markets, Global Macro Assets of US$7.2bn 1 markets result in mispriced assets. including frontier Strategy return since inception: 8.4%p.a2 Long-term economic growth is fostered Long & Short positions implemented at by broad application of: the rule of law, the country level across asset classes independent judiciary & central bank, minimal regulation, fiscal responsibility & Implementation through most liquid & simple tax code. efficient cash or derivative instruments An environment that supports & sustains Target low beta to Equities, Credit & long-term economic growth is hospitable EURUSD exchange rate for capital. No use of financial leverage. No prime broker; actively manage collateral pool internally 1 Asat 30th September 2012 Global Macro Composite assets. 2 Represents the gross return on the Global Macro Composite Since inception on the 1st6 January 1996. Source: Eaton Vance and Citi Fund Accounting For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 7. Global Fixed Income Team Mark Venezia, CFA Director of Global Fixed Income, Portfolio Manager Portfolio Management & Research Trading Operations & Support Michael Cirami, CFA John Baur Eric Stein, CFA Charles Cheng Kathleen Flynn Portfolio Manager Portfolio Manager Portfolio Manager Michael O’Brien, CFA Research Team Leader: Research Team Leader: Research Team Leader: Global Operations Head of Global Trading Global Product Specialist Central/Eastern Europe, Latin America and Asia, Dollar Bloc, and Manager Africa, and Middle East Commodities Western Europe Four Portfolio Danat Federico Patrick Campbell, Associates/ Abdrakhmanov, CFA Brian Shaw, CFA Jennifer Young Assistants Segueda CFA Trading Operations Portfolio Manager Senior Global Trader Associate Analyst Global Analyst Manager Payson Swaffield Kyle Lee, CFA CIO Income & Sarah Gelinas Courtney Associate Analyst Michael Ortiz Alternatives Global Analyst Graham Global Trader Trading Assistant Hoa Nguyen David Doggett Investment Analytics & Risk Global Trader Trading Assistant Matthew Murphy, Bradford Godfrey, Management CFA CFA Institutional Portfolio Marc Moran Director of Investment Global Portfolio Specialist Specialist Analytics & Risk Management Anna Semakhin Assistant Trader Zamir Klinger Senior Quantitative Andrew Geraghty Quantitative Research Analyst Assistant Justin Beauregard Quantitative Associate7 Source: Eaton Vance For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 8. Investment Process - Portfolio Construction Fundamental Assess Dynamic Region & Investment Trade Global Macro Portfolio Country Positioning Execution Environment Construction Analysis Evaluate trends and Analyses within each Determine targeted Pinpoint best Leverage local forces that impact country: return and risk opportunities within market contacts to growth in various profile for the various each country source unique −  Long term regions assets within each investment structural trends Right size positions country or region: opportunities Survey political to manage down −  Intermediate-term landscape and likely −  Credit side Determine most fundamentals impact efficient method of −  Interest Rate Manage overall −  Short-term factors implementation Frame context for portfolio risk budget −  Currency individual country Execute trades analysis −  Equity efficiently8 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 9. Investment Process - Access Global Macro Environment International Global geopolitical Demand & alignments Supply Obstacles to Monetary policies of free the U.S. Federal movement of Reserve, European capital & Central Bank & Bank Labour of Japan Cycle convergence Central bank reserve of major accumulation economies9 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 10. Investment Process - Region and Country Analysis −  Country risk sentiment −  Unexpected policy moves −  Flow of funds −  M&A activity −  Events: natural disasters, Short-Term epidemics etc. Factors Intermediate- −  Politics Term −  Monetary & Fiscal policy Fundamentals −  Inflation −  GDP growth −  Demographics & social −  Balance of payments, Net change External Trade −  Constitutional & −  Terms of trade Long-Term Structural government structure −  Purchasing Power Parity Trends −  Natural resources, human capital & infrastructure −  Geography10 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 