<PAGE>
[PICTURE OF STATUE OF LIBERTY]
[EATON VANCE LOGO]
[Investing for the 21st Century-Registered
TradeMark-]
Semiannual Report June 30, 1999
CAPITAL
[PICTURE OF WALL STREET] EXCHANGE
FUND
Global Management-Global Distribution
[PICTURE OF INCOME TAX FORM AND CALCULATOR]
<PAGE>
CAPITAL EXCHANGE FUND AS OF JUNE 30, 1999
- -------------------------------------------------------------------------------
INVESTMENT UPDATE
- -------------------------------------------------------------------------------
INVESTMENT ENVIRONMENT
- -------------------------------------------------------------------------------
The Economy
- - On the last day of June, the Federal Reserve Bank announced that it would
raise the federal funds rate (the rate at which banks lend money to each other
overnight) by 0.25% to 5.0%. The attention of Chairman Alan Greenspan has been
increasingly focused on the domestic labor market, looking for nascent signs
of inflationary pressures arising from tight labor market conditions. Mr.
Greenspan has also made it clear that he has concerns about asset value
inflation in the stock market and elsewhere. Unless the domestic economy
cools, more increases in rates may be seen in the coming months.
- - During the just-ended second quarter, U.S. economic momentum continued, aided
by the beginning of a recovery in the manufacturing sector. While slower than
the 4.6% annual growth rate in gross domestic product in the first quarter,
the 2.3% growth rate of GDP in the second quarter indicates that the U.S.
economy remains healthy. In May, the index of leading economic indicators rose
by 0.3%, an improvement over April's 0.1% increase, suggesting that, unless
choked off by rising interest rates, strong economic conditions may persist
through the second half of the year.
The Stock Market
- - In the first half of 1999, the U.S. stock market advanced to record highs,
benefitting from continued strength in the U.S. economy and the easing of
fears about the impact of the Asian financial crises of 1998.
- - Following the pattern of 1998, performance in the first quarter was led by the
large-capitalization growth stocks that dominate the S&P 500,1 and, to a
lesser extent, the holdings of Tax-Managed Growth Portfolio.
- - Starting in April, the U.S. equity market experienced a pronounced change in
market leadership. At that time, value stocks began to outperform growth
stocks and small capitalization stocks began to outperform large-cap stocks.
The performance of large-cap growth stocks was hurt by rising interest rates
and high valuations. Cyclical stocks benefited from rising expectations for
global economic growth. Technology stocks were generally strong performers
throughout the first half.
THE FUND
- -------------------------------------------------------------------------------
The Past Six Months
- - During the six months ended June 30, 1999, Capital Exchange Fund shares had a
total return of 8.81%. This return was the result of an increase in net asset
value to $523.57 on June 30, 1999 from $482.62 on December 31, 1998. 2
- - For comparison, the average total return for mutual funds in the Lipper Growth
Funds Category was 11.64% during this period. The S&P 500 Index achieved total
returns of 12.38% in the first half.1
Management Discussion
- - Capital Exchange Fund invests in Tax-Managed Growth Portfolio. The Portfolio
invests in a broadly diversified selection of stocks, with an emphasis on
high-quality growth companies. The Portfolio is managed toward an objective of
long-term, after-tax returns.
- - The Portfolio's performance during the first half of 1999 benefited from the
broad advance in U.S. stocks. Weakness in the overweighted financial and
healthcare sectors largely accounted for the underperformance versus
comparative benchmarks experienced in the first half of 1999. Management's
strategy is to be a patient investor and to emphasize investments that we
believe will generate consistent earnings growth and good long-term returns.
- -------------------------------------------------------------------------------
FUND INFORMATION
AS OF JUNE 30, 1999
PERFORMANCE(2)
- -------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
- -------------------------------------------------------------------------------
One Year 17.47%
Five Years 27.31%
Ten Years 18.97%
Life of Fund+ 11.84%
+Inception Date - 3/29/66
Ten Largest Holdings(3) By total net assets
- -------------------------------------------------------------------------------
Lexmark International Group, Inc. 2.2%
American International Group, Inc. 2.0
Omnicom Group, Inc. 1.8
Xerox Corp. 1.7
Automatic Data Processing, Inc. 1.6
Johnson & Johnson Co. 1.6
Marsh & McLennan Cos., Inc. 1.6
Home Depot, Inc. (The) 1.4
Albertson's Inc. 1.3
Cisco Systems, Inc. 1.3
(1) The S&P 500 Index is an unmanaged index commonly used as a measure of U.S.
stock market performance. It is not possible to invest directly in an Index,
an Average, or a Lipper Category.
(2) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested.
(3) Ten largest equity holdings accounted for 16.5% of the Tax-Managed Growth
Portfolio's net assets. Holdings are subject to change.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost.
2
<PAGE>
CAPITAL EXCHANGE FUND AS OF JUNE 30, 1999
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF JUNE 30, 1999
<S> <C>
Assets
- ---------------------------------------------------------
Investment in Tax-Managed Growth
Portfolio, at value
(identified cost, $85,981,988) $ 1,303,322,871
- ---------------------------------------------------------
TOTAL ASSETS $ 1,303,322,871
- ---------------------------------------------------------
Liabilities
- ---------------------------------------------------------
Payable for Fund shares redeemed $ 171,203
Payable to affiliate for Trustees' fees 1,963
Other accrued expenses 67,193
- ---------------------------------------------------------
TOTAL LIABILITIES $ 240,359
- ---------------------------------------------------------
NET ASSETS FOR 2,488,833 SHARES OF
BENEFICIAL INTEREST OUTSTANDING $ 1,303,082,512
- ---------------------------------------------------------
Sources of Net Assets
- ---------------------------------------------------------
Accumulated undistributed net realized
gain from Portfolio (computed
on the basis of identified cost),
less the excess of cost of Fund
shares redeemed over proceeds from
sales of Fund shares
(including shares issued to
shareholders electing to receive
payment of distributions in Fund
shares) $ 94,734,990
Accumulated undistributed net investment
income 459,129
Federal tax on undistributed net
realized long-term capital gain, paid
on behalf of shareholders (9,452,490)
Net unrealized appreciation from
Portfolio (computed on the basis of
identified cost) 1,217,340,883
- ---------------------------------------------------------
TOTAL $ 1,303,082,512
- ---------------------------------------------------------
Net Asset Value and Redemption
Price Per Share
- ---------------------------------------------------------
($1,303,082,512 DIVIDED BY 2,488,833
SHARES OF
BENEFICIAL INTEREST OUTSTANDING) $ 523.57
- ---------------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
JUNE 30, 1999
<S> <C>
Investment Income
- -------------------------------------------------------
Dividends allocated from Portfolio
(net of foreign taxes, $86,529) $ 5,728,995
Interest allocated from Portfolio 1,481,289
Expenses allocated from Portfolio (2,920,023)
- -------------------------------------------------------
NET INVESTMENT INCOME FROM PORTFOLIO $ 4,290,261
- -------------------------------------------------------
Expenses
- -------------------------------------------------------
Trustees fees and expenses $ 11,530
Transfer and dividend disbursing agent
fees 37,750
Legal and accounting services 17,409
Printing and postage 4,995
Custodian fee 2,445
Miscellaneous 361
- -------------------------------------------------------
TOTAL EXPENSES $ 74,490
- -------------------------------------------------------
NET INVESTMENT INCOME $ 4,215,771
- -------------------------------------------------------
Realized and Unrealized
Gain(Loss) from Portfolio
- -------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 9,231,848
Foreign currency (465)
- -------------------------------------------------------
NET REALIZED GAIN $ 9,231,383
- -------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments $ 93,070,446
Foreign currency (3,300)
- -------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) $ 93,067,146
- -------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 102,298,529
- -------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 106,514,300
- -------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
3
<PAGE>
CAPITAL EXCHANGE FUND AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 1999 DECEMBER 31, YEAR ENDED
Increase (Decrease) in Net Assets (UNAUDITED) 1998(1) OCTOBER 31, 1998
<S> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 4,215,771 $ 300,037 $ 1,245,577
Net realized gain 9,231,383 1,462,965 4,174,699
Net change in unrealized appreciation
(depreciation) 93,067,146 70,490,863 19,737,202
- --------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 106,514,300 $ 72,253,865 $ 25,157,478
- --------------------------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income $ (3,756,642) $ (600,890) $ (1,128,567)
- --------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS $ (3,756,642) $ (600,890) $ (1,128,567)
- --------------------------------------------------------------------------------------------------------
Transactions in shares of beneficial
interest --
Issued in reorganization of
Depositors, Diversification, The
Exchange Fund of Boston, Fiduciary
Exchange, Second Fiduciary
Exchange and Vance Sanders
Exchange Funds $ -- $ 993,844,081 $ --
Net asset value of shares issued to
shareholders in payment of
distributions declared 641,392 532,597 286,965
Cost of shares redeemed (33,036,204) (665,148) (7,318,503)
- --------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM FUND SHARE TRANSACTIONS $ (32,394,812) $ 993,711,530 $ (7,031,538)
- --------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 70,362,846 $ 1,065,364,505 $ 16,997,373
- --------------------------------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------------------------------
At beginning of period $ 1,232,719,666 $ 167,355,161 $ 150,357,788
- --------------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 1,303,082,512 $ 1,232,719,666 $ 167,355,161
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Accumulated undistributed net
investment income
included in net assets
- --------------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 459,129 $ -- $ 312,700
- --------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the two-month period ended December 31, 1998.
