<PAGE>
Total Return Portfolio as of June 30, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks -- 89.4%
<TABLE>
<CAPTION>
Security Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C>
Banks and Money Services -- 0.0%
- --------------------------------------------------------------------------------
Echelon International Corp.* 1 $ 20
- --------------------------------------------------------------------------------
$ 20
- --------------------------------------------------------------------------------
Broadcasting and Cable -- 0.5%
- --------------------------------------------------------------------------------
Ovation, Inc. 238,168 $ 2,214,962
- --------------------------------------------------------------------------------
$ 2,214,962
- --------------------------------------------------------------------------------
Electric Utilities -- 36.1%
- --------------------------------------------------------------------------------
Carolina Power & Light Co. 200,000 $ 7,175,000
Central Louisiana Electric Co. 220,000 6,187,500
Cilcorp, Inc. 230,000 9,473,125
CINergy Corp. 450,000 15,665,625
DPL, Inc. 600,000 14,775,000
DQE, Inc. 400,000 11,300,000
Electric De Portugal ADR 4,000 144,000
Empresa Nacional Electric ADR 25,000 2,126,563
FPL Group, Inc. 150,000 6,909,375
LG & E Energy Corp. 198,000 4,368,375
Long Island Lighting Co. 400,000 9,200,000
National Grid Holdings 800,000 2,922,480
NIPSCO Industries, Inc. 375,000 15,492,188
Pinnacle West Capital Corp. 350,000 10,521,875
PowerGen PLC 1,500,000 17,849,550
Sierra Pacific Resources 150,000 4,800,000
Southern Electric 500,000 3,690,550
Teco Energy, Inc. 300,000 7,668,750
United Utilities PLC 200,000 2,198,540
- --------------------------------------------------------------------------------
$152,468,496
- --------------------------------------------------------------------------------
Financial - Miscellaneous -- 1.3%
- --------------------------------------------------------------------------------
Bank Plus Corp. 345,000 $ 3,751,875
Long Beach Financial Corp. 200,000 1,750,000
- --------------------------------------------------------------------------------
$ 5,501,875
- --------------------------------------------------------------------------------
Health Services -- 0.1%
- --------------------------------------------------------------------------------
American Retirement Corp.* 16,200 $ 287,550
- --------------------------------------------------------------------------------
$ 287,550
- --------------------------------------------------------------------------------
Natural Gas Utilities -- 10.1%
- --------------------------------------------------------------------------------
ENI ADR 300,000 $ 17,062,500
Enserch Corp. 240,500 5,351,125
K N Energy 114,000 4,802,250
Sonat, Inc. 300,000 15,375,000
- --------------------------------------------------------------------------------
$ 42,590,875
- --------------------------------------------------------------------------------
REITS -- 22.1%
- --------------------------------------------------------------------------------
Annaly Mortgage, Inc. 144A 350,000 $ 3,500,000
Beacon Properties Corp. 50,000 1,668,750
Cali Realty Corp. 300,000 10,200,000
Criimi Mae, Inc. 1,279,800 20,476,800
First Union Real Estate 350,000 4,965,625
LTC Properties, Inc. 200,000 3,625,000
Ocwen Asset Investment Corp. 575,000 11,643,750
Prime Retail, Inc. 200,000 2,693,740
Reckson Associates Realty Corp. 66,900 1,538,700
Redwood Trust, Inc. 175,000 8,181,250
Security Capital US Realty Trust* 600,000 8,970,000
Sunstone Hotel Investors, Inc. 525,000 7,612,500
Vornado Realty Trust 110,000 7,933,750
- --------------------------------------------------------------------------------
$ 93,009,865
- --------------------------------------------------------------------------------
Telephone Utilities -- 19.2%
- --------------------------------------------------------------------------------
ACC Corp. 240,000 $ 7,410,000
Ameritech Corp. 50,000 3,396,875
Bell Atlantic Corp. 50,000 3,793,750
Bellsouth Corp. 300,000 13,912,500
GTE Corp. 475,000 20,840,624
NYNEX Corp. 50,000 2,881,250
Qwest Communications International 45,000 1,226,250
SBC Communications, Inc. 100,000 6,187,500
Smartalk Teleservices, Inc.* 245,000 3,828,125
Tele Save Holdings, Inc. 190,000 2,897,500
Telecomunicacoes Brasileiras ADR 10,000 1,517,500
Trescom International, Inc.* 450,000 3,318,750