11. Investment Process - Asset Class and Instrument Selection Country Selection Positioning Within Country Currency Credit Interest Rate Equity − Forwards with − External Bonds − Local Sovereign − Index Futures Delivery Bonds − Local Sovereign − Swaps − Non-Deliverable Bonds − Swaps − Back-to-Back Forwards − Credit Default − Futures Swaps − Deposits and Bills Swaps11 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 12. Investment Process - Portfolio Construction Director of Global Fixed Close proximity of investment Regional Portfolio Income team Managers/Analyst –  Macro Positioning –  Weekly meetings –  Regional Analysis –  Duration –  Research –  Country Selection –  Currency –  Portfolio analysis –  Fundamental Research –  Credit –  Trading & operations –  Instrument Selection –  Regional Allocation –  Dedicated trading –  Final Position Approval –  Risk management12 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 13. Risk Management Qualitative evaluation Target Ranges –  Constant review and exploration of sources at risk Position Weights 0 - 15% –  Continuous monitoring of financial market developments and portfolio impact Number of Countries 30 - 60 –  Comprehensive assessment of counterparty risk Duration 0 - 3 years Credit Spread Duration -2 - +2 years Quantitative evaluation –  Value at risk (VaR) Individual Non-US Fixed Income 0 – 15% Country Exposure –  Stress test Total Non-US Fixed Income –  Scenario analysis Country Exposure 0-100% Individual Currency Exposure -15% - +15% Position size based on anticipated return versus volatility Long: 0 to 100% Total Non-US Currency Exposure Short: 0 to 100% Portfolio team evaluates opportunity in the context of the entire portfolio to ensure overall risk is appropriate Individual Country Equity Exposure -5% - +5% Total Equity Exposure -10% - +10% Dedicated, 24 hour trading desk (6 trading staff) −  Local Counterparties Historical / Targeted Portfolio 2.5% - 5.5% Volatility −  Local Information 19% Annual Turnover, ex rolls13 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 14. Portfolio Composition International (Ireland) Global Macro Fund Currency Foreign Sovereign External Debt Country (%) Assets Country (%) Assets Country (%) Assets Country (%) Assets India 10.17 Hungary -0.11 Argentina 8.76 Tunisia -1.13 Malaysia 6.23 Japan -2.76 Poland 3.41 Mexico -1.27 Serbia 5.56 South Africa -2.96 Albania 2.49 Thailand -1.57 South Korea 5.19 Australia -4.17 Venezuela 1.93 Belgium -1.62 Mexico 5.03 Taiwan -6.93 Cyprus 1.53 Egypt -1.68 Turkey 4.45 Hungary 1.49 China -1.69 China 4.37 Croatia 1.35 Philippines -2.63 Singapore 3.74 Sri Lanka 0.88 Colombia -3.08 Philippines 3.68 South Africa 0.62 Russia -3.36 Nigeria 3.66 Bermuda 0.47 Lebanon -3.58 Sweden 2.92 Uganda 0.06 Brazil -3.92 Brazil 2.50 Spain -4.01 Dominican Republic 2.46 France -6.58 Norway 2.45 Germany -8.37 Sri Lanka 2.35 Poland 2.26 Uruguay 1.68 Peru 1.46 Uganda 1.14 Ghana 1.03 New Zealand 0.14 As of 30th September 2012 for the International (Ireland) Global Macro Fund . Currency Exposures include all Foreign Exchange denominated securities and derivatives. Derivatives are either based on notional exposure, delta adjusted notional, or unrealised gains/losses, dependent on derivative type. Foreign Sovereign External Debt includes market value of bond holdings plus credit default swaps, valued at notional plus unrealised gains/losses. External debt exposure is defined as exposure to sovereign debt, through bond or derivative investments, issued in a currency different from the currency that the sovereign entity can produce (print) itself. Absolute value by percent of net assets. Currency exposures include all foreign exchange dominated assets, currency derivatives and commodities. Fund statistics may not be representative of the Fund’s current or future investments and are subject to change due to active14 management. All numbers are as a percentage of total net assets. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 15. Portfolio Composition International (Ireland) Global Macro Fund Non U.S. Sovereign Bonds 65.5% U.S. Govt Agency Mortgage Backed 17.0% Securities Cash Equivalents 7.8% Other Net Assets 6.9% U.S. Treasury & Govt Agency Bonds 1.8% Equity 1.0% 0% 10% 20% 30% 40% 50% 60% 70% Percentage Asset Mix (%) as of 30th September 2012 for the International (Ireland) Global Macro Fund. Based on percent of total net assets. Other net assets represents other assets less liabilities and includes investment types, if any, each less than 1% of net assets. Any securities sold short will be subtracted15 from the corresponding assets. Percentages may not total 100% due to rounding. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 16. Appendix16 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 17. Global Footprint Eaton Vance Atlanta Capital Management Parametric Hexavest Distribution Partners Boston Atlanta Seattle Montreal Australia New York Westport, Connecticut Japan New Jersey London17 Singapore For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 18. Growing Capabilities, Timely Innovation 1984 1997 2004 2008 Mortgage-backed securities Global Macro Launched first Tax-Advantaged Strategy in a series of Bond Strategies launched equity option (TABS) business closed-end acquired from funds M.D. Sass 1982 1992 1996 2003 2007 2012 High yield bonds First China-focused Tax-Managed Acquired control Thomas Faust Acquired a mutual fund Strategy of Parametric becomes minority Portfolio Chairman interest in Associates & CEO Hexavest (est 1987) (est 2004) 1980 1990 2000 2010 1996 2007 1979 James B. Hawkes Parametric Eaton & Howard, Inc. becomes 2001 acquires 2011 (founded 1924) merges President Acquired control of Parametric Established with Vance, Sanders & & CEO Atlanta Capital Mgmt Risk Singapore Company (founded (est.1969) Advisors, office 1934) to form Eaton Listed on NYSE launches Vance Corp. (symbol: EV) Established DeltaShift™ 1989 Floating-rate loans London office program 1998 2006 Structured emerging 75th anniversary of market equity EV Large-Cap 1990 1978 capability launched Value Strategy Emerging markets bonds Municipal bond funds (est 1931) Corporate Income Equity Alternatives18 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 19. Notes to Schedule Eaton Vance Management Notes to Schedule: Firm Organisation Eaton Vance Management (EVM or the Company) is an SEC registered investment adviser with its headquarters located in Boston, Massachusetts. Since 1924, the Company has provided a full range of investment products to corporations, public agencies, labor unions, hospitals, charitable and educational organisations, individuals and various qualified investment plans. It supplies investment advisory services through several SEC registered investment advisers and a trust company – EVM, Boston Management and Research (BMR), Eaton Vance Investment Counsel (EVIC), and Eaton Vance Trust Company (EVTC). The Company is defined as all four entities operating under the Eaton Vance brand. Effective May 1, 2011, EVM’s Real Estate Investment Group, a constituent of EVM, is operating as a separate division of EVM, and its assets are no longer represented in EVM’s total assets under management. Performance Returns Unless otherwise stated, composite returns and market values are reported in U.S. dollars. All performance returns are presented as total returns, which include the reinvestment of all income and distributions. Returns for periods less than one year are not annualised. Information regarding policies for valuing portfolios, calculating performance and preparing compliant presentations is available upon request. Composite Dispersion Annual internal return dispersion is represented by the highest and lowest returns of all portfolios within a composite. Internal dispersion is shown only for composites that held at least six accounts for the full year. Internal dispersion is shown as not applicable, “N/A”, for composites that held five or fewer accounts for the full year. External composite and benchmark dispersion are shown to demonstrate the variability of returns over time, and is represented by the three-year ex-post standard deviation of monthly returns. External composite and benchmark dispersion are shown as not applicable, “N/A”, for composites with less than 3 years of monthly history, as of the most current quarter-end. External dispersion is not shown for composite inception through December 2010, as it is not required for periods prior to 2011. Other Matters A complete list of all composites maintained by EVM with descriptions and related performance results for each is available upon request. To receive a complete list