SEE NOTES TO FINANCIAL STATEMENTS
4
<PAGE>
CAPITAL EXCHANGE FUND AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
JUNE 30, PERIOD ENDED YEAR ENDED OCTOBER 31,
1999 DECEMBER 31, ------------------------------------------------------------------
(UNAUDITED) 1998(1) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value --
Beginning of period $ 482.620 $ 426.610 $ 366.870 $ 280.570 $ 230.960 $ 176.610 $ 164.860
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from operations
- -----------------------------------------------------------------------------------------------------------------------------
Net investment income $ 1.684 $ 0.450 $ 3.120 $ 2.704 $ 2.562 $ 2.657 $ 2.521
Net realized and
unrealized gain 40.766 56.802 59.420 86.191 49.548 56.480 11.869
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM
OPERATIONS $ 42.450 $ 57.252 $ 62.540 $ 88.895 $ 52.110 $ 59.137 $ 14.390
- -----------------------------------------------------------------------------------------------------------------------------
Less distributions
- -----------------------------------------------------------------------------------------------------------------------------
From net investment income $ (1.500) $ (1.242) $ (2.800) $ (2.340) $ (2.500) $ (2.700) $ (2.490)
From net realized gain -- -- -- -- -- (0.025) (0.150)
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (1.500) $ (1.242) $ (2.800) $ (2.340) $ (2.500) $ (2.725) $ (2.640)
- -----------------------------------------------------------------------------------------------------------------------------
PROVISION FOR FEDERAL TAX
ON UNDISTRIBUTED NET
REALIZED LONG-TERM GAIN $ -- $ -- $ -- $ (0.255) $ -- $ (2.062) $ --
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF
PERIOD $ 523.570 $ 482.620 $ 426.610 $ 366.870 $ 280.570 $ 230.960 $ 176.610
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(2) 8.81% 13.43% 17.07% 31.79% 22.67% 32.56% 8.80%
- -----------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period
(000's omitted) $1,303,083 $1,232,720 $ 167,355 $ 150,358 $ 135,874 $ 114,643 $ 91,289
Ratios (As a percentage of
average daily net
assets):
Expenses(3) 0.48%(4) 0.61%(4) 0.55% 0.64% 0.76% 0.76% 0.76%
Net investment income 0.68%(4) 0.45%(4) 0.75% 0.81% 1.01% 1.32% 1.49%
Portfolio Turnover(5) -- -- -- -- -- 2% 2%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the two-month period ended December 31, 1998.
(2) Total return is calculated assuming a purchase at the net asset value on
the first day and a sale at the net asset value on the last day of each
period reported. Dividends and distributions, if any, are assumed
reinvested at the net asset value on the reinvestment date. Total return is
not computed on an annualized basis.
(3) Includes the Fund's share of the Portfolio's allocated expenses for the
period the Fund was investing in the Portfolio.
(4) Annualized.
(5) Portfolio Turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred all of its
investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
SEE NOTES TO FINANCIAL STATEMENTS
5
<PAGE>
CAPITAL EXCHANGE FUND AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 Significant Accounting Policies
- -------------------------------------------
Capital Exchange Fund (the Fund), formerly the Capital Exchange Fund, Inc.,
is a diversified series of Eaton Vance Series Trust (the Trust). The Trust is
an entity of the type commonly known as a Massachusetts business trust and is
registered under the Investment Company Act of 1940, as amended, as a
diversified open-end management investment company. The Fund invests all of
its investable assets in interests of the Tax-Managed Growth Portfolio (the
Portfolio), a New York trust, having the same investment objective as the
Fund. The value of the Fund's investment in the Portfolio reflects the Fund's
proportionate interest in the net assets of the Portfolio (11.3% at June 30,
1999). The performance of the Fund is directly affected by the performance of
the Portfolio. The financial statements of the Portfolio, including the
portfolio of investments, are included elsewhere in this report and should be
read in conjunction with the Fund's financial statements. The following is a
summary of significant accounting policies consistently followed by the Fund
in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles.
A Investment Valuation -- Valuation of securities by the Portfolio is discussed
in Note 1A of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report.
B Income -- The Fund's net investment income consists of the Fund's pro rata
share of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with generally accepted
accounting principles.
C Federal Taxes -- The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its net investment income and net
realized short-term capital gain. Accordingly, no provision for federal
income or excise tax is necessary. At December 31, 1998, the Fund, for
federal income tax purposes, had a capital loss carryover of $20,311,853
which will reduce the taxable income arising from future net realized gain on
investments, if any, to the extent permitted by the Internal Revenue Code,
and thus will reduce the amount of distributions to shareholders which would
otherwise be necessary to relieve the Fund of any liability for Federal
income or excise tax.
Such capital loss carryover will expire on December 31, 2006 ($18,669,165)
and December 31, 2005 ($1,642,688). The Fund generally designates as
undistributed any taxable net realized long-term gain (but reserves the right
to distribute such gain in any year) and pays the federal tax thereon on
behalf of shareholders. Provision for such tax is recorded on the Fund's
records on the last business day of the Fund's fiscal year because the
Internal Revenue Code provides that such tax is allocated among shareholders
of record on that date.
D Other -- Investment transactions are accounted for on a trade-date basis.
Dividends to shareholders are recorded on the ex-dividend date.
E Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of revenue and expense during the reporting period. Actual results could
differ from those estimates.
F Interim Financial Statements -- The interim financial statements relating to
June 30, 1999 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the Fund's
management, reflect all adjustments, consisting only of normal recurring
adjustments, necessary for the fair presentation of the financial statements.
2 Distributions to Shareholders
- -------------------------------------------
The Fund's policy is to distribute all or substantially all of the net
investment income allocated to the Fund by the Portfolio (less the Fund's
direct expenses). Distributions are paid in the form of additional shares of
the Fund or, at the election of the shareholder, in cash. Generally accepted
accounting principles require that only distributions in excess of tax basis
earnings and profits be reported in the financial statements as a return of
capital. Differences in the recognition or classification of income between
the financial statements and tax earnings and profits which result in
temporary over distributions for financial statement purposes are classified
as distributions in excess of net investment income or accumulated net
realized gains.
6
<PAGE>
CAPITAL EXCHANGE FUND AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
3 Shares of Beneficial Interest
- -------------------------------------------
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, OCTOBER 31,
(UNAUDITED) 1998(1) 1998
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Issued in reorganization of Depositors,
Diversification, The Exchange Fund of
Boston, Fiduciary Exchange, Second
Fiduciary Exchange and Vance Sanders
Exchange Funds -- 2,162,273 --
Issued to shareholders electing to
receive payment of distributions in
Fund shares 1,264 1,156 691
Redemptions (66,673) (1,474) (18,239)
- ---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) (65,409) 2,161,955 (17,548)
- ---------------------------------------------------------------------------------------
</TABLE>
(1) For the two-month period ended December 31, 1998.
4 Investment Transactions
- -------------------------------------------
Decreases in the Fund's investment in the Portfolio aggregated $36,130,513
for the six months ended June 30, 1999. In addition, investments were
distributed in payment for Fund shares redeemed resulting in capital gains,
for book purposes, of $23,145,143 for the six months ended June 30, 1999.
5 Transactions with Affiliates
- -------------------------------------------
Eaton Vance Management (EVM) serves as the administrator of the Fund, but
receives no compensation. The Portfolio has engaged Boston Management and
Research (BMR), a subsidiary of EVM, to render investment advisory services.
See Note 2 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report. Except for trustees of the Fund who are
not members of EVM's organization, officers and trustees receive remuneration
for their services to the Fund out of such investment adviser fee. Certain
officers and trustees of the Fund are officers of the above organizations.
6 Fund Reorganization
- -------------------------------------------
Effective November 1, 1998, the Fund changed its fiscal year-end to December
31. Effective on December 18, 1998, the Fund acquired the net assets of
Depositors Fund, Diversification Fund, The Exchange Fund of Boston, Fiduciary
Exchange Fund, Second Fiduciary Exchange Fund and Vance Sanders Exchange
Fund, pursuant to an Agreement and Plan of Reorganization dated October 19,
1998. In accordance with the agreement, the Fund, at closing, issued shares
as follows:
<TABLE>
<CAPTION>
AGGREGATE NET ASSET
SHARES VALUE OF SHARES VALUE PER
FUND ISSUED ISSUED SHARE
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------
Depositors Fund 238,033 $ 109,407,203 $ 459.63
Diversification Fund 281,027 $ 129,168,519 $ 459.63
The Exchange Fund of Boston 280,926 $ 129,121,906 $ 459.63
Fiduciary Exchange Fund 192,407 $ 88,434,566 $ 459.63
Second Fiduciary Exchange Fund 275,340 $ 126,554,447 $ 459.63
Vance Sanders Exchange Fund 894,540 $ 411,157,440 $ 459.63
</TABLE>
The transaction was structured for tax purposes to qualify as a tax free
reorganization under the Internal Revenue Code. The net assets acquired,
including unrealized appreciation at the date of the transaction, were as
follows:
<TABLE>
<CAPTION>
ACQUIRED NET UNREALIZED
FUND ASSETS APPRECIATION
<S> <C> <C>
- -----------------------------------------------------------------------
Depositors Fund $ 109,407,203 $ 105,065,477
Diversification Fund $ 129,168,519 $ 113,551,006
The Exchange Fund of Boston $ 129,121,906 $ 116,460,407
Fiduciary Exchange Fund $ 88,434,566 $ 79,600,603
Second Fiduciary Exchange Fund $ 126,554,447 $ 107,900,682
Vance Sanders Exchange Fund $ 411,157,440 $ 370,240,803
</TABLE>
Directly after the merger, the combined net assets of the Fund were
$1,173,720,711 and the net asset value was $459.63.
