N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-22424

Global Macro Absolute Return Advantage Portfolio

(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

(Registrant’s Telephone Number)

October 31

Date of Fiscal Year End

April 30, 2018

Date of Reporting Period

Item 1. Reports to Stockholders

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited)

Foreign Government Bonds — 51.9%
Security		Principal Amount (000’s omitted)		Value
Albania — 1.0%
Republic of Albania, 5.75%, 11/12/20(1)	EUR		39,250	$	52,774,675
Total Albania				$	52,774,675
Argentina — 2.0%
City of Buenos Aires, 26.134%, (Badlar + 3.25%), 3/29/24(2)	ARS		383,356	$	18,264,489
City of Buenos Aires, 27.908%, (Badlar + 5.00%), 1/23/22(2)	ARS		85,359		4,347,921
Provincia de Buenos Aires/Argentina, 27.00%, (Badlar + 3.75%), 4/12/25(1)(2)	ARS		260,600		12,925,201
Provincia de Buenos Aires/Argentina, 27.50%, (Badlar + 3.83%), 5/31/22(2)	ARS		266,612		13,169,970
Republic of Argentina, 5.00%, 1/15/27(1)	EUR		1,946		2,291,169
Republic of Argentina, 6.25%, 11/9/47	EUR		21,878		24,510,079
Republic of Argentina, 6.875%, 1/11/48	USD		30,547		27,198,285
Republic of Argentina, 7.625%, 4/22/46	USD		1,458		1,410,615
Total Argentina				$	104,117,729
Australia — 2.2%
Australia Government Bond, 3.00%, 3/21/47(1)(3)	AUD		119,004	$	84,744,589
Australia Government Bond, 3.25%, 6/21/39(1)(3)	AUD		34,500		26,360,428
Total Australia				$	111,105,017
Barbados — 1.5%
Barbados Government International Bond, 6.625%, 12/5/35(1)	USD		29,459	$	22,830,725
Barbados Government International Bond, 7.00%, 8/4/22(1)	USD		29,435		25,461,275
Barbados Government International Bond, 7.25%, 12/15/21(1)	USD		30,909		27,199,920
Total Barbados				$	75,491,920
Dominican Republic — 3.7%
Dominican Republic, 8.90%, 2/15/23(1)	DOP		4,187,800	$	87,597,948
Dominican Republic, 10.375%, 3/4/22(1)	DOP		210,500		4,456,860
Dominican Republic, 10.375%, 3/6/26(1)	DOP		913,000		19,650,629
Dominican Republic, 11.375%, 7/6/29(1)	DOP		1,782,000		40,340,728
Dominican Republic, 12.00%, 3/5/32(1)	DOP		341,000		7,805,589
Dominican Republic, 14.00%, 6/8/18(1)	DOP		1,008,800		20,466,525
Dominican Republic, 15.00%, 4/5/19(1)	DOP		393,400		8,516,989
Dominican Republic, 16.95%, 2/4/22(1)	DOP		98,000		2,550,688
Total Dominican Republic				$	191,385,956

Security		Principal Amount (000’s omitted)		Value
El Salvador — 4.8%
Republic of El Salvador, 5.875%, 1/30/25(1)	USD		4,109	$	4,047,365
Republic of El Salvador, 6.375%, 1/18/27(1)(3)	USD		17,931		17,774,104
Republic of El Salvador, 7.625%, 9/21/34(1)	USD		1,741		1,832,402
Republic of El Salvador, 7.65%, 6/15/35(1)	USD		27,000		28,215,000
Republic of El Salvador, 7.75%, 1/24/23(1)	USD		30,500		32,979,650
Republic of El Salvador, 8.25%, 4/10/32(1)	USD		33,712		37,319,858
Republic of El Salvador, 8.625%, 2/28/29(1)(3)	USD		107,904		123,550,080
Total El Salvador				$	245,718,459
Georgia — 0.1%
Georgia Treasury Bond, 6.75%, 10/6/18	GEL		335	$	136,400
Georgia Treasury Bond, 8.00%, 6/9/18	GEL		4,325		1,766,277
Georgia Treasury Bond, 10.50%, 2/5/25	GEL		1,969		899,712
Total Georgia				$	2,802,389
Iceland — 1.8%
Republic of Iceland, 5.00%, 11/15/28	ISK		1,753,946	$	16,917,201
Republic of Iceland, 6.25%, 2/5/20	ISK		72,674		737,800
Republic of Iceland, 6.50%, 1/24/31	ISK		5,991,265		65,934,115
Republic of Iceland, 7.25%, 10/26/22	ISK		552,876		5,951,658
Republic of Iceland, 8.00%, 6/12/25	ISK		351,832		4,064,901
Total Iceland				$	93,605,675
India — 1.9%
India Government Bond, 6.97%, 9/6/26	INR		3,840,000	$	54,309,303
India Government Bond, 7.59%, 3/20/29	INR		2,046,000		29,866,879
India Government Bond, 7.61%, 5/9/30	INR		1,113,060		16,102,179
Total India				$	100,278,361
Kazakhstan — 0.2%
Kazakhstan Government International Bond, 9.60%, 4/3/21	KZT		2,974,820	$	9,398,879
Total Kazakhstan				$	9,398,879
Macedonia — 4.7%
Republic of Macedonia, 2.75%, 1/18/25(1)	EUR		30,173	$	36,162,535
Republic of Macedonia, 3.975%, 7/24/21(1)	EUR		88,774		114,433,682
Republic of Macedonia, 4.875%, 12/1/20(1)	EUR		52,370		68,890,390
Republic of Macedonia, 5.625%, 7/26/23(1)	EUR		16,719		23,352,540
Total Macedonia				$	242,839,147

17 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Security		Principal Amount (000’s omitted)		Value
New Zealand — 4.7%
New Zealand Government Bond, 2.00%, 9/20/25(1)(4)	NZD		41,301	$	30,321,655
New Zealand Government Bond, 2.50%, 9/20/35(1)(4)	NZD		103,262		78,703,265
New Zealand Government Bond, 2.50%, 9/20/40(4)	NZD		104,294		78,205,102
New Zealand Government Bond, 3.00%, 9/20/30(1)(4)	NZD		67,122		53,842,924
Total New Zealand				$	241,072,946
Serbia — 14.6%
Serbia Treasury Bond, 5.75%, 7/21/23	RSD		20,863,180	$	230,378,108
Serbia Treasury Bond, 5.875%, 2/8/28	RSD		21,873,110		239,148,908
Serbia Treasury Bond, 6.00%, 2/22/19	RSD		1,964,380		20,613,276
Serbia Treasury Bond, 10.00%, 6/5/21	RSD		1,665,610		20,127,938
Serbia Treasury Bond, 10.00%, 9/11/21	RSD		2,364,370		28,847,512
Serbia Treasury Bond, 10.00%, 2/5/22	RSD		12,091,930		149,908,675
Serbia Treasury Bond, 10.00%, 10/23/24	RSD		4,493,850		60,069,700
Total Serbia				$	749,094,117
Sri Lanka — 6.9%
Sri Lanka Government Bond, 8.00%, 11/15/18	LKR		6,287,550	$	39,777,665
Sri Lanka Government Bond, 8.00%, 11/1/19	LKR		120,000		743,801
Sri Lanka Government Bond, 8.50%, 5/1/19	LKR		368,000		2,314,370
Sri Lanka Government Bond, 8.75%, 10/15/18	LKR		2,088,000		13,237,179
Sri Lanka Government Bond, 9.00%, 5/1/21	LKR		4,424,000		27,475,312
Sri Lanka Government Bond, 9.25%, 5/1/20	LKR		2,452,740		15,425,417
Sri Lanka Government Bond, 9.45%, 10/15/21	LKR		1,369,000		8,572,110
Sri Lanka Government Bond, 10.00%, 10/1/22	LKR		2,176,900		13,773,386
Sri Lanka Government Bond, 10.25%, 3/15/25	LKR		4,623,500		29,372,096
Sri Lanka Government Bond, 10.60%, 7/1/19	LKR		596,930		3,834,153
Sri Lanka Government Bond, 10.60%, 9/15/19	LKR		1,720,000		11,047,123
Sri Lanka Government Bond, 10.75%, 3/1/21	LKR		3,373,000		21,824,315
Sri Lanka Government Bond, 11.00%, 8/1/21	LKR		6,436,720		42,158,190
Sri Lanka Government Bond, 11.00%, 8/1/24	LKR		1,262,000		8,268,917
Sri Lanka Government Bond, 11.00%, 8/1/25	LKR		100,000		659,171
Sri Lanka Government Bond, 11.00%, 6/1/26	LKR		5,923,870		39,065,274
Sri Lanka Government Bond, 11.20%, 7/1/22	LKR		515,580		3,395,413
Sri Lanka Government Bond, 11.20%, 9/1/23	LKR		704,000		4,654,458
Sri Lanka Government Bond, 11.40%, 1/1/24	LKR		692,000		4,627,589
Sri Lanka Government Bond, 11.50%, 12/15/21	LKR		3,650,000		24,322,887
Sri Lanka Government Bond, 11.50%, 5/15/23	LKR		1,823,000		12,170,103
Sri Lanka Government Bond, 11.50%, 8/1/26	LKR		3,105,000		20,907,302
Sri Lanka Government Bond, 11.50%, 9/1/28	LKR		1,346,000		9,118,582
Total Sri Lanka				$	356,744,813

Security		Principal Amount (000’s omitted)			Value
Tanzania — 0.0%
United Republic of Tanzania, 8.241%, (6 mo. USD LIBOR + 6.00%), 3/9/20(1)(2)	USD		0	(5)	$	252
Total Tanzania					$	252
Thailand — 1.0%
Thailand Government Bond, 1.25%, 3/12/28(1)(4)	THB		1,644,655		$	50,484,008
Total Thailand					$	50,484,008
Turkey — 0.8%
Republic of Turkey, 6.00%, 3/25/27	USD		42,000		$	42,233,730
Total Turkey					$	42,233,730
Total Foreign Government Bonds (identified cost $2,564,128,395)					$	2,669,148,073
Foreign Corporate Bonds — 2.0%
Security		Principal Amount (000’s omitted)			Value
Argentina — 0.3%
Banco Hipotecario SA, 25.229%, (Badlar + 2.50%), 1/12/20(1)(2)	ARS		165,870		$	8,022,076
YPF SA, 26.563%, (Badlar + 4.00%), 7/7/20(1)(2)	USD		10,071			7,654,665
Total Argentina					$	15,676,741
China — 0.3%
21Vianet Group, Inc., 7.00%, 8/17/20(1)	USD		3,282		$	3,302,513
CIFI Holdings Group Co., Ltd., 5.50%, 1/23/22(1)	USD		5,377			5,038,975
KWG Property Holding, Ltd., 6.00%, 9/15/22(1)	USD		5,375			5,034,891
Logan Property Holdings Co., Ltd., 5.25%, 2/23/23(1)	USD		1,000			894,597
Logan Property Holdings Co., Ltd., 6.875%, 4/24/21(1)	USD		2,835			2,829,273
Total China					$	17,100,249
Ecuador — 0.5%
EP PetroEcuador via Noble Sovereign Funding I, Ltd., 7.925%, (3 mo. USD LIBOR + 5.63%), 9/24/19(1)(2)	USD		3,998		$	4,017,402
Petroamazonas EP, 4.625%, 11/6/20(1)	USD		22,000			20,385,530
Total Ecuador					$	24,402,932

18 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Security		Principal Amount (000’s omitted)		Value
Georgia — 0.1%
Bank of Georgia JSC, 11.00%, 6/1/18	GEL		16,810	$	6,862,940
Total Georgia				$	6,862,940
Honduras — 0.3%
Inversiones Atlantida SA, 8.25%, 7/28/22(1)	USD		13,133	$	13,773,234
Total Honduras				$	13,773,234
Iceland — 0.4%
Heimavellir HF, 7.91%, 4/25/23(6)	ISK		1,963,167	$	19,400,800
Total Iceland				$	19,400,800
Indonesia — 0.0%(7)
Jasa Marga (Persero) Tbk PT, 7.50%, 12/11/20(1)	IDR		27,880,000	$	1,983,671
Total Indonesia				$	1,983,671
Singapore — 0.1%
ABJA Investment Co. Pte., Ltd., 5.45%, 1/24/28(1)	USD		5,376	$	4,882,026
Total Singapore				$	4,882,026
Total Foreign Corporate Bonds (identified cost $111,619,329)				$	104,082,593
Sovereign Loans — 2.4%
Borrower		Principal Amount (000’s omitted)		Value
Barbados — 0.4%
Government of Barbados, Term Loan, 11.78%, (6 mo. USD LIBOR + 10.00%), Maturing December 20, 2019(2)(8)		$	21,920	$	22,059,214
Total Barbados				$	22,059,214
Ethiopia — 0.1%
Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 5.72%, (6 mo. USD LIBOR + 3.75%), Maturing August 1, 2021(2)(8)		$	7,544	$	7,306,493
Total Ethiopia				$	7,306,493

Borrower		Principal Amount (000’s omitted)		Value
Iceland — 0.8%
Almenna Leigufelagid EHF, Term Loan, 6.75%, Maturing January 25, 2028(6)(9)	ISK		4,000,000	$	39,087,538
Total Iceland				$	39,087,538
Kenya — 0.1%
Government of Kenya, Term Loan, 7.50%, (6 mo. USD LIBOR + 5.00%), Maturing April 18, 2019(2)		$	3,134	$	3,134,000
Total Kenya				$	3,134,000
Tanzania — 1.0%
Government of the United Republic of Tanzania, Term Loan, 7.03%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(2)		$	50,800	$	51,542,493
Total Tanzania				$	51,542,493
Total Sovereign Loans (identified cost $122,446,675)				$	123,129,738
Credit Linked Notes — 0.1%
Security		Principal Amount (000’s omitted)		Value
Argentina — 0.1%
Desarrolladora Energética S.A. (Deutsche Bank AG), 9.50%, 7/27/20(10)(11)		$	3,000	$	3,022,500
Total Argentina				$	3,022,500
Total Credit Linked Notes (identified cost $3,034,039)				$	3,022,500
Collateralized Mortgage Obligations — 0.9%
Security		Principal Amount (000’s omitted)		Value
Federal Home Loan Mortgage Corp.:
Interest Only:(12)
Series 362, Class C6, 3.50%, 12/15/47		$	35,009	$	7,948,142
Series 2770, Class SH, 5.203%, (7.10% - 1 mo. USD LIBOR), 3/15/34(13)			1,884		319,843
Series 4791, Class JI, 4.00%, 5/15/48			65,698		15,846,762
				$	24,114,747

19 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Principal Amount (000’s omitted)		Value
Federal National Mortgage Association:
Interest Only:(12)
Series 424, Class C8, 3.50%, 2/25/48	$	49,565	$	11,283,871
Series 2010-67, Class BI, 5.50%, 6/25/25		263		7,302
Series 2010-109, Class PS, 4.703%, (6.60% - 1 mo. USD LIBOR), 10/25/40(13)		4,552		703,628
Series 2018-21, Class IO, 3.00%, 4/25/48		51,481		10,322,102
			$	22,316,903
Total Collateralized Mortgage Obligations (identified cost $44,030,276)			$	46,431,650
Small Business Administration Loans (Interest Only)(14) — 1.1%
Security	Principal Amount (000’s omitted)		Value
1.63%, 11/20/42	$	1,286	$	100,583
1.88%, 10/30/42 to 12/28/42		11,193		967,893
2.13%, 1/25/43		1,762		172,703
2.24%, 8/15/40		65,845		6,523,902
2.38%, 11/30/42 to 3/1/43		6,384		709,025
2.48%, 10/12/42		263		28,813
2.63%, 10/27/42 to 3/22/43		11,947		1,485,823
2.803%, 10/1/40		140,338		18,294,725
2.88%, 10/27/42 to 2/13/43		10,785		1,482,663
3.028%, 10/12/39		151,702		21,020,537
3.13%, 12/11/42 to 2/15/43		7,801		1,190,626
3.134%, 10/12/42		1,060		146,501
3.38%, 12/18/42		686		116,997
3.63%, 10/27/42 to 3/28/43		24,043		4,279,526
3.634%, 11/22/42		3,340		592,314
Total Small Business Administration Loans (Interest Only) (identified cost $56,219,898)			$	57,112,631
Common Stocks — 6.9%
Security	Shares		Value
Cyprus — 0.3%
Bank of Cyprus Holdings PLC(15)(16)		6,951,689	$	15,908,036
Bank of Cyprus Holdings PLC(15)(16)		1,075,268		2,476,524
Total Cyprus			$	18,384,560
Iceland — 2.7%
Eik Fasteignafelag HF		99,681,305	$	9,841,054
Eimskipafelag Islands HF		6,347,970		14,020,865

Security	Shares		Value
Iceland (continued)
Hagar HF(15)		40,218,755	$	16,295,770
Heimavellir HF(15)		143,296,854		1,940,080
Icelandair Group HF		62,006,300		8,272,409
N1 HF(15)		4,045,400		4,417,597
Reginn HF(15)		56,412,638		13,547,061
Reitir Fasteignafelag HF		27,213,913		24,231,382
Siminn HF		477,902,040		20,780,403
Sjova-Almennar Tryggingar HF		54,050,814		8,866,919
Tryggingamidstodin HF		851,393		298,484
Tryggingamidstodin HF		16,591,329		5,820,656
Vatryggingafelag Islands HF		65,137,096		8,915,395
Total Iceland			$	137,248,075
Japan — 1.0%
Mitsubishi UFJ Financial Group, Inc.		2,574,900	$	17,255,286
Mizuho Financial Group, Inc.		5,368,600		9,713,068
Resona Holdings, Inc.		730,800		4,152,463
Sumitomo Mitsui Financial Group, Inc.		319,700		13,324,534
Sumitomo Mitsui Trust Holdings, Inc.		165,100		7,001,408
Total Japan			$	51,446,759
Serbia — 0.0%(7)
Komercijalna Banka AD Beograd(15)		32,745	$	620,789
Total Serbia			$	620,789
Singapore — 0.5%
Yoma Strategic Holdings, Ltd.		79,369,266	$	25,567,857
Total Singapore			$	25,567,857
South Korea — 0.6%
Hana Financial Group, Inc.		21,300	$	946,427
Hyundai Heavy Industries Co., Ltd.(15)		669		74,060
Hyundai Mobis Co., Ltd.		5,080		1,176,444
Hyundai Motor Co.		9,247		1,379,169
KB Financial Group, Inc.		20,997		1,192,946
Korea Electric Power Corp.		21,500		752,108
Korea Zinc Co., Ltd.		1,431		579,165
KT&G Corp.		6,856		626,928
LG Chem, Ltd.		2,199		736,068
LG Corp.		8,624		652,360
LG Electronics, Inc.		8,600		815,442
LG Household & Health Care, Ltd.		727		928,291
Lotte Chemical Corp.		1,700		654,631
Naver Corp.		2,544		1,696,447

20 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Security	Shares		Value
South Korea (continued)
POSCO		2,756	$	949,609
S-Oil Corp.		6,100		625,608
Samsung Biologics Co., Ltd.(10)(15)		1,812		822,994
Samsung C&T Corp.		7,800		1,017,373
Samsung Electronics Co., Ltd.		1,881		4,662,259
Samsung Fire & Marine Insurance Co., Ltd.		2,300		574,287
Samsung Life Insurance Co., Ltd.		9,200		1,004,336
Samsung SDI Co., Ltd.		4,297		731,692
Samsung SDS Co., Ltd.		4,524		1,027,573
Shinhan Financial Group Co., Ltd.		16,666		742,081
SK Holdings Co., Ltd.		2,500		684,322
SK Hynix, Inc.		28,089		2,209,031
SK Innovation Co., Ltd.		3,677		673,797
SK Telecom Co., Ltd.		4,000		854,652
Woori Bank		45,755		683,096
Total South Korea			$	29,473,196
Turkey — 0.4%
Akbank Turk AS		3,692,941	$	7,683,804
Turkiye Garanti Bankasi AS		2,835,020		6,419,703
Turkiye Is Bankasi AS, Class C		5,394,867		8,174,661
Total Turkey			$	22,278,168
Vietnam — 1.4%
Bank for Foreign Trade of Vietnam JSC		1,526,750	$	4,002,294
Bank for Investment and Development of Vietnam JSC		845,160		1,332,937
Bao Viet Holdings		283,140		1,140,098
Binh Minh Plastics JSC		460,800		1,077,058
Coteccons Construction JSC		239,670		1,416,804
Danang Rubber JSC		120,210		128,502
Domesco Medical Import Export JSC		195,910		844,017
FPT Corp.		26,960		72,234
HA TIEN 1 Cement JSC		388,990		225,127
Ho Chi Minh City Infrastructure Investment JSC(15)		1,400,400		1,930,296
Hoa Phat Group JSC(15)		1,569,170		3,698,985
Hoa Sen Group		255,450		187,276
KIDO Group Corp.		673,920		1,078,908
Kinh Bac City Development Share Holding Corp.(15)		921,600		536,656
Masan Group Corp.(15)		1,399,400		5,620,458
Mobile World Investment Corp.		279,000		1,247,879
PetroVietnam Drilling & Well Services JSC(15)		465,230		346,140
PetroVietnam Fertilizer & Chemical JSC		695,170		582,254
PetroVietnam Gas JSC		297,000		1,448,393
PetroVietnam Nhon Trach 2 Power JSC		1,590,240		2,198,749
PetroVietnam Technical Services Corp.		1,128,300		899,458

Security			Shares		Value
Vietnam (continued)
Pha Lai Thermal Power JSC				400,170	$	322,527
Refrigeration Electrical Engineering Corp.				703,160		1,186,570
Saigon - Hanoi Commercial Joint Stock Bank(15)				1,719,602		859,597
Saigon Securities, Inc.				1,202,580		1,893,550
Saigon Thuong Tin Commercial JSB(15)				2,163,900		1,310,761
Tan Tao Investment & Industry JSC(15)				1,920,000		208,439
Viet Capital Securities JSC(15)				597,140		2,422,829
Vietnam Construction and Import-Export JSC				562,200		451,668
Vietnam Dairy Products JSC				820,400		6,652,880
Vietnam Joint Stock Commercial Bank for Industry and Trade				216,000		276,642
Vietnam Prosperity JSC Bank(15)				1,144,060		2,877,049
Vietnam Technological & Commercial Joint Stock Bank(15)				469,400		2,639,454
Vingroup JSC(15)				3,470,160		19,120,016
Total Vietnam					$	70,236,505
Total Common Stocks (identified cost $344,661,170)					$	355,255,909
Warrants — 0.0%(7)
Security	Shares				Value
Almenna Leigufelagid EHF, Exp. 1/25/22, Strike ISK 10.95(6)(15)				22,753,484	$	266,301
Total Warrants (identified cost $0)					$	266,301
Short-Term Investments — 30.9%
Foreign Government Securities — 22.1%
Security			Principal Amount (000’s omitted)		Value
Argentina — 3.0%
Banco Central Del Argentina, 0.00%, 5/16/18		ARS		209,580	$	10,102,543
Banco Central Del Argentina, 0.00%, 6/21/18		ARS		771,500		36,104,620
Banco Central Del Argentina, 0.00%, 7/18/18		ARS		1,612,051		73,869,104
Banco Central Del Argentina, 0.00%, 8/15/18		ARS		724,191		32,555,942
Total Argentina					$	152,632,209
Egypt — 9.3%
Egypt Treasury Bill, 0.00%, 5/1/18		EGP		490,725	$	27,795,242
Egypt Treasury Bill, 0.00%, 5/8/18		EGP		978,300		55,517,348
Egypt Treasury Bill, 0.00%, 5/15/18		EGP		264,450		14,870,913

21 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Security		Principal Amount (000’s omitted)		Value
Egypt (continued)
Egypt Treasury Bill, 0.00%, 5/22/18	EGP		262,350	$	14,703,636
Egypt Treasury Bill, 0.00%, 5/29/18	EGP		202,000		11,283,739
Egypt Treasury Bill, 0.00%, 6/5/18	EGP		289,400		16,112,638
Egypt Treasury Bill, 0.00%, 7/10/18	EGP		908,800		49,784,018
Egypt Treasury Bill, 0.00%, 7/17/18	EGP		1,246,450		68,270,513
Egypt Treasury Bill, 0.00%, 7/24/18	EGP		1,042,375		56,739,326
Egypt Treasury Bill, 0.00%, 7/31/18	EGP		530,350		28,977,056
Egypt Treasury Bill, 0.00%, 8/7/18	EGP		180,025		9,804,913
Egypt Treasury Bill, 0.00%, 8/14/18	EGP		1,235,375		67,070,821
Egypt Treasury Bill, 0.00%, 8/21/18	EGP		71,125		3,849,339
Egypt Treasury Bill, 0.00%, 9/4/18	EGP		439,200		23,521,567
Egypt Treasury Bill, 0.00%, 9/11/18	EGP		287,425		15,344,995
Egypt Treasury Bill, 0.00%, 9/18/18	EGP		52,600		2,799,440
Egypt Treasury Bill, 0.00%, 9/25/18	EGP		53,600		2,843,793
Egypt Treasury Bill, 0.00%, 10/2/18	EGP		149,475		7,905,962
Total Egypt				$	477,195,259
Georgia — 0.1%
Georgia Treasury Bill, 0.00%, 5/3/18	GEL		1,562	$	637,328
Georgia Treasury Bill, 0.00%, 5/10/18	GEL		870		354,463
Georgia Treasury Bill, 0.00%, 6/14/18	GEL		186		75,258
Georgia Treasury Bill, 0.00%, 7/19/18	GEL		7,625		3,063,849
Georgia Treasury Bill, 0.00%, 2/7/19	GEL		700		270,543
Total Georgia				$	4,401,441
Kazakhstan — 3.6%
National Bank of Kazakhstan Note, 0.00%, 5/18/18	KZT		9,975,476	$	30,361,425
National Bank of Kazakhstan Note, 0.00%, 7/27/18	KZT		25,428,238		76,171,343
National Bank of Kazakhstan Note, 0.00%, 9/28/18	KZT		13,987,849		41,317,599
National Bank of Kazakhstan Note, 0.00%, 2/8/19	KZT		5,972,050		17,131,677
National Bank of Kazakhstan Note, 0.00%, 3/15/19	KZT		7,703,382		21,930,336
Total Kazakhstan				$	186,912,380
Nigeria — 6.1%
Nigeria Treasury Bill, 0.00%, 5/3/18	NGN		8,809,529	$	24,451,264
Nigeria Treasury Bill, 0.00%, 6/7/18	NGN		1,558,159		4,286,686
Nigeria Treasury Bill, 0.00%, 6/14/18	NGN		3,635,710		9,982,357
Nigeria Treasury Bill, 0.00%, 6/21/18	NGN		5,713,240		15,654,238
Nigeria Treasury Bill, 0.00%, 6/28/18	NGN		2,465,978		6,741,700
Nigeria Treasury Bill, 0.00%, 7/5/18	NGN		18,698,464		51,035,255
Nigeria Treasury Bill, 0.00%, 7/12/18	NGN		1,235,480		3,361,714
Nigeria Treasury Bill, 0.00%, 7/19/18	NGN		1,399,450		3,798,366
Nigeria Treasury Bill, 0.00%, 7/26/18	NGN		4,820,545		13,056,895

Security		Principal Amount (000’s omitted)		Value
Nigeria (continued)
Nigeria Treasury Bill, 0.00%, 8/9/18	NGN		6,564,636	$	17,707,458
Nigeria Treasury Bill, 0.00%, 8/16/18	NGN		2,294,020		6,179,585
Nigeria Treasury Bill, 0.00%, 8/23/18	NGN		1,226,546		3,294,746
Nigeria Treasury Bill, 0.00%, 8/30/18	NGN		489,805		1,314,098
Nigeria Treasury Bill, 0.00%, 9/6/18	NGN		3,991,350		10,676,795
Nigeria Treasury Bill, 0.00%, 9/13/18	NGN		2,985,060		7,975,106
Nigeria Treasury Bill, 0.00%, 9/20/18	NGN		5,178,361		13,797,745
Nigeria Treasury Bill, 0.00%, 9/27/18	NGN		3,685,257		9,795,945
Nigeria Treasury Bill, 0.00%, 10/4/18	NGN		1,752,191		4,651,743
Nigeria Treasury Bill, 0.00%, 10/11/18	NGN		2,675,000		7,080,480
Nigeria Treasury Bill, 0.00%, 10/18/18	NGN		3,670,848		9,704,136
Nigeria Treasury Bill, 0.00%, 10/25/18	NGN		1,995,675		5,258,191
Nigeria Treasury Bill, 0.00%, 11/1/18	NGN		4,973,247		13,082,271
Nigeria Treasury Bill, 0.00%, 11/22/18	NGN		2,394,810		6,246,143
Nigeria Treasury Bill, 0.00%, 11/29/18	NGN		1,995,680		5,191,548
Nigeria Treasury Bill, 0.00%, 12/6/18	NGN		15,300,882		39,624,524
Nigeria Treasury Bill, 0.00%, 12/27/18	NGN		484,060		1,238,096
Nigeria Treasury Bill, 0.00%, 1/17/19	NGN		7,509,386		19,158,853
Total Nigeria				$	314,345,938
Total Foreign Government Securities (identified cost $1,137,660,831)				$	1,135,487,227
U.S. Treasury Obligations — 3.2%
Security		Principal Amount (000’s omitted)		Value
U.S. Treasury Bill, 0.00%, 5/3/18(17)		$	29,000	$	28,997,486
U.S. Treasury Bill, 0.00%, 5/17/18(17)			36,000		35,974,600
U.S. Treasury Bill, 0.00%, 5/24/18(17)			100,000		99,898,257
Total U.S. Treasury Obligations (identified cost $164,879,315)				$	164,870,343

22 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Other — 5.6%
Description	Units		Value
Eaton Vance Cash Reserves Fund, LLC, 1.95%(18)		290,954,373	$	290,925,278
Total Other (identified cost $290,918,655)			$	290,925,278
Total Short-Term Investments (identified cost $1,593,458,801)			$	1,591,282,848
Total Purchased Options — 0.3% (identified cost $24,125,306)			$	17,238,462
Total Investments — 96.5% (identified cost $4,863,723,889)			$	4,966,970,705
Other Assets, Less Liabilities — 3.5%			$	182,148,743
Net Assets — 100.0%			$	5,149,119,448

The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.

⁽¹⁾  Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At April 30, 2018, the aggregate value of these securities is $1,225,702,501 or 23.8% of the Portfolio’s net assets.

⁽²⁾  Variable rate security. The stated interest rate represents the rate in effect at April 30, 2018.

⁽³⁾  Security (or a portion thereof) has been pledged for the benefit of the counterparty for reverse repurchase agreements.

⁽⁴⁾  Inflation-linked security whose principal is adjusted for inflation based on changes in a designated inflation index or inflation rate for the applicable country. Interest is calculated based on the inflation-adjusted principal.

⁽⁵⁾  Principal amount is less than $500.

⁽⁶⁾  For fair value measurement disclosure purposes, security is categorized as Level 3 (see Note 9).