and description of the Company’s composites and/or a presentation that adheres to the GIPS®, contact the Performance Department at (800) 225-6265 ext. 26733 or write to Eaton Vance Management, Two International Place, Boston, MA 02110, Attention GIPS Performance Department, 6th floor.19 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 20. International (Ireland) Global Macro Composite Eaton Vance Management International (Ireland) Global Macro Composite (MF 171) Notes to Schedule Composite Definition The investment objective of this style is to seek total return, defined as income plus capital appreciation. Portfolios seek to achieve the objective through exposure to currencies and to U.S. and non-U.S interest rates and issuers. Such exposure may be achieved by investing in securities and other instruments, including debt securities (which may be fixed and/or floating-rate and rated or unrated) issued by governments of both developed and emerging-market countries or their sub-divisions, government agencies and government-sponsored enterprises, mortgage-backed securities and other asset-backed securities, units in closed-ended collective investment schemes, inflation-indexed bonds issued by both governmental, quasi-governmental and/or corporate issuers, corporate debt securities (including, without limitation, convertible securities and corporate commercial paper), structured products which comply with the requirements set out in the Undertakings for Collective Investment in Transferable Securities (UCITS) Notices, and deposits. Portfolios may also achieve this exposure by investing in derivative instruments and transactions including, but not limited to, currency forwards, sovereign-credit default swaps, other swaps, and options and futures contracts. In accordance with UCITS Regulations, no more than 10% of a portfolio s net assets will be invested in securities that are not listed on worldwide Recognised Markets. A new account is added to the composite at the beginning of its first full month under management, and a closed account is included through its last full month under management. No selective periods of performance have been used. Benchmark The Composite s benchmark is the US LIBOR (London Inter-Bank Offered Rate) Market 3-Month Return Index. It is the compounded daily rate of a three-month deposit in USD. Gross and Net Returns Composite gross returns are after transaction costs, any foreign withholding taxes and other direct expenses, but before management fees, custody charges and other indirect expenses. Composite net returns are calculated by deducting the maximum management fee, 1.90% charged by EVM for a separately managed, institutional account of this style from the gross performance returns. The complete management fee schedule is as follows: 1.90% on total assets. Notes to Composite The creation date of this composite is June 2010, and the inception date is June 2010. Clients or prospective clients should not assume that they will have an investment experience similar to that indicated by past performance results, as shown on the Schedule.20 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 21. International (Ireland) Global Macro Composite Eaton Vance Management International (Ireland) Global Macro Composite Schedule of Performance Returns Gross Net Benchmark Number of Internal Dispersion Total Composite Total Firm Composite Assets 3-Yr External Dispersion Period Returns Returns Returns Accounts High Low Assets $(000) Assets $(000) as % of Firm Assets Composite Benchmark 2009 <6 NA NA 129,168,540 0.00 2010* 1.63 0.51 0.24 <6 NA NA 611,946 150,907,196 0.41 2011 1.27 -0.63 0.32 <6 NA NA 423,363 142,155,060 0.30 1Q12 2.59 2.11 0.14 <6 NA NA 384,348 149,900,379 0.26 2Q12 -0.24 -0.72 0.12 <6 NA NA 321,361 145,243,727 0.22 3Q12 3.26 2.77 0.12 <6 NA NA 274,679 148,485,347 0.18 Annualized Returns for Periods Ending 9/30/2012 YTD 1 Year 3 Years 5 Years 7 Years 10 Years Inception Composite Gross 5.67% 7.03% NA NA NA NA 3.66% Composite Net 4.19% 5.03% NA NA NA NA 1.72% Benchmark 0.37% 0.48% 0.37% 1.33% 2.43% 2.26% 0.40% *Partial Period Inception Date: 6/1/2010 Eaton Vance Management claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Eaton Vance Management has been independently verified for the period January 1, 1996 through March 31, 2012. A copy of the