7
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 94.6%
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Advertising and Marketing Services -- 3.3%
- ----------------------------------------------------------------------------
ACNielsen Corp.(1) 45,668 $ 1,381,457
Advo, Inc.(1) 170,000 3,527,500
Catalina Marketing Corp.(1) 20,000 1,840,000
Harte-Hanks Communications, Inc. 135,487 3,675,085
Interpublic Group of Companies, Inc. 744,959 64,532,073
Lamar Advertising Co.(1)(2) 400,000 16,352,075
Omnicom Group, Inc. 2,648,418 211,873,439
R.H. Donelley Corp. 8,153 159,493
Snyder Communications, Inc.(1) 482,500 15,801,875
TMP Worldwide, Inc.(1) 43,000 2,730,500
True North Communications, Inc. 129,530 3,885,900
True North Communications, Inc.(2) 200,000 5,991,500
Valassis Communications, Inc.(1) 975,000 35,709,375
WPP Group PLC(1) 488,000 4,126,918
Young and Rubicam, Inc. 186,000 8,451,375
- ----------------------------------------------------------------------------
$ 380,038,565
- ----------------------------------------------------------------------------
Aerospace and Defense -- 0.2%
- ----------------------------------------------------------------------------
Allied Signal, Inc. 25,536 $ 1,608,768
Boeing Company (The) 228,127 10,080,362
Raytheon Co., Class B 213,564 15,029,567
- ----------------------------------------------------------------------------
$ 26,718,697
- ----------------------------------------------------------------------------
Apparel & Textiles -- 0.0%
- ----------------------------------------------------------------------------
Unifi, Inc.(1) 50,000 $ 1,062,500
- ----------------------------------------------------------------------------
$ 1,062,500
- ----------------------------------------------------------------------------
Auto and Parts -- 0.7%
- ----------------------------------------------------------------------------
Aftermarket Technology Corp.(1) 46,000 $ 523,250
Borg-Warner Automotive, Inc. 225,000 12,375,000
DaimlerChrysler 19,952 1,773,234
Dana Corp. 21,137 973,623
Delphi Automotive Systems 5,290 98,196
Ford Motor Co. 111,158 6,273,480
General Motors Corp. 7,569 499,554
Genuine Parts Co. 147,059 5,147,065
Harley-Davidson, Inc. 1,000 54,375
Magna International, Inc., Class A 815,000 46,251,250
Meritor Automotive, Inc. 61,133 1,558,891
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Auto and Parts (continued)
- ----------------------------------------------------------------------------
SPX Corp.(1) 47,862 $ 3,996,477
TRW, Inc. 2,000 109,750
- ----------------------------------------------------------------------------
$ 79,634,145
- ----------------------------------------------------------------------------
Banks - Money Center -- 0.1%
- ----------------------------------------------------------------------------
Bank of Montreal 36,650 $ 1,340,016
Chase Manhattan Corp. 78,566 6,805,780
Morgan (J.P.) & Co., Inc. 9,000 1,264,500
National Westminster Bank PLC 8,753 1,137,343
- ----------------------------------------------------------------------------
$ 10,547,639
- ----------------------------------------------------------------------------
Banks - Regional -- 6.2%
- ----------------------------------------------------------------------------
AmSouth Bancorporation 145,488 $ 3,373,503
Bank of America Corp. 747,906 54,830,859
Bank of Granite Corp. 22,500 554,063
Bank of New York Co., Inc. (The) 245,144 8,993,721
Bank One Corp. 981,274 58,447,133
Bank United Corp. 65,000 2,612,188
BankBoston Corp. 2,752,000 140,695,999
BB&T Corp. 66,470 2,438,618
City National Corp. 100,000 3,743,750
Colonial Bancgroup, Inc. (The) 281,884 3,928,758
Comerica, Inc. 104,541 6,213,656
Commerce Bancshares, Inc. 2,006 80,742
Community First Bancshares, Inc. 368,000 8,786,000
Compass Bancshares, Inc. 256,668 6,994,203
Fifth Third Bancorp 155,308 10,337,689
First American Corp. 191,617 7,964,082
First Citizens BancShares, Inc. 47,900 3,867,925
First Midwest Bancorp, Inc. 150,235 5,971,841
First Tennessee National Corp. 33,488 1,283,009
First Union Corp. 1,158,768 54,462,096
Fleet Financial Group, Inc. 114,972 5,101,883
Golden West Financial Corp. 7,000 686,000
Keycorp 519,372 16,684,826
Marshall and Ilsley Corp. 20,000 1,287,500
Mellon Bank Corp. 201,912 7,344,549
Mercantile Bancorporation, Inc. 208,779 11,926,500
National City Corp. 104,064 6,816,192
National Commerce Bancorporation 159,632 3,491,950
Northern Trust Corp. 411,898 39,954,106
Old Kent Financial Corp. 103,786 4,346,047
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
8
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Banks - Regional (continued)
- ----------------------------------------------------------------------------
PNC Bank Corp. 72,502 $ 4,177,928
Popular, Inc. 716 21,704
Regions Financial Corp. 611,290 23,496,459
SouthTrust Corp. 418,055 16,042,861
Southwest Bancorporation of Texas,
Inc.(1) 7,688 138,384
Sovereign Bancorporation, Inc. 442,584 5,366,331
Summit Bancorp. 57,000 2,383,313
SunTrust Banks, Inc. 125,248 8,696,908
Synovus Financial 327,710 6,513,236
U.S. Bancorp. 185,325 6,301,050
Union Planters Corp. 99,945 4,466,292
Valley National Bancorp. 242,406 6,969,173
Wachovia Corp. 37,199 3,182,839
Washington Mutual, Inc. 163,506 5,784,025
Wells Fargo & Co. 3,065,971 131,070,259
Westamerica Bancorporation 82,596 3,014,754
Whitney Holding Corp. 149,255 5,932,886
Whitney Holding Corp.(2) 89,741 3,562,211
Zions Bancorporation 20,000 1,270,000
- ----------------------------------------------------------------------------
$ 721,610,001
- ----------------------------------------------------------------------------
Beverages -- 1.7%
- ----------------------------------------------------------------------------
Anheuser-Busch Cos., Inc. 873,342 $ 61,952,698
Coca-Cola Company (The) 1,203,808 75,237,999
PepsiCo, Inc. 1,476,955 57,139,697
- ----------------------------------------------------------------------------
$ 194,330,394
- ----------------------------------------------------------------------------
Broadcasting and Cable -- 1.5%
- ----------------------------------------------------------------------------
AT&T Corp. - Liberty Media Group(1) 229,798 $ 8,445,077
Clear Channel Communications, Inc.(1) 194,807 13,429,508
Comcast Corp., Class A 125,000 4,804,688
Cox Communications, Inc., Class A(1) 386,638 14,233,111
Infinity Broadcasting Corp.(1) 34,500 1,026,375
MediaOne Group, Inc.(1) 1,454,518 108,179,775
Univision Communications, Inc.(1) 384,205 25,357,530
- ----------------------------------------------------------------------------
$ 175,476,064
- ----------------------------------------------------------------------------
Building Materials and Tools -- 0.4%
- ----------------------------------------------------------------------------
American Standard Companies, Inc.(1) 172,899 $ 8,299,152
CRH PLC 260,348 4,612,039
Interface, Inc. 434,412 3,746,804
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Building Materials and Tools (continued)
- ----------------------------------------------------------------------------
Masco Corp. 228,662 $ 6,602,615
Sherwin-Williams Co. (The) 44,670 1,239,593
Snap-On, Inc. 44,444 1,608,317
Valspar Corp. 620,000 23,560,000
- ----------------------------------------------------------------------------
$ 49,668,520
- ----------------------------------------------------------------------------
Business Services - Miscellaneous -- 0.9%
- ----------------------------------------------------------------------------
Cintas Corp. 403,141 $ 27,086,036
Concord EFS, Inc.(1) 75,937 3,213,084
Fair, Issac and Co., Inc. 238,828 8,373,907
Gartner Group, Inc.(1) 31,000 635,500
Half (Robert) International, Inc.(1) 1,800 46,800
Manpower, Inc. 110,000 2,488,750
Metzler Group, Inc. (The)(1) 496,795 13,723,962
National Data Corp. 81,333 3,476,986
Navigant International, Inc.(1) 59,630 469,586
NFO Worldwide, Inc.(1) 18,000 252,000
ServiceMaster Co. 565,201 10,597,519
Staff Leasing, Inc.(1) 156,250 2,011,719
Sylvan Learning Systems, Inc.(1) 815,396 22,168,579
United Rentals, Inc.(1) 453,283 13,371,849
Viad Corp. 40,314 1,247,214
- ----------------------------------------------------------------------------
$ 109,163,491
- ----------------------------------------------------------------------------
Chemicals -- 0.7%
- ----------------------------------------------------------------------------
Bayer AG ADR 40,000 $ 1,664,468
Dow Chemical Co. (The) 23,917 3,034,469
DuPont (E.I.) de Nemours & Co. 232,044 15,851,506
Eastman Chemical Co. 148 7,659
Monsanto Co. 1,292,240 50,962,715
Octel Corp.(1) 3,322 41,525
Rohm and Haas Co. 12,538 537,567
Solutia, Inc. 200,336 4,269,661
- ----------------------------------------------------------------------------
$ 76,369,570
- ----------------------------------------------------------------------------
Communications Equipment -- 2.2%
- ----------------------------------------------------------------------------
3Com Corp.(1) 870,186 $ 23,223,089
Comverse Technology, Inc.(1) 150,000 11,325,000
Dialogic Corp.(1) 80,000 3,510,000
General Motors Corp., Class H(1) 300,010 16,875,563
L.M. Ericsson Telephone Co., ADR 452,000 14,887,750
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Communications Equipment (continued)
- ----------------------------------------------------------------------------
Lucent Technologies, Inc. 418,573 $ 28,227,517
Nokia Corp., Class A, ADR 1,278,440 117,057,162
Nortel Networks Corp. 155,263 13,478,769
PairGain Technologies, Inc.(1) 241,198 2,773,777
Qualcom, Inc.(1) 14,704 2,110,024
Salient 3 Communications, Inc., Class
A(1) 78,125 634,766
Tellabs, Inc.(1) 303,246 20,488,058
- ----------------------------------------------------------------------------
$ 254,591,475
- ----------------------------------------------------------------------------
Communications Services -- 3.3%
- ----------------------------------------------------------------------------
Aliant Communications, Inc. 86,322 $ 3,986,997
Alltel Corp. 505,167 36,119,441
American Tower Corp., Class A(1) 149,451 3,586,824
Ameritech Corp. 30,768 2,261,448
AT&T Corp. 1,202,313 67,104,094
Bell Atlantic Corp. 63,759 4,168,245
BellSouth Corp. 53,220 2,494,688
Citizens Utilities Corp., Class B(1) 45,311 504,085
Frontier Corp. 60,629 3,577,111
GTE Corp. 479,996 36,359,697
Intermedia Communications, Inc.(1) 113,637 3,409,110
ITC Deltacom, Inc.(1)(2) 628,773 17,561,630
ITC Deltacom, Inc.(1)(2) 50,416 1,408,589
IXC Communications, Inc.(1) 176,776 6,949,507