⁽⁷⁾  Amount is less than 0.05%.

⁽⁸⁾  Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.

⁽⁹⁾  Fixed-rate loan.

⁽¹⁰⁾  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At April 30, 2018, the aggregate value of these securities is $3,845,494 or 0.1% of the Portfolio’s net assets.

⁽¹¹⁾  Security whose performance, including redemption at maturity, is linked to the price of the underlying security. The investment is subject to credit risk of the issuing financial institution (Deutsche Bank AG) in addition to the market risk of the underlying security.

⁽¹²⁾  Interest only security that entitles the holder to receive only interest payments on the underlying mortgages. Principal amount shown is the notional amount of the underlying mortgages on which coupon interest is calculated.

⁽¹³⁾  Inverse floating-rate security whose coupon varies inversely with changes in the interest rate index. The stated interest rate represents the coupon rate in effect at April 30, 2018.

⁽¹⁴⁾  Interest only security that entitles the holder to receive only a portion of the interest payments on the underlying loans. Principal amount shown is the notional amount of the underlying loans on which coupon interest is calculated.

⁽¹⁵⁾  Non-income producing security.

⁽¹⁶⁾  Securities are traded on separate exchanges for the same entity.

⁽¹⁷⁾  Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.

⁽¹⁸⁾  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 April 30, 2018.

23 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Purchased Currency Options — 0.2%
Description	Counterparty	Notional Amount		Exercise Price		Expiration Date		Value
Call SEK/Put EUR	BNP Paribas	EUR	47,210,000	SEK	9.96		4/15/19	$	342,464
Call SEK/Put EUR	BNP Paribas	EUR	30,685,000	SEK	9.96		4/15/19		222,591
Call SEK/Put EUR	Citibank, N.A.	EUR	70,810,000	SEK	9.58		4/12/19		190,431
Call SEK/Put EUR	Citibank, N.A.	EUR	47,190,000	SEK	9.96		4/12/19		339,526
Call SEK/Put EUR	Citibank, N.A.	EUR	23,610,000	SEK	9.96		4/12/19		169,871
Call SEK/Put EUR	Citibank, N.A.	EUR	23,610,000	SEK	9.96		4/12/19		169,871
Call SEK/Put EUR	Deutsche Bank AG	EUR	110,720,000	SEK	9.56		4/23/19		299,233
Put CNH/Call USD	Bank of America, N.A.	USD	170,000,000	CNH	7.40		11/12/18		45,390
Put CNH/Call USD	BNP Paribas	USD	197,300,000	CNH	6.86		8/9/18		53,468
Put CNH/Call USD	Citibank, N.A.	USD	182,000,000	CNH	6.85		7/23/18		29,848
Put CNH/Call USD	Citibank, N.A.	USD	171,500,000	CNH	7.45		11/9/18		37,387
Put CNH/Call USD	Deutsche Bank AG	USD	38,410,000	CNH	7.40		11/12/18		10,256
Put CNH/Call USD	Goldman Sachs International	USD	120,200,000	CNH	7.40		11/12/18		32,093
Put CNH/Call USD	JPMorgan Chase Bank, N.A.	USD	156,760,000	CNH	7.45		11/9/18		34,174
Put CNH/Call USD	Standard Chartered Bank	USD	108,580,000	CNH	6.96		8/20/18		23,779
Put EUR/Call USD	BNP Paribas	EUR	99,218,000	USD	1.22		2/27/20		2,484,856
Put EUR/Call USD	BNP Paribas	USD	103,555,000	USD	0.88		2/28/22		390,609
Put EUR/Call USD	Citibank, N.A.	EUR	198,955,000	USD	1.21		2/27/20		4,363,806
Put EUR/Call USD	Goldman Sachs International	EUR	99,217,000	USD	1.21		2/27/20		2,229,627
Put EUR/Call USD	Goldman Sachs International	USD	103,630,000	USD	0.87		2/24/22		388,716
Total								$	11,857,996

Purchased Call Options — 0.1%
Description	Counterparty	Number of Contracts		Notional Amount		Exercise Price		Expiration Date		Value
FTSE 100 Index	Goldman Sachs International		3,562	GBP	26,748,127	GBP	6,275.00		2/15/22	$	5,380,466
Total										$	5,380,466

Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	1,738,833	AUD	2,301,870	Citibank, N.A.		5/1/18	$	5,870	$	—
AUD	41,650,000	USD	33,740,457	Australia and New Zealand Banking Group Limited		5/2/18		—		(2,384,258	)
AUD	25,820,000	USD	20,298,419	Goldman Sachs International		5/2/18		—		(859,834	)
AUD	9,294,648	USD	7,151,553	JPMorgan Chase Bank, N.A.		5/2/18		—		(154,078	)
EUR	9,293,763	HUF	2,884,333,425	Credit Agricole Corporate and Investment Bank		5/2/18		120,503		—
EUR	8,826,442	PLN	36,815,559	Bank of America, N.A.		5/2/18		169,597		—
HUF	2,884,333,425	EUR	9,294,156	Credit Agricole Corporate and Investment Bank		5/2/18		—		(120,976	)
KRW	6,640,700,000	USD	6,170,507	Australia and New Zealand Banking Group Limited		5/2/18		47,085		—
KRW	3,832,400,000	USD	3,561,048	Australia and New Zealand Banking Group Limited		5/2/18		27,173		—

24 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
KRW	6,640,700,000	USD	6,220,214	Bank of America, N.A.		5/2/18	$	—	$	(2,621	)
KRW	1,828,400,000	USD	1,698,941	BNP Paribas		5/2/18		12,964		—
KRW	58,055,000,000	USD	54,460,600	Goldman Sachs International		5/2/18		—		(104,531	)
KRW	18,493,900,000	USD	17,494,939	JPMorgan Chase Bank, N.A.		5/2/18		—		(179,364	)
KRW	99,909,000,000	USD	92,834,975	Nomura International PLC		5/2/18		708,399		—
KRW	35,082,000,000	USD	32,894,515	Nomura International PLC		5/2/18		—		(47,738	)
KRW	12,580,600,000	USD	11,689,835	Standard Chartered Bank		5/2/18		89,202		—
KRW	3,832,400,000	USD	3,550,261	Standard Chartered Bank		5/2/18		37,961		—
KRW	2,687,100,000	USD	2,522,862	Standard Chartered Bank		5/2/18		—		(6,968	)
KZT	1,696,950,000	USD	4,937,156	Deutsche Bank AG		5/2/18		246,665		—
KZT	1,061,553,000	USD	3,089,053	Goldman Sachs International		5/2/18		153,766		—
KZT	567,380,000	USD	1,647,684	Standard Chartered Bank		5/2/18		85,541		—
NZD	20,000,000	USD	14,075,400	Australia and New Zealand Banking Group Limited		5/2/18		—		(3,399	)
NZD	68,032,700	USD	47,929,037	Australia and New Zealand Banking Group Limited		5/2/18		—		(61,227	)
PHP	209,491,000	USD	4,058,016	BNP Paribas		5/2/18		—		(9,841	)
PHP	1,219,000,000	USD	23,571,498	Deutsche Bank AG		5/2/18		—		(15,714	)
PHP	1,204,000,000	USD	23,281,446	Goldman Sachs International		5/2/18		—		(15,521	)
PHP	938,670,000	USD	18,189,517	JPMorgan Chase Bank, N.A.		5/2/18		—		(50,791	)
PHP	1,209,640,000	USD	23,455,136	Nomura International PLC		5/2/18		—		(80,224	)
PHP	865,280,000	USD	16,731,703	Standard Chartered Bank		5/2/18		—		(11,155	)
PHP	930,479,000	USD	18,009,852	UBS AG		5/2/18		—		(29,408	)
PLN	36,815,559	EUR	8,824,983	Bank of America, N.A.		5/2/18		—		(167,834	)
USD	36,748,195	AUD	48,770,000	Australia and New Zealand Banking Group Limited		5/2/18		31,705		—
USD	14,099,239	AUD	18,700,000	Australia and New Zealand Banking Group Limited		5/2/18		20,946		—
USD	7,003,517	AUD	9,294,648	Australia and New Zealand Banking Group Limited		5/2/18		6,042		—
USD	3,582,352	KRW	3,832,400,000	Australia and New Zealand Banking Group Limited		5/2/18		—		(5,870	)
USD	6,207,422	KRW	6,640,700,000	Australia and New Zealand Banking Group Limited		5/2/18		—		(10,171	)
USD	6,170,507	KRW	6,640,700,000	Bank of America, N.A.		5/2/18		—		(47,085	)
USD	1,712,803	KRW	1,828,400,000	BNP Paribas		5/2/18		898		—
USD	53,944,434	KRW	58,055,000,000	Goldman Sachs International		5/2/18		—		(411,635	)
USD	17,184,445	KRW	18,493,900,000	JPMorgan Chase Bank, N.A.		5/2/18		—		(131,130	)
USD	93,574,038	KRW	99,909,000,000	Nomura International PLC		5/2/18		30,664		—
USD	32,598,030	KRW	35,082,000,000	Nomura International PLC		5/2/18		—		(248,747	)
USD	2,496,841	KRW	2,687,100,000	Standard Chartered Bank		5/2/18		—		(19,053	)
USD	3,561,048	KRW	3,832,400,000	Standard Chartered Bank		5/2/18		—		(27,173	)
USD	11,654,423	KRW	12,580,600,000	Standard Chartered Bank		5/2/18		—		(124,614	)
USD	47,795,991	NZD	64,450,000	Australia and New Zealand Banking Group Limited		5/2/18		2,448,968		—
USD	17,194,052	NZD	23,582,700	Goldman Sachs International		5/2/18		601,264		—
USD	4,050,875	PHP	209,491,000	BNP Paribas		5/2/18		2,701		—
USD	23,424,289	PHP	1,219,000,000	Deutsche Bank AG		5/2/18		—		(131,494	)
USD	23,138,272	PHP	1,204,000,000	Goldman Sachs International		5/2/18		—		(127,653	)
USD	18,150,827	PHP	938,670,000	JPMorgan Chase Bank, N.A.		5/2/18		12,101		—
USD	23,390,506	PHP	1,209,640,000	Nomura International PLC		5/2/18		15,594		—
USD	16,663,714	PHP	865,280,000	Standard Chartered Bank		5/2/18		—		(56,834	)
USD	17,992,439	PHP	930,479,000	UBS AG		5/2/18		11,995		—
USD	5,102,952	UYU	145,230,000	Citibank, N.A.		5/2/18		—		(1,794	)

25 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	5,078,682	UYU	145,230,000	Citibank, N.A.		5/2/18	$	—	$	(26,063	)
UYU	145,230,000	USD	5,039,209	Citibank, N.A.		5/2/18		65,536		—
UYU	145,230,000	USD	5,078,682	Citibank, N.A.		5/2/18		26,063		—
CZK	472,437,000	EUR	18,728,905	Citibank, N.A.		5/7/18		—		(328,330	)
EUR	18,666,161	CZK	472,437,000	Citibank, N.A.		5/7/18		252,539		—
EUR	13,079,410	HUF	4,050,870,000	Goldman Sachs International		5/7/18		202,652		—
EUR	8,076,065	PLN	33,657,000	BNP Paribas		5/7/18		165,878		—
HUF	4,050,870,000	EUR	13,056,793	Goldman Sachs International		5/7/18		—		(175,331	)
PLN	33,657,000	EUR	8,057,120	BNP Paribas		5/7/18		—		(142,994	)
RUB	2,416,325,606	USD	41,635,661	BNP Paribas		5/7/18		—		(3,283,022	)
RUB	2,416,618,859	USD	41,644,302	Deutsche Bank AG		5/7/18		—		(3,287,008	)
RUB	1,284,156,000	USD	22,213,389	Goldman Sachs International		5/7/18		—		(1,830,882	)
RUB	1,088,751,000	USD	18,810,975	Standard Chartered Bank		5/7/18		—		(1,529,995	)
SGD	95,282,821	USD	72,283,619	Deutsche Bank AG		5/7/18		—		(420,714	)
SGD	6,731,486	USD	5,142,072	Nomura International PLC		5/7/18		—		(65,142	)
USD	24,691,399	CLP	14,742,000,000	JPMorgan Chase Bank, N.A.		5/7/18		656,799		—
USD	37,668,361	COP	105,248,000,000	BNP Paribas		5/7/18		200,614		—
USD	15,479,924	COP	43,091,000,000	BNP Paribas		5/7/18		139,749		—
USD	5,160,072	COP	14,345,000,000	BNP Paribas		5/7/18		53,326		—
USD	56,760,345	COP	158,640,000,000	Standard Chartered Bank		5/7/18		285,320		—
USD	10,320,158	COP	28,721,000,000	Standard Chartered Bank		5/7/18		95,630		—
USD	209,801,873	EUR	167,903,959	Standard Chartered Bank		5/7/18		6,984,513		—
USD	19,734,018	RUB	1,223,064,282	BNP Paribas		5/7/18		321,177		—
USD	12,294,149	RUB	798,505,000	Goldman Sachs International		5/7/18		—		(379,960	)
USD	21,520,130	RUB	1,381,248,000	Goldman Sachs International		5/7/18		—		(403,450	)
USD	18,331,313	RUB	1,191,847,000	Standard Chartered Bank		5/7/18		—		(586,037	)
USD	39,736,754	RUB	2,553,301,000	Standard Chartered Bank		5/7/18		—		(790,000	)
UYU	405,243,408	USD	14,022,263	JPMorgan Chase Bank, N.A.		5/7/18		213,037		—
RUB	3,772,477,606	USD	65,231,664	BNP Paribas		5/8/18		—		(5,360,986	)
RUB	1,932,264,513	USD	33,388,591	Credit Suisse International		5/8/18		—		(2,722,806	)
USD	11,231,277	RUB	699,147,000	BNP Paribas		5/8/18		135,544		—
USD	46,868,244	RUB	2,924,719,000	Credit Suisse International		5/8/18		451,822		—
USD	35,449,055	RUB	2,185,745,119	Goldman Sachs International		5/8/18		760,435		—
UYU	301,650,000	USD	10,018,266	Citibank, N.A.		5/8/18		576,399		—
AUD	156,671,451	USD	123,175,878	Australia and New Zealand Banking Group Limited		5/9/18		—		(5,224,223	)
AUD	18,886,554	USD	14,791,798	Goldman Sachs International		5/9/18		—		(572,869	)
COP	69,795,160,000	USD	24,354,937	Standard Chartered Bank		5/9/18		491,453		—
ILS	58,261,000	USD	16,901,208	Goldman Sachs International		5/9/18		—		(705,991	)
ILS	822,735,000	USD	238,073,673	Goldman Sachs International		5/9/18		—		(9,372,271	)
NZD	9,523,483	USD	6,861,460	Australia and New Zealand Banking Group Limited		5/9/18		—		(161,023	)
USD	54,021,534	AUD	68,976,105	Goldman Sachs International		5/9/18		2,092,189		—
USD	15,480,127	COP	43,107,000,000	BNP Paribas		5/9/18		134,460		—
USD	23,220,571	COP	64,708,000,000	Standard Chartered Bank		5/9/18		185,160		—
USD	136,844,763	NZD	187,692,553	Australia and New Zealand Banking Group Limited		5/9/18		4,789,906		—
CZK	460,503,000	EUR	18,015,069	JPMorgan Chase Bank, N.A.		5/10/18		—		(30,504	)
CZK	1,944,655,000	EUR	76,022,479	JPMorgan Chase Bank, N.A.		5/10/18		—		(64,497	)

26 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
EUR	109,767,504	CZK	2,796,876,000	JPMorgan Chase Bank, N.A.		5/10/18	$	611,213	$	—
EUR	48,575,087	CZK	1,230,917,000	JPMorgan Chase Bank, N.A.		5/10/18		590,307		—
EUR	30,908,513	CZK	782,279,000	JPMorgan Chase Bank, N.A.		5/10/18		420,839		—
THB	812,910,000	USD	25,587,347	Citibank, N.A.		5/10/18		173,115		—
THB	271,828,000	USD	8,218,534	Deutsche Bank AG		5/10/18		395,476		—
THB	206,890,000	USD	6,372,218	Deutsche Bank AG		5/10/18		183,959		—
THB	187,581,000	USD	5,773,944	Deutsche Bank AG		5/10/18		170,347		—
THB	103,737,762	USD	3,330,533	Deutsche Bank AG		5/10/18		—		(43,167	)
THB	346,073,163	USD	11,130,797	Deutsche Bank AG		5/10/18		—		(164,018	)
THB	161,026,000	USD	4,869,247	Standard Chartered Bank		5/10/18		233,537		—
THB	172,970,418	USD	5,573,398	Standard Chartered Bank		5/10/18		—		(92,105	)
TRY	41,202,769	USD	10,104,677	Standard Chartered Bank		5/10/18		14,157		—
USD	221,674	EUR	181,866	Bank of America, N.A.		5/10/18		1,946		—
USD	35,490,963	EUR	28,678,060	JPMorgan Chase Bank, N.A.		5/10/18		842,428		—
USD	216,533	EUR	176,576	JPMorgan Chase Bank, N.A.		5/10/18		3,196		—
USD	62,592,045	EUR	52,439,716	JPMorgan Chase Bank, N.A.		5/10/18		—		(765,078	)
USD	25,884,732	THB	812,910,000	Citibank, N.A.		5/10/18		124,270		—
USD	19,123,828	THB	594,416,395	Deutsche Bank AG		5/10/18		287,253		—
USD	20,588,703	THB	647,000,000	Deutsche Bank AG		5/10/18		85,796		—
USD	6,588,854	THB	206,890,000	Deutsche Bank AG		5/10/18		32,676		—
USD	5,773,944	THB	187,581,000	Deutsche Bank AG		5/10/18		—		(170,347	)
USD	8,218,534	THB	271,828,000	Deutsche Bank AG		5/10/18		—		(395,476	)
USD	20,546,639	THB	646,500,000	Standard Chartered Bank		5/10/18		59,576		—
USD	4,869,247	THB	161,026,000	Standard Chartered Bank		5/10/18		—		(233,537	)
USD	105,057,330	TRY	431,927,452	Goldman Sachs International		5/10/18		—		(1,018,113	)
USD	142,929,196	TRY	588,864,000	Standard Chartered Bank		5/10/18		—		(1,687,704	)
AUD	42,429,000	USD	31,897,061	Australia and New Zealand Banking Group Limited		5/11/18		46,130		—
AUD	24,223,000	USD	18,210,246	Australia and New Zealand Banking Group Limited		5/11/18		26,336		—
EUR	32,773,797	SEK	329,103,000	Credit Suisse International		5/11/18		1,994,478		—
SEK	329,103,000	EUR	33,016,869	Credit Suisse International		5/11/18		—		(2,288,176	)
USD	1,879,047	NZD	2,621,000	Australia and New Zealand Banking Group Limited		5/11/18		35,002		—
USD	6,110,174	NZD	8,944,000	Australia and New Zealand Banking Group Limited		5/11/18		—		(182,517	)
USD	17,322,863	NZD	25,357,000	Australia and New Zealand Banking Group Limited		5/11/18		—		(517,450	)
EUR	3,283,302	SEK	32,983,000	Deutsche Bank AG		5/14/18		198,332		—
EUR	3,271,353	SEK	33,036,500	Deutsche Bank AG		5/14/18		177,777		—
KZT	1,107,185,000	USD	3,210,628	Goldman Sachs International		5/14/18		163,615		—
RUB	1,231,074,000	USD	21,500,472	Bank of America, N.A.		5/14/18		—		(1,976,957	)
SEK	66,019,500	EUR	6,662,766	Deutsche Bank AG		5/14/18		—		(506,765	)
SGD	8,296,000	USD	6,274,296	Bank of America, N.A.		5/14/18		—		(16,553	)
USD	16,769,790	RUB	1,045,282,000	Bank of America, N.A.		5/14/18		192,738		—
USD	7,858,367	SGD	10,320,000	Goldman Sachs International		5/14/18		73,903		—
USD	1,822,628	SGD	2,385,000	Goldman Sachs International		5/14/18		23,602		—
USD	1,950,486	SGD	2,570,000	Goldman Sachs International		5/14/18		11,914		—
COP	28,911,300,000	USD	9,922,538	BNP Paribas		5/15/18		369,275		—
COP	71,692,671,000	USD	24,585,964	Citibank, N.A.		5/15/18		935,115		—
COP	72,392,339,000	USD	24,806,339	JPMorgan Chase Bank, N.A.		5/15/18		963,807		—

27 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
COP	28,911,300,000	USD	9,928,331	Standard Chartered Bank		5/15/18	$	363,482	$	—
KZT	736,348,000	USD	2,153,379	Deutsche Bank AG		5/15/18		90,225		—
THB	193,030,000	USD	6,153,331	Deutsche Bank AG		5/15/18		—		(35,436	)
USD	2,198,054	KZT	736,348,000	Goldman Sachs International		5/15/18		—		(45,550	)
USD	6,153,331	THB	193,030,000	Deutsche Bank AG		5/15/18		35,436		—
USD	11,260,215	THB	349,776,067	JPMorgan Chase Bank, N.A.		5/15/18		174,408		—
USD	26,968,484	ZAR	376,507,000	BNP Paribas		5/15/18		—		(3,187,520	)
ZAR	376,507,000	USD	31,405,942	BNP Paribas		5/15/18		—		(1,249,938	)
COP	176,389,600,000	USD	60,160,164	Citibank, N.A.		5/16/18		2,630,500		—
PEN	71,094,200	USD	21,739,351	Standard Chartered Bank		5/16/18		106,950		—
PEN	134,222,200	USD	41,067,895	The Bank of Nova Scotia		5/16/18		176,801		—
RSD	980,000,000	EUR	8,243,274	Citibank, N.A.		5/16/18		46,503		—
RSD	3,347,471,852	EUR	28,285,108	Citibank, N.A.		5/16/18		4,328		—
RSD	1,193,579,000	EUR	10,040,200	Deutsche Bank AG		5/16/18		56,147		—
RSD	924,871,000	EUR	7,803,502	Deutsche Bank AG		5/16/18		14,944		—
USD	15,477,914	PEN	50,458,000	Bank of America, N.A.		5/16/18		—		(27,158	)
USD	15,477,795	PEN	50,535,000	Bank of America, N.A.		5/16/18		—		(50,938	)
USD	19,045,682	PEN	62,037,500	BNP Paribas		5/16/18		—		(17,616	)
USD	11,423,400	PEN	37,297,400	Deutsche Bank AG		5/16/18		—		(37,595	)
USD	1,543,949	PEN	4,988,500	Standard Chartered Bank		5/16/18		11,050		—
USD	5,371,945	AED	19,895,000	Standard Chartered Bank		5/17/18		—		(44,468	)
USD	8,745,037	AED	32,375,000	Standard Chartered Bank		5/17/18		—		(69,057	)
USD	84,815,174	EUR	71,201,456	Standard Chartered Bank		5/17/18		—		(1,252,895	)
AUD	12,561,995	USD	9,871,505	Australia and New Zealand Banking Group Limited		5/18/18		—		(413,952	)
USD	6,004,264	INR	394,270,000	Goldman Sachs International		5/18/18		96,712		—
USD	10,066,575	NZD	13,806,567	Australia and New Zealand Banking Group Limited		5/18/18		352,964		—
EGP	120,004,000	USD	6,469,218	Citibank, N.A.		5/21/18		308,773		—
EUR	9,283,206	SEK	93,176,000	Deutsche Bank AG		5/21/18		570,162		—
INR	1,036,170,000	USD	15,846,001	Citibank, N.A.		5/21/18		—		(320,529	)
INR	65,150,000	USD	990,508	Deutsche Bank AG		5/21/18		—		(14,332	)
INR	6,345,319,124	USD	96,793,824	Deutsche Bank AG		5/21/18		—		(1,718,620	)
INR	2,567,020,000	USD	39,065,896	Goldman Sachs International		5/21/18		—		(602,905	)
INR	1,635,828,000	USD	24,900,342	JPMorgan Chase Bank, N.A.		5/21/18		—		(389,884	)
SEK	93,176,000	EUR	9,402,884	Deutsche Bank AG		5/21/18		—		(714,870	)
USD	14,159,292	INR	928,000,000	Bank of America, N.A.		5/21/18		254,587		—
USD	20,266,965	INR	1,338,025,000	Bank of America, N.A.		5/21/18		218,643		—
USD	5,031,958	INR	332,235,000	Bank of America, N.A.		5/21/18		53,908		—
USD	25,480,830	INR	1,681,480,000	Citibank, N.A.		5/21/18		286,344		—
USD	25,300,326	INR	1,670,960,000	Citibank, N.A.		5/21/18		263,466		—
USD	20,268,010	INR	1,337,790,000	Citibank, N.A.		5/21/18		223,209		—
USD	20,263,481	INR	1,337,795,000	Citibank, N.A.		5/21/18		218,605		—
USD	10,960,678	INR	717,622,976	Citibank, N.A.		5/21/18		208,161		—
USD	12,651,099	INR	834,340,000	Citibank, N.A.		5/21/18		149,751		—
USD	24,426,884	INR	1,612,785,000	Deutsche Bank AG		5/21/18		261,690		—
USD	25,081,409	INR	1,656,000,000	Goldman Sachs International		5/21/18		268,703		—
USD	25,317,541	INR	1,669,945,000	JPMorgan Chase Bank, N.A.		5/21/18		295,890		—

28 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	17,537,968	INR	1,149,000,000	Société Générale		5/21/18	$	321,906	$	—
USD	50,277,517	INR	3,320,830,000	Standard Chartered Bank		5/21/18		519,800		—
USD	25,076,504	INR	1,655,300,000	Standard Chartered Bank		5/21/18		274,286		—
USD	25,143,117	INR	1,660,200,000	Standard Chartered Bank		5/21/18		267,480		—
USD	1,035,233	INR	68,315,000	Standard Chartered Bank		5/21/18		11,634		—
USD	3,689,162	KZT	1,210,045,000	Citibank, N.A.		5/21/18		6,967		—
USD	3,784,448	KZT	1,267,790,000	Citibank, N.A.		5/21/18		—		(73,466	)
USD	11,353,371	KZT	3,812,840,000	Citibank, N.A.		5/21/18		—		(249,188	)
USD	15,137,836	KZT	5,062,660,000	Citibank, N.A.		5/21/18		—		(267,953	)
USD	5,222,340	OMR	2,115,100	Standard Chartered Bank		5/21/18		—		(272,381	)
EUR	11,184,310	HUF	3,490,017,000	Société Générale		5/22/18		75,602		—
EUR	11,513,489	PLN	48,055,000	Société Générale		5/22/18		228,611		—
HUF	3,490,017,000	EUR	11,244,336	Société Générale		5/22/18		—		(148,187	)
KZT	1,377,031,186	USD	3,954,146	Standard Chartered Bank		5/22/18		235,295		—
KZT	2,280,000,000	USD	6,740,577	Standard Chartered Bank		5/22/18		196,031		—
PLN	48,055,000	EUR	11,533,218	Société Générale		5/22/18		—		(252,469	)
USD	10,932,829	KZT	3,657,031,186	Standard Chartered Bank		5/22/18		—		(193,219	)
ARS	203,848,000	USD	9,758,162	BNP Paribas		5/23/18		—		(14,576	)
KZT	688,516,000	USD	1,977,074	Standard Chartered Bank		5/23/18		117,200		—
USD	6,395,924	ARS	132,587,495	BNP Paribas		5/23/18		58,468		—
USD	3,445,866	ARS	71,260,505	Citibank, N.A.		5/23/18		39,735		—
EUR	8,266,479	USD	10,204,059	Standard Chartered Bank		5/24/18		—		(206,547	)
JPY	703,000,000	USD	6,560,284	Standard Chartered Bank		5/24/18		—		(120,717	)
JPY	2,316,537,208	USD	21,755,609	Standard Chartered Bank		5/24/18		—		(535,842	)
USD	24,970,083	EUR	20,225,241	Standard Chartered Bank		5/24/18		509,597		—
USD	6,141,711	EUR	4,977,035	Standard Chartered Bank		5/24/18		122,465		—
USD	135,280,731	EUR	112,124,267	Standard Chartered Bank		5/24/18		—		(322,795	)
USD	16,958,794	JPY	1,869,333,944	Standard Chartered Bank		5/24/18		—		(164,535	)
USD	28,705,199	JPY	3,219,001,028	Standard Chartered Bank		5/24/18		—		(781,247	)
USD	19,919,001	NZD	27,364,347	Credit Suisse International		5/24/18		667,178		—
NOK	250,325,000	EUR	25,881,945	Deutsche Bank AG		5/28/18		—		(81,293	)
AUD	36,508,000	USD	28,545,313	Standard Chartered Bank		5/29/18		—		(1,059,061	)
KRW	26,274,500,000	USD	24,629,265	Citibank, N.A.		5/29/18		—		(72,725	)
KRW	26,761,000,000	USD	25,080,600	Deutsche Bank AG		5/29/18		—		(69,370	)
USD	139,860	EUR	112,701	JPMorgan Chase Bank, N.A.		5/29/18		3,510		—
USD	16,476,195	KRW	17,718,500,000	Credit Agricole Corporate and Investment Bank		5/29/18		—		(83,780	)
USD	12,526,664	KRW	13,504,370,000	Deutsche Bank AG		5/29/18		—		(94,722	)
USD	36,492,468	KRW	39,244,000,000	Goldman Sachs International		5/29/18		—		(185,560	)
USD	71,276,989	NZD	97,777,000	Standard Chartered Bank		5/29/18		2,488,367		—
EUR	6,951,781	HUF	2,154,427,000	HSBC Bank USA, N.A.		5/30/18		105,127		—
EUR	7,041,493	PLN	29,399,000	HSBC Bank USA, N.A.		5/30/18		141,317		—
HUF	2,154,427,000	EUR	6,940,250	HSBC Bank USA, N.A.		5/30/18		—		(91,175	)
PLN	29,399,000	EUR	7,053,940	HSBC Bank USA, N.A.		5/30/18		—		(156,377	)
SGD	72,670,000	USD	55,130,296	Goldman Sachs International		5/30/18		—		(297,759	)
COP	62,241,799,319	USD	21,699,135	Citibank, N.A.		5/31/18		455,861		—
KZT	4,608,285,300	USD	13,788,761	Goldman Sachs International		5/31/18		204,415		—