verification report is available upon request. Verification asseses whether (1) the firm has complied with all composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firms policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. Please see Notes to Schedule accompanying these returns (MF 171).21 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 22. Global Macro Composite Eaton Vance Management Global Macro Composite (MF 143) Notes to Schedule Composite Definition The investment objective of this style is to provide a high level of total return by investing in a global portfolio consisting primarily of foreign and domestic obligations. Assets are invested in income- producing securities and derivative instruments in different countries and currencies, and with various credit ratings including below investment-grade quality. Investments are made in foreign and U.S. securities, such as the sovereign debt of foreign countries, which include emerging-market countries, U.S. Government mortgage-backed debt obligations and high-yield corporate bonds. Derivatives, such as currency forwards, sovereign-credit default swaps, other swaps, options and futures contracts are used frequently to generate return. An account is included in the composite at the beginning of the first full month that the portfolio manager deems it fully invested, and a closed account is included through the last full month under management. No selective periods of performance have been used. Benchmark The Composite s benchmark is the US LIBOR (London Inter-Bank Offered Rate) Market 3-Month Return Index. It is the compounded daily rate of a three-month deposit in USD. Gross and Net Returns Composite gross returns are after transaction costs, any foreign withholding taxes and other direct expenses, but before management fees, custody charges and other indirect expenses. Composite net returns are calculated by deducting the maximum management fee, 0.85% charged by EVM for a separately managed, institutional account of this style from the gross performance returns. The complete management fee schedule is as follows: 0.85% on total all assets. Notes to Composite The creation date of this composite is June 2006, and the inception date is January 1996. Effective July 1, 2008, the complete management fee schedule changed from: 0.60% (maximum management fee) on the first $25 Million; 0.55% on the next $25 Million; 0.50% on the next $50 Million; 0.40% on the balance. Clients or prospective clients should not assume that they will have an investment experience similar to that indicated by past performance results, as shown on the Schedule.22 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 23. Global Macro Composite Eaton Vance Management Global Macro Composite Schedule of Performance Returns Gross Net Benchmark Number of Internal Dispersion Total Composite Total Firm Composite Assets 3-Yr External Dispersion Period Returns Returns Returns Accounts High Low Assets $(000) Assets $(000) as % of Firm Assets Composite Benchmark 1996 20.89 20.17 5.77 <6 NA NA 133,969 17,713,695 0.76 1997 10.67 10.01 5.92 <6 NA NA 130,018 21,379,582 0.61 1998 4.07 3.44 5.85 <6 NA NA 131,735 31,067,758 0.42 1999 6.09 5.46 5.49 <6 NA NA 148,338 42,203,261 0.35 2000 5.41 4.79 6.69 <6 NA NA 159,143 48,387,459 0.33 2001 12.19 11.52 4.52 <6 NA NA 179,070 49,878,722 0.36 2002 6.67 6.03 1.90 <6 NA NA 192,956 47,396,631 0.41 2003 13.04 12.37 1.27 <6 NA NA 302,597 61,472,938 0.49 2004 10.53 9.88 1.48 <6 NA NA 363,011 77,002,901 0.47 2005 6.96 6.32 3.39 <6 NA NA 461,178 88,569,140 0.52 2006 7.80 7.16 5.24 <6 NA NA 595,516 107,608,002 0.55 2007 12.30 11.64 5.60 <6 NA NA 761,784 127,327,734 0.60 2008 2.60 1.86 3.48 <6 NA NA 774,520 100,776,048 0.77 2009 12.12 11.17 0.80 <6 NA NA 1,923,790 129,168,540 1.49 2010 5.60 4.71 0.34 <6 NA NA 9,130,628 150,907,196 6.05 2011 0.40 -0.46 0.32 <6 NA NA 7,687,639 142,155,060 5.41 2.56 0.10 1Q12 2.54 2.33 0.14 <6 7,855,673 149,900,378 5.24 2.73 0.07 2Q12 -0.56 -0.77 0.12 <6 7,682,377 145,243,727 5.29 2.88 0.04 3Q12 2.97 2.76 0.12 <6 7,251,619 148,485,347 4.88 2.73 0.03 Annualized Returns for Periods Ending 9/30/12 YTD 1 Year 3 Years 5 Years 7 Years 10 Years Since Inception Composite Gross 5.01 6.01 4.38 5.95 6.91 8.10 8.40 Composite Net 4.34 5.12 3.50 5.10 6.11 7.34 7.69 Benchmark 0.37 0.48 0.37 1.33 2.43 2.26 3.46 Inception