MCI Worldcom, Inc.(1) 1,540,277 132,560,088
McLeodUSA, Inc.(1) 174,459 9,595,245
Nextel Communications, Inc., Class A(1) 75,830 3,805,718
Premiere Technologies, Inc.(1) 28,000 322,000
SBC Communications, Inc. 217,177 12,596,266
Sprint Corp. 331,512 17,507,978
Sprint Corp. (PCS Group)(1) 7,877 449,974
Talk.com Inc.(1) 247,376 2,782,980
Telecom Corp. of New Zealand Ltd. ADR 8,000 279,500
Teleglobe, Inc. 88,500 2,632,875
Telephone & Data Systems, Inc. 131,756 9,626,423
US West, Inc. 26,564 1,560,635
Vodafone AirTouch PLC ADR 2,897 570,611
Winstar Communications, Inc.(1) 11,424 556,920
- ----------------------------------------------------------------------------
$ 384,338,679
- ----------------------------------------------------------------------------
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Computer Software -- 2.5%
- ----------------------------------------------------------------------------
Aspect Development, Inc.(1)(2) 100,000 $ 1,847,379
Baan Co., NV ADR(1) 223,926 3,554,825
BMC Software, Inc.(1) 35,000 1,890,000
Cadence Design Systems, Inc.(1) 706,000 9,001,500
Computer Associates International, Inc. 522,500 28,737,500
Compuware Corp.(1) 2,800 89,075
CSG Systems International, Inc.(1) 41,116 1,076,725
HNC Software, Inc.(1) 477,794 14,722,028
Intuit, Inc.(1) 285,917 25,768,270
Microsoft Corp.(1) 641,602 57,864,480
Oracle Corp.(1) 2,067,822 76,767,891
Parametric Technology Corp.(1) 94,600 1,312,575
PeopleSoft, Inc.(1) 403,710 6,963,998
Sapient Corp.(1) 323,876 18,339,479
Sapient Corp.(1)(2) 16,581 911,515
Security Dynamics Technologies, Inc.(1) 40,000 850,000
Siebel Systems, Inc.(1) 118,000 7,824,875
Siebel Systems, Inc.(1)(2) 300,000 19,884,291
Sterling Commerce, Inc.(1) 2,388 87,162
Structural Dynamics Research Corp.(1) 596,538 11,073,237
Wind River Systems, Inc.(1) 51,933 834,174
- ----------------------------------------------------------------------------
$ 289,400,979
- ----------------------------------------------------------------------------
Computers and Business Equipment -- 7.5%
- ----------------------------------------------------------------------------
Cabletron Systems, Inc.(1) 33,715 $ 438,295
Cisco Systems, Inc.(1) 2,319,684 149,184,676
Compaq Computer Corp. 50,641 1,199,559
Dell Computer Corp.(1) 3,308,624 122,419,087
EMC Corp.(1) 68,524 3,768,820
Gateway, Inc.(1) 200,000 11,800,000
Gateway, Inc.(1)(2) 200,000 11,775,417
Gateway, Inc.(1)(2) 125,000 7,364,675
Hewlett-Packard Co. 551,111 55,386,656
IDX Systems Corp.(1) 35,000 789,688
International Business Machines Corp. 335,972 43,424,381
Lexmark International Group, Inc.(1) 3,854,096 254,611,216
Network Appliance, Inc.(1) 40,000 2,235,000
Seagate Technology, Inc.(1) 40,000 1,025,000
Sun Microsystems, Inc.(1) 7,000 482,125
Xerox Corp. 3,370,142 199,049,011
Zebra Technologies Corp.(1) 6,000 230,625
- ----------------------------------------------------------------------------
$ 865,184,231
- ----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Conglomerates -- 1.2%
- ----------------------------------------------------------------------------
General Electric Co. 1,152,068 $ 130,183,683
United Technologies Corp. 176,484 12,651,697
- ----------------------------------------------------------------------------
$ 142,835,380
- ----------------------------------------------------------------------------
Consumer Services -- 0.2%
- ----------------------------------------------------------------------------
Block (H&R), Inc. 366,177 $ 18,308,850
Cendant Corp.(1) 187,999 3,853,980
Service Corp. International 145,389 2,798,738
Stewart Enterprises, Inc. 153,992 2,242,509
- ----------------------------------------------------------------------------
$ 27,204,077
- ----------------------------------------------------------------------------
Containers and Packaging -- 0.2%
- ----------------------------------------------------------------------------
Sealed Air Corp.(1) 325,000 $ 21,084,375
Sonoco Products Co. 78,571 2,352,219
Temple Inland, Inc. 12,632 862,134
- ----------------------------------------------------------------------------
$ 24,298,728
- ----------------------------------------------------------------------------
Distribution Services -- 1.5%
- ----------------------------------------------------------------------------
Airgas, Inc.(1) 536,219 $ 6,568,683
Arrow Electronics, Inc.(1) 8,750 166,250
Cardinal Health, Inc. 1,189,131 76,253,024
McKesson HBOC, Inc. 10,211 328,028
MSC Industrial Direct Co.(1) 5,000 51,250
School Specialty, Inc.(1) 66,255 1,064,221
Sysco Corp. 2,216,922 66,091,987
U.S. Foodservice, Inc.(1) 571,927 24,378,388
US Office Products Co.(1) 149,077 801,290
Wilmar Industries, Inc.(1) 50,000 650,000
- ----------------------------------------------------------------------------
$ 176,353,121
- ----------------------------------------------------------------------------
Drugs -- 7.2%
- ----------------------------------------------------------------------------
Abbott Laboratories 1,479,837 $ 67,332,584
Allergan, Inc. 50,420 5,596,620
American Home Products Corp. 8,600 494,500
Amgen, Inc.(1) 803,652 48,922,316
AstraZeneca PLC 542,035 21,103,157
AstraZeneca PLC ADR 80,720 3,163,215
Bristol-Myers Squibb Co. 1,060,494 74,698,545
Covance, Inc.(1) 81,250 1,944,922
Elan Corp., PLC ADR(1) 491,494 13,638,959
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Drugs (continued)
- ----------------------------------------------------------------------------
Genzyme Corp., Class A(1) 800,000 $ 38,800,000
Incyte Pharmaceuticals, Inc.(1) 1,129,160 29,852,168
Incyte Pharmaceuticals, Inc.(1)(2) 365,570 9,651,226
Lilly (Eli) & Co. 875,428 62,702,531
Merck & Co., Inc. 1,209,240 89,483,759
Parexel International Corp.(1) 35,000 465,938
Pfizer, Inc. 1,038,933 114,022,896
Quintiles Transnational Corp.(1) 317,372 13,329,624
Quintiles Transnational Corp.(1)(2) 23,400 981,424
Schering-Plough Corp. 774,082 41,026,346
Sepracor, Inc.(1) 542,000 44,037,500
SmithKline Beecham PLC ADR 535,300 35,363,256
Teva Pharmaceutical Industries Ltd. ADR 100,000 4,900,000
Teva Pharmaceutical Industries Ltd.
ADR(2) 50,000 2,442,323
Vertex Pharmaceuticals, Inc.(1) 35,000 844,375
Warner-Lambert Co. 1,054,187 73,134,223
Watson Pharmaceuticals, Inc.(1) 947,738 33,230,064
- ----------------------------------------------------------------------------
$ 831,162,471
- ----------------------------------------------------------------------------
Electric Power -- 0.1%
- ----------------------------------------------------------------------------
AES Corp.(1) 1,686 $ 97,999
Ameren Corp. 5,000 191,875
Central and South West Corp. 1,600 37,400
Dominion Resources, Inc. 28,938 1,253,377
Duke Energy Corp. 1,800 97,875
New England Electric System 2,700 135,338
P G & E Corp. 3,000 97,500
Teco Energy, Inc. 40,000 910,000
Texas Utilities Co. 250,196 10,320,585
Wisconsin Energy Corp. 9,576 239,999
- ----------------------------------------------------------------------------
$ 13,381,948
- ----------------------------------------------------------------------------
Electrical Equipment -- 0.4%
- ----------------------------------------------------------------------------
American Power Conversion Corp.(1) 400,000 $ 8,050,000
Emerson Electric Co. 242,611 15,254,167
Molex, Inc., Class A 90,066 2,837,079
Rockwell International Corp. 203,032 12,334,194
Sanmina Corp.(1) 150,000 11,381,250
Thomas and Betts Corp. 22,963 1,085,002
- ----------------------------------------------------------------------------
$ 50,941,692
- ----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Electronics - Instruments -- 0.2%
- ----------------------------------------------------------------------------
Dionex Corp.(1) 362,140 $ 14,666,670
Dionex Corp.(1)(2) 40,000 1,617,705
Waters Corp.(1) 59,160 3,142,875
X-Rite, Inc. 428,000 2,755,250
- ----------------------------------------------------------------------------
$ 22,182,500
- ----------------------------------------------------------------------------
Electronics - Semiconductors and Related -- 3.4%
- ----------------------------------------------------------------------------
Altera Corp.(1) 40,258 $ 1,481,998
Analog Devices, Inc.(1) 2,030,000 101,880,624
Burr-Brown Corp.(1) 600,000 21,975,000
Conexant Systems(1) 91,700 5,324,331
Intel Corp. 1,882,605 112,014,997
KLA-Tencor Corp.(1) 35,749 2,319,216
Lam Research Corp.(1) 106,000 4,948,875
Level One Communications, Inc.(1) 101,129 4,949,000
Level One Communications, Inc.(1)(2) 500,000 24,392,081
Linear Technologies Corp. 132,000 8,877,000
Maxim Integrated Products Co.(1) 40,000 2,660,000
Maxim Integrated Products Co.(1)(2) 20,664 1,369,003
Motorola, Inc. 389,268 36,883,143
National Semiconductor Corp.(1) 79,368 2,009,003
Smart Modular Technologies, Inc.(1) 60,000 1,042,500
SpeedFam-IPEC, Inc.(1) 221,000 3,549,813
Teradyne, Inc.(1) 12,700 911,225
Texas Instruments, Inc. 338,948 49,147,460
Ultratech Stepper, Inc.(1) 245,129 3,692,256
Uniphase Corp.(1) 36,363 6,036,258
Xilinx, Inc.(1) 24,428 1,398,503
- ----------------------------------------------------------------------------
$ 396,862,286
- ----------------------------------------------------------------------------
Engineering and Construction -- 0.1%
- ----------------------------------------------------------------------------
Dycom Industries(1) 50,000 $ 2,800,000
Jacobs Engineering Group, Inc.(1) 162,455 6,173,290
- ----------------------------------------------------------------------------
$ 8,973,290
- ----------------------------------------------------------------------------
Entertainment -- 1.2%
- ----------------------------------------------------------------------------
Callaway Golf Co. 35,715 $ 522,332
Disney (Walt) Co. 2,384,996 73,487,689
Fox Entertainment Group, Inc.(1) 275,500 7,421,281
Mattel, Inc. 22,091 584,031
Time Warner Inc.(3) 565,220 41,543,670
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Entertainment (continued)
- ----------------------------------------------------------------------------
Viacom, Inc., Class A(1) 21,454 $ 946,658
Viacom, Inc., Class B(1) 160,210 7,049,240
Westwood One(1)(2) 61,200 2,180,981
- ----------------------------------------------------------------------------
$ 133,735,882
- ----------------------------------------------------------------------------
Environmental Services -- 1.0%
- ----------------------------------------------------------------------------
Allied Waste Industries, Inc.(1) 1,075,000 $ 21,231,250
Browning-Ferris Industries, Inc. 423,906 18,227,958