29 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
NOK	216,869,000	EUR	22,434,415	Citibank, N.A.		5/31/18	$	—	$	(87,619	)
NOK	500,596,000	EUR	51,759,378	Goldman Sachs International		5/31/18		—		(171,151	)
COP	56,497,352,000	USD	19,704,025	Citibank, N.A.		6/1/18		406,132		—
COP	43,371,714,000	USD	15,140,319	Standard Chartered Bank		6/1/18		297,785		—
KZT	1,354,544,000	USD	4,055,521	Deutsche Bank AG		6/1/18		56,709		—
EUR	65,114,596	HUF	20,361,008,495	Goldman Sachs International		6/4/18		290,767		—
EUR	65,305,565	PLN	272,494,000	Goldman Sachs International		6/4/18		1,381,282		—
HUF	20,361,008,495	EUR	65,602,373	Goldman Sachs International		6/4/18		—		(881,153	)
KZT	7,626,026,000	USD	23,609,988	VTB Capital PLC		6/4/18		—		(473,124	)
PLN	272,494,000	EUR	64,547,565	Goldman Sachs International		6/4/18		—		(463,830	)
USD	18,922,290	KZT	6,329,506,000	Citibank, N.A.		6/4/18		—		(281,017	)
ARS	221,094,700	USD	10,433,917	BNP Paribas		6/5/18		5,691		—
EUR	10,744,743	HUF	3,375,000,000	Barclays Bank PLC		6/5/18		—		(10,365	)
EUR	4,120,065	HUF	1,294,292,000	Citibank, N.A.		6/5/18		—		(4,554	)
EUR	10,775,991	PLN	45,000,000	Barclays Bank PLC		6/5/18		218,455		—
EUR	4,442,181	PLN	18,538,000	Citibank, N.A.		6/5/18		93,567		—
EUR	20,866,418	SEK	209,551,000	Goldman Sachs International		6/5/18		1,269,745		—
HUF	3,375,000,000	EUR	10,872,717	Barclays Bank PLC		6/5/18		—		(144,543	)
HUF	1,294,292,000	EUR	4,170,629	Citibank, N.A.		6/5/18		—		(56,651	)
KZT	1,360,626,518	USD	4,055,519	Standard Chartered Bank		6/5/18		71,797		—
PLN	45,000,000	EUR	10,697,351	Barclays Bank PLC		6/5/18		—		(123,263	)
PLN	18,538,000	EUR	4,407,118	Citibank, N.A.		6/5/18		—		(51,124	)
SEK	209,551,000	EUR	21,399,514	Goldman Sachs International		6/5/18		—		(1,915,038	)
USD	4,491,416	ARS	93,646,020	BNP Paribas		6/5/18		69,656		—
USD	6,155,454	ARS	127,448,680	Citibank, N.A.		6/5/18		137,606		—
KZT	4,136,951,040	USD	12,071,640	Standard Chartered Bank		6/6/18		475,123		—
RUB	2,372,906,416	USD	40,881,871	BNP Paribas		6/6/18		—		(3,353,834	)
USD	12,530,520	KZT	4,136,951,040	Standard Chartered Bank		6/6/18		—		(16,243	)
USD	13,328,324	RUB	833,740,000	BNP Paribas		6/6/18		142,543		—
KZT	1,356,571,000	USD	4,055,519	Standard Chartered Bank		6/7/18		58,028		—
MAD	17,765,000	USD	1,750,246	BNP Paribas		6/7/18		160,795		—
MAD	23,324,000	USD	2,288,911	Credit Agricole Corporate and Investment Bank		6/7/18		220,131		—
USD	2,100,311	EUR	1,829,380	BNP Paribas		6/7/18		—		(114,459	)
USD	180,288	EUR	157,085	Deutsche Bank AG		6/7/18		—		(9,889	)
USD	1,643,624	EUR	1,377,700	Deutsche Bank AG		6/7/18		—		(24,313	)
USD	1,401,786	EUR	1,224,000	Deutsche Bank AG		6/7/18		—		(80,071	)
USD	5,117,784	EUR	4,338,760	Deutsche Bank AG		6/7/18		—		(135,010	)
USD	2,808,458	EUR	2,441,000	Deutsche Bank AG		6/7/18		—		(146,780	)
USD	4,118,934	KZT	1,356,571,000	Standard Chartered Bank		6/7/18		5,388		—
MAD	46,647,000	USD	4,577,723	Credit Agricole Corporate and Investment Bank		6/8/18		440,067		—
USD	7,793,945	NZD	10,672,047	Australia and New Zealand Banking Group Limited		6/8/18		286,041		—
MAD	23,404,000	USD	2,288,900	Société Générale		6/11/18		228,376		—
MAD	15,420,000	USD	1,508,511	Standard Chartered Bank		6/11/18		150,026		—
MAD	26,822,000	USD	2,768,580	Standard Chartered Bank		6/11/18		116,328		—
SGD	15,400,000	USD	11,729,267	Standard Chartered Bank		6/11/18		—		(106,066	)
USD	1,095,102	EUR	956,036	Standard Chartered Bank		6/11/18		—		(62,732	)

30 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
ARS	106,715,112	USD	4,978,022	Deutsche Bank AG		6/12/18	$	38,533	$	—
COP	102,972,712,000	USD	35,900,259	Citibank, N.A.		6/12/18		744,427		—
COP	92,929,318,000	USD	32,397,050	Citibank, N.A.		6/12/18		673,514		—
KZT	1,364,682,000	USD	4,055,519	Goldman Sachs International		6/12/18		78,937		—
MAD	69,971,000	USD	6,866,634	Credit Agricole Corporate and Investment Bank		6/12/18		658,995		—
USD	4,396,058	ARS	92,075,425	BNP Paribas		6/12/18		67,697		—
USD	700,129	ARS	14,639,687	BNP Paribas		6/12/18		11,934		—
USD	3,277,908	EUR	2,653,274	Standard Chartered Bank		6/12/18		64,315		—
USD	3,128,454	EUR	2,532,628	Standard Chartered Bank		6/12/18		60,985		—
USD	1,614,644	EUR	1,366,640	Standard Chartered Bank		6/12/18		—		(40,603	)
USD	1,403,969	EUR	1,204,400	Standard Chartered Bank		6/12/18		—		(54,776	)
USD	3,926,871	EUR	3,303,000	Standard Chartered Bank		6/12/18		—		(73,658	)
USD	5,954,318	EUR	4,990,000	Standard Chartered Bank		6/12/18		—		(89,472	)
USD	2,987,506	EUR	2,569,787	Standard Chartered Bank		6/12/18		—		(124,969	)
USD	4,204,728	EUR	3,667,127	Standard Chartered Bank		6/12/18		—		(236,824	)
USD	4,113,586	KZT	1,364,682,000	Goldman Sachs International		6/12/18		—		(20,870	)
USD	8,576,895	NZD	11,921,710	Australia and New Zealand Banking Group Limited		6/12/18		189,822		—
USD	5,062,330	NZD	7,036,535	Australia and New Zealand Banking Group Limited		6/12/18		112,038		—
KZT	323,000,000	USD	938,681	Citibank, N.A.		6/13/18		39,710		—
KZT	1,364,682,000	USD	4,055,519	Goldman Sachs International		6/13/18		78,201		—
KZT	3,560,660,000	USD	10,317,763	VTB Capital PLC		6/13/18		467,732		—
RUB	816,945,000	USD	13,449,868	Bank of America, N.A.		6/13/18		—		(540,373	)
CZK	58,317,000	EUR	2,290,534	Goldman Sachs International		6/14/18		—		(17,081	)
KZT	2,200,000,000	USD	6,344,629	VTB Capital PLC		6/14/18		318,143		—
KZT	3,210,000,000	USD	9,518,162	VTB Capital PLC		6/14/18		203,427		—
USD	16,307,460	KZT	5,410,000,000	VTB Capital PLC		6/14/18		—		(76,900	)
USD	6,853,969	ZAR	82,195,000	Bank of America, N.A.		6/14/18		296,659		—
USD	3,634,577	ZAR	43,565,000	Standard Chartered Bank		6/14/18		159,072		—
ZAR	82,195,000	USD	6,821,541	Bank of America, N.A.		6/14/18		—		(264,231	)
ZAR	43,565,000	USD	3,617,454	Standard Chartered Bank		6/14/18		—		(141,948	)
AUD	37,600,000	USD	29,672,040	Australia and New Zealand Banking Group Limited		6/15/18		—		(1,361,755	)
COP	36,149,401,000	USD	12,651,816	Citibank, N.A.		6/15/18		211,456		—
USD	29,771,161	NZD	40,550,000	Australia and New Zealand Banking Group Limited		6/15/18		1,243,679		—
USD	26,956,934	NZD	36,796,000	Australia and New Zealand Banking Group Limited		6/15/18		1,070,442		—
USD	4,012,948	ZAR	47,800,000	Credit Agricole Corporate and Investment Bank		6/15/18		200,067		—
USD	3,570,501	ZAR	42,541,000	Standard Chartered Bank		6/15/18		177,117		—
USD	45,405,152	ZAR	638,124,000	Standard Chartered Bank		6/15/18		—		(5,496,320	)
USD	43,455,180	ZAR	609,850,000	UBS AG		6/15/18		—		(5,190,949	)
UYU	338,936,000	USD	11,226,764	Citibank, N.A.		6/15/18		608,662		—
ZAR	47,800,000	USD	3,972,954	Credit Agricole Corporate and Investment Bank		6/15/18		—		(160,074	)
ZAR	25,836,000	USD	2,145,045	Standard Chartered Bank		6/15/18		—		(84,176	)
ZAR	654,829,000	USD	55,517,507	Standard Chartered Bank		6/15/18		—		(3,283,522	)
ZAR	609,850,000	USD	51,720,117	UBS AG		6/15/18		—		(3,073,988	)
COP	35,518,739,000	USD	12,449,611	Deutsche Bank AG		6/18/18		188,129		—
ARS	497,740,000	USD	23,348,344	BNP Paribas		6/19/18		—		(53,243	)
USD	23,860,978	ARS	497,740,000	Citibank, N.A.		6/19/18		565,877		—

31 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	16,434,664	CLP	10,000,000,000	BNP Paribas		6/20/18	$	133,293	$	—
CZK	494,075,000	EUR	19,396,027	JPMorgan Chase Bank, N.A.		6/21/18		—		(136,528	)
EUR	7,886,536	PLN	32,973,607	Société Générale		6/21/18		158,135		—
EUR	16,557,863	USD	20,584,653	Goldman Sachs International		6/21/18		—		(514,787	)
EUR	22,542,457	USD	27,998,318	Goldman Sachs International		6/21/18		—		(674,498	)
PLN	32,973,607	EUR	7,802,736	Société Générale		6/21/18		—		(56,561	)
USD	16,965,780	EUR	13,731,081	Goldman Sachs International		6/21/18		322,271		—
USD	16,832,187	EUR	13,623,234	Goldman Sachs International		6/21/18		319,400		—
USD	7,788,465	EUR	6,237,358	Goldman Sachs International		6/21/18		228,133		—
USD	6,810,065	EUR	5,508,647	Goldman Sachs International		6/21/18		133,007		—
CNH	296,527,000	USD	46,660,425	Deutsche Bank AG		6/25/18		156,968		—
CNH	334,385,000	USD	52,604,165	Standard Chartered Bank		6/25/18		190,468		—
CNH	16,718,000	USD	2,629,981	Standard Chartered Bank		6/25/18		9,553		—
COP	101,919,161,000	USD	35,555,883	JPMorgan Chase Bank, N.A.		6/25/18		699,950		—
COP	90,793,114,000	USD	31,692,100	Standard Chartered Bank		6/25/18		605,850		—
USD	14,768,612	INR	973,487,800	Citibank, N.A.		6/25/18		218,649		—
USD	10,528,166	INR	695,438,000	Goldman Sachs International		6/25/18		133,997		—
USD	18,287,108	INR	1,200,000,000	UBS AG		6/25/18		351,644		—
USD	11,616,687	KZT	3,856,740,000	Goldman Sachs International		6/27/18		—		(36,601	)
CZK	2,721,194,000	EUR	106,671,658	JPMorgan Chase Bank, N.A.		6/28/18		—		(585,063	)
USD	52,433,111	EUR	42,260,910	Deutsche Bank AG		6/28/18		1,178,030		—
EUR	4,253,774	HUF	1,331,710,000	Credit Agricole Corporate and Investment Bank		6/29/18		14,613		—
EUR	4,304,472	PLN	18,000,000	Credit Agricole Corporate and Investment Bank		6/29/18		88,082		—
HUF	1,331,710,000	EUR	4,288,743	Credit Agricole Corporate and Investment Bank		6/29/18		—		(57,028	)
NOK	66,446,000	EUR	6,915,364	Goldman Sachs International		6/29/18		—		(87,938	)
PLN	18,000,000	EUR	4,248,322	Credit Agricole Corporate and Investment Bank		6/29/18		—		(19,977	)
SGD	112,600,000	USD	85,987,018	Bank of America, N.A.		7/6/18		—		(946,466	)
SGD	107,424,460	USD	82,053,514	Goldman Sachs International		7/6/18		—		(921,761	)
USD	13,530,605	SGD	17,714,268	Goldman Sachs International		7/6/18		151,998		—
USD	156	SGD	204	Goldman Sachs International		7/6/18		2		—
KZT	3,171,350,000	USD	9,779,063	Deutsche Bank AG		7/9/18		—		(213,867	)
USD	9,563,782	KZT	3,171,350,000	Deutsche Bank AG		7/9/18		—		(1,414	)
AUD	64,660,000	USD	49,695,413	Citibank, N.A.		7/10/18		—		(1,003,435	)
KZT	450,163,960	USD	1,297,302	Deutsche Bank AG		7/10/18		60,285		—
USD	47,913,344	NZD	65,960,000	Citibank, N.A.		7/10/18		1,508,481		—
CNH	66,000,000	USD	10,450,148	Citibank, N.A.		7/11/18		—		(36,583	)
CNH	81,000,000	USD	12,831,073	Citibank, N.A.		7/11/18		—		(50,789	)
CNH	132,805,600	USD	21,044,845	Citibank, N.A.		7/11/18		—		(90,606	)
KZT	4,000,000,000	USD	11,808,118	VTB Capital PLC		7/11/18		253,470		—
USD	12,075,472	KZT	4,000,000,000	VTB Capital PLC		7/11/18		13,884		—
EUR	509,119	USD	631,932	Goldman Sachs International		7/12/18		—		(13,768	)
EUR	976,256	USD	1,217,479	Goldman Sachs International		7/12/18		—		(32,126	)
EUR	1,795,424	USD	2,237,332	Goldman Sachs International		7/12/18		—		(57,358	)
EUR	3,111,266	USD	3,844,653	Goldman Sachs International		7/12/18		—		(67,007	)
EUR	4,210,104	USD	5,230,633	Goldman Sachs International		7/12/18		—		(118,796	)
EUR	5,274,703	USD	6,573,783	Goldman Sachs International		7/12/18		—		(169,328	)

32 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
KZT	6,740,000,000	USD	20,000,000	VTB Capital PLC		7/12/18	$	321,315	$	—
USD	143,095,150	EUR	113,943,775	Goldman Sachs International		7/12/18		4,746,548		—
USD	128,524,854	EUR	102,680,238	Goldman Sachs International		7/12/18		3,852,247		—
USD	20,000,000	KZT	6,740,000,000	Standard Chartered Bank		7/12/18		—		(321,315	)
USD	60,248,834	NZD	82,912,000	Australia and New Zealand Banking Group Limited		7/12/18		1,917,511		—
USD	25,619,858	NZD	35,517,528	Australia and New Zealand Banking Group Limited		7/12/18		632,107		—
USD	15,121,576	NZD	20,963,465	Australia and New Zealand Banking Group Limited		7/12/18		373,088		—
USD	6,055,258	NZD	8,333,000	Australia and New Zealand Banking Group Limited		7/12/18		192,718		—
USD	16,274,917	ZAR	198,595,000	Barclays Bank PLC		7/12/18		487,457		—
ZAR	198,595,000	USD	16,439,031	Barclays Bank PLC		7/12/18		—		(651,571	)
ILS	20,974,200	USD	5,954,858	JPMorgan Chase Bank, N.A.		7/13/18		—		(101,983	)
MAD	23,269,000	USD	2,288,882	Société Générale		7/13/18		208,999		—
RUB	1,223,766,000	USD	21,230,825	Bank of America, N.A.		7/13/18		—		(1,960,626	)
USD	19,704,854	RUB	1,223,766,000	Bank of America, N.A.		7/13/18		434,654		—
CNH	49,364,000	USD	7,830,956	Citibank, N.A.		7/16/18		—		(43,767	)
CNH	80,200,000	USD	12,708,373	Citibank, N.A.		7/16/18		—		(56,793	)
CNH	90,004,400	USD	14,273,951	Citibank, N.A.		7/16/18		—		(75,723	)
CNH	39,900,000	USD	6,329,315	Deutsche Bank AG		7/16/18		—		(35,075	)
CNH	105,902,000	USD	16,813,044	Deutsche Bank AG		7/16/18		—		(106,963	)
EGP	137,000,000	USD	7,606,885	BNP Paribas		7/16/18		51,055		—
KRW	41,735,300,000	USD	39,247,038	Goldman Sachs International		7/16/18		—		(194,343	)
KZT	2,452,093,000	USD	7,341,596	Goldman Sachs International		7/16/18		47,964		—
KZT	1,226,047,000	USD	3,670,799	Goldman Sachs International		7/16/18		23,982		—
KZT	6,710,000,000	USD	20,000,000	VTB Capital PLC		7/16/18		221,070		—
MAD	49,512,000	USD	4,906,794	Société Générale		7/16/18		406,408		—
SGD	61,047,680	USD	46,723,441	Goldman Sachs International		7/16/18		—		(606,382	)
SGD	59,000,000	USD	45,162,278	Standard Chartered Bank		7/16/18		—		(592,092	)
USD	95,381,183	KRW	101,428,350,000	Goldman Sachs International		7/16/18		472,307		—
USD	29,061,881	KRW	30,904,404,316	Goldman Sachs International		7/16/18		143,908		—
USD	11,112,205	KZT	3,678,140,000	Goldman Sachs International		7/16/18		27,865		—
USD	19,976,183	KZT	6,710,000,000	VTB Capital PLC		7/16/18		—		(244,886	)
USD	17,570,618	ZAR	213,097,776	Credit Agricole Corporate and Investment Bank		7/16/18		638,766		—
ZAR	213,097,776	USD	17,647,484	Credit Agricole Corporate and Investment Bank		7/16/18		—		(715,631	)
EUR	5,017,985	HUF	1,569,604,000	Credit Agricole Corporate and Investment Bank		7/19/18		23,713		—
EUR	5,043,554	PLN	21,120,000	Credit Agricole Corporate and Investment Bank		7/19/18		101,683		—
EUR	1,765,900	USD	2,189,831	Goldman Sachs International		7/19/18		—		(44,545	)
HUF	2,543,180,000	EUR	8,191,385	Citibank, N.A.		7/19/18		—		(112,408	)
HUF	1,569,604,000	EUR	5,053,930	Credit Agricole Corporate and Investment Bank		7/19/18		—		(67,381	)
PLN	21,120,000	EUR	4,989,366	Credit Agricole Corporate and Investment Bank		7/19/18		—		(35,852	)
USD	51,290,925	EUR	40,921,434	Goldman Sachs International		7/19/18		1,577,936		—
EUR	4,997,858	PLN	20,919,500	Citibank, N.A.		7/20/18		103,699		—
EUR	9,360,799	SEK	93,974,000	State Street Bank and Trust Company		7/20/18		574,970		—
SEK	93,974,000	EUR	9,489,573	State Street Bank and Trust Company		7/20/18		—		(731,421	)
PHP	2,461,000,000	USD	46,892,178	Citibank, N.A.		7/23/18		510,024		—
USD	17,377,328	ZAR	211,271,224	Credit Agricole Corporate and Investment Bank		7/23/18		605,363		—
ZAR	211,271,224	USD	17,475,886	Credit Agricole Corporate and Investment Bank		7/23/18		—		(703,920	)

33 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	19,747,180	NZD	27,364,347	Australia and New Zealand Banking Group Limited		7/24/18	$	495,037	$	—
USD	15,997,218	TWD	460,000,000	JPMorgan Chase Bank, N.A.		7/24/18		363,996		—
KZT	3,602,950,000	USD	10,353,305	Standard Chartered Bank		7/25/18		492,631		—
USD	10,667,506	KZT	3,602,950,000	Standard Chartered Bank		7/25/18		—		(178,431	)
AUD	13,313,568	USD	10,260,261	JPMorgan Chase Bank, N.A.		7/26/18		—		(233,290	)
AUD	14,430,813	USD	11,121,279	JPMorgan Chase Bank, N.A.		7/26/18		—		(252,867	)
DOP	321,064,000	USD	6,484,831	Citibank, N.A.		7/26/18		—		(80,146	)
USD	72,901,000	EUR	58,162,366	Standard Chartered Bank		7/26/18		2,204,798		—
USD	22,711,693	EUR	18,119,996	Standard Chartered Bank		7/26/18		686,886		—
USD	8,454,245	EUR	6,797,000	Standard Chartered Bank		7/26/18		192,509		—
USD	2,403,150	EUR	1,932,072	Standard Chartered Bank		7/26/18		54,721		—
USD	17,541,928	NZD	23,981,549	JPMorgan Chase Bank, N.A.		7/26/18		669,685		—
USD	3,820,546	NZD	5,223,064	JPMorgan Chase Bank, N.A.		7/26/18		145,854		—
COP	107,445,784,000	USD	38,017,757	The Toronto-Dominion Bank		7/27/18		168,859		—
KZT	4,405,170,000	USD	12,609,618	Citibank, N.A.		7/27/18		648,030		—
USD	13,245,604	KZT	4,477,014,000	Citibank, N.A.		7/27/18		—		(228,264	)
RUB	3,237,699,000	USD	56,108,745	Credit Suisse International		7/30/18		—		(5,226,426	)
RUB	4,264,401,000	USD	74,607,899	Credit Suisse International		7/30/18		—		(7,590,362	)
USD	5,353,559	KZT	1,778,720,000	Deutsche Bank AG		7/30/18		2,325		—
USD	22,524,524	RUB	1,419,045,000	Credit Suisse International		7/30/18		223,408		—
USD	5,650,183	RUB	370,200,000	Goldman Sachs International		7/30/18		—		(167,725	)
USD	33,811,146	RUB	2,110,447,761	Standard Chartered Bank		7/30/18		644,234		—
USD	33,786,785	RUB	2,126,540,239	Standard Chartered Bank		7/30/18		366,971		—
USD	22,506,550	RUB	1,475,867,000	Standard Chartered Bank		7/30/18		—		(687,557	)
UYU	293,400,000	USD	10,000,000	Citibank, N.A.		7/30/18		175,988		—
UYU	293,300,000	USD	10,000,000	Citibank, N.A.		7/30/18		172,520		—
AUD	2,301,870	USD	1,739,500	Citibank, N.A.		7/31/18		—		(5,805	)
RUB	1,306,617,000	USD	22,759,397	Deutsche Bank AG		7/31/18		—		(2,227,535	)
AUD	9,294,648	USD	7,006,770	Australia and New Zealand Banking Group Limited		8/2/18		—		(6,228	)
AUD	48,770,000	USD	36,765,265	Australia and New Zealand Banking Group Limited		8/2/18		—		(32,680	)
AUD	19,973,182	USD	15,388,797	Australia and New Zealand Banking Group Limited		8/2/18		—		(345,398	)
AUD	21,649,291	USD	16,680,194	Australia and New Zealand Banking Group Limited		8/2/18		—		(374,383	)
KRW	12,580,600,000	USD	11,690,160	Standard Chartered Bank		8/2/18		90,566		—
PHP	1,219,000,000	USD	23,263,359	Deutsche Bank AG		8/2/18		198,743		—
PHP	1,204,000,000	USD	22,979,292	Goldman Sachs International		8/2/18		194,105		—
PHP	865,280,000	USD	16,545,816	Standard Chartered Bank		8/2/18		108,234		—
USD	123,474,359	EUR	99,311,000	Standard Chartered Bank		8/2/18		2,696,733		—
USD	14,474,824	EUR	11,800,000	Standard Chartered Bank		8/2/18		124,188		—
USD	3,561,147	KRW	3,832,400,000	Standard Chartered Bank		8/2/18		—		(27,589	)
USD	26,203,928	NZD	35,827,523	Australia and New Zealand Banking Group Limited		8/2/18		997,114		—
USD	5,707,088	NZD	7,803,060	Australia and New Zealand Banking Group Limited		8/2/18		217,167		—
USD	47,924,275	NZD	68,032,700	Australia and New Zealand Banking Group Limited		8/2/18		59,186		—
NOK	473,560,000	EUR	48,851,843	Bank of America, N.A.		8/6/18		—		(189,103	)
NOK	495,040,000	EUR	51,035,052	Citibank, N.A.		8/6/18		—		(157,971	)
UYU	306,350,000	USD	10,017,986	Citibank, N.A.		8/8/18		591,147		—
AUD	18,700,000	USD	14,106,065	Australia and New Zealand Banking Group Limited		8/9/18		—		(20,719	)

34 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
CZK	1,022,059,000	EUR	40,094,896	Goldman Sachs International		8/9/18	$	—	$	(293,937	)
USD	32,009,868	JPY	3,455,817,321	Goldman Sachs International		8/9/18		178,280		—
USD	14,074,900	NZD	20,000,000	Australia and New Zealand Banking Group Limited		8/9/18		3,304		—
UYU	247,834,223	USD	8,403,439	JPMorgan Chase Bank, N.A.		8/14/18		169,962		—
USD	9,996,723	OMR	4,148,640	BNP Paribas		8/15/18		—		(769,886	)
USD	107,596,788	EUR	85,559,963	Standard Chartered Bank		8/16/18		3,424,486		—
USD	53,757,090	EUR	43,348,122	Standard Chartered Bank		8/16/18		979,208		—
USD	29,737,534	EUR	24,082,290	Standard Chartered Bank		8/16/18		416,489		—
USD	10,356,359	EUR	8,292,816	Standard Chartered Bank		8/16/18		259,560		—
UAH	123,336,000	USD	4,282,500	Citibank, N.A.		8/22/18		201,242		—
USD	22,500,000	OMR	9,293,625	BNP Paribas		8/22/18		—		(1,615,755	)
USD	168,931,492	EUR	135,222,000	Standard Chartered Bank		8/23/18		4,200,108		—
USD	5,309,928	EUR	4,227,902	Standard Chartered Bank		8/23/18		159,374		—
UYU	141,168,000	USD	4,800,000	JPMorgan Chase Bank, N.A.		8/23/18		75,553		—
KZT	1,071,470,000	USD	3,043,949	Deutsche Bank AG		8/27/18		166,584		—
USD	3,163,478	KZT	1,071,470,000	Deutsche Bank AG		8/27/18		—		(47,055	)
USD	44,165,123	EUR	35,410,000	Deutsche Bank AG		8/30/18		1,003,041		—
USD	2,494,243	OMR	1,029,000	BNP Paribas		9/4/18		—		(175,223	)
RSD	851,040,000	EUR	6,848,039	Deutsche Bank AG		9/7/18		317,796		—
RSD	425,778,000	EUR	3,424,029	Deutsche Bank AG		9/7/18		161,515		—
UYU	410,870,000	USD	13,357,282	Citibank, N.A.		9/10/18		787,196		—
RUB	1,731,500,000	USD	29,967,117	Credit Suisse International		9/12/18		—		(2,887,558	)
USD	27,653,692	RUB	1,731,500,000	Credit Suisse International		9/12/18		574,133		—
UYU	142,950,000	USD	4,881,339	JPMorgan Chase Bank, N.A.		9/12/18		38,046		—
RSD	841,746,000	EUR	6,788,274	Deutsche Bank AG		9/13/18		290,527		—
USD	172,335,123	EUR	136,665,442	JPMorgan Chase Bank, N.A.		9/13/18		5,560,291		—
UYU	140,265,000	USD	4,783,936	Citibank, N.A.		9/13/18		42,184		—
RSD	418,835,000	EUR	3,394,125	Deutsche Bank AG		9/17/18		122,694		—
USD	3,358,779	OMR	1,386,000	BNP Paribas		9/17/18		—		(235,946	)
RSD	418,329,000	EUR	3,394,150	Deutsche Bank AG		9/18/18		117,054		—
CZK	2,343,059,000	EUR	91,848,648	JPMorgan Chase Bank, N.A.		9/20/18		—		(725,283	)
USD	65,321,977	EUR	52,594,184	JPMorgan Chase Bank, N.A.		9/20/18		1,103,883		—
UAH	124,192,000	USD	4,282,483	Citibank, N.A.		9/21/18		176,862		—
RSD	430,039,000	EUR	3,484,919	Citibank, N.A.		9/24/18		122,696		—
UYU	234,334,000	USD	7,989,567	Citibank, N.A.		9/24/18		57,323		—
RSD	414,189,000	EUR	3,355,115	Deutsche Bank AG		9/26/18		118,932		—
USD	5,917,956	AED	22,000,000	Standard Chartered Bank		9/26/18		—		(70,559	)
USD	86,586,849	EUR	69,386,048	Standard Chartered Bank		9/27/18		1,817,302		—
USD	7,327,243	EUR	5,862,263	JPMorgan Chase Bank, N.A.		10/5/18		160,585		—
USD	6,871,873	EUR	5,524,458	JPMorgan Chase Bank, N.A.		10/5/18		118,185		—
USD	6,179,606	EUR	4,966,092	JPMorgan Chase Bank, N.A.		10/5/18		108,524		—
USD	4,102,789	EUR	3,276,700	JPMorgan Chase Bank, N.A.		10/5/18		97,000		—
USD	2,424,840	EUR	1,948,930	JPMorgan Chase Bank, N.A.		10/5/18		42,259		—
USD	1,801,140	EUR	1,441,834	JPMorgan Chase Bank, N.A.		10/5/18		38,487		—
USD	1,524,746	EUR	1,219,748	JPMorgan Chase Bank, N.A.		10/5/18		33,596		—
USD	404,859	EUR	323,254	JPMorgan Chase Bank, N.A.		10/5/18		9,679		—