Date: 1/01/96 Eaton Vance Management claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Eaton Vance Management has been independently verified for the period January 1, 1996 through December 31, 2011. A copy of the verification report is available upon request. Verification asseses whether (1) the firm has complied with all composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firms policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. Please see Notes to Schedule accompanying these returns (MF 143).23 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 24. Performance – Information Ratio as of 30th June 2012 ! Source: MercerInsight MPA. This information is for illustrative purposes only, is subject to change at any time and should not be considered investment advise or a recommendation to buy or sell any particular security. The information is based upon the total assets of all fee-paying discretionary accounts comprising the Global Macro Composite as of 30th June 2012. Gross returns for the Composite are calculated in U.S. dollars, include the reinvestment of distributions, and are after transaction costs, any foreign withholding taxes and other direct expenses, but before management fees, custody charges and other indirect expenses. Such fees and expenses would reduce the results shown. It is not possible to directly invest in an Index. Past performance does24 not predict future results. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 25. EVI (Ireland) Global Macro Fund Performance– I2$ 5.0% Key Facts 4.47% Global Macro International Ireland Class I2$ 4.27% –  Irish-domiciled UCITS (Sophisticated Status) Fund 4.0% US Libor Market 3 Month Return Index –  The EVI (Ireland) Global Macro Fund is unable to 3.0% invest directly in commodities 1.94% 1.94% 2.02% 2.0% –  Inception: 6th May 2010 –  Fund Assets: US$274.7mn1 1.0% –  Strategy Assets: US$7.2bn2 0.23% 0.41% 0.48% 0.40% 0.03% 0.11% –  Benchmark: U.S. LIBOR 0.0% Market 3-Month Return -0.19% Index -1.0% Month Ending 3 Months 6 Months YTD 1 Year Life of the Fund 31/10/2012 1 As at 30th September 2012 International (Ireland) Global Macro Fund. Source: Eaton Vance and Citi Fund Accounting. Performance given is for the EVI (Ireland) Global Macro I2$ as at 31st October 2012 (inception 6th May 2010) and is for illustrative purposes only. Past performance is not a reliable indicator of future performance. Performance less than 1 year is cumulative. * Benchmark since inception return number is based on the A2$ and I2$ share class. 2As25 of 30th September 2012 Global macro Composite assets. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 26. EVI (Ireland) Global Macro Fund Performance– I2€ 5.0% Global Macro International Ireland Class I2€ 4.26% 4.15% US Libor Market 3 Month Return Index 4.0% 3.0% 2.10% 2.0% 1.84% 1.74% 1.0% 0.41% 0.48% 0.40% 0.23% 0.11% 0.03% 0.0% -0.28% -1.0% Month Ending 3 Months 6 Months YTD 1 Year Life of the Fund 31/10/2012 As at 31st October 2012 International (Ireland) Global Macro Fund. Source: Eaton Vance and Citi Fund Accounting. Performance given is for the EVI (Ireland) Global Macro I2€ as at 31st October 2012 (inception 6th May 2010) and is for illustrative purposes only. Past performance is not a reliable indicator of future26 performance. Performance less than 1 year is cumulative. * Benchmark since inception return number is based on the I2€ share class. For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 27. Biographies Mark S. Venezia, CFA Vice President, Director of Global Fixed Income Mark Venezia is a vice president of Eaton Vance Management, director of the Global Bond Department and portfolio manager on Eaton Vance’s global/fixed-income team. Mark joined Eaton Vance in 1984 after two years as vice president and general manager at Network Utilities and three years at the Options Clearing Corporation. Mark earned a B.A. in economics from Stanford University, an M.B.A. from the University of Chicago and a master’s in philosophy from the University of Illinois. He is a CFA charterholder and a member of the Bond Analysts Society, the Ludwig von Mises Institute and the American Economic Association. John Baur Vice President, Portfolio Manager John Baur is a vice president of Eaton Vance Management and portfolio manager on Eaton Vance’s global/fixed-income team. John joined