Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited)

Foreign Government Bonds — 50.8%
Security							Principal Amount (000's omitted)									Value
Albania — 0.0%(1)
Republic of Albania, 5.75%, 11/12/20(2)				EUR		1,000								$		1,160,343
Total Albania														$		1,160,343
Australia — 2.1%
Australia Government Bond, 0.75%, 11/21/27(2)(3)				AUD		33,411								$		24,668,877
Australia Government Bond, 2.50%, 9/20/30(2)(3)				AUD		57,110										50,501,968
Total Australia														$		75,170,845
Barbados — 1.3%
Government of Barbados, 6.50%, 2/1/21(4)				USD		8,439								$		8,485,616
Government of Barbados, 6.50%, 10/1/29(4)				USD		37,137										37,648,039
Total Barbados														$		46,133,655
Benin — 0.5%
Benin Government International Bond, 5.75%, 3/26/26(2)				EUR		15,118								$		17,389,825
Total Benin														$		17,389,825
China — 0.0%(1)
China Government Bond, 3.40%, 2/9/27				CNY		10,000								$		1,480,598
Total China														$		1,480,598
Costa Rica — 0.5%
Costa Rica Government International Bond, 5.625%, 4/30/43(2)				USD		4,195								$		3,909,467
Costa Rica Government International Bond, 7.00%, 4/4/44(2)				USD		2,891										3,072,945
Costa Rica Government International Bond, 7.158%, 3/12/45(2)				USD		8,053										8,654,519
Titulo Propiedad UD, 1.00%, 1/12/22(3)				CRC		1,681,734										2,527,276
Total Costa Rica														$		18,164,207
Dominican Republic — 2.0%
Dominican Republic, 10.50%, 4/7/23(2)				DOP		3,608,800								$		69,513,610
Dominican Republic, 15.95%, 6/4/21(2)				DOP		114,300										2,331,900
Total Dominican Republic														$		71,845,510
Egypt — 5.3%
Arab Republic of Egypt, 4.75%, 4/11/25(2)				EUR		9,369								$		11,224,672
Arab Republic of Egypt, 5.625%, 4/16/30(2)				EUR		1,025										1,195,016
Arab Republic of Egypt, 6.375%, 4/11/31(2)				EUR		38,240										46,197,526
Arab Republic of Egypt, 8.15%, 11/20/59(2)				USD		32,714										35,894,455
Arab Republic of Egypt, 8.50%, 1/31/47(2)				USD		8,571										9,828,657
Arab Republic of Egypt, 8.70%, 3/1/49(2)				USD		24,472										28,271,621
Egypt Government Bond, 14.40%, 9/10/29				EGP		65,015										4,287,745
Egypt Government Bond, 15.60%, 8/6/26				EGP		615,363										42,201,234
Egypt Government Bond, 16.10%, 5/7/29				EGP		137,650										9,893,518
Total Egypt														$		188,994,444
El Salvador — 1.5%
Republic of El Salvador, 7.125%, 1/20/50(2)				USD		34,186								$		37,534,006
Republic of El Salvador, 7.625%, 2/1/41(2)				USD		1,429										1,666,135
Republic of El Salvador, 7.65%, 6/15/35(2)				USD		7,041										8,209,419
Republic of El Salvador, 8.25%, 4/10/32(2)				USD		3,867										4,734,552
Total El Salvador														$		52,144,112
Fiji — 1.5%
Republic of Fiji, 6.625%, 10/2/20(2)				USD		53,368								$		53,634,840
Total Fiji														$		53,634,840
Georgia — 0.4%
Georgia Treasury Bond, 7.00%, 5/30/24				GEL		25,057								$		7,903,059
Georgia Treasury Bond, 7.25%, 1/17/21				GEL		4,385										1,499,657
Georgia Treasury Bond, 7.375%, 9/27/23				GEL		5,820										1,882,989
Georgia Treasury Bond, 8.125%, 1/25/23				GEL		2,922										994,294
Georgia Treasury Bond, 9.375%, 4/9/22				GEL		4,290										1,502,150
Total Georgia														$		13,782,149
Iceland — 3.3%
Republic of Iceland, 5.00%, 11/15/28				ISK		4,794,888								$		44,491,258
Republic of Iceland, 6.50%, 1/24/31				ISK		5,641,242										59,902,821
Republic of Iceland, 8.00%, 6/12/25				ISK		1,217,748										12,278,902
Total Iceland														$		116,672,981
Jordan — 0.3%
Jordan Government International Bond, 7.375%, 10/10/47(2)				USD		8,600								$		9,476,202
Total Jordan														$		9,476,202
Macedonia — 0.0%(1)
Republic of Macedonia, 5.625%, 7/26/23(2)				EUR		1,000								$		1,289,675
Total Macedonia														$		1,289,675
Montenegro — 0.1%
Montenegro Government International Bond, 3.375%, 4/21/25(2)				EUR		1,000								$		1,196,986
Montenegro Government International Bond, 5.75%, 3/10/21(2)				EUR		1,104										1,300,193
Total Montenegro														$		2,497,179
New Zealand — 4.4%
New Zealand Government Bond, 2.00%, 9/20/25(2)(3)				NZD		91,370								$		65,879,358
New Zealand Government Bond, 2.50%, 9/20/35(2)(3)				NZD		41,235										34,815,402
New Zealand Government Bond, 3.00%, 9/20/30(2)(3)				NZD		66,529										55,403,659
Total New Zealand														$		156,098,419
Nigeria — 0.3%
Republic of Nigeria, 7.875%, 2/16/32(2)				USD		4,789								$		5,020,668
Republic of Nigeria, 8.747%, 1/21/31(2)				USD		5,093										5,704,669
Total Nigeria														$		10,725,337
Philippines — 1.1%
Republic of the Philippines, 6.25%, 1/14/36				PHP		1,649,000								$		40,351,368
Total Philippines														$		40,351,368
Serbia — 8.6%
Serbia Treasury Bond, 4.50%, 1/11/26				RSD		2,759,650								$		28,626,663
Serbia Treasury Bond, 5.75%, 7/21/23				RSD		18,371,480										193,635,827
Serbia Treasury Bond, 5.875%, 2/8/28				RSD		7,189,920										81,242,065
Serbia Treasury Bond, 10.00%, 10/23/24				RSD		193,680										2,436,182
Total Serbia														$		305,940,737
South Africa — 1.5%
Republic of South Africa, 10.50%, 12/21/26				ZAR		720,000								$		54,156,511
Total South Africa														$		54,156,511
Sri Lanka — 0.9%
Sri Lanka Government Bond, 10.25%, 3/15/25				LKR		929,740								$		5,287,410
Sri Lanka Government Bond, 11.00%, 8/1/24				LKR		1,660,000										9,667,490
Sri Lanka Government Bond, 11.00%, 6/1/26				LKR		696,370										4,116,026
Sri Lanka Government Bond, 11.20%, 9/1/23				LKR		1,035,380										6,032,282
Sri Lanka Government Bond, 11.40%, 1/1/24				LKR		769,680										4,511,196
Sri Lanka Government Bond, 11.50%, 5/15/23				LKR		96,000										562,588
Total Sri Lanka														$		30,176,992
Suriname — 0.3%
Suriname Government International Bond, 9.25%, 10/26/26(2)				USD		12,749								$		10,936,698
Total Suriname														$		10,936,698
Tanzania — 0.7%
United Republic of Tanzania, 7.989%, (6 mo. USD LIBOR + 6.00%), 3/9/20(2)(5)				USD		23,001								$		23,245,449
Total Tanzania														$		23,245,449
Thailand — 2.3%
Thailand Government Bond, 1.25%, 3/12/28(2)(3)				THB		2,476,419								$		78,853,635
Thailand Government Bond, 2.875%, 6/17/46				THB		112,400										4,302,730
Total Thailand														$		83,156,365
Ukraine — 11.9%
Ukraine Government International Bond, 0.00%, GDP-Linked, 5/31/40(2)(4)(6)				USD		47,964								$		47,664,225
Ukraine Government International Bond, 10.00%, 8/23/23				UAH		1,710,361										69,289,942
Ukraine Government International Bond, 11.67%, 11/22/23				UAH		750,674										32,101,129
Ukraine Government International Bond, 14.91%, 10/12/22				UAH		63,115										2,805,379
Ukraine Government International Bond, 15.70%, 1/20/21				UAH		248,191										10,446,030
Ukraine Government International Bond, 15.84%, 2/26/25				UAH		4,452,709										224,372,652
Ukraine Government International Bond, 17.00%, 5/11/22				UAH		88,200										3,993,782
Ukraine Government International Bond, 17.25%, 1/5/22				UAH		39,000										1,750,077
Ukraine Government International Bond, 18.00%, 3/24/21				UAH		696,753										30,256,805
Total Ukraine														$		422,680,021
Total Foreign Government Bonds (identified cost $1,654,236,229)														$		1,807,304,462
Foreign Corporate Bonds — 2.6%
Security					Principal Amount (000's omitted)											Value
Bulgaria — 0.3%
Eurohold Bulgaria AD, 6.50%, 12/7/22(2)								EUR		9,200									$	10,177,849
Total Bulgaria														$		10,177,849
Georgia — 0.1%
Georgia Capital JSC, 6.125%, 3/9/24(2)								USD		200									$	198,500
Silknet JSC, 11.00%, 4/2/24(2)								USD		4,277										4,829,417
Total Georgia														$		5,027,917
Iceland — 0.9%
Arion Banki HF, 6.00%, 4/12/24(2)								ISK		1,000,000									$	8,876,701
Heimavellir HF, 7.91%, 4/25/23(7)								ISK		1,036,833										8,910,893
Islandsbanki HF, 6.40%, 10/26/23								ISK		860,000										7,645,493
Landsbankinn HF, 5.00%, 11/23/23(2)								ISK		560,000										4,751,639
WOW Air HF, 0.00%, (3 mo. EURIBOR + 9.00%), 9/24/24(5)(8)								EUR		3,600										399,298
WOW Air HF, 0.00%(8)(9)								EUR		79										8,784
Total Iceland														$		30,592,808
India — 0.0%(1)
Reliance Communications, Ltd., 6.50%, 11/6/20(2)								USD		1,800									$	252,720
Total India														$		252,720
Indonesia — 0.2%
Bayan Resources Tbk PT, 6.125%, 1/24/23(2)								USD		5,385									$	5,282,995
Jasa Marga (Persero) Tbk PT, 7.50%, 12/11/20(2)								IDR		18,080,000										1,313,677
Total Indonesia														$		6,596,672
Ireland — 0.4%
Aragvi Finance International DAC, 12.00%, 4/9/24(2)								USD		11,426									$	12,425,775
Total Ireland														$		12,425,775
Mexico — 0.0%(1)
Grupo Kaltex SA de CV, 8.875%, 4/11/22(2)								USD		1,427									$	1,163,465
Total Mexico														$		1,163,465
Mongolia — 0.2%
Trade and Development Bank of Mongolia, LLC, 9.375%, 5/19/20(2)								USD		4,990									$	5,071,553
Total Mongolia														$		5,071,553
Netherlands — 0.2%
Ardshinbank CJSC Via Dilijan Finance BV, 6.50%, 1/28/25(2)								USD		4,747									$	4,812,271
Braskem Netherlands Finance BV, 5.875%, 1/31/50(2)								USD		2,710										2,815,013
Total Netherlands														$		7,627,284
Saint Lucia — 0.1%
Digicel International Finance, Ltd./Digicel Holdings Bermuda, Ltd., 8.75%, 5/25/24(2)								USD		2,870									$	2,856,841
Total Saint Lucia														$		2,856,841
Spain — 0.1%
Atento Luxco 1 SA, 6.125%, 8/10/22(2)								USD		4,000									$	4,045,000
Total Spain														$		4,045,000
United Kingdom — 0.1%
Ellaktor Value PLC, 6.375%, 12/15/24(2)								EUR		4,445									$	5,058,687
Total United Kingdom														$		5,058,687
Total Foreign Corporate Bonds (identified cost $95,705,843)														$		90,896,571
Sovereign Loans — 2.7%
Borrower					Principal Amount (000's omitted)											Value
Ethiopia — 0.2%
Ethiopian Railways Corporation (Federal Democratic Republic of Ethiopia guaranteed), Term Loan, 5.94%, (6 mo. USD LIBOR + 3.75%), Maturing August 1, 2021(5)(10)			$			6,933						$				6,980,216
Total Ethiopia														$		6,980,216
Kenya — 0.6%
Government of Kenya, Term Loan, 8.37%, (6 mo. USD LIBOR + 6.45%), Maturing June 29, 2025(5)			$			17,415						$				17,562,697
Government of Kenya, Term Loan, 8.63%, (6 mo. USD LIBOR + 6.70%), Maturing October 24, 2024(5)						2,904										2,958,396
Total Kenya														$		20,521,093
Macedonia — 0.3%
Republic of Macedonia, Term Loan, 4.50%, (6 mo. EURIBOR + 4.50%), Maturing December 16, 2022(5)(10)			EUR			7,700						$				8,691,764
Total Macedonia														$		8,691,764
Nigeria — 0.4%
Bank of Industry Limited, Term Loan, 7.85%, (3 mo. USD LIBOR + 6.00%), Maturing April 11, 2021(5)(10)			$			15,238						$				15,649,431
Total Nigeria														$		15,649,431
Tanzania — 1.2%
Government of the United Republic of Tanzania, Term Loan, 7.12%, (6 mo. USD LIBOR + 5.20%), Maturing June 23, 2022(5)			$			42,243						$				43,942,034
Total Tanzania														$		43,942,034
Total Sovereign Loans (identified cost $92,822,533)														$		95,784,538
Credit Linked Notes — 0.0%(1)
Security							Principal Amount (000's omitted)									Value
Argentina — 0.0%(1)
Desarrolladora Energética SA (Deutsche Bank AG), 9.50%, 7/27/20(4)(7)(11)				$		1,825								$		1,241,000
Total Argentina														$		1,241,000