35 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	684,746	EUR	552,246	JPMorgan Chase Bank, N.A.		10/5/18	$	9,622	$	—
UYU	412,890,000	USD	13,357,813	Citibank, N.A.		10/9/18		782,616		—
RSD	207,179,000	EUR	1,677,563	Deutsche Bank AG		10/10/18		57,158		—
USD	6,372,976	TWD	183,000,000	Citibank, N.A.		10/11/18		113,950		—
USD	16,959,777	TWD	487,000,000	Goldman Sachs International		10/11/18		303,244		—
USD	12,702,561	TWD	364,500,000	Standard Chartered Bank		10/12/18		234,811		—
USD	8,602,749	TWD	247,200,000	Standard Chartered Bank		10/12/18		147,254		—
USD	12,757,785	TWD	368,700,000	Citibank, N.A.		10/16/18		142,315		—
USD	10,962,733	TWD	317,700,000	Citibank, N.A.		10/16/18		92,283		—
USD	8,478,786	TWD	245,800,000	Deutsche Bank AG		10/16/18		68,472		—
USD	12,762,135	TWD	369,400,000	Standard Chartered Bank		10/16/18		122,714		—
USD	8,491,543	TWD	246,000,000	Standard Chartered Bank		10/16/18		74,386		—
USD	5,009,331	TWD	144,945,000	Standard Chartered Bank		10/16/18		49,881		—
KZT	6,025,800,000	USD	17,891,330	VTB Capital PLC		10/17/18		29,523		—
USD	17,516,860	KZT	6,025,800,000	VTB Capital PLC		10/17/18		—		(403,992	)
RSD	338,868,000	EUR	2,755,024	Deutsche Bank AG		10/18/18		76,879		—
USD	32,524,613	TWD	925,000,000	Goldman Sachs International		10/23/18		856,903		—
USD	29,729,065	TWD	846,000,000	Standard Chartered Bank		10/23/18		765,948		—
UYU	577,082,000	USD	19,878,815	Citibank, N.A.		10/23/18		—		(164,501	)
USD	5,467,896	KZT	1,838,580,000	Citibank, N.A.		10/25/18		6,315		—
UYU	713,425,000	USD	24,538,247	HSBC Bank USA, N.A.		10/26/18		—		(179,189	)
USD	14,114,841	TWD	414,200,000	Goldman Sachs International		10/31/18		—		(74,583	)
USD	23,424,583	TWD	687,980,000	Goldman Sachs International		10/31/18		—		(143,838	)
USD	29,388,311	TWD	862,400,000	Nomura International PLC		10/31/18		—		(155,289	)
UYU	145,230,000	USD	4,956,655	Citibank, N.A.		11/5/18		—		(6,758	)
UYU	311,270,000	USD	10,018,346	Citibank, N.A.		11/8/18		585,538		—
MAD	83,640,000	USD	8,410,256	BNP Paribas		11/13/18		471,867		—
MAD	33,450,000	USD	3,373,676	BNP Paribas		11/13/18		178,536		—
UYU	195,058,000	USD	6,278,017	Citibank, N.A.		11/13/18		361,522		—
GEL	28,184,000	USD	10,000,000	VTB Capital PLC		11/16/18		1,186,947		—
GEL	28,419,000	USD	10,000,000	VTB Capital PLC		12/3/18		1,252,855		—
GEL	28,262,000	USD	10,000,000	Société Générale		12/4/18		1,189,092		—
USD	10,954,264	GEL	28,262,000	Société Générale		12/4/18		—		(234,828	)
USD	12,153,743	QAR	45,218,000	Standard Chartered Bank		12/6/18		—		(187,561	)
USD	4,861,870	QAR	18,074,000	Standard Chartered Bank		12/10/18		—		(70,835	)
USD	4,861,477	QAR	18,109,000	Standard Chartered Bank		12/10/18		—		(80,780	)
USD	4,861,477	QAR	18,109,000	Standard Chartered Bank		12/10/18		—		(80,780	)
MAD	48,799,000	USD	4,904,422	Société Générale		12/13/18		267,027		—
MAD	48,627,000	USD	4,904,387	Société Générale		12/13/18		248,834		—
USD	3,030,307	QAR	11,198,500	Credit Agricole Corporate and Investment Bank		12/13/18		—		(25,855	)
USD	4,636,241	QAR	17,168,000	Standard Chartered Bank		12/13/18		—		(49,047	)
MAD	62,616,000	USD	6,315,280	Société Générale		12/14/18		319,960		—
USD	2,317,886	QAR	8,553,000	BNP Paribas		12/17/18		—		(16,196	)
USD	4,425,953	OMR	1,835,000	BNP Paribas		12/19/18		—		(323,319	)
USD	5,384,959	QAR	19,870,500	BNP Paribas		12/19/18		—		(37,509	)
USD	5,139,633	QAR	18,901,000	BNP Paribas		1/8/19		—		(17,145	)

36 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	5,139,905	QAR	18,902,000	BNP Paribas		1/8/19	$	—	$	(17,146	)
USD	10,279,538	QAR	37,803,000	BNP Paribas		1/9/19		—		(34,180	)
USD	2,569,898	QAR	9,476,500	BNP Paribas		1/10/19		—		(15,528	)
USD	2,570,305	QAR	9,478,000	BNP Paribas		1/10/19		—		(15,531	)
USD	5,139,566	QAR	18,965,000	BNP Paribas		1/10/19		—		(34,561	)
USD	11,135,070	QAR	41,132,950	Standard Chartered Bank		1/10/19		—		(87,028	)
UYU	335,826,000	USD	11,391,655	Citibank, N.A.		1/14/19		—		(74,710	)
USD	3,240,972	QAR	11,936,500	BNP Paribas		1/16/19		—		(15,391	)
MAD	49,050,000	USD	5,109,375	BNP Paribas		1/22/19		74,342		—
MAD	51,221,000	USD	5,371,893	BNP Paribas		1/22/19		41,261		—
EUR	20,184,794	RON	97,563,200	Citibank, N.A.		1/23/19		—		(336,257	)
EUR	20,356,038	RON	98,441,800	Deutsche Bank AG		1/23/19		—		(352,282	)
EUR	12,366,086	RON	59,654,000	JPMorgan Chase Bank, N.A.		1/23/19		—		(175,596	)
USD	10,249,093	OMR	4,238,000	BNP Paribas		1/23/19		—		(709,493	)
USD	10,251,511	OMR	4,239,000	BNP Paribas		1/24/19		—		(709,374	)
EUR	11,831,231	RON	57,387,385	BNP Paribas		1/28/19		—		(242,295	)
EUR	16,800,744	RON	81,282,000	Deutsche Bank AG		1/28/19		—		(289,706	)
TRY	111,835,380	USD	26,831,905	Deutsche Bank AG		1/28/19		—		(1,508,510	)
TRY	111,835,050	USD	26,825,390	Standard Chartered Bank		1/28/19		—		(1,502,070	)
USD	1,082,219	KZT	370,660,000	Deutsche Bank AG		1/28/19		—		(4,432	)
USD	2,904,146	KZT	994,670,000	Deutsche Bank AG		1/28/19		—		(11,893	)
USD	26,819,036	TRY	111,835,380	Deutsche Bank AG		1/28/19		1,495,641		—
USD	26,851,152	TRY	111,835,050	Standard Chartered Bank		1/28/19		1,527,832		—
EUR	3,744,045	RON	18,075,500	BNP Paribas		2/1/19		—		(52,937	)
EUR	18,837,156	RON	91,102,139	BNP Paribas		2/1/19		—		(307,782	)
EUR	39,612,963	RON	191,598,000	Citibank, N.A.		2/1/19		—		(651,854	)
EUR	8,070,104	RON	39,047,200	Deutsche Bank AG		2/1/19		—		(136,454	)
EUR	1,565,434	RON	7,554,000	Deutsche Bank AG		2/14/19		—		(18,722	)
EUR	2,608,085	RON	12,581,400	Deutsche Bank AG		2/14/19		—		(30,179	)
EUR	2,088,164	RON	10,075,600	Standard Chartered Bank		2/14/19		—		(24,757	)
EUR	16,203,255	RON	78,148,300	JPMorgan Chase Bank, N.A.		2/19/19		—		(173,277	)
EUR	20,896,580	RON	100,826,000	BNP Paribas		2/20/19		—		(231,697	)
EUR	14,621,131	RON	70,576,200	Deutsche Bank AG		2/20/19		—		(169,684	)
EUR	14,630,554	RON	70,629,000	Citibank, N.A.		2/22/19		—		(168,065	)
EUR	9,372,848	RON	44,910,000	Deutsche Bank AG		2/22/19		—		(20,343	)
EUR	13,057,666	RON	63,062,000	Deutsche Bank AG		2/22/19		—		(156,755	)
USD	13,366,821	QAR	49,230,000	Standard Chartered Bank		2/26/19		—		(56,536	)
USD	25,240,506	OMR	9,970,000	BNP Paribas		4/3/19		—		(471,937	)
USD	3,783,852	OMR	1,495,000	BNP Paribas		4/8/19		—		(70,954	)
USD	3,785,611	OMR	1,495,506	Standard Chartered Bank		4/24/19		—		(68,031	)
USD	24,676,836	TWD	695,640,000	JPMorgan Chase Bank, N.A.		4/24/19		529,931		—
USD	19,806,702	TWD	573,305,000	Bank of America, N.A.		4/30/19		—		(104,869	)
USD	23,765,112	TWD	688,000,000	Standard Chartered Bank		4/30/19		—		(129,955	)
USD	12,639,900	OMR	5,037,000	BNP Paribas		5/2/19		—		(335,371	)
USD	6,486,584	OMR	2,601,250	Standard Chartered Bank		5/28/19		—		(207,879	)
USD	18,311,591	OMR	7,299,000	Standard Chartered Bank		6/5/19		—		(467,332	)

37 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
USD	20,829,054	OMR	8,517,000	BNP Paribas		7/3/19	$	—	$	(1,061,266	)
USD	10,556,778	OMR	4,318,250	BNP Paribas		7/15/19		—		(537,116	)
USD	11,657,482	AED	43,156,000	BNP Paribas		7/17/19		—		(77,358	)
USD	12,442,818	AED	46,077,000	Standard Chartered Bank		7/17/19		—		(86,292	)
USD	22,748,897	OMR	9,277,000	BNP Paribas		7/17/19		—		(1,082,652	)
USD	9,793,572	OMR	3,961,500	BNP Paribas		8/14/19		—		(372,734	)
USD	10,926,918	OMR	4,485,500	BNP Paribas		8/14/19		—		(584,117	)
USD	6,923,835	OMR	2,809,000	BNP Paribas		8/21/19		—		(283,007	)
USD	7,590,881	OMR	3,080,000	BNP Paribas		8/21/19		—		(311,246	)
USD	12,696,790	OMR	5,142,200	BNP Paribas		8/21/19		—		(496,170	)
USD	14,467,324	OMR	5,866,500	BNP Paribas		8/21/19		—		(583,918	)
USD	11,469,552	OMR	4,654,000	BNP Paribas		8/28/19		—		(467,841	)
USD	14,479,390	OMR	5,876,750	BNP Paribas		8/28/19		—		(594,325	)
USD	9,404,560	BHD	3,609,000	Credit Agricole Corporate and Investment Bank		9/18/19		—		(85,673	)
USD	9,416,632	BHD	3,619,000	Credit Agricole Corporate and Investment Bank		9/18/19		—		(99,897	)
USD	5,296,875	BHD	2,034,000	Bank of America, N.A.		9/19/19		—		(51,569	)
USD	9,046,875	BHD	3,474,000	Bank of America, N.A.		9/19/19		—		(88,077	)
USD	7,064,327	BHD	2,718,000	Credit Agricole Corporate and Investment Bank		9/23/19		—		(81,817	)
USD	8,588,511	BHD	3,304,000	Standard Chartered Bank		9/25/19		—		(97,799	)
USD	5,154,156	BHD	1,981,000	Standard Chartered Bank		10/3/19		—		(52,651	)
USD	8,085,516	BHD	3,105,000	Standard Chartered Bank		10/7/19		—		(74,565	)
USD	8,588,526	BHD	3,301,000	Standard Chartered Bank		10/7/19		—		(86,652	)
USD	15,044,225	BHD	5,783,000	Standard Chartered Bank		10/7/19		—		(153,763	)
USD	17,220,795	OMR	6,837,000	Standard Chartered Bank		10/10/19		—		(288,649	)
USD	3,430,799	BHD	1,320,000	Bank of America, N.A.		10/15/19		—		(37,357	)
USD	24,211,168	AED	89,315,000	Standard Chartered Bank		10/16/19		—		(63,654	)
USD	9,417,764	BHD	3,620,000	Credit Agricole Corporate and Investment Bank		10/16/19		—		(93,095	)
USD	20,000,000	OMR	7,945,600	Credit Agricole Corporate and Investment Bank		10/28/19		—		(335,304	)
USD	20,000,000	OMR	7,950,600	Credit Agricole Corporate and Investment Bank		10/28/19		—		(348,100	)
USD	10,970,924	BHD	4,226,000	Bank of America, N.A.		10/31/19		—		(126,900	)
USD	18,237,885	OMR	7,245,000	Bank of America, N.A.		10/31/19		—		(302,350	)
USD	15,186,916	BHD	5,850,000	Bank of America, N.A.		11/4/19		—		(173,753	)
USD	22,456,740	OMR	8,928,800	Bank of America, N.A.		11/4/19		—		(389,100	)
USD	25,000,000	OMR	9,930,000	Bank of America, N.A.		11/4/19		—		(407,579	)
USD	4,406,001	AED	16,300,000	BNP Paribas		12/11/19		—		(22,875	)
USD	73,736,855	AED	272,760,000	BNP Paribas		12/11/19		—		(374,819	)
TRY	87,420,000	USD	19,035,384	Goldman Sachs International		2/3/20		—		(1,275,406	)
TRY	120,000,000	USD	26,212,892	Goldman Sachs International		2/3/20		—		(1,834,062	)
TRY	162,490,400	USD	35,371,675	Goldman Sachs International		2/3/20		—		(2,360,626	)
TRY	34,986,750	USD	7,562,577	JPMorgan Chase Bank, N.A.		2/3/20		—		(454,777	)
TRY	107,525,000	USD	23,148,547	JPMorgan Chase Bank, N.A.		2/3/20		—		(1,304,099	)
USD	40,128,101	AED	148,012,500	BNP Paribas		2/3/20		—		(77,184	)
USD	74,858,208	AED	276,114,500	BNP Paribas		2/5/20		—		(143,210	)
TRY	111,835,380	USD	24,269,831	Deutsche Bank AG		2/10/20		—		(1,593,746	)
TRY	87,420,000	USD	19,014,682	Standard Chartered Bank		2/10/20		—		(1,289,135	)
TRY	111,835,050	USD	24,296,122	Standard Chartered Bank		2/10/20		—		(1,620,104	)

38 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
TRY	124,118,250	USD	26,952,932	Goldman Sachs International		2/14/20	$	—	$	(1,814,184	)
TRY	37,643,600	USD	8,158,561	Standard Chartered Bank		2/14/20		—		(534,275	)
TRY	142,827,070	USD	31,025,757	Standard Chartered Bank		2/14/20		—		(2,097,749	)
USD	19,215,736	OMR	7,620,000	Standard Chartered Bank		2/14/20		—		(209,682	)
USD	42,670,390	AED	157,394,000	BNP Paribas		2/18/20		—		(79,920	)
USD	20,000,000	OMR	7,920,600	Credit Agricole Corporate and Investment Bank		2/20/20		—		(187,364	)
USD	18,594,674	OMR	7,359,400	Standard Chartered Bank		2/20/20		—		(162,350	)
USD	15,893,368	BHD	6,111,000	BNP Paribas		2/24/20		—		(96,886	)
USD	15,891,443	BHD	6,119,000	BNP Paribas		3/2/20		—		(116,269	)
USD	13,020,480	AED	48,000,000	BNP Paribas		3/12/20		—		(15,411	)
USD	24,763,586	OMR	9,820,000	Standard Chartered Bank		3/12/20		—		(245,895	)
USD	16,855,444	BHD	6,518,000	BNP Paribas		3/19/20		—		(187,095	)
USD	21,068,217	BHD	8,128,750	BNP Paribas		3/23/20		—		(183,296	)
USD	16,216,935	BHD	6,253,250	BNP Paribas		3/26/20		—		(129,819	)
USD	28,571,429	OMR	11,800,000	BNP Paribas		12/21/20		—		(1,019,953	)
							$	139,047,276	$	(178,256,102	)

Forward Volatility Agreements
Reference Entity	Counterparty	Strike Volatility Rate			Settlement Date(1)		Notional Amount† (000’s omitted)		Net Unrealized Depreciation
CHF versus USD, 1 year term	Deutsche Bank AG		8.58	%		6/14/18		43,771	$	(341,501	)
CHF versus USD, 1 year term	BNP Paribas		8.35			6/19/18		22,761		(136,589	)
EUR versus USD, 1 year term	BNP Paribas		8.55			6/20/18	EUR	21,886		(293,209	)
									$	(771,299	)

⁽¹⁾  At the settlement date, the Portfolio will purchase from the counterparty an option straddle with a strike rate to be determined on this date.

† Notional amount is stated in USD unless otherwise noted.

Futures Contracts
Description	Number of Contracts		Position		Expiration Month/Year		Notional Amount			Value/Net Unrealized Appreciation (Depreciation)
Commodity Futures
Brent Crude Oil		429		Long		May-18	$	32,042,010		$	766,051
Interest Rate Futures
5-Year USD Deliverable Interest Rate Swap		75		Short		Jun-18		(7,172,461	)		38,672
10-Year USD Deliverable Interest Rate Swap		362		Short		Jun-18		(33,773,469	)		204,002
CME 90-Day Eurodollar		16,600		Long		Dec-18		4,040,232,500			(7,069,027	)
CME 90-Day Eurodollar		16,600		Short		Dec-19		(4,026,745,000	)		8,307,797
										$	2,247,495

CME:  Chicago Mercantile Exchange.

39 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Inflation Swaps
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	EUR	11,378	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.60% (pays upon termination)		8/15/32	$	153,253
LCH.Clearnet	EUR	11,623	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.57% (pays upon termination)		8/15/32		227,244
LCH.Clearnet	EUR	11,653	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.59% (pays upon termination)		8/15/32		192,444
LCH.Clearnet	EUR	11,446	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.64% (pays upon termination)		10/15/32		93,182
LCH.Clearnet	EUR	15,315	Receives	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Pays	1.74% (pays upon termination)		2/15/33		(144,634	)
LCH.Clearnet	EUR	11,378	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.79% (pays upon termination)		8/15/42		(287,150	)
LCH.Clearnet	EUR	11,623	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.77% (pays upon termination)		8/15/42		(371,617	)
LCH.Clearnet	EUR	11,653	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.78% (pays upon termination)		8/15/42		(361,114	)
LCH.Clearnet	EUR	11,446	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.85% (pays upon termination)		10/15/42		(108,459	)
LCH.Clearnet	EUR	15,315	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.93% (pays upon termination)		2/15/43		274,324
LCH.Clearnet	EUR	3,065	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.90% (pays upon termination)		8/4/47		(34,765	)
LCH.Clearnet	EUR	3,065	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.89% (pays upon termination)		8/7/47		(47,621	)
LCH.Clearnet	EUR	8,521	Pays	Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)	Receives	1.95% (pays upon termination)		12/15/47		87,178
LCH.Clearnet	USD	36,500	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.17% (pays upon termination)		10/26/27		891,054
LCH.Clearnet	USD	14,000	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.23% (pays upon termination)		1/17/28		211,062

40 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Inflation Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Return on Reference Index	Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	USD	14,682	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.35% (pays upon termination)		2/6/28	$	85,810
LCH.Clearnet	USD	27,996	Pays	Return on CPI-U (NSA) (pays upon termination)	Receives	2.41% (pays upon termination)		2/6/33		(95,039	)
LCH.Clearnet	USD	27,996	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.42% (pays upon termination)		2/6/43		14,057
LCH.Clearnet	USD	4,128	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.16% (pays upon termination)		8/4/47		308,897
LCH.Clearnet	USD	4,128	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.15% (pays upon termination)		8/7/47		322,414
LCH.Clearnet	USD	5,209	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.13% (pays upon termination)		8/22/47		430,340
LCH.Clearnet	USD	5,178	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.15% (pays upon termination)		8/25/47		409,685
LCH.Clearnet	USD	5,163	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.15% (pays upon termination)		9/1/47		405,166
LCH.Clearnet	USD	4,498	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.22% (pays upon termination)		10/5/47		275,241
LCH.Clearnet	USD	14,130	Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	2.26% (pays upon termination)		12/7/47		657,976
									$	3,588,928

CPI-U (NSA)	–	Consumer Price Index All Urban Non-Seasonally Adjusted
HICP	–	Harmonised Indices of Consumer Prices

Inflation Swaps
Counterparty	Notional Amount (000’s omitted)	Portfolio Pays/Receives Return on Reference Index		Reference Index	Portfolio Pays/Receives Rate	Annual Rate	Termination Date	Value/Net Unrealized Appreciation
Bank of America, N.A.	$87,363		Receives	Return on CPI-U (NSA) (pays upon termination)	Pays	1.97% (pays upon termination)	6/23/27	$	3,418,278
								$	3,418,278

CPI-U (NSA) – Consumer Price Index All Urban Non-Seasonally Adjusted

41 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
CME Group, Inc.	BRL	368,297	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.79% (pays upon termination)	1/2/19	$	(438,438	)
CME Group, Inc.	BRL	374,865	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.80% (pays upon termination)	1/2/19		(427,438	)
CME Group, Inc.	BRL	430,869	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.82% (pays upon termination)	1/2/19		(546,108	)
CME Group, Inc.	BRL	740,517	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.77% (pays upon termination)	1/2/19		(844,372	)
CME Group, Inc.	BRL	783,790	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.77% (pays upon termination)	1/2/19		(892,929	)
CME Group, Inc.	BRL	1,133,036	Receives	Brazil CETIP Interbank Deposit Rate (pays upon termination)	6.79% (pays upon termination)	1/2/19		(1,350,571	)
CME Group, Inc.	BRL	68,512	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.31% (pays upon termination)	1/2/23		384,530
CME Group, Inc.	BRL	68,513	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.33% (pays upon termination)	1/2/23		398,808
CME Group, Inc.	BRL	77,923	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.36% (pays upon termination)	1/2/23		482,236
CME Group, Inc.	BRL	139,785	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.29% (pays upon termination)	1/2/23		745,747
CME Group, Inc.	BRL	145,947	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.26% (pays upon termination)	1/2/23		711,888
CME Group, Inc.	BRL	209,541	Pays	Brazil CETIP Interbank Deposit Rate (pays upon termination)	9.27% (pays upon termination)	1/2/23		1,047,906
CME Group, Inc.(1)	KRW	17,876,490	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.28% (pays quarterly)	6/20/28		(154,349	)
CME Group, Inc.	MXN	2,419,244	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.83% (pays monthly)	6/28/19		(1,556,682	)
CME Group, Inc.	MXN	1,774,345	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.83% (pays monthly)	7/1/19		(1,138,971	)
CME Group, Inc.	MXN	2,105,585	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	6.83% (pays monthly)	7/1/19		(1,346,771	)
CME Group, Inc.	MXN	1,037,630	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.00% (pays monthly)	8/21/19		(597,522	)
CME Group, Inc.	MXN	2,426,140	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.03% (pays monthly)	8/23/19		(1,339,958	)
CME Group, Inc.	MXN	3,557,600	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.70% (pays monthly)	12/12/19		(121,827	)
CME Group, Inc.	MXN	3,499,000	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.72% (pays monthly)	12/13/19		(73,579	)
CME Group, Inc.	MXN	4,187,630	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.92% (pays monthly)	12/16/19		641,619
CME Group, Inc.	MXN	1,277,918	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.70% (pays monthly)	1/24/20		(24,044	)
CME Group, Inc.	MXN	4,045,452	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.68% (pays monthly)	1/24/20		(112,728	)

42 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
CME Group, Inc.	MXN	1,502,776	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.52% (pays monthly)	4/16/20	$	(198,416	)
CME Group, Inc.	MXN	13,867,130	Pays	Mexico Interbank TIIE 28 Day (pays monthly)	7.53% (pays monthly)	4/16/20		(245,573	)
CME Group, Inc.	MXN	884,500	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	7.67% (pays monthly)	12/2/27		296,715
CME Group, Inc.	MXN	889,300	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	7.67% (pays monthly)	12/3/27		298,955
CME Group, Inc.	MXN	1,167,030	Receives	Mexico Interbank TIIE 28 Day (pays monthly)	7.80% (pays monthly)	12/6/27		(162,697	)
LCH.Clearnet	CAD	30,580	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.51% (pays semi-annually)	2/5/23		93,244
LCH.Clearnet	CAD	61,100	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.51% (pays semi-annually)	2/5/23		186,304
LCH.Clearnet	CAD	183,530	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.49% (pays semi-annually)	2/5/23		434,481
LCH.Clearnet	CAD	111,865	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.46% (pays semi-annually)	2/6/23		135,521
LCH.Clearnet	CAD	38,500	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.42% (pays semi-annually)	3/6/23		(48,144	)
LCH.Clearnet	CAD	64,455	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.39% (pays semi-annually)	3/14/23		(197,169	)
LCH.Clearnet	CAD	83,791	Pays	3-month Canadian Bankers Acceptances (pays quarterly)	2.40% (pays semi-annually)	3/14/23		(219,642	)
LCH.Clearnet(1)	CHF	241,194	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.45)% (pays annually)	3/25/20		(30,708	)
LCH.Clearnet(1)	CHF	241,194	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.46)% (pays annually)	3/25/20		(49,130	)
LCH.Clearnet(1)	CHF	253,334	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.46)% (pays annually)	3/25/20		(45,153	)
LCH.Clearnet(1)	CHF	121,918	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.47)% (pays annually)	3/26/20		(41,536	)
LCH.Clearnet(1)	CHF	121,917	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.49)% (pays annually)	3/27/20		(61,336	)
LCH.Clearnet(1)	CHF	121,918	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.48)% (pays annually)	3/27/20		(55,129	)
LCH.Clearnet(1)	CHF	245,839	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.47)% (pays annually)	3/29/20		(90,849	)
LCH.Clearnet(1)	CHF	367,334	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.50)% (pays annually)	4/3/20		(246,670	)
LCH.Clearnet(1)	CHF	124,028	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.49)% (pays annually)	4/5/20		(79,300	)
LCH.Clearnet(1)	CHF	245,945	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.51)% (pays annually)	4/8/20		(201,700	)
LCH.Clearnet(1)	CHF	247,527	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.49)% (pays annually)	4/9/20		(161,185	)

43 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet(1)	CHF	247,527	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.49)% (pays annually)	4/9/20	$	(167,487	)
LCH.Clearnet(1)	CHF	316,396	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.47)% (pays annually)	4/15/20		(151,110	)
LCH.Clearnet(1)	CHF	35,139	Pays	3-month CHF-LIBOR-BBA (pays quarterly)	(0.47)% (pays annually)	4/16/20		(17,107	)
LCH.Clearnet(1)	EUR	324,825	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.09)% (pays annually)	3/25/20		(182,000	)
LCH.Clearnet(1)	EUR	324,825	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.09)% (pays annually)	3/25/20		(187,904	)
LCH.Clearnet(1)	EUR	105,106	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.11)% (pays annually)	3/26/20		(34,224	)
LCH.Clearnet(1)	EUR	105,105	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.10)% (pays annually)	3/27/20		(36,921	)
LCH.Clearnet(1)	EUR	105,106	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.11)% (pays annually)	3/27/20		(28,646	)
LCH.Clearnet(1)	EUR	207,042	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.11)% (pays annually)	3/29/20		(43,177	)
LCH.Clearnet(1)	EUR	313,205	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.12)% (pays annually)	4/3/20		(23,310	)
LCH.Clearnet(1)	EUR	107,218	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.11)% (pays annually)	4/5/20		(17,888	)
LCH.Clearnet(1)	EUR	107,218	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.11)% (pays annually)	4/6/20		(15,246	)
LCH.Clearnet(1)	EUR	799,770	Receives	3-month Euro Interbank Offered Rate (pays quarterly)	(0.09)% (pays annually)	4/15/20		(233,396	)
LCH.Clearnet	EUR	155,901	Receives	6-month Euro Interbank Offered Rate (pays semi-annually)	0.25% (pays annually)(2)	9/20/22		(419,967	)
LCH.Clearnet	EUR	240,000	Pays	6-month Euro Interbank Offered Rate (pays semi-annually)	0.47% (pays annually)	2/27/23		1,926,777
LCH.Clearnet	EUR	47,035	Receives	6-month Euro Interbank Offered Rate (pays semi-annually)	1.00% (pays annually)	3/21/23		(269,325	)
LCH.Clearnet	EUR	1,534	Receives	6-month Euro Interbank Offered Rate (pays semi-annually)	0.95% (pays annually)	4/12/28		6,634
LCH.Clearnet	EUR	49,820	Receives	6-month Euro Interbank Offered Rate (pays semi-annually)	1.64% (pays annually)	2/27/48		(1,793,942	)
LCH.Clearnet	EUR	2,886	Receives	6-month Euro Interbank Offered Rate (pays semi-annually)	1.47% (pays annually)	4/5/48		41,092
LCH.Clearnet	EUR	8,085	Receives	6-month Euro Interbank Offered Rate (pays semi-annually)	1.36% (pays annually)	4/5/48		92,812
LCH.Clearnet	HUF	2,149,708	Receives	6-month HUF BUBOR (pays semi-annually)	1.27% (pays annually)	12/13/21		(214,491	)
LCH.Clearnet	HUF	5,785,420	Receives	6-month HUF BUBOR (pays semi-annually)	1.46% (pays annually)	1/12/22		(722,448	)
LCH.Clearnet	HUF	5,322,580	Receives	6-month HUF BUBOR (pays semi-annually)	1.44% (pays annually)	1/13/22		(643,181	)

44 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	HUF	8,642,108	Receives	6-month HUF BUBOR (pays semi-annually)	1.25% (pays annually)	2/6/23	$	(546,650	)
LCH.Clearnet	HUF	8,391,182	Receives	6-month HUF BUBOR (pays semi-annually)	1.27% (pays annually)	2/7/23		(548,795	)
LCH.Clearnet	HUF	10,841,200	Receives	6-month HUF BUBOR (pays semi-annually)	1.32% (pays annually)	2/9/23		(806,959	)
LCH.Clearnet	HUF	8,393,800	Receives	6-month HUF BUBOR (pays semi-annually)	1.19% (pays annually)	3/12/23		(367,086	)
LCH.Clearnet	HUF	4,196,900	Receives	6-month HUF BUBOR (pays semi-annually)	1.15% (pays annually)	3/13/23		(146,880	)
LCH.Clearnet	HUF	3,089,400	Receives	6-month HUF BUBOR (pays semi-annually)	1.92% (pays annually)	7/28/26		(356,358	)
LCH.Clearnet	HUF	2,174,000	Receives	6-month HUF BUBOR (pays semi-annually)	1.94% (pays annually)	8/1/26		(260,101	)
LCH.Clearnet	HUF	833,096	Receives	6-month HUF BUBOR (pays semi-annually)	1.94% (pays annually)	9/21/26		(83,435	)
LCH.Clearnet	HUF	854,457	Receives	6-month HUF BUBOR (pays semi-annually)	1.93% (pays annually)	9/21/26		(84,168	)
LCH.Clearnet	HUF	2,107,661	Receives	6-month HUF BUBOR (pays semi-annually)	1.89% (pays annually)	9/21/26		(178,474	)
LCH.Clearnet	HUF	848,760	Receives	6-month HUF BUBOR (pays semi-annually)	2.14% (pays annually)	10/13/26		(136,355	)
LCH.Clearnet	HUF	2,158,928	Receives	6-month HUF BUBOR (pays semi-annually)	2.09% (pays annually)	10/19/26		(306,772	)
LCH.Clearnet	HUF	2,236,399	Receives	6-month HUF BUBOR (pays semi-annually)	2.04% (pays annually)	10/20/26		(278,833	)
LCH.Clearnet	HUF	972,374	Receives	6-month HUF BUBOR (pays semi-annually)	2.08% (pays annually)	10/28/26		(129,131	)
LCH.Clearnet	HUF	2,407,181	Receives	6-month HUF BUBOR (pays semi-annually)	2.06% (pays annually)	10/28/26		(309,156	)
LCH.Clearnet	HUF	1,456,978	Receives	6-month HUF BUBOR (pays semi-annually)	2.09% (pays annually)	11/2/26		(194,367	)
LCH.Clearnet	HUF	975,542	Receives	6-month HUF BUBOR (pays semi-annually)	2.18% (pays annually)	11/3/26		(160,249	)
LCH.Clearnet	HUF	5,260,958	Receives	6-month HUF BUBOR (pays semi-annually)	2.13% (pays annually)	11/4/26		(779,903	)
LCH.Clearnet	HUF	956,538	Receives	6-month HUF BUBOR (pays semi-annually)	2.15% (pays annually)	11/7/26		(146,347	)
LCH.Clearnet	HUF	950,203	Receives	6-month HUF BUBOR (pays semi-annually)	2.12% (pays annually)	11/8/26		(135,680	)
LCH.Clearnet	HUF	2,616,226	Receives	6-month HUF BUBOR (pays semi-annually)	2.14% (pays annually)	11/10/26		(392,854	)
LCH.Clearnet	HUF	4,379,300	Receives	6-month HUF BUBOR (pays semi-annually)	2.66% (pays annually)	2/8/27		(1,262,946	)
LCH.Clearnet	HUF	5,350,000	Receives	6-month HUF BUBOR (pays semi-annually)	1.99% (pays annually)	1/31/28		(52,975	)