Waste Management, Inc. 1,516,293 81,500,748
- ----------------------------------------------------------------------------
$ 120,959,956
- ----------------------------------------------------------------------------
Financial Services - Miscellaneous -- 4.5%
- ----------------------------------------------------------------------------
American Express Co. 625,648 $ 81,412,445
Associates First Capital Corp. 1,950,000 86,409,374
Capital One Financial Corp. 291,210 16,216,757
Citigroup 2,251,453 106,944,017
Fannie Mae 1,581,970 108,167,198
Finova Group, Inc. 102,433 5,390,537
FirstPlus Financial Group, Inc.(1) 120,000 1,200
Freddie Mac 564,900 32,764,200
Household International, Inc. 1,121,921 53,151,007
MGIC Investment Corp. 80,000 3,890,000
Providian Financial Corp. 322,260 30,131,310
- ----------------------------------------------------------------------------
$ 524,478,045
- ----------------------------------------------------------------------------
Foods -- 1.9%
- ----------------------------------------------------------------------------
Archer-Daniels-Midland Co. 143,775 $ 2,219,527
Bestfoods 18,400 910,800
Campbell Soup Co. 336 15,582
Conagra, Inc. 539,853 14,373,586
Dean Foods Co. 150,944 6,273,610
Flowers Industries, Inc. 522,092 11,322,870
General Mills, Inc. 48,858 3,926,962
H J Heinz Co. 59,713 2,993,114
Hershey Foods Corp. 465,687 27,650,166
Keebler Food Products Co.(1) 40,000 1,215,000
Keebler Food Products Co.(1)(2) 31,480 954,850
Kellogg Co. 93,474 3,084,642
McCormick & Co., Inc. 623,058 19,665,268
Nabisco Holdings Corp., Class A 100,000 4,325,000
Pioneer Hi-Bred International, Inc. 952,171 37,075,158
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Foods (continued)
- ----------------------------------------------------------------------------
Quaker Oats Co. (The) 57,564 $ 3,820,811
Ralston Purina Group 75,259 2,290,696
Riviana Foods, Inc. 250,000 4,687,500
Sara Lee Corp. 1,155,944 26,225,480
Tyson Food, Inc. 1,170,276 26,331,210
Unilever ADR 200,000 13,950,000
Wrigley (Wm.) Jr. Co. 113,180 10,186,200
- ----------------------------------------------------------------------------
$ 223,498,032
- ----------------------------------------------------------------------------
Furniture and Appliances -- 0.5%
- ----------------------------------------------------------------------------
HON Industries, Inc. 1,270,418 $ 37,080,325
Leggett & Platt, Inc. 344,438 9,579,682
Miller (Herman), Inc. 420,000 8,820,000
- ----------------------------------------------------------------------------
$ 55,480,007
- ----------------------------------------------------------------------------
Health Services -- 0.4%
- ----------------------------------------------------------------------------
Aetna, Inc. 59,821 $ 5,350,241
Beverly Enterprises, Inc.(1) 357,143 2,879,465
Concentra Managed Care, Inc.(1) 410,257 6,076,932
FPA Medical Management, Inc.(1)(3) 315,000 3,150
Health Management Associates, Inc.,
Class A(1) 161,170 1,813,163
HealthSouth Corp.(1) 122,699 1,832,816
Integrated Health Services, Inc.(1) 50,000 400,000
Magellan Health Services, Inc.(1) 50,000 500,000
MedPartners, Inc.(1) 17,696 133,826
Orthodontic Centers of America, Inc.(1) 100,000 1,412,500
Pacificare Health Systems, Inc., Class
A(1) 19,500 1,402,781
PhyCor, Inc.(1) 312,500 2,314,469
Quest Diagnostics, Inc.(1) 15,625 427,734
Quorum Health Group, Inc.(1) 21,097 265,031
Renal Care Group, Inc.(1) 371,507 9,612,744
Response Oncology, Inc.(1) 44,761 131,485
Sunrise Assisted Living, Inc.(1) 354,000 12,345,750
United HealthCare Corp. 20,000 1,252,500
- ----------------------------------------------------------------------------
$ 48,154,587
- ----------------------------------------------------------------------------
Household Products -- 3.5%
- ----------------------------------------------------------------------------
Avon Products, Inc. 8,700 $ 482,850
Blyth Industries, Inc.(1) 769,000 26,434,375
Blyth Industries, Inc.(1)(2) 50,000 1,716,344
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Household Products (continued)
- ----------------------------------------------------------------------------
Clorox Co. 200,000 $ 21,362,500
Colgate-Palmolive Co. 54,337 5,365,779
Estee Lauder Co.(2) 1,563,248 78,201,089
Estee Lauder Co.(2) 529,064 26,461,874
Fortune Brands, Inc. 69,838 2,889,547
Gillette Co. 3,387,356 138,881,595
Helen of Troy Ltd.(1) 65,000 1,165,938
Kimberly-Clark Corp. 592,569 33,776,433
Newell Rubbermaid, Inc. 365,708 17,005,422
Procter & Gamble Co. 621,215 55,443,439
- ----------------------------------------------------------------------------
$ 409,187,185
- ----------------------------------------------------------------------------
Industrial Equipment -- 0.7%
- ----------------------------------------------------------------------------
Dover Corp. 355,445 $ 12,440,575
DT Industries, Inc. 37,728 346,626
Federal Signal Corp. 283,471 6,006,042
Illinois Tool Works, Inc. 169,010 13,858,820
Johnson Controls 13,571 940,640
Nordson Corp. 50,000 3,062,500
Parker-Hannifin Corp. 150,898 6,903,584
Regal Beloit Corp. 265,000 6,260,625
Tecumseh Products Co., Class A 156,420 9,473,186
Tyco International Ltd. 276,758 26,222,821
- ----------------------------------------------------------------------------
$ 85,515,419
- ----------------------------------------------------------------------------
Information Services -- 4.4%
- ----------------------------------------------------------------------------
Acxiom Corp.(1) 451,458 $ 11,258,234
America Online, Inc.(1) 108,006 11,934,663
At Home Corp., Series A(1) 48,582 2,620,392
At Home Corp., Series A(1)(2) 200,000 10,753,789
Automatic Data Processing, Inc. 4,287,486 188,649,383
Aztec Technology Partners(1) 119,261 223,614
Bell and Howell Co.(1) 115,000 4,348,438
BISYS Group, Inc. (The)(1) 53,873 3,151,571
CareInsite, Inc.(1) 50,000 2,362,500
Ceridian Corp.(1) 181,000 5,916,438
Check Point Software Technology(1) 26,000 1,394,250
Computer Sciences Corp.(1) 975,202 67,471,788
DST Systems, Inc.(1) 93,000 5,847,375
DST Systems, Inc.(1)(2) 91,517 5,746,076
Dun and Bradstreet Corp. (The) 23,973 849,543
Electronic Data Systems Corp. 156,112 8,830,085
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Information Services (continued)
- ----------------------------------------------------------------------------
Equifax, Inc. 40,000 $ 1,427,500
First Data Corp. 616,261 30,158,273
IDX Systems Corp.(1)(2) 25,000 563,263
IMS Health, Inc. 498,012 15,562,875
Keane, Inc.(1) 200,000 4,525,000
Lason, Inc.(1) 355,000 17,616,875
Momentum Business Applications(1) 7,083 50,024
Nielsen Media Research(1) 83,001 2,427,779
Paychex, Inc. 131,964 4,206,353
Reuters Holdings PLC ADR 273,945 22,206,667
Reynolds & Reynolds, Inc., Class A 451,043 10,514,940
Saville Systems PLC ADR(1) 419,494 6,082,663
SunGard Data Systems, Inc.(1) 1,742,319 60,110,006
- ----------------------------------------------------------------------------
$ 506,810,357
- ----------------------------------------------------------------------------
Insurance -- 6.1%
- ----------------------------------------------------------------------------
20th Century Industries 70,700 $ 1,334,463
Aegon, NV ADR 145,126 10,739,324
Aflac Corp. 94,490 4,523,709
Allmerica Financial Corp. 1,500 91,219
Allstate Corp. (The) 20,426 732,783
American General Corp. 81,153 6,116,907
American International Group, Inc. 2,023,251 236,846,819
AON Corp. 118,423 4,884,949
AON Corp.(2) 378,726 15,617,761
Berkshire Hathaway, Inc.(1) 80 5,512,000
Berkshire Hathaway, Inc., Class B(1) 39,077 87,532,479
Chubb Corp. 101,050 7,022,975
Commerce Group, Inc. 120,000 2,925,000
Conseco, Inc. 100,000 3,043,750
Delphi Financial Group, Inc.(1) 41,616 1,492,974
Enhance Finance Service Group, Inc.(2) 70,000 1,381,118
Gallagher (A.J.) and Co. 35,000 1,732,500
Hartford Financial Services Group 304 17,727
HSB Group, Inc. 75,000 3,089,063
Jefferson-Pilot Corp. 38,267 2,532,797
Kansas City Life Insurance Co. 70,800 3,044,400
Lab Holdings, Inc. 35,960 498,945
Marsh & McLennan Cos., Inc. 2,413,515 182,220,382
Mercury General Corp. 2,000 68,000
Mutual Risk Management Ltd. 1,043,500 34,826,813
Progressive Corp. 190,000 27,550,000
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Insurance (continued)
- ----------------------------------------------------------------------------
Protective Life Corp. 43,381 $ 1,431,573
Reliastar Financial Corp. 87,000 3,806,250
Safeco Corp. 30,322 1,337,958
St. Paul Cos., Inc. (The) 275,532 8,765,362
Torchmark Corp. 222,850 7,604,756
Transamerica Corp. 127,608 9,570,600
UICI(1) 280,854 7,758,592
UNUM Corp.(1) 317,200 17,366,700
- ----------------------------------------------------------------------------
$ 703,020,648
- ----------------------------------------------------------------------------
Investment Services -- 1.5%
- ----------------------------------------------------------------------------
E*Trade Group, Inc.(1) 688,290 $ 27,488,582
E*Trade Group, Inc.(1)(2) 82,958 3,297,453
Federated Investors, Inc. 264,030 4,736,038
Franklin Resources, Inc. 755,539 30,693,772
Merrill Lynch & Co., Inc. 398,340 31,842,304
Morgan Stanley Dean Witter & Co. 487,119 49,929,698
Morgan Stanley Dean Witter & Co.(2) 75,000 7,676,738
Morgan Stanley Dean Witter & Co.(2) 29,596 3,030,556
Price (T. Rowe) Associates, Inc. 86,716 3,327,727
Schwab (Charles) and Co., Inc. 69,250 7,608,844
Waddell & Reed Financial, Inc., Class A 12,680 347,908
Waddell & Reed Financial, Inc., Class B 54,575 1,473,525
- ----------------------------------------------------------------------------
$ 171,453,145
- ----------------------------------------------------------------------------
Lodging and Gaming -- 0.2%
- ----------------------------------------------------------------------------
Interstate Hotels Corp.(1) 4,407 $ 18,179
Royal Caribbean Cruises Ltd. 500,000 21,875,000
Sunterra Corp.(1) 50,000 696,875
Wyndham International, Class A(1) 132,212 594,954
- ----------------------------------------------------------------------------
$ 23,185,008
- ----------------------------------------------------------------------------
Medical Products -- 4.7%
- ----------------------------------------------------------------------------
Ballard Medical Products 624,467 $ 14,557,887
Bausch & Lomb, Inc. 115,804 8,859,006
Baxter International, Inc. 1,284,246 77,857,413
Becton, Dickinson and Co. 36,245 1,087,350
Boston Scientific Corp.(1) 1,079,700 47,439,319
Dentsply International, Inc. 42,000 1,176,000
