UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-22044

Investment Company Act File Number

Eaton Vance Risk-Managed Diversified Equity Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place Boston, Massachusetts 02110

(Address of Principal Executive Offices)

Maureen A. Gemma

Two International Place Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number, Including Area Code)

December 31

Date of Fiscal Year End

September 30, 2018

Date of Reporting Period

 

 

 

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Item 1. Schedule of Investments

 

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Eaton Vance

Risk-Managed Diversified Equity Income Fund

September 30, 2018

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 99.2%

 

Security		Shares				Value
Aerospace & Defense — 1.0%
Raytheon Co.(1)			31,212			$	6,450,272
						$	6,450,272
Air Freight & Logistics — 2.0%
FedEx Corp.(1)			52,834			$	12,721,899
						$	12,721,899
Auto Components — 1.8%
Aptiv PLC(1)			133,604			$	11,209,376
						$	11,209,376
Banks — 6.4%
Bank of America Corp.(1)			615,424			$	18,130,391
JPMorgan Chase & Co.(1)			201,148				22,697,540
						$	40,827,931
Beverages — 4.3%
Constellation Brands, Inc., Class A(1)			65,840			$	14,196,421
PepsiCo, Inc.(1)			120,147				13,432,434
						$	27,628,855
Biotechnology — 3.1%
Gilead Sciences, Inc.(1)			132,749			$	10,249,550
Vertex Pharmaceuticals, Inc.(1)(2)			50,871				9,804,877
						$	20,054,427
Capital Markets — 1.7%
Charles Schwab Corp. (The)(1)			222,621			$	10,941,822
						$	10,941,822
Chemicals — 1.1%
DowDuPont, Inc.(1)			106,727			$	6,863,613
						$	6,863,613
Consumer Finance — 1.8%
American Express Co.(1)			106,544			$	11,345,871
						$	11,345,871
Containers & Packaging — 1.3%
Ball Corp.(1)			187,627			$	8,253,712
						$	8,253,712
Diversified Telecommunication Services — 4.3%
Verizon Communications, Inc.(1)			343,649			$	18,347,420
Zayo Group Holdings, Inc.(1)(2)			258,528				8,976,092
						$	27,323,512
Electric Utilities — 1.5%
NextEra Energy, Inc.(1)			55,505			$	9,302,638
						$	9,302,638

 

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Security		Shares				Value
Electronic Equipment, Instruments & Components — 2.1%
Corning, Inc.(1)			389,534			$	13,750,550
						$	13,750,550
Entertainment — 4.9%
Live Nation Entertainment, Inc.(1)(2)			196,818			$	10,720,677
Spotify Technology SA(1)(2)			32,865				5,942,978
Walt Disney Co. (The)(1)			123,377				14,427,706
						$	31,091,361
Equity Real Estate Investment Trusts (REITs) — 2.8%
American Tower Corp.(1)			83,507			$	12,133,567
AvalonBay Communities, Inc.(1)			30,608				5,544,639
						$	17,678,206
Food Products — 1.7%
Mondelez International, Inc., Class A(1)			256,605			$	11,023,751
						$	11,023,751
Health Care Equipment & Supplies — 4.1%
Abbott Laboratories(1)			141,915			$	10,410,884
Danaher Corp.(1)			145,247				15,782,539
						$	26,193,423
Health Care Providers & Services — 1.3%
Aetna, Inc.(1)			39,620			$	8,036,917
						$	8,036,917
Insurance — 2.7%
American Financial Group, Inc.(1)			86,264			$	9,572,716
American International Group, Inc.(1)			144,512				7,693,819
						$	17,266,535
Interactive Media & Services — 2.8%
Alphabet, Inc., Class C(1)(2)			15,153			$	18,084,651
						$	18,084,651
Internet & Direct Marketing Retail — 3.6%
Amazon.com, Inc.(1)(2)			11,432			$	22,898,296
						$	22,898,296
IT Services — 5.9%
Akamai Technologies, Inc.(1)(2)			122,305			$	8,946,611
GoDaddy, Inc., Class A(1)(2)			123,752				10,319,679
Visa, Inc., Class A(1)			122,958				18,454,766
						$	37,721,056
Machinery — 4.4%
Caterpillar, Inc.(1)			94,168			$	14,359,678
Fortive Corp.(1)			164,288				13,833,050
						$	28,192,728
Multi-Utilities — 1.2%
Sempra Energy(1)			69,970			$	7,959,088
						$	7,959,088

 

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Security		Shares				Value
Oil, Gas & Consumable Fuels — 6.3%
ConocoPhillips(1)			124,793			$	9,658,978
EOG Resources, Inc.(1)			69,471				8,862,416
Exxon Mobil Corp.(1)			183,346				15,588,077
Phillips 66(1)			54,200				6,109,424
						$	40,218,895
Pharmaceuticals — 4.9%
Johnson & Johnson(1)			150,450			$	20,787,677
Zoetis, Inc.(1)			115,852				10,607,409
						$	31,395,086
Road & Rail — 2.0%
CSX Corp.(1)			176,151			$	13,043,982
						$	13,043,982
Semiconductors & Semiconductor Equipment — 2.6%
QUALCOMM, Inc.(1)			185,386			$	13,353,353
Skyworks Solutions, Inc.			39,246				3,560,005
						$	16,913,358
Software — 5.6%
Microsoft Corp.(1)			315,195			$	36,048,852
						$	36,048,852
Specialty Retail — 2.5%
Home Depot, Inc. (The)(1)			77,742			$	16,104,255
						$	16,104,255
Technology Hardware, Storage & Peripherals — 6.0%
Apple, Inc.(1)			117,142			$	26,443,635
Xerox Corp.(1)			439,560				11,859,329
						$	38,302,964
Textiles, Apparel & Luxury Goods — 1.5%
NIKE, Inc., Class B(1)			112,781			$	9,554,806
						$	9,554,806
Total Common Stocks (identified cost $481,702,426)						$	634,402,688
Short-Term Investments — 0.9%
Description		Units				Value
Eaton Vance Cash Reserves Fund, LLC, 2.19%(3)			5,756,476			$	5,756,476
Total Short-Term Investments (identified cost $5,756,476)						$	5,756,476
Total Purchased Put Options — 0.2% (identified cost $2,372,770)						$	1,160,148
Total Investments — 100.3% (identified cost $489,831,672)						$	641,319,312
Total Written Call Options — (0.3)% (premiums received $2,619,677)						$	(1,958,789	)