45 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	HUF	5,400,000	Receives	6-month HUF BUBOR (pays semi-annually)	1.98% (pays annually)	1/31/28	$	(34,109	)
LCH.Clearnet	HUF	2,687,485	Receives	6-month HUF BUBOR (pays semi-annually)	1.94% (pays annually)	2/1/28		22,589
LCH.Clearnet	HUF	5,312,515	Receives	6-month HUF BUBOR (pays semi-annually)	1.98% (pays annually)	2/1/28		(31,528	)
LCH.Clearnet	HUF	1,498,763	Receives	6-month HUF BUBOR (pays semi-annually)	2.09% (pays annually)	2/7/28		(64,478	)
LCH.Clearnet	HUF	2,220,389	Receives	6-month HUF BUBOR (pays semi-annually)	2.18% (pays annually)	2/7/28		(167,133	)
LCH.Clearnet	HUF	4,490,614	Receives	6-month HUF BUBOR (pays semi-annually)	2.12% (pays annually)	2/7/28		(234,604	)
LCH.Clearnet	HUF	2,264,798	Receives	6-month HUF BUBOR (pays semi-annually)	2.20% (pays annually)	2/8/28		(181,763	)
LCH.Clearnet	HUF	4,340,586	Receives	6-month HUF BUBOR (pays semi-annually)	2.23% (pays annually)	2/9/28		(401,097	)
LCH.Clearnet	JPY	1,114,835	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.62% (pays semi-annually)	12/19/46		665,016
LCH.Clearnet	JPY	1,206,794	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.81% (pays semi-annually)	12/19/46		149,512
LCH.Clearnet	JPY	1,346,165	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.61% (pays semi-annually)	12/19/46		830,871
LCH.Clearnet	JPY	1,413,260	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.78% (pays semi-annually)	12/19/46		277,851
LCH.Clearnet	JPY	469,100	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.85% (pays semi-annually)	6/19/47		19,750
LCH.Clearnet	JPY	469,100	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.86% (pays semi-annually)	6/19/47		16,291
LCH.Clearnet	JPY	1,525,000	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.89% (pays semi-annually)	9/18/47		(27,042	)
LCH.Clearnet	JPY	1,630,000	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.89% (pays semi-annually)	9/18/47		(44,900	)
LCH.Clearnet	JPY	2,052,000	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.92% (pays semi-annually)	9/18/47		(215,577	)
LCH.Clearnet	JPY	1,347,000	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.95% (pays semi-annually)	12/18/47		(256,369	)
LCH.Clearnet	JPY	2,591,000	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.95% (pays semi-annually)	12/18/47		(471,439	)
LCH.Clearnet	JPY	2,998,000	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.95% (pays semi-annually)	12/18/47		(518,352	)
LCH.Clearnet	JPY	5,251,695	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.96% (pays semi-annually)	12/18/47		(1,066,182	)
LCH.Clearnet	JPY	5,650,015	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.95% (pays semi-annually)	12/18/47		(987,923	)
LCH.Clearnet	JPY	1,677,000	Receives	6-month JPY-LIBOR-BBA (pays semi-annually)	0.86% (pays semi-annually)	6/17/48		156,544

46 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	NZD	57,470	Receives	3-month NZD Bank Bill (pays quarterly)	2.76% (pays semi-annually)	2/9/23	$	(181,541	)
LCH.Clearnet	NZD	79,000	Receives	3-month NZD Bank Bill (pays quarterly)	2.75% (pays semi-annually)	2/9/23		(243,213	)
LCH.Clearnet	NZD	143,700	Receives	3-month NZD Bank Bill (pays quarterly)	2.74% (pays semi-annually)	2/13/23		(366,577	)
LCH.Clearnet	NZD	162,900	Receives	3-month NZD Bank Bill (pays quarterly)	2.73% (pays semi-annually)	2/16/23		(333,643	)
LCH.Clearnet	NZD	63,100	Receives	3-month NZD Bank Bill (pays quarterly)	2.73% (pays semi-annually)	2/20/23		(133,527	)
LCH.Clearnet	NZD	63,650	Receives	3-month NZD Bank Bill (pays quarterly)	2.74% (pays semi-annually)	2/22/23		(143,647	)
LCH.Clearnet	NZD	20,093	Pays	3-month NZD Bank Bill (pays quarterly)	4.96% (pays semi-annually)	4/29/24		1,645,006
LCH.Clearnet	NZD	11,875	Pays	3-month NZD Bank Bill (pays quarterly)	3.77% (pays semi-annually)	3/5/25		450,744
LCH.Clearnet	NZD	11,470	Pays	3-month NZD Bank Bill (pays quarterly)	4.05% (pays semi-annually)	6/16/25		663,178
LCH.Clearnet	NZD	25,600	Receives	3-month NZD Bank Bill (pays quarterly)	3.40% (pays semi-annually)	4/28/27		(360,166	)
LCH.Clearnet	NZD	19,400	Receives	3-month NZD Bank Bill (pays quarterly)	3.40% (pays semi-annually)	5/8/27		(431,241	)
LCH.Clearnet	NZD	19,535	Receives	3-month NZD Bank Bill (pays quarterly)	3.41% (pays semi-annually)	5/8/27		(445,785	)
LCH.Clearnet	NZD	45,772	Receives	3-month NZD Bank Bill (pays quarterly)	3.49% (pays semi-annually)	5/11/27		(1,269,563	)
LCH.Clearnet	NZD	16,873	Receives	3-month NZD Bank Bill (pays quarterly)	3.31% (pays semi-annually)	5/18/27		(284,982	)
LCH.Clearnet	NZD	82,060	Receives	3-month NZD Bank Bill (pays quarterly)	3.17% (pays semi-annually)	6/26/27		(581,339	)
LCH.Clearnet	NZD	94,000	Receives	3-month NZD Bank Bill (pays quarterly)	3.13% (pays semi-annually)	1/9/28		(214,799	)
LCH.Clearnet	NZD	94,000	Receives	3-month NZD Bank Bill (pays quarterly)	3.13% (pays semi-annually)	1/9/28		(229,223	)
LCH.Clearnet	NZD	140,000	Receives	3-month NZD Bank Bill (pays quarterly)	3.15% (pays semi-annually)	1/11/28		(495,309	)
LCH.Clearnet	NZD	86,000	Receives	3-month NZD Bank Bill (pays quarterly)	3.20% (pays semi-annually)	1/12/28		(579,936	)
LCH.Clearnet	PLN	31,365	Pays	6-month PLN WIBOR (pays semi-annually)	2.41% (pays annually)	12/13/21		102,728
LCH.Clearnet	PLN	84,093	Pays	6-month PLN WIBOR (pays semi-annually)	2.46% (pays annually)	1/12/22		298,012
LCH.Clearnet	PLN	86,972	Pays	6-month PLN WIBOR (pays semi-annually)	2.44% (pays annually)	1/13/22		283,505
LCH.Clearnet	PLN	119,081	Pays	6-month PLN WIBOR (pays semi-annually)	2.73% (pays annually)	2/6/23		663,573

47 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	PLN	117,941	Pays	6-month PLN WIBOR (pays semi-annually)	2.69% (pays annually)	2/7/23	$	584,495
LCH.Clearnet	PLN	144,938	Pays	6-month PLN WIBOR (pays semi-annually)	2.63% (pays annually)	2/9/23		595,728
LCH.Clearnet	PLN	128,740	Pays	6-month PLN WIBOR (pays semi-annually)	2.45% (pays annually)	3/12/23		186,994
LCH.Clearnet	PLN	43,620	Pays	6-month PLN WIBOR (pays semi-annually)	2.23% (pays annually)	7/28/26		(302,752	)
LCH.Clearnet	PLN	31,466	Pays	6-month PLN WIBOR (pays semi-annually)	2.22% (pays annually)	8/1/26		(226,190	)
LCH.Clearnet	PLN	11,391	Pays	6-month PLN WIBOR (pays semi-annually)	2.28% (pays annually)	9/21/26		(71,829	)
LCH.Clearnet	PLN	42,148	Pays	6-month PLN WIBOR (pays semi-annually)	2.30% (pays annually)	9/21/26		(246,225	)
LCH.Clearnet	PLN	12,047	Pays	6-month PLN WIBOR (pays semi-annually)	2.49% (pays annually)	10/13/26		(20,381	)
LCH.Clearnet	PLN	12,246	Pays	6-month PLN WIBOR (pays semi-annually)	2.47% (pays annually)	10/19/26		(26,895	)
LCH.Clearnet	PLN	18,369	Pays	6-month PLN WIBOR (pays semi-annually)	2.46% (pays annually)	10/19/26		(44,580	)
LCH.Clearnet	PLN	13,442	Pays	6-month PLN WIBOR (pays semi-annually)	2.43% (pays annually)	10/20/26		(41,967	)
LCH.Clearnet	PLN	18,368	Pays	6-month PLN WIBOR (pays semi-annually)	2.44% (pays annually)	10/20/26		(51,838	)
LCH.Clearnet	PLN	13,914	Pays	6-month PLN WIBOR (pays semi-annually)	2.47% (pays annually)	10/28/26		(32,564	)
LCH.Clearnet	PLN	34,786	Pays	6-month PLN WIBOR (pays semi-annually)	2.46% (pays annually)	10/28/26		(89,429	)
LCH.Clearnet	PLN	20,872	Pays	6-month PLN WIBOR (pays semi-annually)	2.50% (pays annually)	10/31/26		(34,375	)
LCH.Clearnet	PLN	13,915	Pays	6-month PLN WIBOR (pays semi-annually)	2.56% (pays annually)	11/2/26		(38,364	)
LCH.Clearnet	PLN	76,529	Pays	6-month PLN WIBOR (pays semi-annually)	2.51% (pays annually)	11/4/26		(304,671	)
LCH.Clearnet	PLN	13,914	Pays	6-month PLN WIBOR (pays semi-annually)	2.54% (pays annually)	11/7/26		(47,641	)
LCH.Clearnet	PLN	13,914	Pays	6-month PLN WIBOR (pays semi-annually)	2.50% (pays annually)	11/8/26		(58,713	)
LCH.Clearnet	PLN	38,455	Pays	6-month PLN WIBOR (pays semi-annually)	2.52% (pays annually)	11/10/26		(154,133	)
LCH.Clearnet	PLN	54,047	Pays	6-month PLN WIBOR (pays semi-annually)	3.00% (pays annually)	2/8/27		320,717
LCH.Clearnet	PLN	77,000	Pays	6-month PLN WIBOR (pays semi-annually)	3.15% (pays annually)	1/31/28		637,370
LCH.Clearnet	PLN	77,500	Pays	6-month PLN WIBOR (pays semi-annually)	3.15% (pays annually)	1/31/28		651,217

48 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	PLN	49,439	Pays	6-month PLN WIBOR (pays semi-annually)	3.13% (pays annually)	2/1/28	$	383,778
LCH.Clearnet	PLN	76,061	Pays	6-month PLN WIBOR (pays semi-annually)	3.11% (pays annually)	2/1/28		552,328
LCH.Clearnet	PLN	21,126	Pays	6-month PLN WIBOR (pays semi-annually)	3.14% (pays annually)	2/7/28		83,452
LCH.Clearnet	PLN	31,826	Pays	6-month PLN WIBOR (pays semi-annually)	3.12% (pays annually)	2/7/28		240,057
LCH.Clearnet	PLN	64,357	Pays	6-month PLN WIBOR (pays semi-annually)	3.17% (pays annually)	2/7/28		566,758
LCH.Clearnet	PLN	31,825	Pays	6-month PLN WIBOR (pays semi-annually)	3.10% (pays annually)	2/8/28		223,664
LCH.Clearnet	PLN	61,296	Pays	6-month PLN WIBOR (pays semi-annually)	3.08% (pays annually)	2/9/28		399,149
LCH.Clearnet(1)	SEK	3,212,871	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.08% (pays annually)	3/25/20		358,435
LCH.Clearnet(1)	SEK	3,260,936	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.08% (pays annually)	3/25/20		365,662
LCH.Clearnet(1)	SEK	1,066,908	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.05% (pays annually)	3/26/20		86,857
LCH.Clearnet(1)	SEK	2,144,380	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.04% (pays annually)	3/27/20		152,931
LCH.Clearnet(1)	SEK	2,154,943	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.05% (pays annually)	3/29/20		153,409
LCH.Clearnet(1)	SEK	2,149,661	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.03% (pays annually)	4/3/20		106,152
LCH.Clearnet(1)	SEK	2,195,084	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.02% (pays annually)	4/5/20		70,380
LCH.Clearnet(1)	SEK	1,090,675	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.03% (pays annually)	4/6/20		43,127
LCH.Clearnet(1)	SEK	2,165,506	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.02% (pays annually)	4/8/20		65,915
LCH.Clearnet(1)	SEK	2,165,506	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.03% (pays annually)	4/9/20		68,880
LCH.Clearnet(1)	SEK	2,165,506	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.02% (pays annually)	4/9/20		62,675
LCH.Clearnet(1)	SEK	1,976,604	Pays	3-month Stockholm Interbank Offered Rate (pays quarterly)	0.04% (pays annually)	4/15/20		81,370
LCH.Clearnet	USD	3,000	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.30% (pays semi-annually)	1/30/20		3,443
LCH.Clearnet	USD	6,478	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.75% (pays annually)	7/31/20		(58,801	)
LCH.Clearnet	USD	12,230	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.74% (pays semi-annually)	7/31/20		(220,395	)
LCH.Clearnet	USD	15,290	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.74% (pays semi-annually)	7/31/20		(275,631	)

49 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	USD	16,334	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.74% (pays semi-annually)	8/12/20	$	(372,577	)
LCH.Clearnet	USD	17,380	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.62% (pays semi-annually)	8/14/20		(448,273	)
LCH.Clearnet	USD	18,431	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.68% (pays semi-annually)	8/17/20		(452,168	)
LCH.Clearnet	USD	19,667	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.69% (pays semi-annually)	8/17/20		(477,805	)
LCH.Clearnet	USD	32,698	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.70% (pays semi-annually)	8/19/20		(789,063	)
LCH.Clearnet	USD	9,452	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.56% (pays semi-annually)	8/22/20		(260,412	)
LCH.Clearnet	USD	19,470	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.55% (pays semi-annually)	8/22/20		(541,125	)
LCH.Clearnet	USD	33,453	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.57% (pays semi-annually)	9/17/20		(956,134	)
LCH.Clearnet	USD	24,270	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.65% (pays semi-annually)	9/18/20		(645,606	)
LCH.Clearnet	USD	1,310	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.55% (pays semi-annually)	9/23/20		(38,306	)
LCH.Clearnet	USD	9,330	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.43% (pays semi-annually)	10/28/20		(306,271	)
LCH.Clearnet	USD	9,330	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.42% (pays semi-annually)	10/28/20		(306,831	)
LCH.Clearnet	USD	9,622	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.54% (pays semi-annually)	11/5/20		(261,239	)
LCH.Clearnet	USD	19,245	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.53% (pays semi-annually)	11/5/20		(527,391	)
LCH.Clearnet	USD	9,312	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.56% (pays semi-annually)	11/9/20		(249,789	)
LCH.Clearnet	USD	12,726	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.67% (pays semi-annually)	11/12/20		(300,466	)
LCH.Clearnet	USD	6,834	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.11% (pays semi-annually)	2/23/21		(323,830	)
LCH.Clearnet	USD	6,626	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.17% (pays semi-annually)	2/25/21		(303,489	)
LCH.Clearnet	USD	13,253	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.17% (pays semi-annually)	2/25/21		(607,787	)
LCH.Clearnet	USD	16,620	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.27% (pays semi-annually)	3/7/21		(719,936	)
LCH.Clearnet	USD	10,838	Pays	3-month USD-LIBOR-BBA (pays quarterly)	2.10% (pays semi-annually)	7/27/22		(280,636	)
LCH.Clearnet	USD	11,426	Pays	3-month USD-LIBOR-BBA (pays quarterly)	2.06% (pays semi-annually)	7/30/22		(370,115	)
LCH.Clearnet	USD	10,104	Receives	3-month USD-LIBOR-BBA (pays quarterly)	1.84% (pays semi-annually)	9/15/22		438,548

50 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	USD	7,836	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.51% (pays semi-annually)	1/26/23	$	88,303
LCH.Clearnet	USD	4,250	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.71% (pays semi-annually)	3/5/23		32,397
LCH.Clearnet	USD	860	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.73% (pays semi-annually)	4/5/23		6,625
LCH.Clearnet	USD	5,340	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.78% (pays semi-annually)	4/10/23		30,081
LCH.Clearnet	USD	379	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.75% (pays semi-annually)	4/12/23		2,701
LCH.Clearnet	USD	3,071	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.75% (pays semi-annually)	4/12/23		21,903
LCH.Clearnet	USD	4,855	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.59% (pays semi-annually)	4/12/26		(468,963	)
LCH.Clearnet	USD	6,620	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.59% (pays semi-annually)	4/12/26		(639,687	)
LCH.Clearnet	USD	9,340	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.68% (pays semi-annually)	5/6/26		(808,763	)
LCH.Clearnet	USD	9,340	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.68% (pays semi-annually)	5/6/26		(811,600	)
LCH.Clearnet	USD	3,030	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.66% (pays semi-annually)	5/9/26		(267,182	)
LCH.Clearnet	USD	11,023	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.60% (pays semi-annually)	5/18/26		(1,028,598	)
LCH.Clearnet	USD	2,769	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.72% (pays semi-annually)	5/20/26		(231,973	)
LCH.Clearnet	USD	5,537	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.65% (pays semi-annually)	5/20/26		(493,473	)
LCH.Clearnet	USD	19,310	Pays	3-month USD-LIBOR-BBA (pays quarterly)	1.69% (pays semi-annually)	6/3/26		(1,683,885	)
LCH.Clearnet	USD	11,590	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.11% (pays semi-annually)	9/5/27		808,815
LCH.Clearnet	USD	122,717	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.18% (pays semi-annually)	9/19/27		7,022,954
LCH.Clearnet	USD	2,300	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.33% (pays semi-annually)	11/6/27		105,996
LCH.Clearnet	USD	705	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.28% (pays semi-annually)	11/9/27		34,910
LCH.Clearnet	USD	1,900	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.38% (pays semi-annually)	11/14/27		79,634
LCH.Clearnet	USD	14,740	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.32% (pays semi-annually)	11/17/27		704,879
LCH.Clearnet	USD	3,500	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.35% (pays semi-annually)	11/21/27		158,823
LCH.Clearnet	USD	4,525	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.36% (pays semi-annually)	11/24/27		200,281

51 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
LCH.Clearnet	USD	2,600	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.34% (pays semi-annually)	12/18/27	$	121,709
LCH.Clearnet	USD	4,155	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.47% (pays semi-annually)	1/9/28		150,953
LCH.Clearnet	USD	23,800	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.68% (pays semi-annually)	1/30/28		448,468
LCH.Clearnet	USD	1,010	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.72% (pays semi-annually)	1/31/28		15,059
LCH.Clearnet	USD	17,888	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.74% (pays semi-annually)	2/1/28		325,910
LCH.Clearnet	USD	603	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.84% (pays semi-annually)	2/9/28		5,458
LCH.Clearnet	USD	14,655	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.89% (pays semi-annually)	3/15/28		94,709
LCH.Clearnet	USD	3,573	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.89% (pays semi-annually)	3/21/28		25,671
LCH.Clearnet	USD	1,400	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.82% (pays semi-annually)	4/12/28		18,190
LCH.Clearnet	USD	1,700	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.80% (pays semi-annually)	4/13/28		26,142
LCH.Clearnet	USD	1,566	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.89% (pays semi-annually)	4/18/28		11,610
LCH.Clearnet	USD	8,869	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.92% (pays semi-annually)	4/16/48		157,209
LCH.Clearnet	USD	8,570	Receives	3-month USD-LIBOR-BBA (pays quarterly)	2.91% (pays semi-annually)	4/17/48		173,200
							$	(22,758,082	)

⁽¹⁾  Effective date, which represents the date on which the Portfolio and the counterparty to the interest rate swap begin interest payment accrual, is after April 30, 2018.

⁽²⁾  Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

Interest Rate Swaps
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
Bank of America, N.A.	INR	1,289,700	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.12% (pays semi-annually)		6/14/22	$	(436,726	)
Bank of America, N.A.	INR	530,900	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.09% (pays semi-annually)		6/15/22		(189,797	)
Bank of America, N.A.	INR	1,553,100	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.15% (pays semi-annually)		6/29/22		(529,081	)

52 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
Bank of America, N.A.	INR	3,828,300	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.21% (pays semi-annually)		7/10/22	$	(1,166,801	)
Bank of America, N.A.	INR	3,000,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.24% (pays semi-annually)		10/25/22		(924,303	)
Bank of America, N.A.	INR	3,466,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.33% (pays semi-annually)		11/9/22		(916,309	)
Bank of America, N.A.	INR	2,165,500	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.69% (pays semi-annually)		12/22/22		(111,378	)
Bank of America, N.A.	INR	1,804,600	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.61% (pays semi-annually)		1/9/23		(194,135	)
Bank of America, N.A.	KRW	21,726,010	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.29% (pays quarterly)		6/20/28		(178,127	)
Bank of America, N.A.	SAR	45,600	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.37% (pays annually)		4/11/26		278,049
Bank of America, N.A.	SAR	33,371	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.43% (pays annually)		5/10/26		(83,879	)
Bank of America, N.A.	SAR	33,434	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.57% (pays annually)		5/23/26		(176,691	)
BNP Paribas	INR	1,100,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.10% (pays semi-annually)		6/23/22		(404,382	)
Citibank, N.A.	INR	830,800	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.14% (pays semi-annually)		6/29/22		(290,371	)
Citibank, N.A.	INR	1,683,600	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.12% (pays semi-annually)		6/29/22		(603,323	)
Citibank, N.A.	INR	3,572,200	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.18% (pays semi-annually)		6/30/22		(1,148,568	)
Citibank, N.A.	KRW	43,762,000	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.22% (pays quarterly)		6/20/23		(103,285	)
Deutsche Bank AG	INR	927,100	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.10% (pays semi-annually)		8/21/22		(356,574	)
Deutsche Bank AG	INR	1,834,400	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.69% (pays semi-annually)		12/22/22		(97,310	)

53 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
Deutsche Bank AG	INR	2,140,200	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.70% (pays semi-annually)		12/27/22	$	(89,651	)
Deutsche Bank AG	KRW	42,483,900	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.20% (pays quarterly)		6/20/23		(124,343	)
Deutsche Bank AG	KRW	26,257,000	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.28% (pays quarterly)		6/20/28		(232,423	)
Deutsche Bank AG	KRW	26,554,500	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.27% (pays quarterly)		6/20/28		(252,398	)
Deutsche Bank AG	SAR	100,650	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.03% (pays annually)		8/2/20		(496,459	)
Deutsche Bank AG	SAR	183,300	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.09% (pays annually)		11/12/20		(540,412	)
Deutsche Bank AG	SAR	78,019	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.64% (pays annually)		2/25/21		237,723
Deutsche Bank AG	SAR	65,016	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.76% (pays annually)		3/7/21		144,386
Goldman Sachs International	CLP	25,906,860	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.56% (pays semi-annually)		10/4/22		(102,921	)
Goldman Sachs International	CLP	25,166,660	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.57% (pays semi-annually)		10/5/22		(115,115	)
Goldman Sachs International	CLP	12,583,330	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.57% (pays semi-annually)		10/6/22		(56,508	)
Goldman Sachs International	CLP	25,166,660	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.59% (pays semi-annually)		10/10/22		(138,962	)
Goldman Sachs International	CLP	19,818,480	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.50% (pays semi-annually)		10/26/22		40,528
Goldman Sachs International	CLP	7,644,268	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.54% (pays semi-annually)		10/30/22		(2,667	)
Goldman Sachs International	CLP	38,504,460	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.57% (pays semi-annually)		12/4/22		(353,533	)
Goldman Sachs International	CLP	7,927,400	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.56% (pays semi-annually)		12/5/22		(66,008	)

54 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
Goldman Sachs International	CLP	8,506,025	Receives	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	3.60% (pays semi-annually)		1/4/23	$	(74,529	)
Goldman Sachs International	INR	914,286	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.10% (pays semi-annually)		6/15/22		(322,802	)
Goldman Sachs International	INR	207,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.12% (pays semi-annually)		6/19/22		(71,444	)
Goldman Sachs International	INR	1,559,500	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.16% (pays semi-annually)		6/29/22		(526,663	)
Goldman Sachs International	INR	1,504,100	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.23% (pays semi-annually)		7/7/22		(446,864	)
Goldman Sachs International	INR	3,750,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.24% (pays semi-annually)		10/25/22		(1,166,174	)
Goldman Sachs International	INR	3,750,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.33% (pays semi-annually)		11/9/22		(991,390	)
Goldman Sachs International	INR	1,426,800	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.76% (pays semi-annually)		1/4/23		(15,708	)
Goldman Sachs International	KRW	33,758,000	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.21% (pays quarterly)		6/20/23		(82,734	)
Goldman Sachs International	KRW	18,754,500	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.28% (pays quarterly)		6/20/28		(161,930	)
Goldman Sachs International	KRW	18,967,400	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.27% (pays quarterly)		6/20/28		(176,155	)
Goldman Sachs International	SAR	61,080	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.16% (pays annually)		8/3/20		111,840
Goldman Sachs International	SAR	60,729	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.35% (pays annually)		8/12/20		28,463
Goldman Sachs International	SAR	71,420	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.40% (pays annually)		8/17/20		7,188
Goldman Sachs International	SAR	75,641	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.40% (pays annually)		8/17/20		10,573

55 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
Goldman Sachs International	SAR	74,938	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.46% (pays annually)		8/19/20	$	(22,859	)
Goldman Sachs International	SAR	53,447	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.41% (pays annually)		8/22/20		(412,967	)
Goldman Sachs International	SAR	104,620	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.41% (pays annually)		8/22/20		(808,363	)
Goldman Sachs International	SAR	126,102	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.26% (pays annually)		9/17/20		207,050
Goldman Sachs International	SAR	126,102	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.34% (pays annually)		9/21/20		142,857
Goldman Sachs International	SAR	74,490	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.56% (pays annually)		11/5/20		82,113
Goldman Sachs International	SAR	32,508	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.65% (pays annually)		2/23/21		96,791
Goldman Sachs International	SAR	43,163	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.64% (pays annually)		7/27/22		73,038
Goldman Sachs International	SAR	43,698	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	2.61% (pays annually)		7/30/22		93,611
Goldman Sachs International	SAR	72,091	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.46% (pays annually)		5/9/26		(233,630	)
Goldman Sachs International	SAR	44,404	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.47% (pays annually)		5/18/26		(147,579	)
Goldman Sachs International	SAR	79,780	Receives	3-month Saudi Riyal Interbank Offered Rate (pays quarterly)	3.71% (pays annually)		6/6/26		(641,258	)
JPMorgan Chase Bank, N.A.	INR	54,622	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.16% (pays semi-annually)		6/21/22		(17,620	)
JPMorgan Chase Bank, N.A.	INR	940,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.22% (pays semi-annually)		7/6/22		(284,101	)
JPMorgan Chase Bank, N.A.	INR	2,140,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.69% (pays semi-annually)		12/27/22		(110,361	)
JPMorgan Chase Bank, N.A.	KRW	34,383,000	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.22% (pays quarterly)		6/20/23		(81,149	)

56 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Interest Rate Swaps (continued)
Counterparty	Notional Amount (000’s omitted)		Portfolio Pays/Receives Floating Rate	Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation (Depreciation)
JPMorgan Chase Bank, N.A.	KRW	26,256,000	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.28% (pays quarterly)		6/20/28	$	(232,414	)
JPMorgan Chase Bank, N.A.	NZD	11,000	Pays	3-month NZD Bank Bill (pays quarterly)	3.86% (pays semi-annually)		2/25/23		431,533
JPMorgan Chase Bank, N.A.	NZD	5,490	Pays	3-month NZD Bank Bill (pays quarterly)	4.06% (pays semi-annually)		6/4/23		295,177
Morgan Stanley & Co. International PLC	INR	1,606,600	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.22% (pays semi-annually)		7/11/22		(483,075	)
Nomura International PLC	INR	2,300,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.12% (pays semi-annually)		6/27/22		(800,383	)
Standard Chartered Bank	INR	162,100	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.13% (pays semi-annually)		6/19/22		(54,990	)
Standard Chartered Bank	INR	600,900	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.10% (pays semi-annually)		8/21/22		(227,846	)
Standard Chartered Bank	INR	1,831,000	Pays	1-day Overnight Mumbai Interbank Offered Rate (pays semi-annually)	6.68% (pays semi-annually)		12/26/22		(61,378	)
Standard Chartered Bank	KRW	10,736,000	Pays	3-month Certificate of Deposit Rate (KWCDC) (pays quarterly)	2.28% (pays quarterly)		6/20/28		(97,371	)
								$	(16,955,257	)

Centrally Cleared Credit Default Swaps — Sell Protection
Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Current Market Annual Fixed Rate***			Market Value			Unamortized Upfront Payments		Net Unrealized Appreciation
Turkey	ICE Clear Credit	$	9,840	1.00% (pays quarterly)(1)	6/20/20		1.07	%	$	(2,286	)	$	262,962	$	260,676
Total		$	9,840						$	(2,286	)	$	262,962	$	260,676