ESC Medical Systems Ltd.(1) 180,000 1,147,500
Genzyme Surgical Products(1) 143,208 631,017
Guidant Corp. 202,000 10,390,375
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Medical Products (continued)
- ----------------------------------------------------------------------------
Guidant Corp.(2) 23,816 $ 1,223,810
Heartport, Inc.(1) 41,026 97,437
Hillenbrand Industries, Inc. 647,898 28,021,589
Johnson & Johnson Co. 1,882,227 184,458,245
Medtronic, Inc. 1,579,053 122,968,751
Schein (Henry), Corp.(1) 853,700 27,051,619
Schein (Henry), Corp.(1)(2) 271,494 8,594,363
St. Jude Medical, Inc.(1) 42,144 1,501,380
Steris Corp.(1) 78,394 1,518,884
- ----------------------------------------------------------------------------
$ 538,581,945
- ----------------------------------------------------------------------------
Metals - Industrial -- 0.1%
- ----------------------------------------------------------------------------
Cyprus Amax Minerals Co. 20,950 $ 318,178
Nucor Corp. 221,462 10,505,604
Worthington Industries 147,466 2,423,972
- ----------------------------------------------------------------------------
$ 13,247,754
- ----------------------------------------------------------------------------
Minerals and Fertilizer -- 0.0%
- ----------------------------------------------------------------------------
Mississippi Chemical Corp. 217,070 $ 2,129,999
- ----------------------------------------------------------------------------
$ 2,129,999
- ----------------------------------------------------------------------------
Natural Gas Distribution -- 0.1%
- ----------------------------------------------------------------------------
Dynegy, Inc. 290,000 $ 5,908,750
KN Energy, Inc. 30,000 401,250
National Fuel Gas Co. 2,000 97,000
Sonat, Inc. 69,696 2,308,680
- ----------------------------------------------------------------------------
$ 8,715,680
- ----------------------------------------------------------------------------
Oil and Gas - Equipment and Services -- 1.6%
- ----------------------------------------------------------------------------
Ashland, Inc. 46,784 $ 1,877,208
Baker Hughes, Inc. 1,234,234 41,346,839
Core Laboratories NV(1) 544,214 7,584,983
Halliburton Co. 2,061,550 93,285,137
National-Oilwell, Inc.(1) 448,417 6,277,838
Newpark Resources, Inc.(1) 110,000 976,250
Noble Drilling, Inc.(1) 170,000 3,346,875
Patterson Energy, Inc.(1) 200,000 1,975,000
Schlumberger Ltd. 367,470 23,403,246
Syntroleum Corp.(1) 2,735 24,444
Weatherford International(1) 49,861 1,826,159
- ----------------------------------------------------------------------------
$ 181,923,979
- ----------------------------------------------------------------------------
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Oil and Gas - Exploration and Production -- 1.0%
- ----------------------------------------------------------------------------
Anadarko Petroleum Corp. 2,554,000 $ 94,019,124
Apache Corp. 100,003 3,900,117
Burlington Resources, Inc. 128,629 5,563,204
El Paso Energy Corp. 59,572 2,096,190
Kerr - McGee Corp. 136,199 6,835,487
Triton Energy, Ltd.(1) 700 7,525
Union Pacific Resources Group, Inc. 79,795 1,301,656
USX-Marathon Group 50,000 1,628,125
- ----------------------------------------------------------------------------
$ 115,351,428
- ----------------------------------------------------------------------------
Oil and Gas - Integrated -- 1.0%
- ----------------------------------------------------------------------------
Atlantic Richfield Co. 55,366 $ 4,626,521
BP Amoco PLC, ADR 207,253 22,486,951
Chevron Corp. 57,176 5,442,441
Exxon Corp. 262,633 20,255,570
Mobil Corp. 449,445 44,495,055
Murphy Oil Corp. 29,700 1,449,731
Pennzoil-Quaker State Co. 74,457 1,116,855
Phillips Petroleum Co. 4,368 219,765
Royal Dutch Petroleum Co. 39,617 2,386,924
Texaco, Inc. 1,500 93,750
Tosco Corp. 314,619 8,160,430
Tosco Corp.(2) 300,000 7,770,227
- ----------------------------------------------------------------------------
$ 118,504,220
- ----------------------------------------------------------------------------
Paper and Forest Products -- 0.6%
- ----------------------------------------------------------------------------
Caraustar Industries, Inc. 264,862 $ 6,538,781
Champion International Corp. 21,089 1,009,636
Fort James Corp. 56,401 2,136,188
Georgia-Pacific Corp. - G-P Group 638,462 30,247,137
Georgia-Pacific Corp. - Timber Group 305,098 7,703,725
International Paper Co. 119,274 6,023,337
Louisiana Pacific Corp. 55,364 1,314,895
Mead Corporation (The) 38,768 1,618,564
Weyerhaeuser Co. 116,608 8,016,800
Willamette Industries, Inc. 53,000 2,441,313
- ----------------------------------------------------------------------------
$ 67,050,376
- ----------------------------------------------------------------------------
Photography -- 0.1%
- ----------------------------------------------------------------------------
Eastman Kodak Co. 79,463 $ 5,383,618
- ----------------------------------------------------------------------------
$ 5,383,618
- ----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Printing and Business Products -- 0.9%
- ----------------------------------------------------------------------------
American Business Products, Inc. 261,355 $ 3,985,664
Avery Dennison Corp. 1,310,704 79,133,753
Avery Dennison Corp.(2) 40,000 2,411,619
Banta Corp. 42,341 889,161
Bowne & Co., Inc. 172,640 2,244,320
Consolidated Graphics, Inc.(1) 35,064 1,753,200
Consolidated Graphics, Inc.(1)(2) 35,151 1,755,060
Consolidated Graphics, Inc.(1)(2) 9,321 465,659
Corporate Express, Inc.(1) 92,486 647,402
Day Runner, Inc.(1) 8,000 99,000
Deluxe Corp. 80,675 3,141,283
Donnelley (R.R.) & Sons Co. 32,896 1,219,208
Harland (John H.) Co. 51,540 1,027,579
Ikon Office Solutions, Inc. 166,094 2,491,410
Workflow Management, Inc.(1) 79,507 1,132,975
- ----------------------------------------------------------------------------
$ 102,397,293
- ----------------------------------------------------------------------------
Publishing -- 1.2%
- ----------------------------------------------------------------------------
Belo (A.H.) Corp. 388,924 $ 7,656,941
Dow Jones & Co., Inc. 376,300 19,967,419
Gannett Co., Inc. 280,900 20,049,238
Houghton Mifflin Co. 97,400 4,583,888
McGraw-Hill Companies, Inc. (The) 1,061,216 57,239,338
McGraw-Hill Companies, Inc. (The)(2) 178,948 9,638,495
Meredith Corp. 190,000 6,578,750
The MacClatchy Co., Class A 48,066 1,592,186
Times Mirror Co., Class A 151,670 8,986,448
- ----------------------------------------------------------------------------
$ 136,292,703
- ----------------------------------------------------------------------------
Real Estate -- 0.3%
- ----------------------------------------------------------------------------
Avalonbay Communities, Inc. 55,000 $ 2,035,000
Catellus Development Corp.(1) 415,722 6,443,691
Equity Office Properties Trust 2,812 72,058
Jones Lang Lasalle, Inc.(1) 213,193 6,355,816
Prison Realty Corp. 85,146 835,495
Redwood Trust, Inc. 71,710 1,187,697
Rouse Co. (The) 127,700 3,240,388
Trammell Crow Co.(1) 876,098 14,400,861
Ventas, Inc.(1) 25,600 137,600
- ----------------------------------------------------------------------------
$ 34,708,606
- ----------------------------------------------------------------------------
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Restaurants -- 1.4%
- ----------------------------------------------------------------------------
Bob Evans Farms, Inc. 48,193 $ 957,836
Boston Chicken, Inc.(1)(3) 38,500 385
Brinker International, Inc.(1) 435,034 11,827,487
CBRL Group, Inc. 62,047 1,074,189
CKE Restaurants, Inc. 126,522 2,055,983
Foodmaker, Inc.(1) 500,000 14,187,500
Lone Star Steakhouse and Saloon, Inc.(1) 345,981 3,362,520
McDonald's Corp. 1,334,232 55,120,460
Outback Steakhouse, Inc.(1) 685,923 26,965,348
Papa John's International, Inc.(1) 77,551 3,465,560
Papa John's International, Inc.(1)(2) 47,649 2,126,334
Sonic Corp.(1) 47,338 1,544,402
Starbucks Corp.(1) 684,000 25,692,750
Tricon Global Restaurants, Inc.(1) 178,394 9,655,575
- ----------------------------------------------------------------------------
$ 158,036,329
- ----------------------------------------------------------------------------
Retail - Food and Drug -- 3.7%
- ----------------------------------------------------------------------------
Albertson's, Inc. 2,909,613 $ 150,026,919
Albertson's, Inc.(2) 10,000 514,895
CVS Corp. 2,726,571 138,373,477
General Nutrition Companies, Inc.(1) 44,460 1,036,474
Hannaford Brothers Co. 30,849 1,650,422
Kroger Co. (The)(1) 52,440 1,465,043
Rite Aid Corp. 6,000 147,750
Safeway, Inc.(1) 2,299,507 113,825,596
Walgreen Co. 27,500 807,813
Whole Foods Market, Inc.(1) 90,000 4,325,625
Winn-Dixie Stores, Inc. 322,885 11,926,565
- ----------------------------------------------------------------------------
$ 424,100,579
- ----------------------------------------------------------------------------
Retail - General -- 1.7%
- ----------------------------------------------------------------------------
99 Cents Only Stores(1) 428,337 $ 21,390,079
Casey's General Stores, Inc. 75,000 1,125,000
Department 56, Inc.(1) 190,000 5,106,250
Department 56, Inc.(1)(2) 29,404 789,113
Department 56, Inc.(1)(2) 35,758 960,035
Dollar General Corp. 32,031 928,899
Dollar Tree Stores, Inc.(1) 770,178 33,887,832
Dollar Tree Stores, Inc.(1)(2) 154,032 6,770,631
Family Dollar Stores(2) 345,987 8,295,384
Harcourt General, Inc. 216,416 11,158,950
May Department Stores Co. (The) 382,617 15,639,470
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Retail - General (continued)
- ----------------------------------------------------------------------------
Nordstrom, Inc. 27,610 $ 924,935
Penney (J.C.) Company, Inc. 1,049,518 50,967,218
Sears Roebuck & Co. 11,750 523,609
Wal-Mart Stores, Inc. 881,451 42,530,011
- ----------------------------------------------------------------------------
$ 200,997,416
- ----------------------------------------------------------------------------
Retail - Specialty and Apparel -- 2.9%
- ----------------------------------------------------------------------------
Abercrombie and Fitch Co., Class A(1) 5,604 $ 268,992
Autonation, Inc.(1) 4,984,608 88,788,329
Burlington Coat Factory Warehouse Corp. 543,600 10,498,275
Home Depot, Inc. (The) 2,582,961 166,439,548
Limited, Inc. (The) 257,600 11,688,600
Lowe's Companies 60,000 3,401,250
Office Depot, Inc.(1) 255,541 5,637,873
OfficeMax, Inc.(1) 672,867 8,074,404
Payless Shoesource, Inc.(1) 7,700 411,950