 

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						Value
Other Assets, Less Liabilities — (0.0)%(4)						$	(293,522	)
Net Assets — 100.0%						$	639,067,001

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

 

(1)	Security (or a portion thereof) has been pledged as collateral for written options.

 

(2)	Non-income producing security.

 

(3)

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 September 30, 2018. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2018 was $102,638.

 

(4)	Amount is less than (0.05)%.

 

Purchased Put Options — 0.2%
Exchange-Traded Options — 0.2%
Description		Number of Contracts				Notional Amount				Exercise Price				Expiration Date				Value
S&P 500 Index			173			$	50,411,854			$	2,800				10/1/18			$	4,325
S&P 500 Index			175				50,994,650				2,800				10/3/18				13,562
S&P 500 Index			174				50,703,252				2,785				10/5/18				22,185
S&P 500 Index			174				50,703,252				2,775				10/8/18				27,840
S&P 500 Index			176				51,286,048				2,810				10/10/18				54,560
S&P 500 Index			175				50,994,650				2,830				10/12/18				85,750
S&P 500 Index			176				51,286,048				2,815				10/15/18				83,600
S&P 500 Index			175				50,994,650				2,830				10/17/18				115,500
S&P 500 Index			173				50,411,854				2,870				10/19/18				210,195
S&P 500 Index			173				50,411,854				2,845				10/22/18				166,945
S&P 500 Index			174				50,703,252				2,840				10/24/18				176,610
S&P 500 Index			174				50,703,252				2,825				10/26/18				199,076
Total																		$	1,160,148
Written Call Options — (0.3)%
Exchange-Traded Options — (0.3)%
Description		Number of Contracts				Notional Amount				Exercise Price				Expiration Date				Value
S&P 500 Index			173			$	50,411,854			$	2,925				10/1/18			$	(28,113	)
S&P 500 Index			175				50,994,650				2,925				10/3/18				(91,000	)
S&P 500 Index			174				50,703,252				2,920				10/5/18				(181,830	)
S&P 500 Index			174				50,703,252				2,915				10/8/18				(260,130	)
S&P 500 Index			176				51,286,048				2,925				10/10/18				(201,520	)
S&P 500 Index			175				50,994,650				2,930				10/12/18				(196,875	)
S&P 500 Index			176				51,286,048				2,920				10/15/18				(309,760	)
S&P 500 Index			175				50,994,650				2,940				10/17/18				(175,875	)
S&P 500 Index			173				50,411,854				2,975				10/19/18				(58,820	)
S&P 500 Index			173				50,411,854				2,955				10/22/18				(129,750	)
S&P 500 Index			174				50,703,252				2,960				10/24/18				(124,410	)
S&P 500 Index			174				50,703,252				2,950				10/26/18				(200,706	)
Total																		$	(1,958,789	)

 

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At September 30, 2018, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund pursues a “collared” options strategy which consists of buying S&P 500 index put options below the current value of the index and writing S&P 500 index call options above the current value of the index with the same expiration. The strategy uses the premium income from the written call options to buy an equal number of put options. In buying put options on an index, the Fund in effect, acquires protection against decline in the value of the applicable index below the exercise price in exchange for the option premium paid. In writing index call options, the Fund in effect, sells potential appreciation in the value of the applicable index above the exercise price. The Fund retains the risk of lost appreciation, minus the premium received, should the price of the underlying index rise above the exercise price. Under normal market conditions, the Fund’s use of option collars is expected to provide a more consistent level of market exposure and market protection.

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk at September 30, 2018 was as follows:

 

		Fair Value
Derivative		Asset Derivative				Liability Derivative
Purchased options		$	1,160,148			$	—
Written options			—				(1,958,789	)
Total		$	1,160,148			$	(1,958,789	)

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

•

Level 1 — quoted prices in active markets for identical investments

 

•

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

•

Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)

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

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

 

Asset Description		Level 1				Level 2				Level 3				Total
Common Stocks		$	634,402,688	*		$	—			$	—			$	634,402,688
Short-Term Investments		$	—			$	5,756,476			$	—			$	5,756,476
Purchased Put Options			1,160,148				—				—				1,160,148
Total Investments		$	635,562,836			$	5,756,476			$	—			$	641,319,312
Liability Description
Written Call Options		$	(1,958,789	)		$	—			$	—			$	(1,958,789	)
Total		$	(1,958,789	)		$	—			$	—			$	(1,958,789	)

 

*	The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

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

 

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Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

Item 3. Exhibits

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act is attached hereto.

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Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Risk-Managed Diversified Equity Income Fund

 

By:		/s/ Edward J. Perkin
		Edward J. Perkin
		President
Date:		November 26, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:		/s/ Edward J. Perkin
		Edward J. Perkin
		President
Date:		November 26, 2018
By:		/s/ James F. Kirchner
		James F. Kirchner
		Treasurer
Date:		November 26, 2018