57 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Credit Default Swaps — Buy Protection
Reference Entity	Counterparty	Notional Amount† (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Market Value			Unamortized Upfront Payments			Net Unrealized Appreciation (Depreciation)
Chile	ICE Clear Credit		12,407	1.00% (pays quarterly)(1)	6/20/23	$	(303,846	)	$	283,670		$	(20,176	)
Chile	ICE Clear Credit		39,016	1.00% (pays quarterly)(1)	6/20/23		(955,489	)		907,046			(48,443	)
Chile	ICE Clear Credit		39,017	1.00% (pays quarterly)(1)	6/20/23		(955,513	)		866,025			(89,488	)
Colombia	ICE Clear Credit		35,907	1.00% (pays quarterly)(1)	6/20/23		61,736			(161,812	)		(100,076	)
Colombia	ICE Clear Credit		67,323	1.00% (pays quarterly)(1)	6/20/23		115,751			(251,897	)		(136,146	)
France	ICE Clear Credit		27,737	0.25% (pays quarterly)(1)	12/20/24		(17,548	)		(33,544	)		(51,092	)
France	ICE Clear Credit		248,753	0.25% (pays quarterly)(1)	6/20/28		2,552,418			(3,144,900	)		(592,482	)
Malaysia	ICE Clear Credit		625,000	1.00% (pays quarterly)(1)	6/20/23		(8,971,299	)		7,743,852			(1,227,447	)
Markit CDX Emerging Markets Index (CDX.EM.29.V1)	ICE Clear Credit		1,000	1.00% (pays quarterly)(1)	6/20/23		18,304			(20,300	)		(1,996	)
Markit iTraxx Europe Senior Financials Index (ITRAXX.FINSR.28.V1)	ICE Clear Credit	EUR	176,060	1.00% (pays quarterly)(1)	12/20/22		(5,339,404	)		4,115,758			(1,223,646	)
Mexico	ICE Clear Credit		42,732	1.00% (pays quarterly)(1)	6/20/23		227,049			(403,627	)		(176,578	)
Mexico	ICE Clear Credit		158,268	1.00% (pays quarterly)(1)	6/20/23		840,931			(1,518,324	)		(677,393	)
Qatar	ICE Clear Credit		153,164	1.00% (pays quarterly)(1)	12/20/22		(1,483,676	)		(53,423	)		(1,537,099	)
Qatar	ICE Clear Credit		27,925	1.00% (pays quarterly)(1)	6/20/23		(183,458	)		160,767			(22,691	)
Qatar	ICE Clear Credit		61,323	1.00% (pays quarterly)(1)	6/20/23		(401,795	)		254,239			(147,556	)
Qatar	ICE Clear Credit		23,815	1.00% (pays quarterly)(1)	12/20/27		778,473			(1,020,617	)		(242,144	)
Qatar	ICE Clear Credit		23,816	1.00% (pays quarterly)(1)	12/20/27		778,505			(1,020,783	)		(242,278	)
Qatar	ICE Clear Credit		57,454	1.00% (pays quarterly)(1)	12/20/27		1,879,295			(2,320,543	)		(441,248	)
Russia	ICE Clear Credit		77,087	1.00% (pays quarterly)(1)	6/20/23		1,053,609			(692,343	)		361,266
Russia	ICE Clear Credit		102,786	1.00% (pays quarterly)(1)	6/20/23		1,403,988			(1,116,766	)		287,222
Russia	ICE Clear Credit		102,785	1.00% (pays quarterly)(1)	6/20/23		1,403,975			(1,158,214	)		245,761
Russia	ICE Clear Credit		64,241	1.00% (pays quarterly)(1)	6/20/23		878,141			(723,398	)		154,743
Russia	ICE Clear Credit		21,302	1.00% (pays quarterly)(1)	6/20/23		290,971			(178,723	)		112,248

58 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Centrally Cleared Credit Default Swaps — Buy Protection (continued)
Reference Entity	Counterparty		Notional Amount† (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Market Value			Unamortized Upfront Payments			Net Unrealized Appreciation (Depreciation)
Russia		ICE Clear Credit		51,392	1.00% (pays quarterly)(1)	6/20/23	$	701,980		$	(596,919	)	$	105,061
Russia		ICE Clear Credit		34,902	1.00% (pays quarterly)(1)	6/20/23		476,738			(412,816	)		63,922
South Africa		ICE Clear Credit		76,950	1.00% (pays quarterly)(1)	6/20/21		(141,331	)		(4,712,349	)		(4,853,680	)
South Africa		ICE Clear Credit		49,000	1.00% (pays quarterly)(1)	12/20/27		5,217,781			(5,243,929	)		(26,148	)
South Africa		ICE Clear Credit		10,300	1.00% (pays quarterly)(1)	12/20/27		1,096,799			(1,404,716	)		(307,917	)
South Africa		ICE Clear Credit		17,000	1.00% (pays quarterly)(1)	12/20/27		1,810,251			(2,323,023	)		(512,772	)
South Africa		ICE Clear Credit		18,100	1.00% (pays quarterly)(1)	12/20/27		1,927,385			(2,580,599	)		(653,214	)
South Africa		ICE Clear Credit		23,500	1.00% (pays quarterly)(1)	12/20/27		2,502,405			(3,275,746	)		(773,341	)
Total							$	7,263,126		$	(20,037,954	)		$(12,774,828)

† Notional amount is stated in USD unless otherwise noted.

Credit Default Swaps — Sell Protection
Reference Entity	Counterparty	Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Current Market Annual Fixed Rate***			Market Value			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Argentina	Goldman Sachs International	$	47,240	5.00% (pays quarterly)(1)	6/20/23		2.91	%	$	4,733,533		$	(4,886,338	)	$	(152,805	)
Argentina	Goldman Sachs International		47,240	5.00% (pays quarterly)(1)	6/20/23		2.91			4,733,533			(5,054,230	)		(320,697	)
Cyprus	Goldman Sachs International		3,268	1.00% (pays quarterly)(1)	6/20/21		1.04			(125	)		162,317			162,192
Cyprus	Goldman Sachs International		5,000	1.00% (pays quarterly)(1)	12/20/21		1.13			(16,467	)		197,395			180,928
Turkey	BNP Paribas		11,545	1.00% (pays quarterly)(1)	6/20/20		1.07			(2,682	)		319,357			316,675
Turkey	BNP Paribas		13,400	1.00% (pays quarterly)(1)	9/20/20		1.15			(32,218	)		494,707			462,489
Turkey	BNP Paribas		9,935	1.00% (pays quarterly)(1)	12/20/20		1.22			(44,939	)		295,131			250,192
Turkey	BNP Paribas		19,643	1.00% (pays quarterly)(1)	6/20/23		1.96			(842,927	)		846,692			3,765
Turkey	BNP Paribas		28,837	1.00% (pays quarterly)(1)	12/20/26		2.62			(3,198,151	)		4,164,871			966,720
Turkey	BNP Paribas		27,684	1.00% (pays quarterly)(1)	12/20/26		2.62			(3,070,225	)		3,998,276			928,051

59 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Credit Default Swaps — Sell Protection (continued)
Reference Entity	Counterparty		Notional Amount* (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Current Market Annual Fixed Rate***			Market Value			Unamortized Upfront Payments Received (Paid)		Net Unrealized Appreciation (Depreciation)
Turkey		Citibank, N.A.	$	43,500	1.00% (pays quarterly)(1)	6/20/23		1.96	%	$	(1,866,687	)	$	1,894,122	$	27,435
Turkey		Goldman Sachs International		14,470	1.00% (pays quarterly)(1)	6/20/20		1.07			(3,362	)		329,647		326,285
Turkey		Goldman Sachs International		11,535	1.00% (pays quarterly)(1)	12/20/26		2.62			(1,279,261	)		1,675,908		396,647
Turkey		Goldman Sachs International		32,257	1.00% (pays quarterly)(1)	12/20/27		2.73			(4,127,100	)		4,493,301		366,201
Turkey		JPMorgan Chase Bank, N.A.		12,290	1.00% (pays quarterly)(1)	6/20/20		1.07			(2,856	)		330,797		327,941
Turkey		Nomura International PLC		8,100	1.00% (pays quarterly)(1)	6/20/20		1.07			(1,882	)		193,731		191,849
Total			$	335,944						$	(5,021,816	)	$	9,455,684	$	4,433,868

Credit Default Swaps — Buy Protection
Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Market Value			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Bulgaria	BNP Paribas	$	2,009	1.00% (pays quarterly)(1)	6/20/18	$	(4,960	)	$	(316	)	$	(5,276	)
Bulgaria	BNP Paribas		3,100	1.00% (pays quarterly)(1)	9/20/18		(14,876	)		(2,285	)		(17,161	)
Bulgaria	BNP Paribas		2,160	1.00% (pays quarterly)(1)	12/20/18		(15,312	)		(2,865	)		(18,177	)
Colombia	Goldman Sachs International		60,800	1.00% (pays quarterly)(1)	6/20/28		4,116,119			(4,143,955	)		(27,836	)
Croatia	BNP Paribas		3,960	1.00% (pays quarterly)(1)	6/20/18		(9,368	)		(8,627	)		(17,995	)
Croatia	BNP Paribas		915	1.00% (pays quarterly)(1)	3/20/20		(13,624	)		(28,518	)		(42,142	)
Croatia	Citibank, N.A.		930	1.00% (pays quarterly)(1)	6/20/18		(2,200	)		(2,061	)		(4,261	)
Croatia	Citibank, N.A.		1,270	1.00% (pays quarterly)(1)	6/20/18		(3,004	)		(3,277	)		(6,281	)
Croatia	Citibank, N.A.		5,580	1.00% (pays quarterly)(1)	6/20/18		(13,200	)		(14,217	)		(27,417	)
Croatia	Citibank, N.A.		400	1.00% (pays quarterly)(1)	3/20/20		(5,956	)		(11,325	)		(17,281	)
Croatia	Citibank, N.A.		156	1.00% (pays quarterly)(1)	6/20/20		(2,542	)		(4,804	)		(7,346	)

60 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Credit Default Swaps — Buy Protection (continued)
Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Market Value			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Croatia	Citibank, N.A.	$	1,210	1.00% (pays quarterly)(1)	6/20/20	$	(19,747	)	$	(38,223	)	$	(57,970	)
Croatia	Goldman Sachs International		3,000	1.00% (pays quarterly)(1)	3/20/19		(25,703	)		(38,372	)		(64,075	)
Croatia	Goldman Sachs International		2,670	1.00% (pays quarterly)(1)	3/20/20		(39,755	)		(74,635	)		(114,390	)
Croatia	Goldman Sachs International		4,150	1.00% (pays quarterly)(1)	3/20/20		(61,792	)		(116,123	)		(177,915	)
Croatia	Goldman Sachs International		2,100	1.00% (pays quarterly)(1)	6/20/20		(34,271	)		(66,559	)		(100,830	)
Croatia	JPMorgan Chase Bank, N.A.		1,533	1.00% (pays quarterly)(1)	6/20/18		(3,627	)		(3,959	)		(7,586	)
Croatia	Morgan Stanley & Co. International PLC		1,163	1.00% (pays quarterly)(1)	6/20/18		(2,751	)		(3,135	)		(5,886	)
Croatia	Morgan Stanley & Co. International PLC		2,500	1.00% (pays quarterly)(1)	6/20/18		(5,914	)		(6,171	)		(12,085	)
Croatia	Morgan Stanley & Co. International PLC		2,745	1.00% (pays quarterly)(1)	6/20/18		(6,494	)		(7,574	)		(14,068	)
Lebanon	Bank of America, N.A.		3,100	1.00% (pays quarterly)(1)	6/20/22		430,253			(370,356	)		59,897
Lebanon	Bank of America, N.A.		4,190	1.00% (pays quarterly)(1)	12/20/22		644,356			(572,110	)		72,246
Lebanon	Barclays Bank PLC		5,300	1.00% (pays quarterly)(1)	12/20/22		815,057			(714,018	)		101,039
Lebanon	Barclays Bank PLC		5,000	1.00% (pays quarterly)(1)	12/20/27		1,284,027			(1,375,224	)		(91,197	)
Lebanon	Goldman Sachs International		3,722	5.00% (pays quarterly)(1)	12/20/18		(30,723	)		26,815			(3,908	)
Lebanon	Goldman Sachs International		3,450	5.00% (pays quarterly)(1)	12/20/18		(28,478	)		22,989			(5,489	)
Malaysia	BNP Paribas		18,690	1.00% (pays quarterly)(1)	6/20/23		(268,681	)		237,211			(31,470	)
Oman	Bank of America, N.A.		17,964	1.00% (pays quarterly)(1)	6/20/22		466,783			(742,581	)		(275,798	)
Oman	Bank of America, N.A.		14,372	1.00% (pays quarterly)(1)	12/20/22		547,894			(718,411	)		(170,517	)
Poland	Bank of America, N.A.		5,200	1.00% (pays quarterly)(1)	9/20/19		(70,750	)		24,240			(46,510	)
Poland	Barclays Bank PLC		6,320	1.00% (pays quarterly)(1)	9/20/18		(30,580	)		11,780			(18,800	)
Poland	Barclays Bank PLC		3,164	1.00% (pays quarterly)(1)	9/20/19		(43,048	)		15,601			(27,447	)
Qatar	Bank of America, N.A.		540	1.00% (pays quarterly)(1)	6/20/19		(5,088	)		3,092			(1,996	)
Qatar	Bank of America, N.A.		540	1.00% (pays quarterly)(1)	6/20/19		(5,088	)		2,913			(2,175	)
Qatar	Barclays Bank PLC		9,791	1.00% (pays quarterly)(1)	12/20/18		(59,487	)		20,485			(39,002	)

61 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Credit Default Swaps — Buy Protection (continued)
Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Market Value			Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
Qatar	Barclays Bank PLC	$	1,200	1.00% (pays quarterly)(1)	3/20/19	$	(9,285	)	$	3,277		$	(6,008	)
Qatar	Barclays Bank PLC		3,600	1.00% (pays quarterly)(1)	9/20/23		(15,569	)		9,377			(6,192	)
Qatar	Barclays Bank PLC		7,680	1.00% (pays quarterly)(1)	9/20/23		(33,213	)		3,570			(29,643	)
Qatar	BNP Paribas		539	1.00% (pays quarterly)(1)	6/20/19		(5,079	)		2,182			(2,897	)
Qatar	Citibank, N.A.		2,020	1.00% (pays quarterly)(1)	6/20/19		(19,034	)		10,702			(8,332	)
Qatar	Deutsche Bank AG		539	1.00% (pays quarterly)(1)	6/20/19		(5,079	)		2,056			(3,023	)
Qatar	Deutsche Bank AG		1,740	1.00% (pays quarterly)(1)	6/20/19		(16,395	)		6,638			(9,757	)
Qatar	Goldman Sachs International		1,660	1.00% (pays quarterly)(1)	3/20/19		(12,845	)		5,249			(7,596	)
Qatar	Goldman Sachs International		3,330	1.00% (pays quarterly)(1)	3/20/19		(25,766	)		8,864			(16,902	)
Qatar	Goldman Sachs International		1,360	1.00% (pays quarterly)(1)	12/20/20		(20,153	)		(16,960	)		(37,113	)
Qatar	Goldman Sachs International		7,960	1.00% (pays quarterly)(1)	12/20/20		(117,957	)		(67,530	)		(185,487	)
Qatar	Goldman Sachs International		2,100	1.00% (pays quarterly)(1)	12/20/23		(4,489	)		(4,047	)		(8,536	)
Qatar	Goldman Sachs International		1,730	1.00% (pays quarterly)(1)	9/20/24		7,412			946			8,358
Qatar	JPMorgan Chase Bank, N.A.		580	1.00% (pays quarterly)(1)	3/20/19		(4,488	)		1,731			(2,757	)
Qatar	JPMorgan Chase Bank, N.A.		510	1.00% (pays quarterly)(1)	6/20/19		(4,806	)		2,925			(1,881	)
Qatar	JPMorgan Chase Bank, N.A.		1,032	1.00% (pays quarterly)(1)	6/20/19		(9,724	)		4,403			(5,321	)
Qatar	JPMorgan Chase Bank, N.A.		1,520	1.00% (pays quarterly)(1)	6/20/19		(14,323	)		5,629			(8,694	)
Qatar	Nomura International PLC		620	1.00% (pays quarterly)(1)	3/20/19		(4,797	)		1,692			(3,105	)
Qatar	Nomura International PLC		1,540	1.00% (pays quarterly)(1)	3/20/19		(11,916	)		4,335			(7,581	)
Qatar	Nomura International PLC		5,380	1.00% (pays quarterly)(1)	9/20/24		23,050			11,784			34,834
Qatar	UBS AG		5,500	1.00% (pays quarterly)(1)	12/20/23		(11,757	)		(10,740	)		(22,497	)
South Africa	Bank of America, N.A.		5,000	1.00% (pays quarterly)(1)	9/20/22		71,717			(164,422	)		(92,705	)
South Africa	Bank of America, N.A.		7,500	1.00% (pays quarterly)(1)	9/20/22		107,575			(325,007	)		(217,432	)

62 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Credit Default Swaps — Buy Protection (continued)
Reference Entity	Counterparty	Notional Amount (000’s omitted)		Contract Annual Fixed Rate**	Termination Date	Market Value		Unamortized Upfront Payments Received (Paid)			Net Unrealized Appreciation (Depreciation)
South Africa	Bank of America, N.A.	$	14,640	1.00% (pays quarterly)(1)	9/20/22	$	209,986	$	(455,293	)	$	(245,307	)
South Africa	Bank of America, N.A.		26,320	1.00% (pays quarterly)(1)	9/20/22		377,516		(906,509	)		(528,993	)
South Africa	Barclays Bank PLC		3,100	1.00% (pays quarterly)(1)	9/20/22		44,464		(115,342	)		(70,878	)
South Africa	BNP Paribas		3,100	1.00% (pays quarterly)(1)	9/20/22		44,464		(118,508	)		(74,044	)
South Africa	BNP Paribas		2,940	1.00% (pays quarterly)(1)	12/20/25		213,942		(376,566	)		(162,624	)
South Africa	BNP Paribas		13,330	1.00% (pays quarterly)(1)	12/20/25		970,015		(1,897,133	)		(927,118	)
South Africa	BNP Paribas		15,990	1.00% (pays quarterly)(1)	12/20/25		1,163,582		(2,277,021	)		(1,113,439	)
South Africa	BNP Paribas		26,186	1.00% (pays quarterly)(1)	12/20/25		1,905,538		(3,568,426	)		(1,662,888	)
South Africa	Credit Suisse International		3,700	1.00% (pays quarterly)(1)	9/20/22		53,070		(166,489	)		(113,419	)
South Africa	Deutsche Bank AG		4,860	1.00% (pays quarterly)(1)	9/20/22		69,709		(210,208	)		(140,499	)
South Africa	Deutsche Bank AG		5,700	1.00% (pays quarterly)(1)	9/20/22		81,757		(245,483	)		(163,726	)
South Africa	Goldman Sachs International		3,070	1.00% (pays quarterly)(1)	9/20/22		44,034		(128,685	)		(84,651	)
South Africa	Goldman Sachs International		15,000	1.00% (pays quarterly)(1)	9/20/22		215,150		(649,150	)		(434,000	)
South Africa	Goldman Sachs International		2,647	1.00% (pays quarterly)(1)	12/20/22		49,420		(119,256	)		(69,836	)
South Africa	HSBC Bank USA, N.A.		2,500	1.00% (pays quarterly)(1)	12/20/22		46,676		(108,163	)		(61,487	)
South Africa	HSBC Bank USA, N.A.		7,120	1.00% (pays quarterly)(1)	12/20/22		132,933		(292,326	)		(159,393	)
South Africa	Nomura International PLC		1,000	1.00% (pays quarterly)(1)	9/20/22		14,343		(34,024	)		(19,681	)
South Africa	Nomura International PLC		7,571	1.00% (pays quarterly)(1)	12/20/22		141,353		(335,693	)		(194,340	)
Total						$	13,118,501	$	(21,212,196	)	$	(8,093,695	)

* If the Portfolio is the seller of credit protection, the notional amount is the maximum potential amount of future payments the Portfolio could be required to make if a credit event, as defined in the credit default swap agreement, were to occur. At April 30, 2018, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $345,784,000.

** The contract annual fixed rate represents the fixed rate of interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) on the notional amount of the credit default swap contract.

*** Current market annual fixed rates, utilized in determining the net unrealized appreciation or depreciation as of period end, serve as an indicator of the market’s perception of the current status of the payment/performance risk associated with the credit derivative. The current market annual fixed rate of a particular reference entity reflects the cost, as quoted by the pricing vendor, of selling protection against default of that entity as of period end and may include upfront payments required to be made to enter into the agreement. The higher the fixed rate, the greater the market perceived risk of a credit event involving the reference entity. A rate identified as “Defaulted” indicates a credit event has occurred for the reference entity.

⁽¹⁾  Upfront payment is exchanged with the counterparty as a result of the standardized trading coupon.

63 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Total Return Swaps
Counterparty	Notional Amount (000’s omitted)†		Portfolio Receives	Portfolio Pays	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
Citibank, N.A.		118,700	Excess Return on Bloomberg Roll Select Commodity Index (pays upon termination)	Excess Return on Bloomberg Commodity Index + 0.19% (pays upon termination)	5/15/18	$	(207,714	)
Citibank, N.A.		237,400	Excess Return on Bloomberg Commodity 1 Month Forward Index (pays upon termination)	Excess Return on Bloomberg Commodity Index + 0.17% (pays upon termination)	5/15/18		(482,127	)
Citibank, N.A.		118,700	Excess Return on Bloomberg Commodity 3 Month Forward Index (pays upon termination)	Excess Return on Bloomberg Commodity Index + 0.20% (pays upon termination)	5/15/18		(157,907	)
Citibank, N.A.	KRW	68,750	Positive Return on KOSPI 200 Index Futures 6/2018 (pays upon termination)	Negative Return on KOSPI 200 Index Futures 6/2018 (pays upon termination)	6/14/18		767,653
Citibank, N.A.	KRW	76,750	Positive Return on KOSPI 200 Index Futures 6/2018 (pays upon termination)	Negative Return on KOSPI 200 Index Futures 6/2018 (pays upon termination)	6/14/18		53,679
Citibank, N.A.	UAH	77,974	Total Return on Ukraine Treasury Bill, 0.00% due 7/25/18 (pays upon termination)	3-month USD-LIBOR-BBA + 150 bp on $2,697,550 (Notional Amount) (pays upon termination) plus Notional Amount at termination date	7/27/18		165,930
Citibank, N.A.	UAH	664,492	Total Return on Ukraine Government Bond, 14.25% due 10/10/18 (pays semi-annually)	3-month USD-LIBOR-BBA + 150 bp on $24,617,277 (Notional Amount) (pays quarterly) plus Notional Amount at termination date	10/12/18		450,544
Citibank, N.A.	LKR	2,000,000	Total Return on Sri Lanka Government Bond, 11.50% due 12/15/21 (pays semi-annually)	6-month USD-LIBOR-BBA + 115 bp on $14,370,953 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date	12/17/21		(649,938	)
Citibank, N.A.	LKR	1,200,000	Total Return on Sri Lanka Government Bond, 11.50% due 12/15/21 (pays semi-annually)	6-month USD-LIBOR-BBA + 115 bp on $8,023,055 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date	12/17/21		212,819
Citibank, N.A.	LKR	2,000,000	Total Return on Sri Lanka Government Bond, 11.50% due 5/15/23 (pays semi-annually)	6-month USD-LIBOR-BBA + 115 bp on $13,781,238 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date	5/17/23		58,610
Citibank, N.A.	LKR	1,000,000	Total Return on Sri Lanka Government Bond, 11.50% due 5/15/23 (pays semi-annually)	6-month USD-LIBOR-BBA + 115 bp on $6,996,612 (Notional Amount) (pays semi-annually) plus Notional Amount at termination date	5/17/23		(65,629	)

64 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Total Return Swaps (continued)
Counterparty	Notional Amount (000’s omitted)†		Portfolio Receives	Portfolio Pays	Termination Date	Value/Net Unrealized Appreciation (Depreciation)
Goldman Sachs International	EGP	181,950	Total Return on Egypt Treasury Bill, 0.00% due 7/24/18 (pays upon termination)	3-month USD-LIBOR-BBA +55 bp on $9,412,749 (Notional Amount) (pays quarterly) plus Notional Amount at termination date	7/24/18	$	419,556
						$	565,476

† Notional amount is stated in USD unless otherwise noted.

Cross-Currency Swaps
Counterparty	Portfolio Receives*	Portfolio Pays*	Termination Date	Value/Net Unrealized Depreciation
BNP Paribas	6-month USD-LIBOR-BBA on USD 15,735,726 (pays semi-annually) plus KRW 18,214,100,000	1.19% on KRW 18,214,100,000 (pays semi-annually) plus USD 15,735,726	3/8/20	$	(1,271,268	)
BNP Paribas	6-month USD-LIBOR-BBA on USD 21,119,874 (pays semi-annually) plus KRW 23,521,200,000	1.23% on KRW 23,521,200,000 (pays semi-annually) plus USD 21,119,874	3/31/20		(848,932	)
				$	(2,120,200	)

Counterparty	Portfolio Receives Fixed Rate on Notional Amount (000’s omitted)		Portfolio Pays Floating Rate on Notional Amount (000’s omitted)		Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation
Goldman Sachs International	CLF	907	CLP	24,177,216	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.89% (pays semi-annually)		10/4/22	$	583,167
Goldman Sachs International	CLF	907	CLP	24,178,821	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.90% (pays semi-annually)		10/5/22		608,558
Goldman Sachs International	CLF	453	CLP	12,090,217	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.90% (pays semi-annually)		10/6/22		303,505
Goldman Sachs International	CLF	907	CLP	24,186,773	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.92% (pays semi-annually)		10/11/22		637,961
Goldman Sachs International	CLF	679	CLP	18,104,045	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.91% (pays semi-annually)		10/26/22		510,798
Goldman Sachs International	CLF	272	CLP	7,239,753	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.95% (pays semi-annually)		10/28/22		230,530

65 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Portfolio of Investments (Unaudited) — continued

Counterparty	Portfolio Receives Fixed Rate on Notional Amount (000’s omitted)		Portfolio Pays Floating Rate on Notional Amount (000’s omitted)		Floating Rate	Annual Fixed Rate	Termination Date		Value/Net Unrealized Appreciation
Goldman Sachs International	CLF	1,387	CLP	37,113,487	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.96% (pays semi-annually)		12/4/22	$	525,163
Goldman Sachs International	CLF	283	CLP	7,575,692	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.95% (pays semi-annually)		12/5/22		98,994
Goldman Sachs International	CLF	301	CLP	8,066,826	6-month Sinacofi Chile Interbank Rate (pays semi-annually)	0.99% (pays semi-annually)		1/4/23		120,638
									$	3,619,314
									$	1,499,114

* The Portfolio pays interest on the currency received and receives interest on the currency delivered. At the termination date, the notional amount of the currency received will be exchanged for the notional amount of the currency delivered.

Abbreviations:

LIBOR – London Interbank Offered Rate

Currency Abbreviations:

AED	–	United Arab Emirates Dirham
ARS	–	Argentine Peso
AUD	–	Australian Dollar
BHD	–	Bahraini Dinar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CHF	–	Swiss Franc
CLF	–	Chilean Unidad de Fomento
CLP	–	Chilean Peso
CNH	–	Yuan Renminbi Offshore
COP	–	Colombian Peso
CZK	–	Czech Koruna
DOP	–	Dominican Peso
EGP	–	Egyptian Pound
EUR	–	Euro
GBP	–	British Pound Sterling
GEL	–	Georgian Lari
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
ILS	–	Israeli Shekel
INR	–	Indian Rupee
ISK	–	Icelandic Krona
JPY	–	Japanese Yen
KRW	–	South Korean Won
KZT	–	Kazakhstani Tenge

LKR	–	Sri Lankan Rupee
MAD	–	Moroccan Dirham
MXN	–	Mexican Peso
NGN	–	Nigerian Naira
NOK	–	Norwegian Krone
NZD	–	New Zealand Dollar
OMR	–	Omani Rial
PEN	–	Peruvian Sol
PHP	–	Philippine Peso
PLN	–	Polish Zloty
QAR	–	Qatari Riyal
RON	–	Romanian Leu
RSD	–	Serbian Dinar
RUB	–	Russian Ruble
SAR	–	Saudi Riyal
SEK	–	Swedish Krona
SGD	–	Singapore Dollar
THB	–	Thai Baht
TRY	–	New Turkish Lira
TWD	–	New Taiwan Dollar
UAH	–	Ukrainian Hryvnia
USD	–	United States Dollar
UYU	–	Uruguayan Peso
ZAR	–	South African Rand

66 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Statement of Assets and Liabilities (Unaudited)

Assets	April 30, 2018
Unaffiliated investments, at value (identified cost, $4,572,805,234)	$	4,676,045,427
Affiliated investment, at value (identified cost, $290,918,655)		290,925,278
Cash		3,227,547
Deposits for derivatives collateral —
Futures contracts		24,231,000
Centrally cleared swap contracts		113,401,297
OTC derivatives		18,519,436
Foreign currency, at value (identified cost, $178,035,799)		176,928,626
Interest and dividends receivable		65,334,371
Dividends receivable from affiliated investment		355,284
Receivable for investments sold		4,769,720
Receivable for open forward foreign currency exchange contracts		139,047,276
Receivable for open swap contracts		16,631,047
Premium paid on open non-centrally cleared swap contracts		31,603,250
Tax reclaims receivable		24,764
Other assets		25,629
Total assets	$	5,561,069,952
Liabilities
Cash collateral due to brokers	$	17,089,436
Payable for reverse repurchase agreements, including accrued interest of $45,602		110,906,700
Payable for investments purchased		45,558,976
Payable for variation margin on open futures contracts		56,970
Payable for variation margin on open centrally cleared swap contracts		1,984,001
Payable for open forward foreign currency exchange contracts		178,256,102
Payable for open forward volatility agreements		771,299
Payable for open swap contracts		31,763,263
Premium received on open non-centrally cleared swap contracts		19,846,738
Payable to affiliates:
Investment adviser fee		3,892,135
Trustees’ fees		8,628
Accrued expenses and other liabilities		1,816,256
Total liabilities	$	411,950,504
Net Assets applicable to investors’ interest in Portfolio	$	5,149,119,448
Sources of Net Assets
Investors’ capital	$	5,130,557,647
Net unrealized appreciation		18,561,801
Total	$	5,149,119,448

67 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Statement of Operations (Unaudited)

Investment Income	Six Months Ended April 30, 2018
Interest (net of foreign taxes, $4,047,728)	$	137,560,176
Dividends (net of foreign taxes, $1,053,489)		4,944,115
Dividends from affiliated investment		2,914,827
Total investment income	$	145,419,118
Expenses
Investment adviser fee	$	21,344,826
Trustees’ fees and expenses		50,753
Custodian fee		2,289,967
Legal and accounting services		160,988
Interest expense and fees		1,439,401
Interest expense on securities sold short		8,926
Miscellaneous		282,648
Total expenses	$	25,577,509
Net investment income	$	119,841,609
Realized and Unrealized Gain (Loss)
Net realized gain (loss) —
Investment transactions (net of foreign capital gains taxes of $888,354)	$	41,066,071
Investment transactions — affiliated investment		(55,031	)
Written options		3,086,980
Securities sold short		92,956
Futures contracts		(70,792,450	)
Swap contracts		(27,524,738	)
Forward volatility agreements		(526,321	)
Foreign currency transactions		2,351,522
Forward foreign currency exchange contracts		(20,941,717	)
Net realized loss	$	(73,242,728	)
Change in unrealized appreciation (depreciation) —
Investments (including net decrease in accrued foreign capital gains taxes of $532,982)	$	(19,231,783	)
Investments — affiliated investment		6,623
Written options		(2,829,642	)
Securities sold short		(74,762	)
Futures contracts		4,487,002
Swap contracts		(11,033,026	)
Forward volatility agreements		(228,134	)
Foreign currency		(3,433,077	)
Forward foreign currency exchange contracts		(52,547,961	)
Net change in unrealized appreciation (depreciation)	$	(84,884,760	)
Net realized and unrealized loss	$	(158,127,488	)
Net decrease in net assets from operations	$	(38,285,879	)

68 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Statements of Changes in Net Assets

Increase (Decrease) in Net Assets	Six Months Ended April 30, 2018 (Unaudited)			Year Ended October 31, 2017
From operations —
Net investment income	$	119,841,609		$	115,192,087
Net realized gain (loss)		(73,242,728	)		3,070,940
Net change in unrealized appreciation (depreciation)		(84,884,760	)		16,364,972
Net increase (decrease) in net assets from operations	$	(38,285,879	)	$	134,627,999
Capital transactions —
Contributions	$	1,197,503,853		$	1,938,715,733
Withdrawals		(78,077,895	)		(265,577,214	)
Net increase in net assets from capital transactions	$	1,119,425,958		$	1,673,138,519
Net increase in net assets	$	1,081,140,079		$	1,807,766,518
Net Assets
At beginning of period	$	4,067,979,369		$	2,260,212,851
At end of period	$	5,149,119,448		$	4,067,979,369

69 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Consolidated Financial Highlights

	Six Months Ended April 30, 2018 (Unaudited)			Year Ended October 31,
Ratios/Supplemental Data				2017			2016			2015			2014			2013
Ratios (as a percentage of average daily net assets):
Expenses(1)(2)		1.11	%(3)		1.13	%		1.10	%		1.14	%		1.28	%		1.53	%
Net investment income		5.18	%(3)		4.54	%		5.09	%		5.53	%		4.58	%		3.41	%
Portfolio Turnover		52	%(4)		76	%		97	%		75	%		116	%		65	%
Total Return		(0.61	)%(4)		5.65	%		7.79	%(5)		3.36	%		6.99	%		(1.50	)%
Net assets, end of period (000’s omitted)	$	5,149,119		$	4,067,979		$	2,260,213		$	1,879,008		$	1,510,154		$	1,731,630

⁽¹⁾  Excludes the effect of custody fee credits, if any, of less than 0.005%. Effective September 1, 2015, custody fee credits, which were earned on cash deposit balances, were discontinued by the custodian.