Pep Boys - Manny, Moe & Jack (The) 97,976 2,118,731
Pier 1 Imports, Inc. 225,000 2,531,250
Pier 1 Imports, Inc.(2) 125,000 1,404,258
Staples, Inc.(1) 425,000 13,148,438
Tandy Corp. 240,000 11,730,000
Tiffany and Co. 22,000 2,123,000
TJX Companies, Inc. (The) 50,000 1,665,625
Toys "R" Us, Inc.(1) 73,255 1,515,463
- ----------------------------------------------------------------------------
$ 331,445,986
- ----------------------------------------------------------------------------
Specialty Chemicals and Materials -- 1.2%
- ----------------------------------------------------------------------------
Arch Chemicals, Inc. 4,950 $ 120,347
Corning, Inc. 176,904 12,405,393
Dexter Corp. (The) 36,139 1,474,923
Ecolab, Inc. 2,050,336 89,445,907
International Flavors & Fragrances, Inc. 148,101 6,571,982
International Specialty Products,
Inc.(1) 59,000 601,063
MacDermid, Inc. 30,000 1,395,000
Millipore Corp. 101,440 4,114,660
Minnesota Mining & Manufacturing Co. 77,787 6,762,607
Nalco Chemical Co. 224,852 11,664,198
Olin Corp. 9,900 130,556
Pall Corp. 216,000 4,792,500
RPM, Inc. 70,138 995,083
Sigma Aldrich Corp. 75,000 2,582,813
- ----------------------------------------------------------------------------
$ 143,057,032
- ----------------------------------------------------------------------------
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Tobacco -- 0.1%
- ----------------------------------------------------------------------------
Philip Morris Co., Inc. 249,706 $ 10,035,060
- ----------------------------------------------------------------------------
$ 10,035,060
- ----------------------------------------------------------------------------
Transportation -- 0.4%
- ----------------------------------------------------------------------------
Arnold Industries, Inc. 148,543 $ 2,293,133
Burlington Northern Santa Fe Corp. 204,795 6,348,645
Coach USA, Inc.(1) 373,243 15,652,878
FDX Corp.(1) 187,446 10,168,946
Heartland Express, Inc.(1) 250,000 4,093,750
Norfolk Southern Corp. 390 11,749
Union Pacific Corp. 92,081 5,369,473
- ----------------------------------------------------------------------------
$ 43,938,574
- ----------------------------------------------------------------------------
Trucks and Parts -- 0.0%
- ----------------------------------------------------------------------------
Paccar, Inc. 46,602 $ 2,487,382
- ----------------------------------------------------------------------------
$ 2,487,382
- ----------------------------------------------------------------------------
Total Common Stocks
(identified cost $7,634,502,820) $ 10,956,194,673
- ----------------------------------------------------------------------------
RIGHTS -- 0.0%
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Communications Services -- 0.0%
- ----------------------------------------------------------------------------
Talk.com, Inc.(1) 12,369 $ 0
- ----------------------------------------------------------------------------
$ 0
- ----------------------------------------------------------------------------
Total Rights
(identified cost $0) $ 0
- ----------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS -- 0.4%
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
Entertainment -- 0.4%
- ----------------------------------------------------------------------------
Time Warner Inc., Series J(3) 121,597 $ 37,552,057
- ----------------------------------------------------------------------------
$ 37,552,057
- ----------------------------------------------------------------------------
Financial - Miscellaneous -- 0.0%
- ----------------------------------------------------------------------------
American General Corp., Series D(1) 21,474 $ 1,331,388
- ----------------------------------------------------------------------------
$ 1,331,388
- ----------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
17
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<CAPTION>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
Health Services -- 0.0%
- ----------------------------------------------------------------------------
Aetna, Inc., Series C(1) 449 $ 33,338
- ----------------------------------------------------------------------------
$ 33,338
- ----------------------------------------------------------------------------
Real Estate -- 0.0%
- ----------------------------------------------------------------------------
Patriot America Hospitality, Inc.(1) 2,326 $ 58,150
- ----------------------------------------------------------------------------
$ 58,150
- ----------------------------------------------------------------------------
Total Convertible Preferred Stocks
(identified cost $14,486,171) $ 38,974,933
- ----------------------------------------------------------------------------
COMMERCIAL PAPER -- 5.2%
<CAPTION>
FACE AMOUNT
NAME OF COMPANY (000'S OMITTED) VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
American Express Credit Corp., 5.28%,
7/7/99 $ 150,000 $ 149,868,000
Associates Corp. of North America,
5.75%, 7/1/99 111,493 111,493,000
Corporate Asset Funding Corp. (144a),
5.30%, 7/8/99 75,000 74,922,708
Corporate Receivables Corp. (144a),
4.86%, 7/28/99 75,000 74,726,625
Corporate Receivables Corp. (144a),
5.80%, 7/1/99 43,768 43,768,000
Freddie Mac, 4.75%, 7/8/99 90,794 90,710,142
General Electric Capital Corp., 4.84%,
7/13/99 59,614 59,517,823
- ----------------------------------------------------------------------------
Total Commercial Paper
(identified cost $605,006,298) $ 605,006,298
- ----------------------------------------------------------------------------
Total Investments -- 100.2%
(identified cost $8,253,995,289) $ 11,600,175,904
- ----------------------------------------------------------------------------
Other Assets, Less Liabilities -- (0.2)% $ (20,447,351)
- ----------------------------------------------------------------------------
Net Assets -- 100.0% $ 11,579,728,553
- ----------------------------------------------------------------------------
</TABLE>
ADR - American Depositary Receipt
(1) Non-income producing security.
(2) Security restricted from resale for a period not exceeding one year. At
June 30, 1999, the value of these securities totaled $337,414,825 or 2.9%
of net assets.
(3) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
SEE NOTES TO FINANCIAL STATEMENTS
18
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF JUNE 30, 1999
<S> <C>
Assets
- ----------------------------------------------------------
Investments, at value
(identified cost $8,253,995,289) $ 11,600,175,904
Cash 914,080
Receivable for investments sold 13,996,836
Dividends receivable 8,645,004
Tax reclaim receivable 27,489
Other assets 378,876
Deferred organization expenses 3,086
- ----------------------------------------------------------
TOTAL ASSETS $ 11,624,141,275
- ----------------------------------------------------------
Liabilities
- ----------------------------------------------------------
Payable for investments purchased $ 44,212,634
Payable to affiliate for Trustees' fees 9,795
Other accrued expenses 190,293
- ----------------------------------------------------------
TOTAL LIABILITIES $ 44,412,722
- ----------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $ 11,579,728,553
- ----------------------------------------------------------
Sources of Net Assets
- ----------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $ 8,233,548,121
Net unrealized appreciation (computed on
the basis of
identified cost) 3,346,180,432
- ----------------------------------------------------------
TOTAL $ 11,579,728,553
- ----------------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
JUNE 30, 1999
<S> <C>
Investment Income
- -------------------------------------------------------
Dividends (net of foreign taxes,
$731,336) $ 46,287,281
Interest 11,856,835
- -------------------------------------------------------
TOTAL INVESTMENT INCOME $ 58,144,116
- -------------------------------------------------------
Expenses
- -------------------------------------------------------
Investment adviser fee $ 22,746,571
Trustees fees and expenses 23,985
Custodian fee 599,899
Legal and accounting services 16,610
Amortization of organization expenses 1,079
Miscellaneous 41,322
- -------------------------------------------------------
TOTAL EXPENSES $ 23,429,466
- -------------------------------------------------------
NET INVESTMENT INCOME $ 34,714,650
- -------------------------------------------------------
Realized and Unrealized Gain (Loss)
- -------------------------------------------------------
Net realized gain (loss) --
Investments (identified cost basis) $ 31,015,609
Foreign currency (3,793)
- -------------------------------------------------------
NET REALIZED GAIN $ 31,011,816
- -------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ 800,339,204
Foreign currency (183)
- -------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) $ 800,339,021
- -------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 831,350,837
- -------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 866,065,487
- -------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
19
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
JUNE 30, 1999 DECEMBER 31, YEAR ENDED
Increase (Decrease) in Net Assets (UNAUDITED) 1998(1) OCTOBER 31, 1998
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 34,714,650 $ 9,404,648 $ 40,322,702
Net realized gain (loss) 31,011,816 21,475,026 (88,268,073)
Net change in unrealized appreciation
(depreciation) 800,339,021 950,828,792 540,179,532
- ----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 866,065,487 $ 981,708,466 $ 492,234,161
- ----------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 2,402,993,676 $ 858,758,546 $ 4,084,235,841
Withdrawals (394,189,945) (121,286,161) (462,237,336)
- ----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $ 2,008,803,731 $ 737,472,385 $ 3,621,998,505
- ----------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 2,874,869,218 $ 1,719,180,851 $ 4,114,232,666
- ----------------------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------------------
At beginning of period $ 8,704,859,335 $ 6,985,678,484 $ 2,871,445,818
- ----------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 11,579,728,553 $ 8,704,859,335 $ 6,985,678,484
- ----------------------------------------------------------------------------------------------------
</TABLE>
(1) For the two-month period ended December 31, 1998.