Eaton Vance in 2005 as an analyst covering Latin America before becoming a portfolio manager in 2008. From 1995-2002, John was affiliated with Applied Materials in an engineering capacity, spending five of his seven years there in Asia. John earned a B.S. in mechanical engineering from M.I.T. and an M.B.A. from the Johnson Graduate School of Management at Cornell University. He is a member of the Boston Economics Club. Michael Cirami, CFA Vice President, Portfolio Manager Mike Cirami is a vice president of Eaton Vance Management and portfolio manager on Eaton Vance’s global/fixed-income team. Mike joined Eaton Vance’s global fixed income department in 2003. Previously, he was employed at State Street Bank in Boston, Luxemburg and Munich, and with BT&T Asset Management in Zurich. Mike earned a B.S. in business administration and economics, cum laude, from Mary Washington College and an M.B.A. with honors from the William E. Simon School at the University of Rochester. He is a CFA charterholder and a member of the Fixed Income Management Society of Boston and the Ludwig von Mises Institute. Mike also serves as a board member and chairman of the investment committee of the Boston Civic Symphony. Eric Stein, CFA Vice President, Portfolio Manager Eric Stein is a vice president of Eaton Vance Management and portfolio manager on Eaton Vance’s global/fixed-income team. In addition to his overall portfolio management responsibilities, he serves as a regional portfolio manager focusing on Asia and non-EU Western Europe. He also covers the policies and actions of the Federal Reserve and Treasury. Eric originally joined Eaton Vance in 2002 and rejoined the company in 2008. He previously worked on the Markets Desk of the Federal Reserve Bank of New York. In addition, he has experience at Citigroup Alternative Investments. Eric earned a B.S., cum laude, in business administration from Boston University and an M.B.A. in analytic finance and economics, with honors, from the University of Chicago Booth School of Business. He is a CFA charterholder and a member of the Boston Security Analysts Society and Boston Economics Club. Eric also serves as a board member and member of the investment committee of the Boston Civic Symphony.27 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 28. Biographies Danat Abdrakhmanov, CFA Assistant Vice President, Senior EMEA Analyst and Institutional Portfolio Manager Danat is a member of the investment team responsible for the Eaton Vance Global Macro Absolute Return Strategy, with specific responsibility for Eastern Europe, Middle East and Africa. He has been with Eaton Vance for nearly 7 years, joining the Global Fixed Income Department in 2006. Danat received his B.S. (cum laude) in Finance and Economics from the Carroll School of Management at Boston College and is a CFA charterholder. Born in Kazakhstan, Danat is fluent in a number of languages, including Russian. Michael P. O’Brien, CFA Vice President, Head of Global Trading Michael O’Brien is a vice president of Eaton Vance Management and head of global trading, overseeing a team responsible for best execution of all trades for the Global Fixed Income Department as well as other foreign exchange spot and hedging trades for other Eaton Vance investment teams. In addition, he is responsible for trading-related research and broker-dealer relationships for the Global Fixed Income department. Prior to joining Eaton Vance in 2005, Michael was affiliated with Wellington Management Company for two years and spent three years at Brown Brothers Harriman. Michael earned a B.A. in economics and Spanish from the Colby College, and an M.S. in finance from the Carroll School of Management at Boston College. He is a CFA charterholder and a member of the Boston Security Analysts Society. Zamir Klinger Vice President, Quantitative Analyst Zamir is a vice president of Eaton Vance Management and quantitative portfolio analyst. Zamir joined Eaton Vance in 2008 and works on risk management and statistical projects for the Global/Government Fixed Income Department. He was previously employed at Teradyne Inc. and Zoran Corp. as an electrical engineer. Zamir earned his M.B.A. with a concentration in asset management from the Boston College Carroll School of Management and his Bachelor’s of Engineering with Distinction from McGill University.28 For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.