⁽²⁾  Includes interest and dividend expense, primarily on securities sold short and reverse repurchase agreements, of 0.06%, 0.06%, 0.03%, 0.03%, 0.14% and 0.42% for the six months ended April 30, 2018 and the years ended October 31, 2017, 2016, 2015, 2014 and 2013, respectively.

⁽³⁾  Annualized.

⁽⁴⁾  Not annualized.

⁽⁵⁾  During the year ended October 31, 2016, the investment adviser reimbursed the Portfolio for a net loss realized on the disposal of an investment which did not meet the Portfolio’s investment guidelines. The reimbursement had no effect on total return for the year ended October 31, 2016.

70 See Notes to Consolidated Financial Statements.

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Notes to Consolidated Financial Statements (Unaudited)

1  Significant Accounting Policies

Global Macro Absolute Return Advantage Portfolio (the Portfolio) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a non-diversified, open-end management investment company. The Portfolio’s investment objective is total return. The Declaration of Trust permits the Trustees to issue interests in the Portfolio. At April 30, 2018, Eaton Vance Global Macro Absolute Return Advantage Fund, Eaton Vance Short Duration Strategic Income Fund, Eaton Vance International (Cayman Islands) Short Duration Strategic Income Fund, Eaton Vance Commodity Strategy Fund, Eaton Vance Multi-Strategy Absolute Return Fund and Eaton Vance Multi-Strategy All Market Fund held an interest of 90.5%, 8.3%, 0.7%, 0.2%, 0.2% and less than 0.05%, respectively, in the Portfolio.

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMAP Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned subsidiary of the Portfolio organized under the laws of the Cayman Islands with the same objective and investment policies and restrictions as the Portfolio. The Portfolio may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at April 30, 2018 were $43,591,714 or 0.8% of the Portfolio’s consolidated net assets. The accompanying consolidated financial statements include the accounts of the Subsidiary. Intercompany balances and transactions have been eliminated in consolidation.

The following is a summary of significant accounting policies of the Portfolio. The policies are in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946.

A  Investment Valuation — The following methodologies are used to determine the market value or fair value of investments.

Debt Obligations. Debt obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, interest rates, anticipated prepayments, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less for which a valuation from a third party pricing service is not readily available may be valued at amortized cost, which approximates fair value.

Equity Securities. Equity securities listed on a U.S. securities exchange generally are valued at the last sale or closing price on the day of valuation or, if no sales took place on such date, at the mean between the closing bid and asked prices therefore on the exchange where such securities are principally traded. Equity securities listed on the NASDAQ Global or Global Select Market generally are valued at the NASDAQ official closing price. Unlisted or listed securities for which closing sales prices or closing quotations are not available are valued at the mean between the latest available bid and asked prices.

Derivatives. U.S. exchange-traded options are valued at the mean between the bid and asked prices at valuation time as reported by the Options Price Reporting Authority. Non U.S. exchange-traded options and over-the-counter options (including options on securities, indices and foreign currencies) are valued by a third party pricing service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration. Financial and commodities futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded, with adjustments for fair valuation for certain foreign financial futures contracts as described below. Forward foreign currency exchange contracts are generally valued at the mean of the average bid and average asked prices that are reported by currency dealers to a third party pricing service at the valuation time. Such third party pricing service valuations are supplied for specific settlement periods and the Portfolio’s forward foreign currency exchange contracts are valued at an interpolated rate between the closest preceding and subsequent settlement period reported by the third party pricing service. Forward commodity contracts are generally valued at the price provided by the exchange on which they are traded or if unavailable, by a third party pricing service based on an interpolation of the forward rates. Forward volatility agreements are valued by a third party pricing service using techniques that consider factors including the volatility of the underlying instrument and the period of time until expiration. Non-deliverable bond forward contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. Swaps and options on interest rate swaps (“swaptions”) are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract, and in the case of credit default swaps, based on credit spread quotations obtained from broker/dealers and expected default recovery rates determined by the pricing service using proprietary models. In the case of total return swaps, the pricing service valuations are based on the value of the underlying index or instrument and reference interest rate. Future cash flows on swaps are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Alternatively, swaptions may be valued at the valuation provided by a broker/dealer (usually the counterparty to the option), so determined using similar techniques as those employed by the pricing service.

Foreign Securities, Financial Futures Contracts and Currencies. Foreign securities, financial futures contracts and currencies are valued in U.S. dollars, based on foreign currency exchange rate quotations supplied by a third party pricing service. The pricing service uses a proprietary model to determine the exchange rate. Inputs to the model include reported trades and implied bid/ask spreads. The daily valuation of exchange-traded foreign securities and certain exchange-traded foreign financial futures contracts generally is determined as of the close of trading on the principal exchange on which such securities and contracts trade. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities and certain foreign financial futures contracts to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange. When valuing foreign equity securities and foreign financial futures contracts that meet certain criteria, the Portfolio’s Trustees have approved the use of a fair value service that values such securities and foreign financial futures contracts to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities and foreign financial futures contracts.

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Affiliated Fund. The Portfolio may invest in Eaton Vance Cash Reserves Fund, LLC (Cash Reserves Fund), an affiliated investment company managed by Eaton Vance Management (EVM). While Cash Reserves Fund is not a registered money market mutual fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Investments in Cash Reserves Fund are valued at the closing net asset value per unit on the valuation day. Cash Reserves Fund generally values its investment securities based on available market quotations provided by a third party pricing service.

Fair Valuation. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of the Portfolio in a manner that fairly reflects the security’s value, or the amount that the Portfolio might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable companies or entities, quotations or relevant information obtained from broker/dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the company’s or entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

B  Investment Transactions — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost.

C  Income — Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount. Inflation adjustments to the principal amount of inflation-adjusted bonds and notes are reflected as interest income. Deflation adjustments to the principal amount of an inflation-adjusted bond or note are reflected as reductions to interest income to the extent of interest income previously recorded on such bond or note. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. However, if the ex-dividend date has passed, certain dividends from foreign securities are recorded as the Portfolio is informed of the ex-dividend date. Withholding taxes on foreign interest, dividends and capital gains have been provided for in accordance with the Portfolio’s understanding of the applicable countries’ tax rules and rates. Distributions from investment companies are recorded as dividend income, capital gains or return of capital based on the nature of the distribution.

D  Federal and Other Taxes — The Portfolio has elected to be treated as a partnership for federal tax purposes. No provision is made by the Portfolio for federal or state taxes on any taxable income of the Portfolio because each investor in the Portfolio is ultimately responsible for the payment of any taxes on its share of taxable income. Since at least one of the Portfolio’s investors is a regulated investment company that invests all or substantially all of its assets in the Portfolio, the Portfolio normally must satisfy the applicable source of income and diversification requirements (under the Internal Revenue Code) in order for its investors to satisfy them. The Portfolio will allocate, at least annually among its investors, each investor’s distributive share of the Portfolio’s net investment income, net realized capital gains and losses and any other items of income, gain, loss, deduction or credit.

In addition to the requirements of the Internal Revenue Code, the Portfolio may also be subject to local taxes on the recognition of capital gains in certain countries. In determining the daily net asset value, the Portfolio estimates the accrual for such taxes, if any, based on the unrealized appreciation on certain portfolio securities and the related tax rates. Taxes attributable to unrealized appreciation are included in the change in unrealized appreciation (depreciation) on investments. Capital gains taxes on securities sold are included in net realized gain (loss) on investments.

The Subsidiary is treated as a controlled foreign corporation under the Internal Revenue Code and is not expected to be subject to U.S. federal income tax. The Portfolio is treated as a U.S. shareholder of the Subsidiary. As a result, the Portfolio is required to include in gross income for U.S. federal tax purposes all of the Subsidiary’s income, whether or not such income is distributed by the Subsidiary. If a net loss is realized by the Subsidiary, such loss is not generally available to offset the income earned by the Portfolio.

As of April 30, 2018, the Portfolio had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. The Portfolio files a U.S. federal income tax return annually after its fiscal year-end, which is subject to examination by the Internal Revenue Service for a period of three years from the date of filing.

E  Foreign Currency Translation — Investment valuations, other assets, and liabilities initially expressed in foreign currencies are translated each business day into U.S. dollars based upon current exchange rates. Purchases and sales of foreign investment securities and income and expenses denominated in foreign currencies are translated into U.S. dollars based upon currency exchange rates in effect on the respective dates of such transactions. Recognized gains or losses on investment transactions attributable to changes in foreign currency exchange rates are recorded for financial statement purposes as net realized gains and losses on investments. That portion of unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

F  Unfunded Loan Commitments — The Portfolio may enter into certain loan agreements all or a portion of which may be unfunded. The Portfolio is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the accompanying Consolidated Portfolio of Investments.

G  Use of Estimates — The preparation of the consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from those estimates.

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Notes to Consolidated Financial Statements (Unaudited) — continued

H  Indemnifications — Under the Portfolio’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Portfolio. Under Massachusetts law, if certain conditions prevail, interestholders in the Portfolio could be deemed to have personal liability for the obligations of the Portfolio. However, the Portfolio’s Declaration of Trust contains an express disclaimer of liability on the part of Portfolio interestholders and the By-laws provide that the Portfolio shall assume the defense on behalf of any Portfolio interestholder. Moreover, the By-laws also provide for indemnification out of Portfolio property of any interestholder held personally liable solely by reason of being or having been an interestholder for all loss or expense arising from such liability. Additionally, in the normal course of business, the Portfolio enters into agreements with service providers that may contain indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred.

I  Financial and Commodities Futures Contracts — Upon entering into a financial or commodities futures contract, the Portfolio is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the contract amount (initial margin). Subsequent payments, known as variation margin, are made or received by the Portfolio each business day, depending on the daily fluctuations in the value of the underlying security, index, commodity or currency, and are recorded as unrealized gains or losses by the Portfolio. Gains (losses) are realized upon the expiration or closing of the financial or commodities futures contracts. Should market conditions change unexpectedly, the Portfolio may not achieve the anticipated benefits of the financial or commodities futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

J  Forward Foreign Currency Exchange, Non-Deliverable Bond Forward and Forward Commodity Contracts — The Portfolio may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. The Portfolio may also enter into non-deliverable bond forward contracts for the purchase or sale of a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For non-deliverable bond forward contracts, unrealized gains and losses, based on changes in the value of the contract, and realized gains and losses are accounted for as described above. Unrealized and realized gains and losses on forward commodity contracts, which are entered into for the purchase or sale of a specific commodity at a fixed price on a future date, are accounted for as described above. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and, in the case of forward foreign currency exchange contracts, from movements in the value of a foreign currency relative to the U.S. dollar.

K  Written Options — Upon the writing of a call or a put option, the premium received by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written, in accordance with the Portfolio’s policies on investment valuations discussed above. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or are closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. When an index option is exercised, the Portfolio is required to deliver an amount of cash determined by the excess of the strike price of the option over the value of the index (in the case of a put) or the excess of the value of the index over the strike price of the option (in the case of a call) at contract termination. If a put option on a security is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as a writer of an option, may have no control over whether the underlying securities or other assets may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities or other assets underlying the written option. The Portfolio may also bear the risk of not being able to enter into a closing transaction if a liquid secondary market does not exist.

L  Purchased Options — Upon the purchase of a call or put option, the premium paid by the Portfolio is included in the Consolidated Statement of Assets and Liabilities as an investment. The amount of the investment is subsequently marked-to-market to reflect the current market value of the option purchased, in accordance with the Portfolio’s policies on investment valuations discussed above. As the purchaser of an index option, the Portfolio has the right to receive a cash payment equal to any depreciation in the value of the index below the strike price of the option (in the case of a put) or equal to any appreciation in the value of the index over the strike price of the option (in the case of a call) as of the valuation date of the option. If an option which the Portfolio had purchased expires on the stipulated expiration date, the Portfolio will realize a loss in the amount of the cost of the option. If the Portfolio enters into a closing sale transaction, the Portfolio will realize a gain or loss, depending on whether the sales proceeds from the closing sale transaction are greater or less than the cost of the option. If the Portfolio exercises a put option on a security, it will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Portfolio exercises a call option on a security, the cost of the security which the Portfolio purchases upon exercise will be increased by the premium originally paid. The risk associated with purchasing options is limited to the premium originally paid. Purchased options traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

M  Interest Rate Swaps — Swap contracts are privately negotiated agreements between the Portfolio and a counterparty. Certain swap contracts may be centrally cleared (“centrally cleared swaps”), whereby all payments made or received by the Portfolio pursuant to the contract are with a central clearing party (CCP) rather than the original counterparty. The CCP guarantees the performance of the original parties to the contract. Upon entering into centrally cleared swaps, the Portfolio is required to deposit with the CCP, either in cash or securities, an amount of initial margin determined by the CCP, which is subject to adjustment.

Pursuant to interest rate swap agreements, the Portfolio either makes floating-rate payments to the counterparty (or CCP in the case of centrally cleared swaps) based on a benchmark interest rate in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments to the counterparty (or CCP in the case of a centrally cleared swap) in exchange for payments on a floating benchmark interest rate. Payments received or made are recorded as realized

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gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. The value of the swap is determined by changes in the relationship between two rates of interest. The Portfolio is exposed to credit loss in the event of non-performance by the swap counterparty. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP. Risk may also arise from movements in interest rates.

N  Inflation Swaps — Pursuant to inflation swap agreements, the Portfolio either makes floating-rate payments based on a benchmark index in exchange for fixed-rate payments or the Portfolio makes fixed-rate payments in exchange for floating-rate payments based on the return of a benchmark index. By design, the benchmark index is an inflation index, such as the Consumer Price Index. Payments received or made are recorded as realized gains or losses. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between the rate of interest and the benchmark index. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of interest rates or the index.

O  Cross-Currency Swaps — Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.

P  Credit Default Swaps — When the Portfolio is the buyer of a credit default swap contract, the Portfolio is entitled to receive the par (or other agreed-upon) value of a referenced debt obligation (or basket of debt obligations) from the counterparty (or CCP in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Portfolio pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Portfolio would have spent the stream of payments and received no proceeds from the contract. When the Portfolio is the seller of a credit default swap contract, it receives the stream of payments, but is obligated to pay to the buyer of the protection an amount up to the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Portfolio is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Portfolio could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Portfolio for the same referenced obligation. As the seller, the Portfolio may create economic leverage to its portfolio because, in addition to its total net assets, the Portfolio is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap contract, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Portfolio also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap contract as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swap contracts to determine the market value of swaps as presented in Notes 5 and 9. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Portfolio segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked-to-market on a daily basis. These transactions involve certain risks, including the risk that the seller may be unable to fulfill the transaction. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.

Q  Total Return Swaps — In a total return swap, the buyer receives a periodic return equal to the total return of a specified security, securities or index for a specified period of time. In return, the buyer pays the counterparty a fixed or variable stream of payments, typically based upon short-term interest rates, possibly plus or minus an agreed upon spread. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains and losses. Periodic payments received or made are recorded as realized gains or losses. The Portfolio is exposed to credit loss in the event of nonperformance by the swap counterparty. Risk may also arise from the unanticipated movements in value of exchange rates, interest rates, securities, or the index.

R  Swaptions — A purchased swaption contract grants the Portfolio, in return for payment of the purchase price, the right, but not the obligation, to enter into a new swap agreement or to shorten, extend, cancel or otherwise modify an existing swap agreement, at some designated future time on specified terms. When the Portfolio purchases a swaption, the premium paid to the writer is recorded as an investment and subsequently marked-to-market to reflect the current value of the swaption. A written swaption gives the Portfolio the obligation, if exercised by the purchaser, to enter into a swap contract according to the terms of the underlying agreement. When the Portfolio writes a swaption, the premium received by the Portfolio is recorded as a liability and subsequently marked-to-market to reflect the current value of the swaption. When a swaption is exercised, the cost of the swap is adjusted by the amount of the premium paid or received. When a swaption expires or an unexercised swaption is closed, a gain or loss is recognized in the amount of the

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premium paid or received, plus the cost to close. The Portfolio’s risk for purchased swaptions is limited to the premium paid. The writer of a swaption bears the risk of unfavorable changes in the preset terms of the underlying swap contract. Purchased swaptions traded over-the-counter involve risk that the issuer or counterparty will fail to perform its contractual obligations.

S  Forward Volatility Agreements — Forward volatility agreements are transactions in which two parties agree to the purchase or sale of an option straddle on an underlying exchange rate at the expiration of the agreement. The strike volatility rate is determined at the trade date. At expiration, the amount settled is determined based on the Black Scholes formula, the then current spot exchange rate, interest rates, and the agreed upon implied volatility. Changes in the value of the forward volatility agreement are recorded as unrealized gains or losses. The primary risk associated with forward volatility agreements is the change in the volatility of the underlying exchange rate.

T  When-Issued Securities and Delayed Delivery Transactions — The Portfolio may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Portfolio maintains cash and/or security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

U  Repurchase Agreements — A repurchase agreement is the purchase by the Portfolio of securities from a counterparty in exchange for cash that is coupled with an agreement to resell those securities to the counterparty at a specified date and price. When a repurchase agreement is entered, the Portfolio typically receives securities with a value that equals or exceeds the repurchase price, including any accrued interest earned on the agreement. The value of such securities will be marked-to-market daily, and cash or additional securities will be exchanged between the parties as needed. Except in the case of a repurchase agreement entered to settle a short sale, the value of the securities delivered to the Portfolio will be at least equal to 90% of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered to settle a short sale may provide that the cash purchase price paid by the Portfolio is more than the value of purchased securities that effectively collateralize the repurchase price payable by the counterparty. Since in such a transaction, the Portfolio normally will have used the purchased securities to settle the short sale, the Portfolio will segregate liquid assets equal to the marked-to-market value of the purchased securities that it is obligated to return to the counterparty under the repurchase agreement. In the event of insolvency of the counterparty to a repurchase agreement, recovery of the repurchase price owed to the Portfolio may be delayed. Such an insolvency also may result in a loss to the extent that the value of the purchased securities decreases during the delay or that value has otherwise not been maintained at an amount at least equal to the repurchase price.

V  Reverse Repurchase Agreements — Under a reverse repurchase agreement, the Portfolio temporarily transfers possession of a portfolio security to another party, such as a bank or broker/dealer, in return for cash. At the same time, the Portfolio agrees to repurchase the security at an agreed upon time and price, which reflects an interest payment. In periods of increased demand for a security, the Portfolio may receive a payment from the counterparty for the use of the security, which is recorded as interest income. Because the Portfolio retains effective control over the transferred security, the transaction is accounted for as a secured borrowing. The Portfolio may enter into such agreements when it believes it is able to invest the cash acquired at a rate higher than the cost of the agreement, which would increase earned income. When the Portfolio enters into a reverse repurchase agreement, any fluctuations in the market value of either the securities transferred to another party or the securities in which the proceeds may be invested would affect the market value of the Portfolio’s assets. Because reverse repurchase agreements may be considered to be the practical equivalent of borrowing funds (and the counterparty making a loan), they constitute a form of leverage. The Portfolio segregates cash or liquid assets equal to its obligation to repurchase the security. During the term of the agreement, the Portfolio may also be obligated to pledge additional cash and/or securities in the event of a decline in the fair value of the transferred security. In the event the counterparty to a reverse repurchase agreement becomes insolvent, recovery of the security transferred by the Portfolio may be delayed or the Portfolio may incur a loss equal to the amount by which the value of the security transferred by the Portfolio exceeds the repurchase price payable by the Portfolio.

W  Securities Sold Short — A short sale is a transaction in which the Portfolio sells a security it does not own in anticipation of a decline in the market value of that security. To complete such a transaction, the Portfolio must borrow the security to make delivery to the buyer with an obligation to replace such borrowed security at a later date. When making a short sale, the Portfolio segregates liquid assets with the custodian equal to its obligations under the short sale. Until the security is replaced, the Portfolio is required to repay the lender any dividends or interest, which accrue during the period of the loan. The proceeds received from a short sale are recorded as a liability and the Portfolio records an unrealized gain or loss to the extent of the difference between the proceeds received and the value of the open short position on the day of determination. A gain, limited to the price at which the Portfolio sold the security short, or a loss, potentially unlimited as there is no upward limit on the price of a security, is recorded when the short position is terminated. Interest and dividends payable on securities sold short are recorded as an expense.

X  Stripped Mortgage-Backed Securities — The Portfolio may invest in Interest Only (IO) and Principal Only (PO) securities, a form of stripped mortgage-backed securities, whereby the IO security receives all the interest and the PO security receives all the principal on a pool of mortgage assets. The yield to maturity on an IO security is extremely sensitive to the rate of principal payments (including prepayments) on the related underlying mortgage assets, and a rapid rate of principal payments may have a material adverse effect on the yield to maturity from these securities. If the underlying mortgages experience greater than anticipated prepayments of principal, the Portfolio may fail to recoup its initial investment in an IO security. The market value of IO and PO securities can be unusually volatile due to changes in interest rates.

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Notes to Consolidated Financial Statements (Unaudited) — continued

Y  Interim Consolidated Financial Statements — The interim consolidated financial statements relating to April 30, 2018 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Portfolio’s management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the consolidated financial statements.

2  Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Boston Management and Research (BMR), a subsidiary of EVM, as compensation for investment advisory services rendered to the Portfolio and the Subsidiary. Pursuant to the investment advisory agreement between the Portfolio and BMR and the investment advisory agreement between the Subsidiary and BMR, the Portfolio and Subsidiary each pay BMR a fee at an annual rate of 1.00% of its respective average daily net assets up to $500 million, 0.95% from $500 million but less than $1 billion, 0.925% from $1 billion but less than $2.5 billion, 0.90% from $2.5 billion but less than $5 billion, and 0.88% of average daily net assets of $5 billion or more, and is payable monthly. In determining the investment adviser fee for the Portfolio and Subsidiary, the applicable advisory fee rate is based on the average daily net assets of the Portfolio (inclusive of its interest in the Subsidiary). Such fee rate is then assessed separately on the Portfolio’s average daily net assets (exclusive of its interest in the Subsidiary) and the Subsidiary’s average daily net assets to determine the amount of the investment adviser fee. For the six months ended April 30, 2018, the Portfolio’s investment adviser fee amounted to $21,344,826 or 0.92% (annualized) of the Portfolio’s consolidated average daily net assets. The Portfolio invests its cash in Cash Reserves Fund. EVM does not currently receive a fee for advisory services provided to Cash Reserves Fund.

Trustees and officers of the Portfolio who are members of EVM’s or BMR’s organizations receive remuneration for their services to the Portfolio out of the investment adviser fee. Trustees of the Portfolio who are not affiliated with the investment adviser may elect to defer receipt of all or a percentage of their annual fees in accordance with the terms of the Trustees Deferred Compensation Plan. For the six months ended April 30, 2018, no significant amounts have been deferred. Certain officers and Trustees of the Portfolio are officers of the above organizations.

3  Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations and including maturities, paydowns and securities sold short, for the six months ended April 30, 2018 were as follows:

	Purchases		Sales
Investments (non-U.S. Government)	$	2,213,825,790	$	1,402,506,229
U.S. Government and Agency Securities		278,347,975		234,485,130
	$	2,492,173,765	$	1,636,991,359

4  Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments of the Portfolio, including open derivative contracts and the Portfolio’s investment in the Subsidiary, at April 30, 2018, as determined on a federal income tax basis, were as follows:

Aggregate cost	$	5,064,916,772
Gross unrealized appreciation	$	378,858,920
Gross unrealized depreciation		(535,672,650	)
Net unrealized depreciation	$	(156,813,730	)

5  Financial Instruments

The Portfolio may trade in financial instruments with off-balance sheet risk in the normal course of its investing activities. These financial instruments may include written options, forward foreign currency exchange contracts, futures contracts, forward volatility agreements and swap contracts and may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. The notional or contractual amounts of these instruments represent the investment the Portfolio has in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. A summary of obligations under these financial instruments at April 30, 2018 is included in the Consolidated Portfolio of Investments. At April 30, 2018, the Portfolio had sufficient cash and/or securities to cover commitments under these contracts.

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Notes to Consolidated Financial Statements (Unaudited) — continued

In the normal course of pursuing its investment objective, the Portfolio is subject to the following risks:

Commodity Risk: The Portfolio invests in commodities-linked derivative instruments, including commodity futures contracts and total return swap contracts based on commodity indices, that provide exposure to the investment returns of certain commodities. Commodities-linked derivative instruments are used to enhance total return and/or as a substitute for the purchase or sale of commodities.

Credit Risk: The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return.

Equity Price Risk: The Portfolio enters into options on equity indices, equity index futures contracts and total return swaps to enhance total return and/or to manage certain investment risks.

Foreign Exchange Risk: The Portfolio engages in forward foreign currency exchange contracts, forward volatility agreements, currency options, total return swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in currency exchange rates and/or as a substitute for the purchase or sale of securities or currencies.

Interest Rate Risk: The Portfolio utilizes various interest rate derivatives including interest rate futures contracts, interest rate swaps and swaptions, inflation swaps and cross-currency swaps to enhance total return, to seek to hedge against fluctuations in interest rates and/or to change the effective duration of its portfolio.

The Portfolio enters into over-the-counter (OTC) derivatives that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in the Portfolio’s net assets below a certain level over a certain period of time, which would trigger a payment by the Portfolio for those derivatives in a liability position. At April 30, 2018, the fair value of derivatives with credit-related contingent features in a net liability position was $217,609,669. The aggregate fair value of assets pledged as collateral by the Portfolio for such liability was $83,013,769 at April 30, 2018.

The OTC derivatives in which the Portfolio invests (except for written options as the Portfolio, not the counterparty, is obligated to perform) are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. To mitigate this risk, the Portfolio (and Subsidiary) has entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with substantially all its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs certain OTC derivatives and typically contains, among other things, set-off provisions in the event of a default and/or termination event as defined under the relevant ISDA Master Agreement. Under an ISDA Master Agreement, the Portfolio (and Subsidiary) may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy or insolvency. Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Portfolio’s net assets decline by a stated percentage or the Portfolio fails to meet the terms of its ISDA Master Agreements, which would cause the counterparty to accelerate payment by the Portfolio of any net liability owed to it.

The collateral requirements for derivatives traded under an ISDA Master Agreement are governed by a Credit Support Annex to the ISDA Master Agreement. Collateral requirements are determined at the close of business each day and are typically based on changes in market values for each transaction under an ISDA Master Agreement and netted into one amount for such agreement. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Portfolio (and Subsidiary) and/or counterparty is held in segregated accounts by the Portfolio’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits for derivatives collateral and, in the case of cash pledged by a counterparty for the benefit of the Portfolio, a corresponding liability on the Consolidated Statement of Assets and Liabilities. Securities pledged by the Portfolio as collateral, if any, are identified as such in the Consolidated Portfolio of Investments. The carrying amount of the liability for cash collateral due to brokers at April 30, 2018 approximated its fair value. If measured at fair value, such liability would have been considered as Level 2 in the fair value hierarchy (see Note 9) at April 30, 2018. Because the Subsidiary is not registered under the 1940 Act, it may not be able to negotiate terms with its counterparties that are equivalent to those a registered portfolio may negotiate. As a result, the Subsidiary may have greater exposure to those counterparties than a registered portfolio.