Total Credit Linked Notes (identified cost $1,829,847)														$		1,241,000
Debt Obligations - United States — 5.7%
Asset-Backed Securities — 0.9%
Security							Principal Amount									Value
Invitation Homes Trust
Series 2018-SFR3, Class E, 3.669%, (1 mo. USD LIBOR + 2.00%), 7/17/37(4)(5)										$	13,000,000							$		13,069,604
Pnmac Gmsr Issuer Trust
Series 2018-GT1, Class A, 4.511%, (1 mo. USD LIBOR + 2.85%), 2/25/23(4)(5)											9,000,000									9,059,953
Series 2018-GT2, Class A, 4.311%, (1 mo. USD LIBOR + 2.65%), 8/25/25(4)(5)											8,064,000									8,125,156
Total Asset-Backed Securities (identified cost $30,064,000)														$		30,254,713
Collateralized Mortgage Obligations — 1.4%
Security						Principal Amount										Value
Federal Home Loan Mortgage Corp.:
	Series 4, Class D, 8.00%, 12/25/22				$	25,658								$		27,093
	Series 1548, Class Z, 7.00%, 7/15/23					34,269										36,689
	Series 1650, Class K, 6.50%, 1/15/24					197,908										212,283
	Series 1817, Class Z, 6.50%, 2/15/26					38,379										41,882
	Series 1927, Class ZA, 6.50%, 1/15/27					129,402										142,227
	Series 2344, Class ZD, 6.50%, 8/15/31					367,619										422,256
	Series 2458, Class ZB, 7.00%, 6/15/32					693,534										814,375
Interest Only:(12)
	Series 362, Class C6, 3.50%, 12/15/47					15,640,253										1,988,339
	Series 4791, Class JI, 4.00%, 5/15/48					25,789,438										3,167,196
																	$			6,852,340
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes:
	Series 2020-DNA1, Class M2, 3.359%, (1 mo. USD LIBOR + 1.70%), 3/25/30(4)(5)				$	4,705,440								$		4,716,544
															$	4,716,544
Federal National Mortgage Association:
	Series G48, Class Z, 7.10%, 12/25/21				$	84,441								$		87,283
	Series G92-60, Class Z, 7.00%, 10/25/22					136,682										142,703
	Series G93-1, Class K, 6.675%, 1/25/23					133,565										139,084
	Series G94-7, Class PJ, 7.50%, 5/17/24					190,498										206,071
	Series 1992-180, Class F, 2.811%, (1 mo. USD LIBOR + 1.15%), 10/25/22(5)					110,242										110,990
	Series 1993-16, Class Z, 7.50%, 2/25/23					106,044										112,164
	Series 1993-79, Class PL, 7.00%, 6/25/23					69,518										74,265
	Series 1993-104, Class ZB, 6.50%, 7/25/23					28,304										29,900
	Series 1993-121, Class Z, 7.00%, 7/25/23					437,676										464,672
	Series 1993-141, Class Z, 7.00%, 8/25/23					95,468										102,266
	Series 1994-42, Class ZQ, 7.00%, 4/25/24					652,037										702,768
	Series 1994-79, Class Z, 7.00%, 4/25/24					121,317										130,464
	Series 1994-89, Class ZQ, 8.00%, 7/25/24					114,736										126,242
	Series 1996-35, Class Z, 7.00%, 7/25/26					36,328										40,285
	Series 1998-16, Class H, 7.00%, 4/18/28					156,178										177,869
	Series 1998-44, Class ZA, 6.50%, 7/20/28					267,422										296,922
	Series 1999-25, Class Z, 6.00%, 6/25/29					266,962										298,648
	Series 2000-2, Class ZE, 7.50%, 2/25/30					64,736										73,946
	Series 2000-49, Class A, 8.00%, 3/18/27					197,168										221,212
	Series 2001-31, Class ZA, 6.00%, 7/25/31					2,125,697										2,379,116
	Series 2001-74, Class QE, 6.00%, 12/25/31					565,957										643,096
	Series 2009-48, Class WA, 5.834%, 7/25/39(13)					2,763,347										3,015,780
	Series 2011-38, Class SA, 8.517%, (13.50% - 1 mo. USD LIBOR x 3), 5/25/41(14)					3,901,841										4,923,426
Interest Only:(12)
	Series 424, Class C8, 3.50%, 2/25/48					22,169,266										2,877,152
	Series 2018-21, Class IO, 3.00%, 4/25/48					23,261,473										2,658,745
	Series 2018-58, Class BI, 4.00%, 8/25/48					3,603,427										421,047
															$	20,456,116
Federal National Mortgage Association Connecticut Avenue Securities:
	Series 2017-C07, Class 1M2, 4.061%, (1 mo. USD LIBOR + 2.40%), 5/25/30(5)				$	5,000,000								$		5,111,442
	Series 2017-C07, Class 1M2C, 4.061%, (1 mo. USD LIBOR + 2.40%), 5/25/30(5)					3,942,383										4,026,933
	Series 2018-C01, Class 1M2, 3.911%, (1 mo. USD LIBOR + 2.25%), 7/25/30(5)					5,000,000										5,105,893
	Series 2018-C03, Class 1M2, 3.811%, (1 mo. USD LIBOR + 2.15%), 10/25/30(5)					5,500,000										5,606,611
															$	19,850,879
Government National Mortgage Association:
	Series 2001-35, Class K, 6.45%, 10/26/23				$	42,496								$		45,002
															$	45,002
Total Collateralized Mortgage Obligations (identified cost $61,182,510)														$		51,920,881
Mortgage Pass-Throughs — 2.6%
Security						Principal Amount										Value
Federal Home Loan Mortgage Corp.:
	2.875%, (COF + 1.25%), with maturity at 2035(15)				$	1,319,950								$		1,336,966
	3.471%, (COF + 2.39%), with maturity at 2023(15)					13,739										13,806
	3.985%, (COF + 1.25%), with maturity at 2029(15)					10,987										11,403
	4.41%, (COF + 1.25%), with maturity at 2030(15)					258,521										270,543
	4.50%, with maturity at 2035					223,685										239,341
	4.594%, (1 yr. CMT + 2.33%), with maturity at 2036(15)					1,082,527										1,140,740
	6.00%, with various maturities to 2035					5,672,133										6,413,977
	6.50%, with various maturities to 2032					6,599,221										7,545,068
	6.60%, with maturity at 2030					615,625										698,102
	7.00%, with various maturities to 2036					9,215,294										10,484,506
	7.31%, with maturity at 2026					22,726										24,789
	7.50%, with various maturities to 2035					4,206,993										4,704,213
	7.95%, with maturity at 2022					53,572										54,040
	8.00%, with various maturities to 2030					943,947										1,025,798
	8.15%, with maturity at 2021					2,917										2,990
	8.50%, with maturity at 2025					47,594										48,891
	9.00%, with various maturities to 2027					120,156										127,919
	9.50%, with maturity at 2027					40,982										41,088
	10.00%, with maturity at 2020					127										128
	10.50%, with maturity at 2021					842										856
															$	34,185,164
Federal National Mortgage Association:
	2.38%, (COF + 1.25%), with maturity at 2027(15)				$	76,056								$		76,141
	2.405%, (COF + 1.25%), with various maturities to 2033(15)					1,765,911										1,767,941
	2.555%, (COF + 1.40%), with maturity at 2025(15)					297,923										298,293
	2.755%, (COF + 1.60%), with maturity at 2024(15)					123,015										123,483
	3.389%, (COF + 1.25%), with maturity at 2034(15)					672,038										686,908
	3.498%, (COF + 1.25%), with maturity at 2035(15)					1,587,823										1,617,920
	4.084%, (COF + 1.77%), with maturity at 2035(15)					2,100,336										2,165,047
	4.511%, (1 yr. CMT + 2.15%), with maturity at 2028(15)					100,904										104,471
	5.50%, with maturity at 2020					39										39
	6.00%, with various maturities to 2035					19,211,548										21,939,458
	6.328%, (COF + 2.00%, Floor 6.328%), with maturity at 2032(15)					645,487										705,035
	6.50%, with various maturities to 2038					8,021,483										9,066,897
	7.00%, with various maturities to 2035					12,488,901										14,320,620
	7.50%, with various maturities to 2027					68,165										72,769
	7.628%, (1 yr. CMT + 2.15%), with maturity at 2025(15)					18,140										19,115
	8.00%, with various maturities to 2026					14,656										15,314
	8.50%, with various maturities to 2037					1,708,461										1,975,833
	9.00%, with various maturities to 2032					229,141										252,606
	9.251%, with maturity at 2028					1,056										1,083
	9.50%, with various maturities to 2031					95,691										103,875
	9.543%, with maturity at 2027					3,325										3,551
	10.50%, with maturity at 2029					25,837										30,430
	11.50%, with maturity at 2031					114,938										137,922
															$	55,484,751
Government National Mortgage Association:
	4.125%, (1 yr. CMT + 1.50%), with maturity at 2024(15)				$	134,338								$		136,325
	6.50%, with various maturities to 2032					379,503										422,797
	7.00%, with various maturities to 2031					635,849										713,834
	7.50%, with various maturities to 2028					91,178										100,619
	8.00%, with various maturities to 2023					53,632										57,063
	8.50%, with maturity at 2021					249										250
	9.00%, with maturity at 2025					18,247										19,391
	9.50%, with various maturities to 2021					4,056										4,126
															$	1,454,405
Total Mortgage Pass-Throughs (identified cost $87,115,922)														$		91,124,320
U.S. Treasury Obligations — 0.0%(1)
Security							Principal Amount									Value
U.S. Treasury Bond, 7.875%, 2/15/21					$	1,500,000								$		1,597,763
Total U.S. Treasury Obligations (identified cost $1,532,224)														$		1,597,763
U.S. Government Guaranteed Small Business Administration Loans                                                                                                                                                                           (16)(17) — 0.8%
Security							Principal Amount (000's omitted)									Value
1.11%, 9/15/42									$		1,687,828							$		69,407
1.41%, 9/15/42											1,111,046									59,222
	1.61%, 8/15/42 to 9/15/42										1,905,216									123,325
	1.66%, 8/15/42 to 4/15/43										7,294,401									447,611
	1.91%, 7/15/42 to 4/15/43										15,044,338									1,066,498
	1.93%, 3/15/41 to 5/15/42										2,145,515									148,674
1.96%, 9/15/42											2,955,168									203,779
2.03%, 8/15/32											813,458									53,489
	2.11%, 8/15/42 to 9/15/42										6,008,146									468,721
	2.16%, 2/15/42 to 4/15/43										16,371,423									1,351,669
	2.21%, 9/15/42										2,735,089									219,862
2.28%, 3/15/43											2,766,208									273,848
2.36%, 9/15/42											1,981,793									176,624
	2.38%, 2/15/41 to 3/15/41										1,370,601									115,595
2.39%, 7/15/39											1,018,688									79,651
	2.41%, 12/15/41 to 4/15/43										25,189,259									2,384,571
	2.46%, 3/15/28 to 4/15/43										10,221,064									903,300
2.53%, 6/15/36											875,436									73,370
2.56%, 5/15/37											1,397,103									116,194
2.58%, 9/15/42											2,505,140									241,827
2.61%, 9/15/42											2,889,211									296,167
2.63%, 11/15/36											627,265									52,765
	2.66%, 4/15/43										8,216,982									879,693
2.71%, 10/4/23 to 8/25/42(18)											22,186,973									1,767,013
	2.71%, 7/15/27 to 9/15/42										9,551,670									914,961
	2.91%, 10/15/42 to 4/15/43										16,552,547									1,955,315
	2.93%, 4/15/42 to 5/15/42										1,010,551									121,481
	2.96%, 7/15/27 to 2/15/43										8,305,663									735,225
2.98%, 7/15/43											1,219,123									144,072
2.99%, 2/15/29											917,695									72,209
	3.03%, 4/15/41 to 7/15/41										1,894,493									197,654
	3.16%, 9/15/42 to 4/15/43										6,442,992									879,943
	3.21%, 6/15/27 to 3/15/43										8,678,626									1,033,483
3.29%, 12/15/42											3,575,516									477,217
3.34%, 12/28/26 to 8/17/42(18)											35,463,970									2,989,441
	3.41%, 3/15/43 to 4/15/43										8,317,999									1,112,707
	3.46%, 3/15/27 to 3/15/43										6,043,268									772,389
	3.66%, 9/15/42 to 6/15/43										9,615,137									1,497,148
3.69%, 3/15/43											1,359,133									240,304
	3.71%, 2/15/28 to 10/15/42										13,565,545									1,575,882
	3.78%, 5/15/27 to 9/15/42										4,126,655									552,337
Total U.S. Government Guaranteed Small Business Administration Loans                                                                                                                                                                           (identified cost $29,257,022)														$		26,844,643