  • 29. Important Additional Information and Disclosure This material has been prepared by Eaton Vance Management (EVM). The data and information presented 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. Any investment views and market opinions/analyses expressed constitute judgments as of the date of this presentation and are subject to change at any time without notice. Any investment views and market opinions/analyses expressed may not reflect those of EVM as a whole, and different views may be expressed based on different investment styles, objectives views or philosophies. While every effort has been made to verify the third-party information contained herein. EVM make no representation as to its accuracy. Each investor’s portfolio is individually managed and may differ significantly from the information shown in terms of portfolio holdings, characteristics and performance. Readers should not assume that any investments in securities, companies, sectors or markets described were or will be profitable. Readers should not view this material as representative of any particular investor’s experience or assume that any investor will have an investment experience similar to any returns shown or to any previous or existing investor. There are no guarantees concerning the achievement of investment objectives, target returns or measurements such as alpha, tracking error, stock weightings and information ratios. The use of tools cannot guarantee performance. It is not possible to directly invest in an Index or a blend of indices. Investment results for the Global Macro Composite include all fully discretionary, fee paying accounts managed in this style for the periods shown. Gross returns are calculated in U.S. dollars and are after transaction costs, any foreign withholding taxes and other direct expenses, but before management fees, custody charges and other indirect expenses and include the reinvestment of distributions. Such fees and expenses would reduce the returns shown. EVM’s schedule of fees is described in Part II of Form ADV which is available upon request. For a separately managed Global Macro account in this style with a value of $50,000,000 the investment advisory fees would be 0.85% per annum. An account growing at an annual rate of 10% for the period shown and subject to such fees would produce a 9.15% return. The Composite includes an investment company advised by EVM whose holdings may differ significantly from that of a separately managed account. The returns experienced by a particular client, including a separately managed account, will be different from those included in this presentation. The composite’s benchmark is the US LIBOR (London Inter-Bank Offered Rate) Market 3-Month Return Index. The index is generated using the theory that a basket of cash is invested daily at the prevailing LIBOR maturity rate. Interest is compounded daily for Total Return series. The Representative Account information is based upon the total assets of a single account which is included in the Composite for the periods shown. This account was selected because it is the only account in the Composite. Portfolio Characteristics are subject to change at anytime. It should not be assumed that any of the securities listed were or will be profitable. Actual holdings may vary for each client and there is no guarantee that a particular client’s account will hold any or all or all of the securities listed . Investing entails risks and there can be no assurance that EVM will achieve profits or avoid incurring losses. Past performance does not predict future results. This material is to be used in one-on-one presentations only. Global Macro GIPS® Presentation EVM has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®). The CFA Institute has not been involved in the preparation or review of this report. To receive a complete list and description of EVM’s composites and/or a fully compliant GIPS® presentation, please contact the Performance Department at (800) 225-6265 x6733 or write to EVM at Two International Place, Boston, MA 02110 – Attn: GIPS Performance Department, 6th floor.294018-11/12 EVMI-IGMSRPPT For Use in One-On-One Presentations to Institutional Investors Only Ÿ Eaton Vance Management (International) Ltd.