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Notes to Consolidated Financial Statements (Unaudited) — continued

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) by risk exposure at April 30, 2018 was as follows:

	Fair Value
Consolidated Statement of Assets and Liabilities Caption	Commodity			Credit			Equity Price		Foreign Exchange			Interest Rate			Total
Unaffiliated investments, at value	$	—		$	—		$	5,380,466	$	11,857,996		$	—		$	17,238,462
Net unrealized appreciation*		766,051			26,016,485			—		—			46,116,318			72,898,854
Receivable for open forward foreign currency exchange contracts		—			—			—		139,047,276			—			139,047,276
Receivable/Payable for open swap contracts; Premium paid/received on open non-centrally cleared swap contracts		—			23,759,261			821,332		1,307,459			9,318,512			35,206,564
Total Asset Derivatives	$	766,051		$	49,775,746		$	6,201,798	$	152,212,731		$	55,434,830		$	264,391,156
Derivatives not subject to master netting or similar agreements	$	766,051		$	26,016,485		$	—	$	—		$	46,116,318		$	72,898,854
Total Asset Derivatives subject to master netting or similar agreements	$	—		$	23,759,261		$	6,201,798	$	152,212,731		$	9,318,512		$	191,492,302
Net unrealized appreciation*	$	—		$	(18,755,645	)	$	—	$	—		$	(63,804,028	)	$	(82,559,673	)
Payable for open forward foreign currency exchange contracts		—			—			—		(178,256,102	)		—			(178,256,102	)
Payable/Receivable for open swap contracts; Premium paid/received on open non-centrally cleared swap contracts		(847,748	)		(15,662,576	)		—		(715,567	)		(21,356,377	)		(38,582,268	)
Payable for open forward volatility agreements		—			—			—		(771,299	)		—			(771,299	)
Total Liability Derivatives	$	(847,748	)	$	(34,418,221	)	$	—	$	(179,742,968	)	$	(85,160,405	)	$	(300,169,342	)
Derivatives not subject to master netting or similar agreements	$	—		$	(18,755,645	)	$	—	$	—		$	(63,804,028	)	$	(82,559,673	)
Total Liability Derivatives subject to master netting or similar agreements	$	(847,748	)	$	(15,662,576	)	$	—	$	(179,742,968	)	$	(21,356,377	)	$	(217,609,669	)

* For futures contracts and centrally cleared swap contracts, amount represents value as shown in the Portfolio of Investments. Only the current day’s variation margin on open futures contracts and centrally cleared swap contracts is reported within the Consolidated Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts and centrally cleared swap contracts, as applicable.

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Notes to Consolidated Financial Statements (Unaudited) — continued

The Portfolio’s derivative assets and liabilities at fair value by risk, which are reported gross in the Consolidated Statement of Assets and Liabilities, are presented in the table above. The following tables present the Portfolio’s derivative assets and liabilities by counterparty, net of amounts available for offset under a master netting agreement and net of the related collateral received by the Portfolio (and Subsidiary) for such assets and pledged by the Portfolio (and Subsidiary) for such liabilities as of April 30, 2018.

Counterparty	Derivative Assets Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Received(a)			Cash Collateral Received(a)			Net Amount of Derivative Assets(b)			Total Cash Collateral Received
Australia and New Zealand Banking Group Limited	$	15,621,511		$	(11,105,253	)	$	—		$	(4,085,200	)	$	431,058		$	4,085,200
Bank of America, N.A.		8,220,529			(8,220,529	)		—			—			—			—
Barclays Bank PLC		2,849,460			(1,120,924	)		—			(1,728,536	)		—			1,834,000
BNP Paribas		10,795,253			(10,795,253	)		—			—			—			—
Citibank, N.A.		24,892,616			(9,958,932	)		—			(236	)		14,933,448			236
Credit Agricole Corporate and Investment Bank		3,111,983			(3,111,983	)		—			—			—			220,000
Credit Suisse International		3,964,089			(3,964,089	)		—			—			—			—
Deutsche Bank AG		9,525,964			(9,525,964	)		—			—			—			—
Goldman Sachs International		48,329,224			(45,049,547	)		—			—			3,279,677			—
HSBC Bank USA, N.A.		426,053			(426,053	)		—			—			—			—
JPMorgan Chase Bank, N.A.		15,523,507			(6,673,558	)		—			(6,040,000	)		2,809,949			6,040,000
Nomura International PLC		933,403			(933,403	)		—			—			—			—
Société Générale		3,652,950			(692,045	)		(2,960,905	)		—			—			—
Standard Chartered Bank		38,093,125			(32,394,182	)		—			(1,370,000	)		4,328,943			1,370,000
State Street Bank and Trust Company		574,970			(574,970	)		—			—			—			—
The Bank of Nova Scotia		176,801			—			—			(176,801	)		—			450,000
The Toronto-Dominion Bank		168,859			—			—			—			168,859			—
UBS AG		363,639			(363,639	)		—			—			—			—
VTB Capital PLC		4,268,366			—			—			(3,090,000	)		1,178,366			3,090,000
	$	191,492,302		$	(144,910,324	)	$	(2,960,905	)	$	(16,490,773	)	$	27,130,300		$	17,089,436
Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset			Non-cash Collateral Pledged(a)			Cash Collateral Pledged(a)			Net Amount of Derivative Liabilities(c)			Total Cash Collateral Pledged
Australia and New Zealand Banking Group Limited	$	(11,105,253	)	$	11,105,253		$	—		$	—		$	—		$	—
Bank of America, N.A.		(12,859,652	)		8,220,529			4,324,358			—			(314,765	)		—
Barclays Bank PLC		(1,120,924	)		1,120,924			—			—			—			—
BNP Paribas		(42,619,094	)		10,795,253			30,341,211			—			(1,482,630	)		—
Citibank, N.A.		(10,806,680	)		9,958,932			847,748			—			—			—
Credit Agricole Corporate and Investment Bank		(3,221,724	)		3,111,983			—			—			(109,741	)		—
Credit Suisse International		(20,715,328	)		3,964,089			16,096,780			—			(654,459	)		—
Deutsche Bank AG		(17,774,164	)		9,525,964			8,248,200			—			—			—
Goldman Sachs International		(45,049,547	)		45,049,547			—			—			—			—
HSBC Bank USA, N.A.		(426,741	)		426,053			—			—			(688	)		—

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Notes to Consolidated Financial Statements (Unaudited) — continued

Counterparty	Derivative Liabilities Subject to Master Netting Agreement			Derivatives Available for Offset		Non-cash Collateral Pledged(a)		Cash Collateral Pledged(a)		Net Amount of Derivative Liabilities(c)			Total Cash Collateral Pledged
JPMorgan Chase Bank, N.A.	$	(6,673,558	)	$	6,673,558	$	—	$	—	$	—		$	—
Morgan Stanley & Co. International PLC		(498,234	)		—		490,519		—		(7,715	)		—
Nomura International PLC		(1,416,118	)		933,403		482,715		—		—			—
Société Générale		(692,045	)		692,045		—		—		—			—
Standard Chartered Bank		(32,394,182	)		32,394,182		—		—		—			1,430,000
State Street Bank and Trust Company		(731,421	)		574,970		156,451		—		—			—
UBS AG		(8,306,102	)		363,639		7,942,463		—		—			—
VTB Capital PLC		(1,198,902	)		—		—		—		(1,198,902	)		—
	$	(217,609,669	)	$	144,910,324	$	68,930,445	$	—	$	(3,768,900	)	$	1,430,000
Total — Deposits for derivatives collateral — OTC derivatives													$	18,519,436

^(a)  In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization.

^(b)  Net amount represents the net amount due from the counterparty in the event of default.

^(c)  Net amount represents the net amount payable to the counterparty in the event of default.

Information with respect to reverse repurchase agreements at April 30, 2018 is included at Note 7.

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Consolidated Statement of Operations by risk exposure for the six months ended April 30, 2018 was as follows:

Consolidated Statement of Operations Caption	Commodity			Credit			Equity Price			Foreign Exchange			Interest Rate
Net realized gain (loss) —
Investment transactions	$	—		$	—		$	—		$	(11,085,949	)	$	(1,111,968	)
Written options		—			—			—			3,086,980			—
Futures contracts		(68,952,106	)		—			(4,219,711	)		—			2,379,367
Swap contracts		949,713			(23,036,536	)		337,555			6,405,451			(12,180,921	)
Forward volatility agreements		—			—			—			(526,321	)		—
Forward foreign currency exchange contracts		—			—			—			(20,941,717	)		—
Total	$	(68,002,393	)	$	(23,036,536	)	$	(3,882,156	)	$	(23,061,556	)	$	(10,913,522	)
Change in unrealized appreciation (depreciation) —
Investments	$	—		$	—		$	383,277		$	4,622,899		$	1,111,968
Written options		—			—			—			(2,829,642	)		—
Futures contracts		2,972,620			—			811,797			—			702,585
Swap contracts		(847,748	)		(986,698	)		562,839			(516,198	)		(9,245,221	)
Forward volatility agreements		—			—			—			(228,134	)		—
Forward foreign currency exchange contracts		—			—			—			(52,547,961	)		—
Total	$	2,124,872		$	(986,698	)	$	1,757,913		$	(51,499,036	)	$	(7,430,668	)

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Notes to Consolidated Financial Statements (Unaudited) — continued

The average notional cost of futures contracts and average notional amounts of other derivative contracts outstanding during the six months ended April 30, 2018, which are indicative of the volume of these derivative types, were approximately as follows:

Futures Contracts — Long		Futures Contracts — Short		Forward Foreign Currency Exchange Contracts*		Swap Contracts
	$1,171,777,000	$	1,483,824,000	$	10,719,483,000	$	14,295,501,000

Interest Rate Swaptions Purchased		Forward Volatility Agreements
	$23,629,000	$	178,111,000

* The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold.

The average principal amount of purchased currency options contracts and written currency options contracts and average number of purchased options contracts outstanding during the six months ended April 30, 2018, which are indicative of the volume of these derivative types, were approximately $1,677,522,000, $146,571,000 and 2,476 contracts, respectively.

6  Line of Credit

The Portfolio participates with other portfolios and funds managed by EVM and its affiliates in a $625 million unsecured line of credit agreement with a group of banks, which is in effect through October 30, 2018. Borrowings are made by the Portfolio solely to facilitate the handling of unusual and/or unanticipated short-term cash requirements. Interest is charged to the Portfolio based on its borrowings at an amount above either the Eurodollar rate or Federal Funds rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused portion of the line of credit is allocated among the participating portfolios and funds at the end of each quarter. Because the line of credit is not available exclusively to the Portfolio, it may be unable to borrow some or all of its requested amounts at any particular time. The Portfolio did not have any significant borrowings or allocated fees during the six months ended April 30, 2018.

7  Reverse Repurchase Agreements

Reverse repurchase agreements outstanding as of April 30, 2018 were as follows:

Counterparty	Trade Date		Maturity Date			Interest Rate Paid (Received)			Principal Amount		Value Including Accrued Interest		Non-U.S. Sovereign Debt Securities Pledged as Collateral
Citibank, N.A.		4/24/2018		On Demand	(1)		2.15	%		AUD 33,203,462	$	25,004,719	$	26,360,428
JPMorgan Chase Bank, N.A.		4/10/2018		On Demand	(1)		1.75			USD    3,009,148		3,011,927		3,689,433
JPMorgan Chase Bank, N.A.		4/10/2018		On Demand	(1)		2.00			USD    1,860,163		1,862,126		2,290,000
JPMorgan Chase Bank, N.A.		4/23/2018		On Demand	(1)		2.00			AUD 56,718,083		42,716,904		44,510,065
JPMorgan Chase Bank, N.A.		4/23/2018		On Demand	(1)		2.25			AUD 25,861,791		19,478,614		20,295,291
Nomura International PLC		4/23/2018		On Demand	(1)		2.20			AUD 25,004,070		18,832,410		19,939,233
Total											$	110,906,700	$	117,084,450

⁽¹⁾  Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

AUD	–	Australian Dollar
USD	–	United States Dollar

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Notes to Consolidated Financial Statements (Unaudited) — continued

For the six months ended April 30, 2018, the average borrowings under settled reverse repurchase agreements and the average annual interest rate were approximately $155,241,000 and 1.97%, respectively. Based on the short-term nature of the borrowings under the reverse repurchase agreements, the carrying value of the payable for reverse repurchase agreements approximated its fair value at April 30, 2018. If measured at fair value, borrowings under the reverse repurchase agreements would have been considered as Level 2 in the fair value hierarchy (see Note 9) at April 30, 2018.

Repurchase agreements and reverse repurchase agreements entered into by the Portfolio are subject to Master Repurchase Agreements (MRA), which permit the Portfolio, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Portfolio.

The following table presents the Portfolio’s reverse repurchase agreements net of amounts available for offset under an MRA and net of the related collateral pledged by the Portfolio as of April 30, 2018.

Counterparty	Reverse Repurchase Agreements*			Assets Available for Offset		Securities Collateral Pledged(a)		Net Amount(b)
Citibank, N.A.	$	(25,004,719	)	$	—	$	25,004,719	$	—
JPMorgan Chase Bank, N.A.		(67,069,571	)		—		67,069,571		—
Nomura International PLC		(18,832,410	)		—		18,832,410		—
	$	(110,906,700	)	$	—	$	110,906,700	$	—

* Including accrued interest.

^(a)  In some instances, the total collateral pledged may be more than the amount shown due to overcollateralization.

^(b)  Net amount represents the net amount payable to the counterparty in the event of default.

8  Risks Associated with Foreign Investments

The Portfolio’s investments in foreign instruments can be adversely affected by changes in currency exchange rates and political, economic and market developments abroad. In emerging or less developed countries, these risks can be more significant. Investment markets in emerging market countries are typically substantially smaller, less liquid and more volatile than the major markets in developed countries. Emerging market countries may have relatively unstable governments and economies. Emerging market investments often are subject to speculative trading, which typically contributes to volatility.

The Portfolio may have difficulties enforcing its legal or contractual rights in a foreign country. Economic data as reported by foreign governments and other issuers may be delayed, inaccurate or fraudulent. In the event of a default by a sovereign entity, there are typically no assets to be seized or cash flows to be attached. Furthermore, the willingness or ability of a foreign government to renegotiate defaulted debt may be limited.

9  Fair Value Measurements

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 fund’s 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.

82

Global Macro Absolute Return Advantage Portfolio

April 30, 2018

Notes to Consolidated Financial Statements (Unaudited) — continued

At April 30, 2018, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

Asset Description	Level 1			Level 2			Level 3*		Total
Foreign Government Bonds	$	—		$	2,669,148,073		$	—	$	2,669,148,073
Foreign Corporate Bonds		—			84,681,793			19,400,800		104,082,593
Sovereign Loans		—			84,042,200			39,087,538		123,129,738
Credit Linked Notes		—			3,022,500			—		3,022,500
Collateralized Mortgage Obligations		—			46,431,650			—		46,431,650
Small Business Administration Loans (Interest Only)		—			57,112,631			—		57,112,631
Common Stocks
Iceland		130,591,914			6,656,161	**		—		137,248,075
Other Countries***		—			218,007,834	**		—		218,007,834
Warrants		—			—			266,301		266,301
Short-Term Investments —
Foreign Government Securities		—			1,135,487,227			—		1,135,487,227
U.S. Treasury Obligations		—			164,870,343			—		164,870,343
Other		—			290,925,278			—		290,925,278
Purchased Currency Options		—			11,857,996			—		11,857,996
Purchased Call Options		—			5,380,466			—		5,380,466
Total Investments	$	130,591,914		$	4,777,624,152		$	58,754,639	$	4,966,970,705
Forward Foreign Currency Exchange Contracts	$	—		$	139,047,276		$	—	$	139,047,276
Futures Contracts		9,316,522			—			—		9,316,522
Swap Contracts		—			98,788,896			—		98,788,896
Total	$	139,908,436		$	5,015,460,324		$	58,754,639	$	5,214,123,399
Liability Description
Forward Foreign Currency Exchange Contracts	$	—		$	(178,256,102	)	$	—	$	(178,256,102	)
Forward Volatility Agreements		—			(771,299	)		—		(771,299	)
Futures Contracts		(7,069,027	)		—			—		(7,069,027	)
Swap Contracts		—			(114,072,914	)		—		(114,072,914	)
Total	$	(7,069,027	)	$	(293,100,315	)	$	—	$	(300,169,342	)

* None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund.

** 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.

*** For further breakdown of equity securities by country, please refer to the Consolidated Portfolio of Investments.

Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the six months ended April 30, 2018 is not presented. At April 30, 2018, the value of investments transferred between Level 1 and Level 2 during the six months then ended was not significant.

83

Eaton Vance

Global Macro Absolute Return Advantage Fund

April 30, 2018

Board of Trustees’ Contract Approval

Overview of the Contract Review Process

The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuation is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.

At a meeting of the Boards of Trustees (each a “Board”) of the registered investment companies advised by either Eaton Vance Management or its affiliate, Boston Management and Research, (the “Eaton Vance Funds”) held on April 24, 2018, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing investment advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of its Contract Review Committee, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished by each adviser to the Eaton Vance Funds (including information specifically requested by the Board) for a series of meetings of the Contract Review Committee held between February and April 2018. The Contract Review Committee also considered information received at prior meetings of the Board and its committees, as relevant to its annual evaluation of the investment advisory and sub-advisory agreements.

The information that the Board considered included, among other things, the following (for funds that invest through one or more underlying portfolio(s), references to “each fund” in this section may include information that was considered at the portfolio-level):

Information about Fees, Performance and Expenses

• A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds as identified by the independent data provider (“comparable funds”);

• A report from an independent data provider comparing each fund’s total expense ratio and its components to comparable funds;

• A report from an independent data provider comparing the investment performance of each fund (including, where relevant, yield data, Sharpe ratios and information ratios) to the investment performance of comparable funds over various time periods;

• Data regarding investment performance in comparison to benchmark indices, as well as customized groups of peer funds and blended indices identified by the adviser in consultation with the Board;

• For each fund, comparative information concerning the fees charged and the services provided by each adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund;

• Profitability analyses for each adviser with respect to each fund;

Information about Portfolio Management and Trading

• Descriptions of the investment management services provided to each fund, including the fund’s investment strategies and policies;

• The procedures and processes used to determine the fair value of fund assets and actions taken to monitor and test the effectiveness of such procedures and processes;

• Information about each adviser’s policies and practices with respect to trading, including each adviser’s processes for monitoring best execution of portfolio transactions;

• Information about the allocation of brokerage transactions and the benefits received by each adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to “soft dollars”;

• Data relating to portfolio turnover rates of each fund;

Information about each Adviser

• Reports detailing the financial results and condition of each adviser;

• Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their responsibilities with respect to managing other mutual funds and investment accounts;

• The Code of Ethics of each adviser and its affiliates, together with information relating to compliance with and the administration of such codes;

• Policies and procedures relating to proxy voting and the handling of corporate actions and class actions;

• Information concerning the resources devoted to compliance efforts undertaken by each adviser and its affiliates (including descriptions of various compliance programs) and their record of compliance;

• Information concerning the business continuity and disaster recovery plans of each adviser and its affiliates;

• A description of Eaton Vance Management’s procedures for overseeing third party advisers and sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters;

84

Eaton Vance

Global Macro Absolute Return Advantage Fund

April 30, 2018

Board of Trustees’ Contract Approval — continued

Other Relevant Information

• Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by Eaton Vance Management and its affiliates;

• Information concerning management of the relationship with the custodian, subcustodians and fund accountants by each adviser or the funds’ administrator; and

• The terms of each investment advisory agreement.

Over the course of the twelve-month period ended April 30, 2018, with respect to one or more funds, the Board met seven times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met seven, thirteen, six, eight and nine times, respectively. At such meetings, the Trustees participated in investment and performance reviews with the portfolio managers and other investment professionals of each investment adviser relating to each fund, and considered various investment and trading strategies used in pursuing each fund’s investment objective, such as the use of derivative instruments, as well as risk management techniques. The Board and its Committees also evaluated issues pertaining to industry and regulatory developments, compliance procedures, fund governance and other issues with respect to the funds, and received and participated in reports and presentations provided by Eaton Vance Management and other fund advisers with respect to such matters. In addition to the formal meetings of the Board and its Committees, the Independent Trustees hold regular teleconferences in between meetings to discuss, among other topics, matters relating to the continuation of investment advisory and sub-advisory agreements.

For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of investment advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.

The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, independent legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each investment advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each investment advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each investment advisory and sub-advisory agreement. In evaluating each investment advisory and sub-advisory agreement, including the specific fee structures and other terms of the agreements, the Contract Review Committee was informed by multiple years of analysis and discussion among the Independent Trustees and the Eaton Vance Funds’ advisers and sub-advisers.

Results of the Process

Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuation of the investment advisory and administrative agreement of Eaton Vance Global Macro Absolute Return Advantage Fund (the “Fund”) with Eaton Vance Management (“EVM”), as well as the investment advisory agreement of Global Macro Absolute Return Advantage Portfolio (the “Portfolio”), the portfolio in which the Fund invests, with Boston Management and Research (“BMR”) (EVM, with respect to the Fund, and BMR, with respect to the Portfolio, are each referred to herein as the “Adviser”), including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee based on the material factors considered and conclusions reached by the Contract Review Committee with respect to the agreements. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory and administrative agreement for the Fund and the investment advisory agreement for the Portfolio (together, the “investment advisory agreements”).

Nature, Extent and Quality of Services

In considering whether to approve the investment advisory agreements of the Fund and the Portfolio, the Board evaluated the nature, extent and quality of services provided to the Fund and to the Portfolio by the applicable Adviser.

The Board considered each Adviser’s management capabilities and investment process with respect to the types of investments held by the Fund and the Portfolio, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund and the Portfolio. The Board considered the Adviser’s expertise with respect to global markets and in-house research capabilities. The Board also took into account the resources dedicated to portfolio management and other services, as well as the compensation methods of each Adviser and other factors, such as the reputation and resources of the Adviser to recruit and retain highly qualified research, advisory and supervisory investment professionals. In addition, the Board considered the time and attention devoted to the Eaton Vance Funds, including the Fund and the Portfolio, by senior management, as well as the infrastructure, operational capabilities and support staff in place to assist in the portfolio management and operations of the Fund and the Portfolio, including the provision of administrative services. The Board also considered the business-related and other risks to which each Adviser or its affiliates may be subject in managing the Fund and the Portfolio.

85

Eaton Vance

Global Macro Absolute Return Advantage Fund

April 30, 2018

Board of Trustees’ Contract Approval — continued

The Board noted that, under the terms of the investment advisory agreement of the Fund, EVM may invest assets of the Fund directly in securities, for which it would receive a fee, or in the Portfolio, for which it receives no separate fee but for which BMR receives an advisory fee from the Portfolio.

The Board considered the compliance programs of each Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment professionals, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also considered the responses of each Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.

The Board considered shareholder and other administrative services provided or managed by EVM and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large fund complex offering exposure to a variety of asset classes and investment disciplines, as well as the ability, in many cases, to exchange an investment among different funds without incurring additional sales charges.

After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by each Adviser, taken as a whole, are appropriate and consistent with the terms of the applicable investment advisory agreement.

Fund Performance

The Board compared the Fund’s investment performance to that of comparable funds and appropriate benchmark indices, as well as a customized peer group of similarly managed funds. The Board’s review included comparative performance data for the one-, three- and five-year periods ended September 30, 2017 for the Fund. In this regard, the Board noted that the performance of the Fund was higher than the median performance of the Fund’s peer group and custom peer group for the three-year period. The Board also noted that the performance of the Fund was higher than its primary benchmark index for the three-year period. The Board concluded that the performance of the Fund was satisfactory.

Management Fees and Expenses

The Board considered contractual fee rates payable by the Portfolio and by the Fund for advisory and administrative services (referred to collectively as “management fees”). As part of its review, the Board considered the Fund’s management fees and total expense ratio for a one year period ended September 30, 2017, as compared to those of comparable funds, before and after giving effect to any undertaking to waive fees or reimburse expenses. The Board noted that the Portfolio has established a wholly-owned subsidiary to accommodate the Portfolio’s commodity-related investments. The subsidiary is managed by BMR pursuant to a separate investment advisory agreement that is subject to annual approval by the Board. The subsidiary’s fee rates are the same as those charged to the Portfolio, and the Portfolio will not pay any additional management fees with respect to its assets invested in the subsidiary. The Board also received and considered information about the services offered and the fee rates charged by the Adviser to other types of clients with investment objectives and strategies that are substantially similar to and/or managed in a similar investment style as the Portfolio. In this regard, the Board received information about the differences in the nature and scope of services the Adviser provides to the Portfolio as compared to other types of clients and the material differences in compliance, reporting and other legal burdens and risks to the Adviser as between the Portfolio and other types of clients. The Board also considered certain Fund specific factors that had an impact on Fund expense ratios relative to comparable funds, as identified by management in response to inquiries from the Contract Review Committee.

After considering the foregoing information, and in light of the nature, extent and quality of the services provided by each Adviser, the Board concluded that the management fees charged for advisory and related services are reasonable.

Profitability and Other “Fall-Out” Benefits

The Board considered the level of profits realized by each Adviser and relevant affiliates thereof in providing investment advisory and administrative services to the Fund, to the Portfolio and to all Eaton Vance Funds as a group. The Board considered the level of profits realized without regard to marketing support or other payments by each Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect fall-out benefits received by each Adviser and its affiliates in connection with their relationships with the Fund and the Portfolio, including the benefits of research services that may be available to each Adviser as a result of securities transactions effected for the Fund and the Portfolio and other investment advisory clients.

The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by each Adviser and its affiliates are deemed not to be excessive.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the applicable Adviser and its affiliates, on the one hand, and the Fund and the Portfolio, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and the Portfolio increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from economies of scale, if any, with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of the Fund and of all

86

Eaton Vance

Global Macro Absolute Return Advantage Fund

April 30, 2018

Board of Trustees’ Contract Approval — continued

Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of the Fund and the profitability of each Adviser and its affiliates may have been affected by such increases or decreases. Based upon the foregoing, the Board concluded that the Fund currently shares in any benefits from economies of scale. The Board also concluded that, assuming reasonably foreseeable increases in the assets of the Fund and the Portfolio, the structure of the advisory fees, which include breakpoints at several asset levels, will allow the Fund and the Portfolio to continue to benefit from any economies of scale in the future.

87

Eaton Vance

Global Macro Absolute Return Advantage Fund

April 30, 2018

Officers and Trustees

Officers of Eaton Vance Global Macro Absolute Return Advantage Fund

Payson F. Swaffield

President

Maureen A. Gemma

Vice President, Secretary and

Chief Legal Officer

James F. Kirchner

Treasurer

Richard F. Froio

Chief Compliance Officer

Officers of Global Macro Absolute Return Advantage Portfolio

Payson F. Swaffield

President

Maureen A. Gemma

Vice President, Secretary and

Chief Legal Officer

James F. Kirchner

Treasurer

Richard F. Froio

Chief Compliance Officer

Trustees of Eaton Vance Global Macro Absolute Return Advantage Fund and Global Macro Absolute Return Advantage Portfolio

William H. Park

Chairperson

Thomas E. Faust Jr.*

Mark R. Fetting

Cynthia E. Frost

George J. Gorman

Valerie A. Mosley

Helen Frame Peters

Susan J. Sutherland

Harriett Tee Taggart

Scott E. Wennerholm

* Interested Trustee

88

Eaton Vance Funds

IMPORTANT NOTICES

Privacy.  The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (“Privacy Policy”) with respect to nonpublic personal information about its customers:

• Only such information received from you, through application forms or otherwise, and information about your Eaton Vance fund transactions will be collected. This may include information such as name, address, social security number, tax status, account balances and transactions.

• None of such information about you (or former customers) will be disclosed to anyone, except as permitted by law (which includes disclosure to employees necessary to service your account). In the normal course of servicing a customer’s account, Eaton Vance may share information with unaffiliated third parties that perform various required services such as transfer agents, custodians and broker-dealers.

• Policies and procedures (including physical, electronic and procedural safeguards) are in place that are designed to protect the confidentiality of such information.

• We reserve the right to change our Privacy Policy at any time upon proper notification to you. Customers may want to review our Privacy Policy periodically for changes by accessing the link on our homepage: www.eatonvance.com.

Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management (International) Limited, Eaton Vance Advisers International Ltd., Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.

Delivery of Shareholder Documents.  The Securities and Exchange Commission (SEC) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will typically be effective within 30 days of receipt by Eaton Vance or your financial advisor.

Portfolio Holdings.  Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).

Proxy Voting.  From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.

89

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Investment Adviser of Global Macro Absolute Return

Advantage Portfolio

Boston Management and Research

Two International Place

Boston, MA 02110

Investment Adviser and Administrator of Eaton Vance

Global Macro Absolute Return Advantage Fund

Eaton Vance Management

Two International Place

Boston, MA 02110

Principal Underwriter*

Eaton Vance Distributors, Inc.

Two International Place

Boston, MA 02110

(617) 482-8260

Custodian

State Street Bank and Trust Company

State Street Financial Center, One Lincoln Street

Boston, MA 02111

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Attn: Eaton Vance Funds

P.O. Box 9653

Providence, RI 02940-9653

(800) 262-1122

Fund Offices

Two International Place

Boston, MA 02110

* FINRA BrokerCheck.  Investors may check the background of their Investment Professional by contacting the Financial Industry Regulatory Authority (FINRA). FINRA BrokerCheck is a free tool to help investors check the professional background of current and former FINRA-registered securities firms and brokers. FINRA BrokerCheck is available by calling 1-800-289-9999 and at www.FINRA.org. The FINRA BrokerCheck brochure describing this program is available to investors at www.FINRA.org.

7772    4.30.18

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 applicable.

Item 6. Schedule of Investments

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

No material changes.

Item 11. 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 second fiscal quarter of 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 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. Exhibits

(a)(1)	Registrant’s Code of Ethics – Not applicable (please see Item 2).
(a)(2)(i)	Treasurer’s Section 302 certification.
(a)(2)(ii)	President’s Section 302 certification.
(b)	Combined Section 906 certification.

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.

Global Macro Absolute Return Advantage Portfolio

By:	/s/ Payson F. Swaffield
	Payson F. Swaffield
	President
Date:	June 21, 2018

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
	Treasurer
Date:	June 21, 2018
By:	/s/ Payson F. Swaffield
	Payson F. Swaffield
	President
Date:	June 21, 2018

EX-99.CERT

Global Macro Absolute Return Advantage Portfolio

FORM N-CSR

Exhibit 13(a)(2)(i)

CERTIFICATION

I, James F. Kirchner, certify that:

1. I have reviewed this report on Form N-CSR of Global Macro Absolute Return Advantage Portfolio;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of 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; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: June 21, 2018	/s/ James F. Kirchner
	James F. Kirchner
	Treasurer

Global Macro Absolute Return Advantage Portfolio

FORM N-CSR

Exhibit 13(a)(2)(ii)

CERTIFICATION

I, Payson F. Swaffield, certify that:

1. I have reviewed this report on Form N-CSR of Global Macro Absolute Return Advantage Portfolio;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of 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; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: June 21, 2018	/s/ Payson F. Swaffield
	Payson F. Swaffield
	President

EX-99.906CERT

Form N-CSR Item 13(b) Exhibit

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

The undersigned hereby certify in their capacity as Treasurer and President, respectively, of Global Macro Absolute Return Advantage Portfolio (the “Portfolio”), that:

(a) The Semi-Annual Report of the Portfolio on Form N-CSR for the period ended April 30, 2018 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

(b) The information contained in the Report fairly presents, in all material respects, the financial condition and the results of operations of the Portfolio for such period.

A signed original of this written statement required by section 906 has been provided to the Portfolio and will be retained by the Portfolio and furnished to the Securities and Exchange Commission or its staff upon request.

Global Macro Absolute Return Advantage Portfolio

Date: June 21, 2018

/s/ James F. Kirchner

James F. Kirchner

Treasurer

Date: June 21, 2018

/s/ Payson F. Swaffield

Payson F. Swaffield

President