Total Debt Obligations - United States (identified cost $209,151,678)														$		201,742,320
Common Stocks — 3.1%
Security					Shares											Value
Cyprus — 0.2%
Bank of Cyprus Holdings PLC(19)						4,401,002								$		6,315,010
Total Cyprus														$		6,315,010
Greece — 0.4%
Alpha Bank AE(19)						911,347								$		1,824,028
Eurobank Ergasias SA(19)						2,484,668										2,279,738
Hellenic Telecommunications Organization SA						153,638										2,294,523
JUMBO SA						101,395										2,062,187
National Bank of Greece SA(19)						594,090										1,885,785
OPAP SA						172,260										2,144,993
Piraeus Bank SA(19)						475,597										1,688,973
Total Greece														$		14,180,227
Iceland — 1.1%
Arion Banki HF(4)						15,974,003								$		10,673,174
Eik Fasteignafelag HF						55,172,752										3,847,361
Eimskipafelag Islands HF						4,064,445										5,612,839
Hagar HF						15,796,119										6,547,927
Heimavellir HF(19)						34,561,103										369,411
Reginn HF(19)						22,125,500										3,886,632
Reitir Fasteignafelag HF						8,912,481										5,439,915
Siminn HF						99,569,761										4,310,166
Total Iceland														$		40,687,425
Indonesia — 0.3%
Astra International Tbk PT						2,035,300								$		939,570
Bank Central Asia Tbk PT						965,600										2,281,732
Bank Mandiri Persero Tbk PT						1,824,600										997,683
Bank Negara Indonesia Persero Tbk PT						750,100										393,005
Bank Rakyat Indonesia Persero Tbk PT						5,388,300										1,751,762
Barito Pacific Tbk PT(19)						2,811,700										268,027
Charoen Pokphand Indonesia Tbk PT						694,300										336,522
Gudang Garam Tbk PT						50,000										203,724
Indocement Tunggal Prakarsa Tbk PT						184,900										221,578
Indofood CBP Sukses Makmur Tbk PT						210,400										174,595
Indofood Sukses Makmur Tbk PT						417,400										239,165
Kalbe Farma Tbk PT						2,126,400										221,814
Semen Indonesia Persero Tbk PT						279,400										243,407
Telekomunikasi Indonesia Persero Tbk PT						4,703,500										1,304,642
Unilever Indonesia Tbk PT						752,200										436,910
United Tractors Tbk PT						168,700										235,741
Total Indonesia														$		10,249,877
Mongolia — 0.0%(1)
Mongolian Mining Corp.(19)						2,862,450								$		186,128
Total Mongolia														$		186,128
Serbia — 0.1%
Komercijalna Banka AD Beograd(19)						84,003								$		2,465,648
Total Serbia														$		2,465,648
Singapore — 0.3%
Yoma Strategic Holdings, Ltd.(19)						43,974,000								$		10,082,536
Total Singapore														$		10,082,536
Sri Lanka — 0.1%
Softlogic Life Insurance PLC						23,874,288								$		4,796,677
Total Sri Lanka														$		4,796,677
Vietnam — 0.6%
Bank for Foreign Trade of Vietnam JSC						635,510								$		2,403,060
Bank for Investment and Development of Vietnam JSC						468,816										1,023,324
Bao Viet Holdings						156,900										394,491
Binh Minh Plastics JSC						255,600										463,938
Coteccons Construction JSC						133,000										315,506
Domesco Medical Import Export JSC						240,160										783,126
Hoa Phat Group JSC(19)						1,189,907										1,217,833
KIDO Group Corp.						137,550										111,283
Masan Group Corp.(19)						715,980										1,535,259
PetroVietnam Gas JSC						165,200										608,027
PetroVietnam Nhon Trach 2 Power JSC						882,000										725,513
PetroVietnam Technical Services Corp.						672,281										466,815
Refrigeration Electrical Engineering Corp.						807,810										1,169,082
SSI Securities Corp.						668,470										502,153
Viet Capital Securities JSC						448,200										514,704
Vietnam Dairy Products JSC						546,768										2,535,770
Vietnam Prosperity JSC Bank(19)						1,636,555										1,692,826
Vietnam Technological & Commercial Joint Stock Bank(19)						781,800										778,063
Vingroup JSC(19)						1,039,114										5,108,006
Total Vietnam														$		22,348,779
Total Common Stocks (identified cost $128,749,467)														$		111,312,307
Short-Term Investments — 30.3%
Foreign Government Securities — 9.0%
Security					Principal Amount (000's omitted)											Value
Egypt — 4.1%
Egypt Treasury Bill, 0.00%, 3/10/20					EGP		128,750							$		8,061,334
Egypt Treasury Bill, 0.00%, 4/14/20					EGP		570,100									35,226,769
Egypt Treasury Bill, 0.00%, 4/21/20					EGP		206,350									12,715,955
Egypt Treasury Bill, 0.00%, 4/28/20					EGP		531,025									32,502,091
Egypt Treasury Bill, 0.00%, 8/4/20					EGP		967,625									57,076,402
Total Egypt														$		145,582,551
Georgia — 0.6%
Bank of Georgia Promissory Note, 7.40%, 4/30/20					GEL		2,631							$		903,438
Bank of Georgia Promissory Note, 7.40%, 5/13/20					GEL		1,565									536,968
Bank of Georgia Promissory Note, 7.40%, 5/18/20					GEL		2,302									789,165
Bank of Georgia Promissory Note, 7.45%, 4/10/20					GEL		1,904									655,142
Bank of Georgia Promissory Note, 7.45%, 4/16/20					GEL		3,253									1,118,560
Bank of Georgia Promissory Note, 7.45%, 4/22/20					GEL		1,937									665,920
Bank of Georgia Promissory Note, 7.45%, 4/24/20					GEL		3,235									1,111,734
Bank of Georgia Promissory Note, 7.45%, 4/28/20					GEL		1,310									449,855
Bank of Georgia Promissory Note, 7.50%, 5/26/20					GEL		2,879									986,455
Bank of Georgia Promissory Note, 7.50%, 5/28/20					GEL		7,363									2,522,744
Bank of Georgia Promissory Note, 7.50%, 6/10/20					GEL		1,309									448,005
Bank of Georgia Promissory Note, 7.50%, 6/12/20					GEL		1,021									349,318
Bank of Georgia Promissory Note, 7.50%, 6/15/20					GEL		2,028									693,425
Bank of Georgia Promissory Note, 7.50%, 6/16/20					GEL		1,185									405,224
Bank of Georgia Promissory Note, 7.50%, 6/17/20					GEL		1,944									664,698
Bank of Georgia Promissory Note, 7.50%, 6/19/20					GEL		2,140									731,626
Bank of Georgia Promissory Note, 7.50%, 6/26/20					GEL		2,843									971,100
Bank of Georgia Promissory Note, 7.50%, 6/29/20					GEL		2,384									814,358
Georgia Treasury Bill, 0.00%, 5/7/20					GEL		1,815									615,437
Georgia Treasury Bill, 0.00%, 5/14/20					GEL		4,290									1,451,439
Georgia Treasury Bill, 0.00%, 6/4/20					GEL		2,686									904,599
Georgia Treasury Bill, 0.00%, 6/11/20					GEL		3,269									1,097,935
Georgia Treasury Bill, 0.00%, 7/2/20					GEL		160									53,522
Georgia Treasury Bill, 0.00%, 1/14/21					GEL		3,982									1,273,621
Total Georgia														$		20,214,288
Nigeria — 0.3%
Nigeria OMO Bill, 0.00%, 7/21/20					NGN		1,458,865							$		3,806,173
Nigeria OMO Bill, 0.00%, 1/12/21					NGN		1,463,905									3,558,960
Nigeria OMO Bill, 0.00%, 1/26/21					NGN		1,366,367									3,279,010
Total Nigeria														$		10,644,143
Pakistan — 4.0%
Pakistan Treasury Bill, 0.00%, 2/13/20					PKR		2,378,700							$		15,313,468
Pakistan Treasury Bill, 0.00%, 5/21/20					PKR		2,461,400									15,301,563
Pakistan Treasury Bill, 0.00%, 11/19/20					PKR		2,602,700									15,215,383
Pakistan Treasury Bill, 0.00%, 12/3/20					PKR		3,290,700									19,156,552
Pakistan Treasury Bill, 0.00%, 12/17/20					PKR		5,406,600									31,337,718
Pakistan Treasury Bill, 0.00%, 12/31/20					PKR		1,817,000									10,487,032
Pakistan Treasury Bill, 0.00%, 1/14/21					PKR		1,347,200									7,742,849
Pakistan Treasury Bill, 0.00%, 1/28/21					PKR		3,476,500									19,887,487
Pakistan Treasury Bill, 0.00%, 1/28/21					PKR		1,490,000									8,523,617
Total Pakistan														$		142,965,669
Total Foreign Government Securities (identified cost $312,236,664)														$		319,406,651
U.S. Treasury Obligations — 1.5%
Security					Principal Amount (000's omitted)											Value
U.S. Treasury Bill, 0.00%, 2/20/20(20)					$	54,900								$		54,861,934
Total U.S. Treasury Obligations (identified cost $54,856,826)														$		54,861,934
Other — 19.8%
Description					Units											Value
Eaton Vance Cash Reserves Fund, LLC, 1.74%(21)						704,491,493							$				704,561,942
Total Other (identified cost $704,465,917)														$		704,561,942
Total Short-Term Investments (identified cost $1,071,559,407)														$		1,078,830,527
Total Purchased Options and Swaptions — 0.1% (identified cost $3,937,029)														$		4,077,374
Total Investments — 95.3% (identified cost $3,257,992,033)														$		3,391,189,099
Securities Sold Short  — (0.3)%
Common Stocks — (0.3)%
Security		Shares														Value
Ashmore Group PLC						(1,343,300)								$		(9,607,558)
Total Common Stocks														$		(9,607,558)
Total Securities Sold Short   (proceeds $8,950,969)														$		(9,607,558)
Other Assets, Less Liabilities — 4.9%														$		175,873,169
Net Assets — 100.0%														$		3,557,454,710
The percentage shown for each investment category in the Consolidated Portfolio of Investments is based on net assets.
(1)	Amount is less than 0.05%.
(2)	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 January 31, 2020, the aggregate value of these securities is $834,313,275 or 23.5% of the Portfolio's net assets.
(3)	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.
(4)	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 January 31, 2020, the aggregate value of these securities is $135,966,767 or 3.8% of the Portfolio's net assets.
(5)	Variable rate security. The stated interest rate represents the rate in effect at January 31, 2020.
(6)	Amounts payable in respect of the security are contingent upon and determined by reference to Ukraine's GDP and Real GDP Growth Rate. Principal amount represents the notional amount used to calculate payments due to the security holder and does not represent an entitlement for payment.
(7)	For fair value measurement disclosure purposes, security is categorized as Level 3.
(8)	Issuer is in default with respect to interest and/or principal payments or has declared bankruptcy. For a variable rate security, interest rate has been adjusted to reflect non-accrual status.
(9)	Perpetual security with no stated maturity date but may be subject to calls by the issuer.
(10)	Loan is subject to scheduled mandatory prepayments. Maturity date shown reflects the final maturity date.
(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)	Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at January 31, 2020.
(14)	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 January 31, 2020.
(15)	Adjustable rate mortgage security whose interest rate generally adjusts monthly based on a weighted average of interest rates on the underlying mortgages. The coupon rate may not reflect the applicable index value as interest rates on the underlying mortgages may adjust on various dates and at various intervals and may be subject to lifetime ceilings and lifetime floors and lookback periods. Rate shown is the coupon rate at January 31, 2020.
(16)	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.
(17)	Securities comprise a trust that is wholly-owned by the Portfolio and may only be sold on a pro rata basis with all securities in the trust.
(18)	The stated interest rate represents the weighted average fixed interest rate at January 31, 2020 of all interest only securities comprising the certificate.
(19)	Non-income producing security.
(20)	Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts.
(21)	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 January 31, 2020.

Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

Purchased Currency Options — 0.0%(1)
Description				Counterparty					Notional Amount					Exercise Price						Expiration Date											Value
___________________________________________________________________________________________________________
Call BRL/Put USD				Standard Chartered Bank					USD	36,740,000				BRL				3.57					7/20/20				$				7,679
___________________________________________________________________________________________________________
Total																														$			7,679
___________________________________________________________________________________________________________
Purchased Interest Rate Swaptions — 0.1%
Description						Counterparty							Notional Amount											Expiration Date									Value
___________________________________________________________________________________________________________
Option to enter into interest rate swap expiring 7/7/38 to pay 3-month USD-LIBOR Rate and receive 2.98%						Morgan Stanley & Co. International PLC					$		28,963,000											7/5/28						$			3,385,944
Option to enter into interest rate swap expiring 7/7/38 to receive 3-month USD-LIBOR Rate and pay 2.98%						Morgan Stanley & Co. International PLC							28,963,000											7/5/28									683,751
___________________________________________________________________________________________________________
Total																														$			4,069,695
___________________________________________________________________________________________________________
Centrally Cleared Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold															Settlement Date					Value/Unrealized  Appreciation  (Depreciation)
___________________________________________________________________________________________________________
NZD	13,944,849	USD	9,047,418														2/3/20			$		(33,469)
NZD	20,315,000	USD	13,180,372														2/3/20					(48,759)
NZD	23,782,000	USD	15,429,762														2/3/20					(57,080)
NZD	40,311,000	USD	26,153,777														2/3/20					(96,751)
NZD	64,093,000	USD	41,897,594														2/3/20					(467,887)
NZD	34,259,849	USD	22,680,363														2/3/20					(534,801)
USD	26,686,285	NZD	40,311,000														2/3/20					629,260
USD	41,583,538	NZD	64,093,000														2/3/20					153,831
USD	9,115,748	NZD	13,944,849														2/3/20					101,799
USD	22,227,790	NZD	34,259,849														2/3/20					82,228
USD	12,928,466	NZD	20,315,000														2/3/20					(203,147)
USD	15,134,865	NZD	23,782,000														2/3/20					(237,817)
BRL	101,702,000	USD	23,820,588														2/4/20					(72,865)
BRL	221,402,000	USD	54,874,464														2/4/20					(3,176,430)
USD	24,260,973	BRL	101,702,000														2/4/20					513,250
USD	51,856,658	BRL	221,402,000														2/4/20					158,624
AUD	22,121,000	USD	15,367,791														2/10/20					(558,665)
EUR	1,791,484	USD	2,008,469														2/10/20					(20,902)
EUR	35,397,612	USD	39,684,971														2/10/20					(413,007)
PHP	254,405,000	USD	5,003,048														2/10/20					(3,424)
SEK	353,979,000	USD	37,000,000														2/10/20					(219,740)
USD	4,180,919	CLP	3,241,571,000														2/10/20					130,713
USD	2,090,476	CLP	1,616,982,874														2/10/20					70,124
USD	213,658,583	EUR	190,576,016														2/10/20					2,223,575
USD	10,314,304	EUR	9,200,000														2/10/20					107,342
USD	4,371,043	NZD	6,565,000														2/10/20					127,146
USD	1,417,509	NZD	2,129,000														2/10/20					41,233
USD	24,818,456	RUB	1,540,355,000														2/10/20					741,569
USD	8,355,465	SGD	11,272,943														2/10/20					94,738
USD	4,162,171	KRW	4,816,880,761														2/13/20					124,755
USD	18,883,752	AUD	27,503,000														2/14/20					470,268
USD	19,149,684	AUD	27,927,000														2/14/20					452,328
USD	19,762,395	NZD	29,780,000														2/21/20					508,682
USD	9,820,809	NZD	14,799,000														2/21/20					252,786
USD	6,888,983	NZD	10,720,267														2/24/20					(42,272)
USD	12,892,869	NZD	20,063,194														2/24/20					(79,114)
JPY	8,367,251,719	USD	77,435,835														2/26/20					(125,376)
USD	25,473,428	JPY	2,752,505,810														2/26/20					41,244
BRL	101,702,000	USD	24,231,493														3/3/20					(519,658)
USD	5,268,114	EUR	4,755,989														3/3/20					(15,558)
USD	9,070,519	EUR	8,192,600														3/3/20					(31,060)
AUD	17,849,697	USD	12,203,124														3/5/20					(248,067)
USD	7,077,496	NZD	10,874,000														3/5/20					45,947
USD	2,706,293	NZD	4,158,000														3/5/20					17,569
USD	41,768,155	EUR	37,289,000														3/6/20					334,250
USD	32,367,906	EUR	28,896,820														3/6/20					259,025
USD	12,424,303	EUR	11,091,939														3/6/20					99,426
USD	6,467,573	EUR	5,774,000														3/6/20					51,757
PHP	458,712,000	USD	8,999,823														3/9/20					(24,057)
PHP	458,712,000	USD	9,001,413														3/9/20					(25,646)
USD	22,135,491	PHP	1,162,888,000														3/9/20					(619,117)
AUD	31,921,000	USD	21,955,104														3/10/20					(573,634)
USD	574,504	KRW	665,890,000														3/10/20					17,555
USD	4,224,334	KRW	5,024,212,000														3/10/20					22,095
USD	151,813	KRW	176,487,054														3/10/20					4,200
JPY	4,071,042,626	USD	37,718,238														3/11/20					(74,643)
AUD	92,906,533	USD	63,409,303														3/13/20					(1,174,764)
JPY	1,673,386,602	USD	15,481,777														3/13/20					(6,796)
USD	74,769,416	AUD	109,551,230														3/13/20					1,385,229
USD	33,243,210	NZD	50,858,000														3/13/20					352,886
USD	4,231,061	NZD	6,473,000														3/13/20					44,914
INR	410,721,000	USD	5,758,040														3/16/20					(49,221)
INR	768,445,000	USD	10,770,077														3/16/20					(89,071)
NOK	411,372,700	USD	45,605,213														3/19/20					(873,051)
CAD	73,204,311	USD	55,855,784														3/20/20					(542,501)
GBP	1,887,981	USD	2,453,243														3/20/20					42,832
GBP	2,247,792	USD	2,939,033														3/20/20					32,743
GBP	2,272,817	USD	2,972,390														3/20/20					32,471
GBP	470,993	USD	611,914														3/20/20					10,780
USD	55,855,784	CAD	72,864,987														3/20/20					798,894
JPY	1,857,000,000	USD	17,078,218														3/26/20					107,215
NZD	13,944,849	USD	9,122,869														3/31/20					(102,405)
USD	41,930,326	NZD	64,093,000														3/31/20					470,671
INR	724,980,000	USD	10,067,768														4/3/20					(16,053)
EUR	10,129,852	USD	11,315,166														4/9/20					(35,772)
EUR	28,896,819	USD	32,503,085														4/9/20					(327,036)
USD	48,062,015	EUR	42,729,464														4/9/20					483,585
USD	43,966,106	EUR	39,088,002														4/9/20					442,373
USD	31,801,806	EUR	28,273,348														4/9/20					319,980
USD	13,948,398	EUR	12,400,803														4/9/20					140,344
USD	11,801,129	RUB	737,901,000														4/9/20					339,604
AUD	34,615,000	USD	23,780,055														4/14/20					(578,511)
INR	1,204,990	USD	16,822														4/15/20					(138)
INR	66,896,000	USD	932,999														4/15/20					(6,803)
USD	48,283,667	EUR	43,121,582														4/15/20					251,265
USD	56,171,390	ZAR	810,996,912														4/20/20					2,672,340
USD	39,683,146	ZAR	581,457,300														4/20/20					1,326,141
USD	19,106,023	ZAR	279,951,000														4/20/20					638,490
ZAR	577,210,000	USD	39,393,278														4/20/20					(1,316,454)
USD	5,507,695	KRW	6,369,264,000														4/22/20					176,668
USD	3,226,500	KRW	3,749,193,000														4/22/20					88,453
USD	77,506,679	EUR	69,360,000														4/24/20					205,836
USD	22,980,901	KRW	26,703,806,389														4/29/20					628,443
USD	7,115,358	EUR	6,376,340														5/8/20					3,097
USD	5,177,776	EUR	4,640,000														5/8/20					2,254
USD	1,828,960	EUR	1,639,000														5/8/20					796
USD	21,252,508	EUR	19,083,051														5/8/20					(33,001)
USD	48,788,660	ZAR	717,447,000														5/26/20					1,683,646
USD	81,884,413	EUR	72,337,013														7/10/20					907,264
USD	41,399,577	EUR	36,572,549														7/10/20					458,699
USD	4,075,146	EUR	3,600,000														7/10/20					45,152
EUR	1,818,678	USD	2,051,160														7/17/20					(14,436)
EUR	5,774,000	USD	6,512,090														7/17/20					(45,833)
USD	76,820,574	EUR	68,113,611														7/17/20					540,670
USD	8,939,181	EUR	7,926,000														7/17/20					62,915
USD	2,051,159	EUR	1,818,678														7/17/20					14,436
USD	5,955,559	IDR	82,526,178,894														7/21/20					89,905
USD	4,767,041	IDR	66,095,025,000														7/21/20					69,253
___________________________________________________________________________________________________________
																											$				9,012,771
___________________________________________________________________________________________________________
Forward Foreign Currency Exchange Contracts
Currency Purchased		Currency Sold			Counterparty												Settlement Date					Unrealized Appreciation						Unrealized (Depreciation)
___________________________________________________________________________________________________________
AED	51,000,000	USD	13,875,663		Standard Chartered Bank												2/3/20			$		9,255				$						—
AED	4,000,000	USD	1,089,037		Standard Chartered Bank												2/3/20					—										(24)
AED	74,626,500	USD	20,318,418		Standard Chartered Bank												2/3/20					—										(1,106)
EUR	19,110,250	USD	21,030,830		UBS AG												2/3/20					163,383										—
EUR	19,110,250	USD	21,088,161		UBS AG												2/3/20					106,053										—
EUR	7,703,664	USD	8,477,883		UBS AG												2/3/20					65,863										—
EUR	7,703,664	USD	8,500,994		UBS AG												2/3/20					42,752										—
EUR	4,445,000	USD	4,891,723		UBS AG												2/3/20					38,003										—
EUR	4,445,000	USD	4,905,058		UBS AG												2/3/20					24,668										—
TRY	1,826,000	USD	264,830		Goldman Sachs International												2/3/20					40,279										—
TRY	56,075,000	USD	12,210,125		Goldman Sachs International												2/3/20					—										(2,840,477)
TRY	75,000,000	USD	16,383,058		Goldman Sachs International												2/3/20					—										(3,851,206)
TRY	105,714,000	USD	23,012,321		Goldman Sachs International												2/3/20					—										(5,348,425)
TRY	137,406	USD	19,923		JPMorgan Chase Bank, N.A.												2/3/20					3,037										—
TRY	22,380,694	USD	4,837,709		JPMorgan Chase Bank, N.A.												2/3/20					—										(1,098,089)
TRY	24,435,900	USD	5,260,689		JPMorgan Chase Bank, N.A.												2/3/20					—										(1,177,661)
USD	35,157,716	AED	129,626,500		Standard Chartered Bank												2/3/20					—										(133,527)
USD	21,247,541	EUR	19,110,250		UBS AG												2/3/20					53,327										—
USD	8,565,242	EUR	7,703,664		UBS AG												2/3/20					21,497										—
USD	4,942,129	EUR	4,445,000		UBS AG												2/3/20					12,404										—
USD	4,905,058	EUR	4,445,000		UBS AG												2/3/20					—										(24,668)
USD	8,500,994	EUR	7,703,664		UBS AG												2/3/20					—										(42,752)
USD	21,088,161	EUR	19,110,250		UBS AG												2/3/20					—										(106,053)
USD	47,022,367	TRY	238,615,000		Goldman Sachs International												2/3/20					7,151,862										—
USD	9,296,901	TRY	46,954,000		JPMorgan Chase Bank, N.A.												2/3/20					1,451,294										—
BRL	119,700,000	USD	28,036,070		Standard Chartered Bank												2/4/20					—										(85,759)
EUR	8,192,600	USD	9,055,281		Citibank, N.A.												2/4/20					30,718										—
USD	29,631,529	BRL	119,700,000		Standard Chartered Bank												2/4/20					1,681,219										—
USD	9,051,938	EUR	8,192,600		Standard Chartered Bank												2/4/20					—										(34,061)
TRY	203,749,000	USD	34,281,250		Standard Chartered Bank												2/6/20					—										(261,086)
AED	108,000,000	USD	29,380,560		Standard Chartered Bank												2/10/20					22,797										—
EGP	140,315,000	USD	7,556,004		Goldman Sachs International												2/10/20					1,308,198										—
EGP	127,882,000	USD	7,288,800		Goldman Sachs International												2/10/20					789,965										—
TRY	373,541	USD	54,154		Deutsche Bank AG												2/10/20					8,156										—
TRY	65,656,459	USD	14,248,363		Deutsche Bank AG												2/10/20					—										(3,296,165)
TRY	538,000	USD	77,354		Standard Chartered Bank												2/10/20					12,390										—
TRY	56,075,000	USD	12,196,846		Standard Chartered Bank												2/10/20					—										(2,842,937)
TRY	65,656,000	USD	14,263,741		Standard Chartered Bank												2/10/20					—										(3,311,619)
USD	46,457,938	AED	171,309,000		Standard Chartered Bank												2/10/20					—										(181,504)
USD	61,108,343	AED	225,318,683		Standard Chartered Bank												2/10/20					—										(235,413)
USD	5,226,209	CLP	4,032,000,000		Standard Chartered Bank												2/10/20					188,395										—
USD	5,435,173	CLP	4,208,900,000		Standard Chartered Bank												2/10/20					176,330										—
USD	418,082	CLP	324,100,000		Standard Chartered Bank												2/10/20					13,133										—