SEE NOTES TO FINANCIAL STATEMENTS
20
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED YEAR ENDED OCTOBER 31,
JUNE 30, 1999 DECEMBER 31, ---------------------------------------------
(UNAUDITED) 1998(1) 1998 1997 1996(2)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------------
Expenses 0.47%(3) 0.48%(3) 0.50% 0.56% 0.66%(3)
Net investment income 0.69%(3) 0.72%(3) 0.78% 0.81% 0.91%(3)
Portfolio turnover 3% 3% 12% 14% 6%
- ------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $11,579,729 $8,704,859 $6,985,678 $2,871,446 $ 936,800
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) For the two-month period ended December 31, 1998.
(2) For the period from the start of business, December 1, 1995, to October 31,
1996.
(3) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
21
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 Significant Accounting Policies
- -------------------------------------------
Tax-Managed Growth Portfolio (the Portfolio) is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The Portfolio, which was organized as a trust
under the laws of the State of New York on December 1, 1995, seeks to provide
long-term after-tax returns by investing in a diversified portfolio of equity
securities. The Declaration of Trust permits the Trustees to issue interests
in the Portfolio. The following is a summary of significant accounting
policies consistently followed by the Portfolio in the preparation of its
financial statements. The policies are in conformity with generally accepted
accounting principles.
A Investment Valuations -- Marketable securities, including options, that are
listed on foreign or U.S. securities exchanges or in the NASDAQ National
Market System are valued at closing sale prices, on the exchange where such
securities are principally traded. Futures positions on securities or
currencies are generally valued at closing settlement prices. Unlisted or
listed securities for which closing sale prices are not available are
generally valued at the mean between the latest bid and asked prices.
Short-term debt securities with a remaining maturity of 60 days or less are
valued at amortized cost, which approximates value. Other fixed income and
debt securities, including listed securities and securities for which price
quotations are available, will normally be valued on the basis of valuations
furnished by a pricing service. Over-the counter options are normally valued
at the mean between the latest bid and asked price. Investments for which
valuations or market quotations are unavailable are valued at fair value
using methods determined in good faith by or at the direction of the
Trustees.
B Income Taxes -- The Portfolio is treated as a partnership for Federal tax
purposes. No provision is made by the Portfolio for federal or state taxes on
any taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes on its share of such
income. Since some of the Portfolio's investors are regulated investment
companies that invest all or substantially all of their assets in the
Portfolio, the Portfolio normally must satisfy the applicable source of
income and diversification requirements (under the Internal Revenue Code) in
order for its investors to satisfy them. The Portfolio will allocate, at
least annually among its investors, each investor's distributive share of the
Portfolio's net investment income, net realized capital gains, and any other
items of income, gain, loss, deduction or credit.
C Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization, are being amortized on the straight-line
basis over five years.
D Futures Contracts -- Upon the entering of a financial futures contract, the
Portfolio is required to deposit either in cash or securities an amount
("initial margin") equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by the Portfolio ("margin maintenance") each day, dependent on daily
fluctuations in the value of the underlying security, and are recorded for
book purposes as unrealized gains or losses by the Portfolio. The Portfolio's
investment in financial futures contracts is designed to hedge against
anticipated future changes in price of current or anticipated portfolio
positions. Should prices move unexpectedly, the Portfolio may not achieve the
anticipated benefits of the financial futures contracts and may realize a
loss.
E Put Options -- Upon the purchase of a put option by the Portfolio, the
premium paid is recorded as an investment, the value of which is
marked-to-market daily. When a purchased option expires, the Portfolio will
realize a loss in the amount of the cost of the option. When the Portfolio
enters into a closing sale transaction, the Portfolio will realize a gain or
loss depending on whether the sales proceeds from the closing sale
transaction are greater or less than the cost of the option. When the
Portfolio exercises a put option, settlement is made in cash. The risk
associated with purchasing options is limited to the premium originally paid.
F Securities Sold Short -- The Portfolio may sell securities it does not own in
anticipation of a decline in the market price of the securities or in order
to hedge portfolio positions. The Portfolio will generally borrow the
security sold in order to make delivery to the buyer. Upon executing the
transaction, the Portfolio records the proceeds as deposits with brokers in
the Statement of Assets and Liabilities and establishes an offsetting payable
for securities sold short for the securities due on settlement. The proceeds
are retained by the broker as collateral for the short position. The
liability is marked to market and the Portfolio is required to pay the
lending broker any dividend or interest income earned while the short
position is open. A gain or loss is recorded when the security is delivered
to the broker. The Portfolio may recognize a loss on the transaction if the
market value of the securities sold increases before the securities are
delivered.
22
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
G Other -- Investment transactions are accounted for on the date the
investments are purchased or sold. Dividend income is recorded on the
ex-dividend date. However, if the ex-dividend date has passed, certain
dividends from foreign securities are recorded as the Portfolio is informed
of the ex-dividend date. Interest income is recorded on the accrual basis.
H Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts
of revenue and expense during the reporting period. Actual results could
differ from those estimates.
I Interim Financial Statements -- The interim financial statements relating to
June 30, 1999 and for the six months then ended have not been audited by
independent certified public accountants, but in the opinion of the
Portfolio's management, reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 Investment Adviser Fee and Other Transactions with Affiliates
- -------------------------------------------
The investment adviser fee is earned by Boston Management and Research (BMR),
a wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation
for management and investment advisory services rendered to the Portfolio.
Under the advisory agreement, BMR receives a monthly advisory fee of 5/96 of
1% (0.625% annually) of the average daily net assets of the Portfolio up to
$500,000,000, and at reduced rates as daily net assets exceed that level. For
the six months ended June 30, 1999, the adviser fee was 0.46% (annualized) of
the Portfolio's average net assets. Except for Trustees of the Portfolio who
are not members of EVM's or BMR's organization, officers and Trustees receive
remuneration for their services to the Portfolio out of such investment
adviser fee. Trustees of the Portfolio that are not affiliated with the
Investment Adviser may elect to defer receipt of all or a percentage of their
annual fees in accordance with the terms of the Trustees Deferred
Compensation Plan. For the period ended June 30, 1999, no significant amounts
have been deferred.
Certain officers and Trustees of the Portfolio are officers of the above
organizations.
3 Investment Transactions
- -------------------------------------------
For the six-month period ended June 30, 1999, purchases and sales of
investments, other than short-term obligations, aggregated $1,047,848,386,
and $293,580,788, respectively. In addition, investments having an aggregate
market value of $78,848,865 at dates of withdrawal were distributed in
payment for capital withdrawals resulting in capital gains for book purposes
of $74,028,808. During the six months ended June 30, 1999, investors
contributed securities with a value of $1,162,781,246.
4 Federal Income Tax Basis of Investment
- -------------------------------------------
The cost and unrealized appreciation (depreciation) in value of the
investments owned at June 30, 1999, as computed on a federal income tax
basis, are as follows:
<TABLE>
<S> <C>
AGGREGATE COST $ 4,260,394,031
- ---------------------------------------------------------
Gross unrealized appreciation $ 7,353,013,289
Gross unrealized depreciation (13,231,416)
- ---------------------------------------------------------
NET UNREALIZED APPRECIATION $ 7,339,781,873
- ---------------------------------------------------------
</TABLE>
5 Financial Instruments
- -------------------------------------------
The Portfolio may trade in financial instruments with off-balance sheet risk
in the normal course of its investing activities to assist in managing
exposure to various market risks. These financial instruments include written
options, forward foreign currency exchange contracts and financial futures
contracts and may involve, to a varying degree, elements of risk in excess of
the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment the Portfolio has in particular classes of financial instruments
and does not necessarily represent the amounts potentially subject to risk.
The measurement of the risks associated with these instruments is meaningful
only when all related and offsetting transactions are considered.
The Portfolio did not have any open obligations under these financial
instruments at June 30, 1999.
6 Line of Credit
- -------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $130 million unsecured line of credit agreement
with a group of banks. The Portfolio may temporarily borrow
23
<PAGE>
TAX-MANAGED GROWTH PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
from the line of credit to satisfy redemption requests or settle investment
transactions. Interest is charged to each portfolio or fund based on its
borrowings at the Eurodollar rate or federal funds rate. In addition, a fee
computed at an annual rate of 0.10% on the daily unused portion of the line
of credit is allocated among the participating portfolios and funds at the
end of each quarter. The Portfolio did not have any significant borrowings or
allocated fees during the six-month period ended June 30, 1999.
7 Fiscal Year End Change
- -------------------------------------------
Effective November 1, 1998, the Portfolio changed its fiscal year-end to
December 31.
24
<PAGE>
CAPITAL EXCHANGE FUND AS OF JUNE 30, 1999
INVESTMENT MANAGEMENT
CAPITAL EXCHANGE FUND
Officers
James B. Hawkes
President and Trustee
Thomas E. Faust, Jr.
Vice President
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School of
Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer
United Asset Management Corporation
Jack L. Treynor
Investment Adviser and Consultant
TAX-MANAGED GROWTH PORTFOLIO
Officers
James B. Hawkes
President and Trustee
Duncan W. Richardson
Vice President and
Portfolio Manager
James L. O'Connor
Treasurer
Alan R. Dynner
Secretary
Trustees
Jessica M. Bibliowicz
President and Chief Executive Officer,
National Financial Partners
Donald R. Dwight
President, Dwight Partners, Inc.
Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking
Emeritus, Harvard University Graduate School of
Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer
United Asset Management Corporation
Jack L. Treynor
Investment Adviser and Consultant
25
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Investment Adviser of Tax-Managed Growth Portfolio
Boston Management and Research
The Eaton Vance Building
255 State Street
Boston, MA 02109
Administrator of Capital Exchange Fund
Eaton Vance Management
The Eaton Vance Building
255 State Street
Boston, MA 02109
Custodian
Investors Bank & Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer and Dividend Disbursing Agent
First Data Investor Services Group
Attention: Eaton Vance Funds
P.O. Box 5123
Westborough, MA 01581-5123
Capital Exchange Fund
The Eaton Vance Building
255 State Street
Boston, MA 02109
2-2226-8/99 CAPSRC-8/99
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