USD	13,012,119	TRY	66,030,000		Deutsche Bank AG												2/10/20					1,997,610										—
USD	24,106,664	TRY	122,269,000		Standard Chartered Bank												2/10/20					3,710,889										—
USD	3,767,929	UAH	95,517,000		Bank of America, N.A.												2/12/20					—										(39,192)
USD	3,767,913	UAH	95,705,000		Citibank, N.A.												2/12/20					—										(46,701)
USD	16,088,960	KRW	18,672,281,000		Australia and New Zealand Banking Group Limited												2/13/20					438,217										—
USD	14,401,086	KRW	16,670,088,000		Australia and New Zealand Banking Group Limited												2/13/20					428,542										—
USD	4,046,263	KRW	4,728,055,000		Australia and New Zealand Banking Group Limited												2/13/20					83,299										—
USD	2,381,665	KRW	2,758,955,400		Australia and New Zealand Banking Group Limited												2/13/20					69,162										—
USD	2,381,637	KRW	2,780,282,418		Australia and New Zealand Banking Group Limited												2/13/20					51,258										—
USD	3,762,609	UAH	95,194,000		Citibank, N.A.												2/13/20					—										(30,901)
USD	3,767,905	UAH	95,328,000		Citibank, N.A.												2/13/20					—										(30,944)
TRY	80,401,306	USD	17,459,567		Goldman Sachs International												2/14/20					—										(4,059,926)
TRY	743,459	USD	106,819		Standard Chartered Bank												2/14/20					17,086										—
TRY	83,851,541	USD	18,214,737		Standard Chartered Bank												2/14/20					—										(4,240,081)
UAH	59,600,000	USD	2,386,864		Standard Chartered Bank												2/14/20					—										(12,248)
USD	16,049,767	TRY	80,401,306		Goldman Sachs International												2/14/20					2,650,126										—
USD	16,600,142	TRY	84,595,000		Standard Chartered Bank												2/14/20					2,501,582										—
USD	7,349,695	BHD	2,830,000		Bank of America, N.A.												2/18/20					—										(156,294)
MYR	25,266,000	USD	6,082,330		State Street Bank and Trust Company												2/20/20					73,171										—
USD	6,092,009	MYR	25,266,000		Barclays Bank PLC												2/20/20					—										(63,492)
EUR	9,613,783	RSD	1,134,907,034		JPMorgan Chase Bank, N.A.												2/24/20					—										(21,950)
EUR	313,402	USD	350,271		Australia and New Zealand Banking Group Limited												2/24/20					—										(2,268)
EUR	1,516,007	USD	1,672,779		Bank of America, N.A.												2/24/20					10,603										—
EUR	4,374,019	USD	4,867,518		Bank of America, N.A.												2/24/20					—										(10,584)
EUR	7,646,222	USD	8,525,063		Bank of America, N.A.												2/24/20					—										(34,657)
EUR	11,464,028	USD	12,793,202		Goldman Sachs International												2/24/20					—										(63,483)
INR	339,970,000	USD	4,754,466		Australia and New Zealand Banking Group Limited												2/24/20					—										(11,575)
INR	127,093,200	USD	1,788,335		Australia and New Zealand Banking Group Limited												2/24/20					—										(15,269)
INR	475,200,000	USD	6,682,539		Australia and New Zealand Banking Group Limited												2/24/20					—										(53,066)
INR	878,324,000	USD	12,329,448		Australia and New Zealand Banking Group Limited												2/24/20					—										(76,030)
INR	2,595,000	USD	35,706		Goldman Sachs International												2/24/20					497										—
USD	1,694,491	EUR	1,522,694		Bank of America, N.A.												2/24/20					3,684										—
USD	2,579,266	EUR	2,314,559		Goldman Sachs International												2/24/20					9,167										—
USD	1,319,741	EUR	1,184,298		Goldman Sachs International												2/24/20					4,691										—
USD	1,242,121	EUR	1,114,643		Goldman Sachs International												2/24/20					4,415										—
USD	1,159,543	EUR	1,040,540		Goldman Sachs International												2/24/20					4,121										—
USD	166,831	EUR	148,589		Morgan Stanley & Co. International PLC												2/24/20					1,837										—
USD	4,897,990	EUR	4,445,000		UBS AG												2/24/20					—										(37,762)
USD	8,488,745	EUR	7,703,664		UBS AG												2/24/20					—										(65,446)
USD	21,057,776	EUR	19,110,250		UBS AG												2/24/20					—										(162,349)
USD	20,703,452	ZAR	309,175,000		Standard Chartered Bank												2/24/20					157,990										—
EUR	11,985,972	RSD	1,410,629,043		HSBC Bank USA, N.A.												2/27/20					15,370										—
UAH	38,755,394	USD	1,552,700		Bank of America, N.A.												2/28/20					—										(12,777)
USD	2,552,192	UAH	63,268,850		Bank of America, N.A.												3/3/20					40,190										—
EUR	9,264,808	RSD	1,093,710,594		JPMorgan Chase Bank, N.A.												3/4/20					—										(16,365)
THB	295,713,451	USD	9,771,775		Standard Chartered Bank												3/6/20					—										(278,754)
USD	25,722,604	THB	778,417,451		Standard Chartered Bank												3/6/20					733,775										—
USD	714,503	KRW	834,362,000		Australia and New Zealand Banking Group Limited												3/10/20					16,644										—
USD	3,505,583	BHD	1,350,000		Credit Agricole Corporate and Investment Bank												3/12/20					—										(74,467)
USD	4,750,977	OMR	1,884,000		Standard Chartered Bank												3/12/20					—										(140,193)
NOK	486,950,000	EUR	49,039,749		Standard Chartered Bank												3/16/20					—										(1,574,735)
USD	28,131,141	THB	849,609,458		Standard Chartered Bank												3/16/20					850,847										—
UGX	1,580,167,000	USD	416,711		Citibank, N.A.												3/20/20					8,889										—
UGX	16,904,446,000	USD	4,207,179		Citibank, N.A.												3/23/20					343,649										—
EUR	21,681,198	RSD	2,551,876,957		Citibank, N.A.												3/24/20					63,437										—
UGX	16,908,653,925	USD	4,207,179		Citibank, N.A.												3/25/20					343,323										—
UGX	3,654,323,000	USD	964,710		Standard Chartered Bank												3/27/20					18,436										—
USD	19,758,300	ZAR	296,497,000		Standard Chartered Bank												3/27/20					137,819										—
USD	1,635,006	UAH	39,747,000		Goldman Sachs International												4/3/20					67,395										—
USD	3,787,879	OMR	1,500,000		Credit Agricole Corporate and Investment Bank												4/6/20					—										(105,293)
USD	32,378,657	THB	980,879,038		Standard Chartered Bank												4/10/20					866,077										—
UGX	1,574,165,000	USD	390,709		Standard Chartered Bank												4/14/20					31,051										—
UGX	3,849,800,000	USD	959,093		Citibank, N.A.												4/20/20					70,412										—
EGP	18,550,000	USD	971,459		Goldman Sachs International												4/21/20					175,724										—
EGP	56,500,000	USD	2,958,115		HSBC Bank USA, N.A.												4/21/20					536,000										—
USD	5,358,126	CNH	37,000,000		Citibank, N.A.												4/21/20					85,146										—
USD	3,524,319	CNH	24,220,000		UBS AG												4/23/20					72,862										—
USD	7,947,020	THB	241,351,000		Standard Chartered Bank												4/24/20					190,941										—
USD	26,277,227	KRW	30,545,700,000		Barclays Bank PLC												4/29/20					708,907										—
EGP	147,335,000	USD	7,734,121		Goldman Sachs International												5/7/20					1,339,594										—
EGP	136,520,000	USD	7,185,263		Societe Generale												5/13/20					1,209,001										—
AED	14,203,000	USD	3,863,185		Standard Chartered Bank												5/21/20					2,228										—
USD	3,854,797	AED	14,203,000		Standard Chartered Bank												5/21/20					—										(10,616)
USD	4,904,943	OMR	1,935,000		Standard Chartered Bank												5/21/20					—										(113,734)
USD	605,446	GHS	3,669,000		ICBC Standard Bank plc												5/22/20					—										(35,092)
USD	1,222,772	GHS	7,410,000		ICBC Standard Bank plc												5/22/20					—										(70,873)
USD	502,391	GHS	3,047,000		JPMorgan Chase Bank, N.A.												5/22/20					—										(29,558)
USD	1,243,931	GHS	7,532,000		JPMorgan Chase Bank, N.A.												5/22/20					—										(71,014)
USD	1,518,294	GHS	9,254,000		ICBC Standard Bank plc												5/26/20					—										(94,407)
USD	494,042	GHS	3,039,000		JPMorgan Chase Bank, N.A.												5/29/20					—										(34,861)
USD	249,552	GHS	1,531,000		Standard Chartered Bank												5/29/20					—										(16,901)
USD	624,544	GHS	3,855,000		JPMorgan Chase Bank, N.A.												6/3/20					—										(44,889)
USD	2,036,846	GHS	12,659,000		Standard Chartered Bank												6/4/20					—										(160,455)
USD	765,133	GHS	4,740,000		JPMorgan Chase Bank, N.A.												6/8/20					—										(56,164)
USD	1,288,382	GHS	7,901,000		Standard Chartered Bank												6/8/20					—										(80,620)
UGX	3,554,626,000	USD	880,076		Standard Chartered Bank												6/15/20					59,579										—
USD	1,259,464	GHS	7,752,000		Standard Chartered Bank												6/15/20					—										(79,578)
USD	741,998	GHS	4,567,000		JPMorgan Chase Bank, N.A.												6/17/20					—										(46,188)
USD	739,595	GHS	4,567,000		Standard Chartered Bank												6/19/20					—										(47,898)
USD	1,035,855	GHS	6,298,000		JPMorgan Chase Bank, N.A.												6/22/20					—										(48,685)
UGX	3,964,490,000	USD	989,391		Citibank, N.A.												6/26/20					56,662										—
USD	936,339	GHS	5,795,000		JPMorgan Chase Bank, N.A.												6/26/20					—										(59,833)
UGX	19,325,459,000	USD	4,845,295		Standard Chartered Bank												7/2/20					248,675										—
USD	1,302,249	GHS	7,985,000		Citibank, N.A.												7/2/20					—										(66,787)
UGX	16,955,721,000	USD	4,258,092		Standard Chartered Bank												7/10/20					205,215										—
USD	1,284,910	GHS	7,872,000		JPMorgan Chase Bank, N.A.												7/13/20					—										(58,291)
BRL	38,197,000	USD	9,913,653		Standard Chartered Bank												7/23/20					—										(1,070,278)
USD	9,910,408	BRL	38,197,000		Standard Chartered Bank												7/23/20					1,067,032										—
UGX	2,576,770,000	USD	645,807		Citibank, N.A.												8/10/20					27,741										—
UGX	3,610,435,000	USD	907,829		Standard Chartered Bank												8/14/20					34,149										—
USD	4,940,466	OMR	1,946,000		Deutsche Bank AG												8/27/20					—										(98,701)
EGP	95,900,000	USD	5,407,387		Goldman Sachs International												11/12/20					232,012										—
USD	5,479,625	OMR	2,165,000		BNP Paribas												2/16/21					—										(99,818)
USD	46,099,201	OMR	18,170,000		Standard Chartered Bank												3/10/21					—										(697,817)
USD	23,189,500	OMR	9,138,750		Standard Chartered Bank												3/29/21					—										(334,827)
USD	23,457,728	AED	86,430,000		BNP Paribas												4/5/21					—										(36,980)
USD	100,000,000	AED	368,410,000		Credit Agricole Corporate and Investment Bank												4/5/21					—										(146,772)
USD	6,889,064	AED	25,380,000		BNP Paribas												4/8/21					—										(10,003)
USD	13,779,125	AED	50,749,895		BNP Paribas												4/8/21					—										(16,263)
USD	61,323,814	AED	225,892,400		Standard Chartered Bank												4/8/21					—										(80,711)
USD	77,166,210	AED	284,180,000		Standard Chartered Bank												4/8/21					—										(82,683)
USD	9,084,659	OMR	3,568,000		BNP Paribas												4/8/21					—										(97,245)
USD	7,091,855	OMR	2,781,000		Standard Chartered Bank												4/26/21					—										(61,150)
USD	17,461,490	OMR	6,858,000		Standard Chartered Bank												5/27/21					—										(162,559)
USD	9,440,346	OMR	3,711,000		BNP Paribas												7/6/21					—										(85,645)
USD	9,949,641	OMR	3,912,000		Standard Chartered Bank												7/6/21					—										(92,309)
USD	8,422,392	OMR	3,310,000		BNP Paribas												7/19/21					—										(71,142)
USD	35,093,372	OMR	13,793,450		Standard Chartered Bank												8/9/21					—										(280,039)
USD	1,085,187	AED	4,000,000		Standard Chartered Bank												1/31/22					—										(450)
___________________________________________________________________________________________________________
																				$		35,491,707				$						(41,061,170)
___________________________________________________________________________________________________________
Futures Contracts
Description								Number of Contracts			Position				Expiration Date						Notional Amount										Value/Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________
Commodity Futures
WTI Crude Oil							624					Long				7/20/20			$	32,192,160					$						(3,608,494)
WTI Crude Oil							566					Short				3/19/20				(29,250,880)											4,291,595
Equity Futures
SPI 200 Index							102					Long				3/19/20				11,724,036											120,053
TOPIX Index							131					Long				3/12/20				19,917,244											(828,718)
Interest Rate Futures
Euro-Bobl							131					Short				3/6/20				(19,607,729)											(121,397)
Euro-Bund							53					Short				3/6/20				(10,288,786)											(166,934)
U.S. 2-Year Treasury Note							151					Short				3/31/20				(32,670,266)											(102,110)
U.S. 5-Year Treasury Note							448					Short				3/31/20				(53,903,500)											(524,922)
U.S. Ultra-Long Treasury Bond							12					Short				3/20/20				(2,324,250)											(59,665)
___________________________________________________________________________________________________________
																													$		(1,000,592)
___________________________________________________________________________________________________________
WTI – West Texas Intermediate
Centrally Cleared Inflation Swaps

Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

Notional Amount (000's omitted)						Portfolio Pays/Receives Return on Reference Index				Reference Index		Portfolio Pays/Receives Rate					Annual Rate							Termination Date							Value/Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________
EUR		13,634			Receives				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Pays				1.57% (pays upon termination)							8/15/32					$	(993,545)
EUR		13,669			Receives				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Pays				1.59% (pays upon termination)							8/15/32						(1,041,395)
EUR		13,346			Receives				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Pays				1.60% (pays upon termination)							8/15/32						(1,061,139)
EUR		13,427			Receives				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Pays				1.64% (pays upon termination)							10/15/32						(1,146,647)
EUR		13,634			Pays				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Receives				1.77% (pays upon termination)							8/15/42						2,012,552
EUR		13,669			Pays				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Receives				1.78% (pays upon termination)							8/15/42						2,034,271
EUR		13,346			Pays				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Receives				1.79% (pays upon termination)							8/15/42						2,080,703
EUR		13,427			Pays				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Receives				1.85% (pays upon termination)							10/15/42						2,356,840
EUR		1,231			Pays				Eurostat Eurozone HICP ex Tobacco NSA (pays upon termination)					Receives				1.90% (pays upon termination)							8/4/47						278,110
USD		74,987			Receives				Return on CPI-U (NSA) (pays upon termination)					Pay				1.73% (pays upon termination)							6/21/24						(163,474)
USD		36,990			Receives				Return on CPI-U (NSA) (pays upon termination)					Pays				1.88% (pays upon termination)							7/15/24						(390,480)
USD		3,927			Receives				Return on CPI-U (NSA) (pays upon termination)					Pays				2.16% (pays upon termination)							8/4/47						(284,411)
USD		6,107			Receives				Return on CPI-U (NSA) (pays upon termination)					Pays				2.13% (pays upon termination)							8/22/47						(376,922)
USD		6,072			Receives				Return on CPI-U (NSA) (pays upon termination)					Pays				2.15% (pays upon termination)							8/25/47						(404,316)
USD		6,054			Receives				Return on CPI-U (NSA) (pays upon termination)					Pays				2.15% (pays upon termination)							9/1/47						(408,481)
USD		5,275			Receives				Return on CPI-U (NSA) (pays upon termination)					Pays				2.22% (pays upon termination)							10/5/47						(484,835)
___________________________________________________________________________________________________________
																																		$	2,006,831
___________________________________________________________________________________________________________
CPI-U (NSA) - Consumer Price Index All Urban Non-Seasonally Adjusted
HICP - Harmonised Indices of Consumer Prices
Centrally Cleared Interest Rate Swaps
Notional Amount (000's omitted)			Portfolio Pays/ Receives Floating Rate				Floating Rate				Annual Fixed Rate				Termination Date								Value					Unamortized Upfront Receipts (Payments)					Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________
AUD	7,000			Receives				6-Month AUD LIBOR (pays semi-annually)					1.11% (pays semi-annually)			8/22/29				$		(20,415)				$		—				$	(20,415)
AUD	25,000			Receives				6-Month AUD LIBOR (pays semi-annually)					1.11% (pays semi-annually)			8/22/29						(71,299)						—					(71,299)
AUD	31,000			Receives				6-Month AUD LIBOR (pays semi-annually)					1.10% (pays semi-annually)			8/22/29						(72,426)						—					(72,426)
AUD	42,000			Receives				6-Month AUD LIBOR (pays semi-annually)					1.10% (pays semi-annually)			8/22/29						(92,711)						—					(92,711)
CAD	155,500			Receives				3-month Canadian Bankers Acceptances (pays quarterly)					1.80% (pays semi-annually)			6/11/24						(709,647)						—					(709,647)
CNY	102,100			Pays				7-day China Fixing Repo Rates (pays quarterly)					3.18% (pays quarterly)			4/30/24						351,409						—					351,409
CNY	102,100			Pays				7-day China Fixing Repo Rates (pays quarterly)					3.18% (pays quarterly)			4/30/24						349,929						—					349,929
CNY	163,300			Pays				7-day China Fixing Repo Rates (pays quarterly)					3.18% (pays quarterly)			4/30/24						564,415						—					564,415
CNY	306,300			Pays				7-day China Fixing Repo Rates (pays quarterly)					3.18% (pays quarterly)			4/30/24						1,049,786						—					1,049,786
CNY	29,590			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.90% (pays quarterly)			6/6/24						56,704						—					56,704
CNY	59,180			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.90% (pays quarterly)			6/6/24						112,499						—					112,499
CNY	59,180			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.90% (pays quarterly)			6/6/24						111,771						—					111,771
CNY	78,906			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.90% (pays quarterly)			6/6/24						147,571						—					147,571
CNY	90,742			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.90% (pays quarterly)			6/6/24						173,892						—					173,892
CNY	118,359			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.90% (pays quarterly)			6/6/24						224,996						—					224,996
CNY	39,453			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.87% (pays quarterly)			6/10/24						68,100						—					68,100
CNY	77,000			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.96% (pays quarterly)			6/12/24						170,463						—					170,463
CNY	147,200			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.95% (pays quarterly)			6/12/24						316,822						—					316,822
CNY	180,000			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.94% (pays quarterly)			6/12/24						381,885						—					381,885
CNY	231,000			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.94% (pays quarterly)			6/12/24						487,672						—					487,672
CNY	42,255			Pays				7-day China Fixing Repo Rates (pays quarterly)					3.22% (pays quarterly)			6/19/24						160,653						—					160,653
CNY	147,945			Pays				7-day China Fixing Repo Rates (pays quarterly)					3.22% (pays quarterly)			6/19/24						562,485						—					562,485
CNY	111,819			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.67% (pays quarterly)			8/12/24						53,142						—					53,142
CNY	196,330			Pays				7-day China Fixing Repo Rates (pays quarterly)					2.67% (pays quarterly)			8/12/24						83,762						—					83,762
EUR	7,400			Receives				6-month EURIBOR (pays semi-annually)					1.00% (pays annually)			3/21/23						(432,585)						164,240					(268,345)
EUR	2,800			Receives				6-month EURIBOR (pays semi-annually)					(0.30)% (pays annually)			7/23/24						2,642						—					2,642
EUR	7,139			Receives				6-month EURIBOR (pays semi-annually)					(0.53)% (pays annually)			8/22/24						80,486						(3)					80,483
EUR	2,500			Receives				6-month EURIBOR (pays semi-annually)					(0.45)% (pays annually)			8/26/24						17,554						(3)					17,551
EUR	1,000			Receives				6-month EURIBOR (pays semi-annually)					(0.52)% (pays annually)			8/30/24						11,121						(19)					11,102
EUR	2,500			Receives				6-month EURIBOR (pays semi-annually)					(0.46)% (pays annually)			9/12/24						18,993						—					18,993
EUR	3,813			Receives				6-month EURIBOR (pays semi-annually)					0.11% (pays annually)			7/23/29						(82,817)						41,259					(41,558)
EUR	6,627			Receives				6-month EURIBOR (pays semi-annually)					0.11% (pays annually)			7/23/29						(139,596)						26,076					(113,520)
EUR	6,421			Receives				6-month EURIBOR (pays semi-annually)					(0.05)% (pays annually)			8/6/29						(33,318)						(6)					(33,324)
EUR	7,000			Receives				6-month EURIBOR (pays semi-annually)					(0.08)% (pays annually)			8/6/29						(14,285)						(7)					(14,292)
EUR	4,728			Receives				6-month EURIBOR (pays semi-annually)					(0.16)% (pays annually)			9/12/29						36,908						2					36,910
GBP	23,102			Receives				6-month GBP LIBOR (pays semi-annually)					1.49% (pays semi-annually)			2/28/29						(2,151,934)						—					(2,151,934)
GBP	26,040			Receives				6-month GBP LIBOR (pays semi-annually)					1.49% (pays semi-annually)			2/28/29						(2,427,189)						—					(2,427,189)
NZD	30,800			Receives				3-month NZD Bank Bill (pays quarterly)					3.40% (pays semi-annually)			4/28/27						(3,128,201)						—					(3,128,201)
NZD	39,000			Receives				3-month NZD Bank Bill (pays quarterly)					3.13% (pays semi-annually)			1/9/28						(3,510,554)						—					(3,510,554)
NZD	39,000			Receives				3-month NZD Bank Bill (pays quarterly)					3.13% (pays semi-annually)			1/9/28						(3,515,360)						—					(3,515,360)
NZD	13,700			Receives				3-month NZD Bank Bill (pays quarterly)					2.50% (pays semi-annually)			2/22/29						(931,137)						—					(931,137)
SGD	71,000			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					2.45% (pays semi-annually)			10/22/23						2,221,643						—					2,221,643
SGD	19,000			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					2.44% (pays semi-annually)			10/23/23						591,940						—					591,940
SGD	50,640			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					2.08% (pays semi-annually)			12/13/23						1,069,889						—					1,069,889
SGD	53,070			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					2.09% (pays semi-annually)			12/13/23						1,136,372						—					1,136,372
SGD	9,469			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					1.55% (pays semi-annually)			8/14/24						59,526						—					59,526
SGD	10,652			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					1.57% (pays semi-annually)			8/14/24						73,592						—					73,592
SGD	10,653			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					1.56% (pays semi-annually)			8/14/24						72,652						—					72,652
SGD	10,889			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					1.55% (pays semi-annually)			8/14/24						67,485						—					67,485
SGD	15,387			Pays				6-month Singapore Swap Offered Rate (pays semi-annually)					1.57% (pays semi-annually)			8/14/24						106,306						—					106,306
USD	3,133			Receives				3-month USD-LIBOR (pays quarterly)					2.22% (pays semi-annually)			3/28/24						(130,669)						—					(130,669)
USD	5,290			Receives				3-month USD-LIBOR (pays quarterly)					2.37% (pays semi-annually)			4/3/24						(255,983)						—					(255,983)
USD	186			Receives				3-month USD-LIBOR (pays quarterly)					1.75% (pays semi-annually)			7/5/24						(3,358)						—					(3,358)
USD	885			Receives				3-month USD-LIBOR (pays quarterly)					1.84% (pays semi-annually)			7/11/24						(19,515)						—					(19,515)
USD	2,455			Receives				3-month USD-LIBOR (pays quarterly)					1.85% (pays semi-annually)			7/15/24						(56,166)						—					(56,166)
USD	350			Receives				3-month USD-LIBOR (pays quarterly)					1.80% (pays semi-annually)			7/22/24						(7,292)						—					(7,292)
USD	750			Receives				3-month USD-LIBOR (pays quarterly)					1.40% (pays semi-annually)			8/23/24						(4,634)						—					(4,634)
USD	1,500			Receives				3-month USD-LIBOR (pays quarterly)					1.64% (pays semi-annually)			11/7/24						(20,919)						—					(20,919)
USD	836			Receives				3-month USD-LIBOR (pays quarterly)					1.55% (pays semi-annually)			11/27/24						(8,236)						—					(8,236)
USD	3,880			Receives				3-month USD-LIBOR (pays quarterly)					1.59% (pays semi-annually)			1/23/25						(49,224)						—					(49,224)
USD	4,760			Receives				3-month USD-LIBOR (pays quarterly)					1.60% (pays semi-annually)			1/23/25						(62,499)						—					(62,499)
USD	775			Receives				3-month USD-LIBOR (pays quarterly)					1.49% (pays semi-annually)			1/28/25						(6,103)						—					(6,103)
USD	2,344			Receives				3-month USD-LIBOR (pays quarterly)					1.46% (pays semi-annually)			1/30/25						(15,820)						—					(15,820)
USD	4,650			Receives				3-month USD-LIBOR (pays quarterly)					1.41% (pays semi-annually)			2/3/25						(20,124)						—					(20,124)
USD	33,064			Receives				3-month USD-LIBOR (pays quarterly)					1.74% (pays semi-annually)			12/16/26						(805,243)						—					(805,243)
USD	47,201			Receives				3-month USD-LIBOR (pays quarterly)					2.18% (pays semi-annually)			9/19/27						(2,958,684)						—					(2,958,684)
USD	4,575			Receives				3-month USD-LIBOR (pays quarterly)					1.47% (pays semi-annually)			9/9/29						(26,834)						—					(26,834)
USD	4,354			Receives				3-month USD-LIBOR (pays quarterly)					1.64% (pays semi-annually)			9/16/29						(92,126)						—					(92,126)
USD	600			Receives				3-month USD-LIBOR (pays quarterly)					1.71% (pays semi-annually)			9/19/29						(16,530)						—					(16,530)
USD	1,629			Receives				3-month USD-LIBOR (pays quarterly)					2.99% (pays semi-annually)			7/3/38						(153,755)						—					(153,755)
USD	47,226			Pays				3-month USD-LIBOR (pays quarterly)					2.07% (pays semi-annually)			7/3/38						928,717						—					928,717
USD	2,895			Receives				3-month USD-LIBOR (pays quarterly)					2.98% (pays semi-annually)			7/5/38						(270,150)						—					(270,150)
USD	2,895			Receives				3-month USD-LIBOR (pays quarterly)					3.01% (pays semi-annually)			7/5/38						(277,180)						—					(277,180)
USD	3,763			Receives				3-month USD-LIBOR (pays quarterly)					3.01% (pays semi-annually)			7/5/38						(360,134)						—					(360,134)
USD	20,450			Pays				3-month USD-LIBOR (pays quarterly)					1.81% (pays semi-annually)			7/5/38						(26,796)						—					(26,796)
USD	4,052			Receives				3-month USD-LIBOR (pays quarterly)					2.98% (pays semi-annually)			7/6/38						(378,737)						—					(378,737)
USD	6,233			Receives				3-month USD-LIBOR (pays quarterly)					2.97% (pays semi-annually)			7/7/38						(575,473)						—					(575,473)
USD	23,596			Pays				3-month USD-LIBOR (pays quarterly)					1.66% (pays semi-annually)			7/7/38						(329,055)						—					(329,055)
USD	13,700			Receives				3-month USD-LIBOR (pays quarterly)					3.04% (pays semi-annually)			12/21/38						(1,327,963)						—					(1,327,963)
USD	10,359			Receives				3-month USD-LIBOR (pays quarterly)					2.80% (pays semi-annually)			3/27/39						(795,019)						(12,295)					(807,314)
USD	18,263			Receives				3-month USD-LIBOR (pays quarterly)					2.52% (pays semi-annually)			6/4/39						(983,026)						—					(983,026)
USD	2,220			Receives				3-month USD-LIBOR (pays quarterly)					1.90% (pays semi-annually)			1/23/40						(102,634)						—					(102,634)
USD	4,060			Receives				3-month USD-LIBOR (pays quarterly)					1.85% (pays semi-annually)			1/27/40						(148,399)						—					(148,399)
USD	2,251			Receives				3-month USD-LIBOR (pays quarterly)					1.78% (pays semi-annually)			1/28/40						(57,339)						—					(57,339)
USD	1,045			Receives				3-month USD-LIBOR (pays quarterly)					1.76% (pays semi-annually)			1/30/40						(22,872)						—					(22,872)
USD	200			Receives				3-month USD-LIBOR (pays quarterly)					1.71% (pays semi-annually)			2/3/40						(2,748)						—					(2,748)
USD	1,450			Receives				3-month USD-LIBOR (pays quarterly)					1.71% (pays semi-annually)			2/3/40						(18,929)						—					(18,929)
USD	0(1)			Receives				3-month USD-LIBOR (pays quarterly)					2.50% (pays semi-annually)			6/15/46						(26)						12					(14)
USD	8,500			Receives				3-month USD-LIBOR (pays quarterly)					2.75% (pays semi-annually)			9/21/46						(1,999,436)						1,460,201					(539,235)
USD	8,500			Pays				3-month USD-LIBOR (pays quarterly)					2.75% (pays semi-annually)			9/21/46						1,999,470						(1,612,151)					387,319
USD	7,815			Receives				3-month USD-LIBOR (pays quarterly)					2.21% (pays semi-annually)			8/1/49						(1,034,230)						—					(1,034,230)
USD	1,062			Receives				3-month USD-LIBOR (pays quarterly)					1.71% (pays semi-annually)			8/27/49						(15,572)						—					(15,572)
USD	1,226			Receives				3-month USD-LIBOR (pays quarterly)					1.70% (pays semi-annually)			8/27/49						(14,752)						—					(14,752)
USD	1,700			Receives				3-month USD-LIBOR (pays quarterly)					1.65% (pays semi-annually)			8/28/49						1,999						—					1,999
USD	3,310			Receives				3-month USD-LIBOR (pays quarterly)					1.57% (pays semi-annually)			8/29/49						65,805						—					65,805
USD	600			Receives				3-month USD-LIBOR (pays quarterly)					1.54% (pays semi-annually)			8/30/49						16,202						—					16,202
USD	300			Receives				3-month USD-LIBOR (pays quarterly)					1.58% (pays semi-annually)			9/3/49						5,107						—					5,107
USD	3,590			Receives				3-month USD-LIBOR (pays quarterly)					1.65% (pays semi-annually)			9/9/49						1,646						—					1,646
USD	2,390			Receives				3-month USD-LIBOR (pays quarterly)					1.70% (pays semi-annually)			9/12/49						(26,325)						—					(26,325)
USD	550			Receives				3-month USD-LIBOR (pays quarterly)					1.81% (pays semi-annually)			9/13/49						(20,383)						—					(20,383)
USD	700			Receives				3-month USD-LIBOR (pays quarterly)					1.82% (pays semi-annually)			9/20/49						(28,923)						—					(28,923)
USD	1,085			Receives				3-month USD-LIBOR (pays quarterly)					1.97% (pays semi-annually)			11/15/49						(77,163)						—					(77,163)
USD	4,700			Receives				3-month USD-LIBOR (pays quarterly)					1.91% (pays semi-annually)			11/18/49						(264,646)						—					(264,646)
USD	100			Receives				3-month USD-LIBOR (pays quarterly)					1.81% (pays semi-annually)			11/22/49						(3,405)						—					(3,405)
USD	1,500			Receives				3-month USD-LIBOR (pays quarterly)					1.83% (pays semi-annually)			11/22/49						(57,500)						—					(57,500)
USD	100			Receives				3-month USD-LIBOR (pays quarterly)					1.84% (pays semi-annually)			11/25/49						(4,176)						—					(4,176)
USD	450			Receives				3-month USD-LIBOR (pays quarterly)					1.85% (pays semi-annually)			11/25/49						(18,844)						—					(18,844)
USD	3,150			Receives				3-month USD-LIBOR (pays quarterly)					1.85% (pays semi-annually)			11/25/49						(131,907)						—					(131,907)
USD	5,000			Receives				3-month USD-LIBOR (pays quarterly)					1.84% (pays semi-annually)			11/25/49						(198,660)						—					(198,660)
USD	100			Receives				3-month USD-LIBOR (pays quarterly)					1.84% (pays semi-annually)			11/26/49						(3,961)						—					(3,961)
USD	568			Receives				3-month USD-LIBOR (pays quarterly)					1.81% (pays semi-annually)			12/6/49						(19,376)						—					(19,376)
USD	4,060			Receives				3-month USD-LIBOR (pays quarterly)					1.82% (pays semi-annually)			12/6/49						(143,715)						—					(143,715)
USD	770			Receives				3-month USD-LIBOR (pays quarterly)					1.94% (pays semi-annually)			12/11/49						(48,802)						—					(48,802)
USD	770			Receives				3-month USD-LIBOR (pays quarterly)					1.93% (pays semi-annually)			12/12/49						(48,072)						—					(48,072)
USD	1,815			Receives				3-month USD-LIBOR (pays quarterly)					2.05% (pays semi-annually)			12/30/49						(165,994)						—					(165,994)
USD	1,063			Receives				3-month USD-LIBOR (pays quarterly)					1.90% (pays semi-annually)			1/8/50						(57,971)						—					(57,971)
USD	2,310			Receives				3-month USD-LIBOR (pays quarterly)					1.90% (pays semi-annually)			1/8/50						(127,632)						—					(127,632)
USD	466			Receives				3-month USD-LIBOR (pays quarterly)					1.94% (pays semi-annually)			1/9/50						(29,723)						—					(29,723)
___________________________________________________________________________________________________________
Total																			$		(18,250,825)						$		67,306			$	(18,183,519)
___________________________________________________________________________________________________________
(1) Notional amount is less than USD 500.
Centrally Cleared Credit Default Swaps - Sell Protection

Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

Reference Entity					Notional Amount* (000's omitted)						Contract Annual Fixed Rate**				Termination Date				Current Market Annual Fixed Rate***					Value		Unamortized Upfront Receipts (Payments)						Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________
Indonesia		$	11,570						1.00% (pays quarterly)(1)					12/20/24				0.68%			$   187,196				$ (64,276)				$	$   122,920
___________________________________________________________________________________________________________
Total					$	11,570																$	187,196			$		(64,276)			$	122,920
___________________________________________________________________________________________________________
Centrally Cleared Credit Default Swaps - Buy Protection
Reference Entity								Notional Amount (000's omitted)					Contract Annual Fixed Rate**				Termination Date						Value			Unamortized Upfront Receipts (Payments)						Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________
Malaysia				$	184,080					1.00% (pays quarterly)(1)						12/20/24				$		(5,251,660)			$		4,412,743				$	(838,917)
Mexico					150,100					1.00% (pays quarterly)(1)						12/20/24						(1,315,584)					894,356					(421,228)
Markit CDX Emerging Markets Index (CDX.EM.31.V1)					3,000					1.00% (pays quarterly)(1)						6/20/24						98,999					(77,039)					21,960
Qatar					119,079					1.00% (pays quarterly)(1)						12/20/22						(2,710,758)					3,660					(2,707,098)
Qatar					12,396					1.00% (pays quarterly)(1)						12/20/23						(324,161)					88,909					(235,252)
Russia					103,173					1.00% (pays quarterly)(1)						12/20/24						(1,854,992)					858,752					(996,240)
South Africa					32,140					1.00% (pays quarterly)(1)						9/20/22						149,597					256,585					406,182
___________________________________________________________________________________________________________
Total																				$	(11,208,559)				$		6,437,966				$	(4,770,593)
___________________________________________________________________________________________________________
Credit Default Swaps - Sell Protection
Reference Entity	Counterparty						Notional Amount* (000's omitted)					Contract Annual Fixed Rate**			Termination Date				Current Market Annual Fixed Rate***					Value				Unamortized Upfront Receipts (Payments)					Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________

Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

Indonesia	Goldman Sachs International								$	5,450					1.00% (pays quarterly)(1)			12/20/24					0.68		%	$		88,178				$	(31,154)	$	57,024
Indonesia	HSBC Bank USA, N.A.									34,050					1.00% (pays quarterly)(1)			12/20/24					0.68					550,910					(194,641)		356,269
Indonesia	JPMorgan Chase Bank, N.A.									17,650					1.00% (pays quarterly)(1)			12/20/24					0.68					285,567					(96,837)		188,730
___________________________________________________________________________________________________________
Total									$	57,150																$		924,655				$	(322,632)	$	602,023
___________________________________________________________________________________________________________
Credit Default Swaps - Buy Protection
Reference Entity				Counterparty							Notional Amount (000's omitted)					Contract Annual Fixed Rate**				Termination Date							Value				Unamortized Upfront Receipts (Payments)				Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________
Croatia			Barclays Bank PLC								$		4,520				1.00% (pays quarterly)(1)					3/20/20			$	(10,972)				$		(8,572)		$	(19,544)
Croatia			Barclays Bank PLC										4,520				1.00% (pays quarterly)(1)					3/20/20				(10,972)						(8,583)			(19,555)
Croatia			Barclays Bank PLC										4,520				1.00% (pays quarterly)(1)					3/20/20				(10,972)						(8,821)			(19,793)
Croatia			Barclays Bank PLC										9,040				1.00% (pays quarterly)(1)					3/20/20				(21,944)						(17,130)			(39,074)
Croatia			BNP Paribas										1,500				1.00% (pays quarterly)(1)					3/20/20				(3,641)						(3,262)			(6,903)
Croatia			BNP Paribas										2,340				1.00% (pays quarterly)(1)					3/20/20				(5,680)						(4,557)			(10,237)
Croatia			BNP Paribas										2,760				1.00% (pays quarterly)(1)					3/20/20				(6,700)						(5,165)			(11,865)
Croatia			BNP Paribas										6,250				1.00% (pays quarterly)(1)					3/20/20				(15,172)						(13,571)			(28,743)
Croatia			Citibank, N.A.										1,660				1.00% (pays quarterly)(1)					3/20/20				(4,030)						(3,133)			(7,163)
Croatia			Citibank, N.A.										4,260				1.00% (pays quarterly)(1)					3/20/20				(10,341)						(8,402)			(18,743)
Croatia			Citibank, N.A.										10,000				1.00% (pays quarterly)(1)					3/20/20				(24,274)						(20,706)			(44,980)
Croatia			Citibank, N.A.										167				1.00% (pays quarterly)(1)					6/20/20				(792)						(925)			(1,717)
Croatia			Citibank, N.A.										1,000				1.00% (pays quarterly)(1)					6/20/20				(4,735)						(5,663)			(10,398)
Croatia			Goldman Sachs International										2,210				1.00% (pays quarterly)(1)					3/20/20				(5,365)						(4,304)			(9,669)
Croatia			Goldman Sachs International										3,410				1.00% (pays quarterly)(1)					3/20/20				(8,278)						(6,647)			(14,925)
Croatia			Goldman Sachs International										1,700				1.00% (pays quarterly)(1)					6/20/20				(8,050)						(9,659)			(17,709)
Egypt			Citibank, N.A.										50				1.00% (pays quarterly)(1)					6/20/20				(34)						(223)			(257)
Egypt			Citibank, N.A.										4,550				1.00% (pays quarterly)(1)					6/20/20				(3,082)						(19,339)			(22,421)
Egypt			Deutsche Bank AG										5,100				1.00% (pays quarterly)(1)					6/20/20				(3,455)						(19,274)			(22,729)
Egypt			Deutsche Bank AG										4,550				1.00% (pays quarterly)(1)					6/20/20				(3,082)						(19,457)			(22,539)
Egypt			Deutsche Bank AG										4,600				1.00% (pays quarterly)(1)					6/20/20				(3,116)						(19,645)			(22,761)
Oman			Bank of America, N.A.										20,851				1.00% (pays quarterly)(1)					6/20/22				237,588						(496,275)			(258,687)
Oman			Bank of America, N.A.										16,680				1.00% (pays quarterly)(1)					12/20/22				303,835						(518,283)			(214,448)
Qatar			Goldman Sachs International										10				1.00% (pays quarterly)(1)					12/20/20				(91)						(22)			(113)
Qatar			Goldman Sachs International										1,660				1.00% (pays quarterly)(1)					12/20/20				(15,195)						(6,936)			(22,131)
Qatar			Goldman Sachs International										9,740				1.00% (pays quarterly)(1)					12/20/20				(89,155)						(27,687)			(116,842)
Qatar			Goldman Sachs International										3,700				1.00% (pays quarterly)(1)					12/20/23				(96,757)						(4,910)			(101,667)
Qatar			Goldman Sachs International										3,090				1.00% (pays quarterly)(1)					9/20/24				(81,862)						1,226			(80,636)
Qatar			Nomura International PLC										9,620				1.00% (pays quarterly)(1)					9/20/24				(254,857)						15,284			(239,573)
South Africa			Bank of America, N.A.										16,100				1.00% (pays quarterly)(1)					9/20/22				74,939						(317,730)			(242,791)
South Africa			Bank of America, N.A.										20,830				1.00% (pays quarterly)(1)					9/20/22				96,955						(430,543)			(333,588)
South Africa			Bank of America, N.A.										29,280				1.00% (pays quarterly)(1)					9/20/22				136,286						(546,465)			(410,179)
South Africa			Bank of America, N.A.										19,900				1.00% (pays quarterly)(1)					9/20/22				92,626						(517,519)			(424,893)
South Africa			Goldman Sachs International										10,690				1.00% (pays quarterly)(1)					9/20/22				49,757						(268,912)			(219,155)
South Africa			Goldman Sachs International										8,022				1.00% (pays quarterly)(1)					12/20/22				52,797						(224,658)			(171,861)
South Africa			Goldman Sachs International										16,600				1.00% (pays quarterly)(1)					12/20/28				1,869,103						(2,042,263)			(173,160)
South Africa			HSBC Bank USA, N.A.										7,300				1.00% (pays quarterly)(1)					12/20/22				48,046						(196,324)			(148,278)
South Africa			HSBC Bank USA, N.A.										23,540				1.00% (pays quarterly)(1)					6/20/29				2,837,878						(2,791,920)			45,958
South Africa			Nomura International PLC										7,068				1.00% (pays quarterly)(1)					12/20/22				46,518						(194,805)			(148,287)
Ukraine			Barclays Bank PLC										13,090				5.00% (pays quarterly)(1)					12/20/24				(1,002,186)						461,446			(540,740)
Ukraine			Barclays Bank PLC										19,910				5.00% (pays quarterly)(1)					12/20/24				(1,524,334)						701,863			(822,471)
Ukraine			Barclays Bank PLC										3,442				5.00% (pays quarterly)(1)					12/20/24				(263,493)						84,443			(179,050)
Ukraine			Barclays Bank PLC										3,442				5.00% (pays quarterly)(1)					12/20/24				(263,493)						48,971			(214,522)
Ukraine			JPMorgan Chase Bank, N.A.										20,000				5.00% (pays quarterly)(1)					12/20/24				(1,531,224)						745,392			(785,832)
___________________________________________________________________________________________________________
Total																								$	558,994					$		(6,733,665)		$	(6,174,671)
___________________________________________________________________________________________________________
* 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 January 31, 2020, such maximum potential amount for all open credit default swaps in which the Portfolio is the seller was $68,720,000.
** 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.
Total Return Swaps
Counterparty							Notional Amount (000's omitted)					Portfolio Receives							Portfolio Pays										Termination Date						Value/ Unrealized Appreciation (Depreciation)
___________________________________________________________________________________________________________
Citibank, N.A.						USD		49,500						Excess Return on Bloomberg Commodity 4 Month Forward Index (pays upon termination)							Excess Return on Bloomberg Commodity Index + 0.24% (pays upon termination)								3/26/20						207,693
Citibank, N.A.						USD		42,500						Excess Return on Bloomberg Commodity 5 Month Forward Index (pays upon termination)							Excess Return on Bloomberg Commodity Index + 0.25% (pays upon termination)								3/26/20						249,246
Citibank, N.A.						USD		39,000						Excess Return on Bloomberg Commodity 6 Month Forward Index (pays upon termination)							Excess Return on Bloomberg Commodity Index + 0.26% (pays upon termination)								3/26/20						242,032
JPMorgan Chase Bank, N.A.						CNY		29,860						Total Return on Shenzhen Stock Exchange Composite Index (pays quarterly)							3-month USD-LIBOR minus 6.10% on $4,350,114 (pays quarterly)								4/17/20						(434,924)
UBS AG						CNY		27,938						Total Return on Shenzhen Stock Exchange Composite Index (pays quarterly)							3-month USD-LIBOR minus 10.90% on $3,992,735 (pays quarterly)								2/12/20						96,265
___________________________________________________________________________________________________________
																																				$	360,312
___________________________________________________________________________________________________________
Abbreviations:
CMT		-			Constant Maturity Treasury
COF		-			Cost of Funds 11th District
EURIBOR		-			Euro Interbank Offered Rate
GDP		-			Gross Domestic Product
LIBOR		-			London Interbank Offered Rate
OMO		-			Open Market Operation
Currency Abbreviations:
AED		-			United Arab Emirates Dirham
AUD		-			Australian Dollar
BHD		-			Bahraini Dinar
BRL		-			Brazilian Real
CAD		-			Canadian Dollar
CLP		-			Chilean Peso
CNH		-			Yuan Renminbi Offshore
CNY		-			Yuan Renminbi
CRC		-			Costa Rican Colon
DOP		-			Dominican Peso
EGP		-			Egyptian Pound
EUR		-			Euro
GBP		-			British Pound Sterling
GEL		-			Georgian Lari
GHS		-			Ghanaian Cedi
IDR		-			Indonesian Rupiah
INR		-			Indian Rupee
ISK		-			Icelandic Krona
JPY		-			Japanese Yen
KRW		-			South Korean Won
LKR		-			Sri Lankan Rupee
MYR		-			Malaysian Ringgit
NGN		-			Nigerian Naira
NOK		-			Norwegian Krone
NZD		-			New Zealand Dollar
OMR		-			Omani Rial
PHP		-			Philippine Peso
PKR		-			Pakistani Rupee
RSD		-			Serbian Dinar
RUB		-			Russian Ruble
SEK		-			Swedish Krona
SGD		-			Singapore Dollar
THB		-			Thai Baht
TRY		-			New Turkish Lira
UAH		-			Ukrainian Hryvnia
UGX		-			Ugandan Shilling
USD		-			United States Dollar
ZAR		-			South African Rand

Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

Basis for Consolidation

The Portfolio seeks to gain exposure to the commodity markets, in whole or in part, through investments in Eaton Vance GMP 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 January 31, 2020 were $10,484,471 or 0.3% of the Portfolio's consolidated net assets. The Consolidated Portfolio of Investments includes positions of the Portfolio and the Subsidiary.

At January 31, 2020, the Portfolio had sufficient cash and/or securities to cover commitments under open derivative contracts.

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 and to manage certain investment risks.

Credit Risk:The Portfolio enters into credit default swap contracts to manage certain investment risks and/or to enhance total return or as a substitute for the purchase or sale of securities.

Equity Price Risk:The Portfolio enters into equity index futures contracts and options thereon 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, 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.

At January 31, 2020, the value of the Portfolio’s investment in affiliated funds was $704,561,942 which represents 19.8% of the Portfolio’s net assets. Transactions in affiliated funds by the Portfolio for the fiscal year to date ended January 31, 2020 were as follows:

Name of affiliated fund	Value, beginning of period				Purchases			Sales proceeds			Net realized gain (loss)			Change in unrealized appreciation (depreciation)				Value, end of period			Dividend income		Units, end of period
Short-Term Investments
Eaton Vance Cash Reserves Fund, LLC		$	559,146,895	$		461,705,816	$		(316,366,200)	$		37,870	$		37,561	$	704,561,942		$	2,982,162		704,491,493

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)

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January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At January 31, 2020, the hierarchy of inputs used in valuing the Portfolio’s investments and open derivative instruments, which are carried at value, were as follows:

Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

Asset Description				Level 1			Level 2			Level 3*			Total
________________________________________________________________________________________________________
Foreign Government Bonds			$	—	$	1,807,304,462		$	—		$	1,807,304,462
Foreign Corporate Bonds				—		81,985,678			8,910,893			90,896,571
Sovereign Loans				—		95,784,538			—			95,784,538
Credit Linked Notes				—		—			1,241,000			1,241,000
Asset-Backed Securities				—		30,254,713			—			30,254,713
Collateralized Mortgage Obligations				—		51,920,881			—			51,920,881
Mortgage Pass-Throughs				—		91,124,320			—			91,124,320
U.S. Treasury Obligations				—		1,597,763			—			1,597,763
U.S. Government Guaranteed Small Business Administration Loans				—		26,844,643			—			26,844,643
Common Stocks				—		111,312,307**			—			111,312,307
Short-Term Investments		—
	Foreign Government Securities			—		319,406,651			—			319,406,651
	U.S. Treasury Obligations			—		54,861,934			—			54,861,934
	Other			—		704,561,942			—			704,561,942
Purchased Currency Options				—		7,679			—			7,679
Purchased Interest Rate Swaptions				—		4,069,695			—			4,069,695
________________________________________________________________________________________________________
Total Investments			$	—	$	3,381,037,206		$	10,151,893		$	3,391,189,099
________________________________________________________________________________________________________
Forward Foreign Currency Exchange Contracts			$	—	$	58,239,270		$	—		$	58,239,270
Futures Contracts				4,291,595		120,053			—			4,411,648
Swap Contracts				—		30,778,498			—			30,778,498
________________________________________________________________________________________________________
Total			$	4,291,595	$	3,470,175,027		$	10,151,893		$	3,484,618,515
________________________________________________________________________________________________________
Liability Description
________________________________________________________________________________________________________
Securities Sold Short			$	—	$	(9,607,558)		$	—		$	(9,607,558)
Forward Foreign Currency Exchange Contracts				—		(54,795,962)			—			(54,795,962)
Futures Contracts				(4,583,522)		(828,718)			—			(5,412,240)
Swap Contracts				—		(56,199,894)			—			(56,199,894)
________________________________________________________________________________________________________
Total			$	(4,583,522)	$	(121,432,132)		$	—		$	(126,015,654)
________________________________________________________________________________________________________
*	None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Portfolio.
**	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.

Global Macro Portfolio

January 31, 2020

Consolidated Portfolio of Investments (Unaudited) — continued

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 fiscal year to date ended January 31, 2020 is not presented.

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.

For additional information on the Portfolio's policy regarding the valuation of investments and other significant accounting policies, please refer to the Portfolio's most recent financial statements included in its semiannual or annual report to shareholders.