WorldCom, Inc. 300,000 9,600,000
- --------------------------------------------------------------------------------
$ 80,810,624
- --------------------------------------------------------------------------------
Total Common Stocks
(identified cost $317,506,079) $376,884,267
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
9
<PAGE>
Total Return Portfolio as of June 30, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Convertible Preferred Stocks-- 4.0%
Security Shares Value
- --------------------------------------------------------------------------
<S> <C> <C>
REITS -- 4.0%
- --------------------------------------------------------------------------
Excel Realty 350,000 $ 9,537,500
Vornado Realty Trust 50,000 2,650,000
Walden Residential 153,000 4,437,000
- --------------------------------------------------------------------------
$ 16,624,500
- --------------------------------------------------------------------------
Total Convertible Preferred Stocks
(identified cost $15,075,000) $ 16,624,500
- --------------------------------------------------------------------------
<CAPTION>
Preferred Stocks -- 2.8%
Security Shares Value
- --------------------------------------------------------------------------
<S> <C> <C>
Banks and Money Services -- 2.8%
- --------------------------------------------------------------------------
Fidelity Federal Bank 425,000 $ 11,900,000
- --------------------------------------------------------------------------
$ 11,900,000
- --------------------------------------------------------------------------
Total Preferred Stocks
(identified cost $11,018,750) $ 11,900,000
- --------------------------------------------------------------------------
<CAPTION>
Warrants -- 0.1%
Security Shares Value
- --------------------------------------------------------------------------
<S> <C> <C>
REITS -- 0.1%
- --------------------------------------------------------------------------
Homestead Village, Inc. Warrants 5,504 $ 46,784
Walden Residential Warrants 340,000 467,500
- --------------------------------------------------------------------------
$ 514,284
- --------------------------------------------------------------------------
Total Warrants
(identified cost $3,956) $ 514,284
- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Convertible Bonds-- 3.3%
Principal
Amount
(000's
Security omitted) Value
- --------------------------------------------------------------------------
<S> <C> <C>
Midcom Communications, 8.25%, 8/15/03 $11,000 $ 7,370,000
Ovation, Inc., 9.75%, 2/23/01 2,000 2,000,000
Rent Way, Inc., 7.00%, 2/1/07 2,000 2,310,000
SA Telecommunications, 10.00%, 8/15/06 3,000 2,175,000
- --------------------------------------------------------------------------
Total Convertible Bonds
(identified cost $17,833,750) $ 13,855,000
- --------------------------------------------------------------------------
<CAPTION>
Corporate Bonds -- 0.3%
Principal
Amount
(000's
Security omitted) Value
- --------------------------------------------------------------------------
<S> <C> <C>
Life Savings Bank, 13.50%, 3/15/04 $ 1,500 $ 1,500,000
- --------------------------------------------------------------------------
Total Corporate Bonds
(identified cost $1,500,000) $ 1,500,000
- --------------------------------------------------------------------------
<CAPTION>
Commercial Paper -- 2.1%
Principal
Amount
(000's
Security omitted) Value
- --------------------------------------------------------------------------
<S> <C> <C>
Cut Group, 6.25%, 7/1/97 $ 8,688 $ 8,688,000
- --------------------------------------------------------------------------
Total Commercial Paper
(amortized cost $8,688,000) $ 8,688,000
- --------------------------------------------------------------------------
Total Investments -- 102.0%
(identified cost $371,625,535) $429,966,051
- --------------------------------------------------------------------------
Other Assets, Less Liabilities -- (2.0)% $ (8,248,005)
- --------------------------------------------------------------------------
Net Assets -- 100% $421,718,046
- --------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
See notes to financial statements
10
<PAGE>
Total Return Portfolio as of June 30, 1997
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of June 30, 1997
Assets
- --------------------------------------------------------------------------------
<S> <C>
Investments, at value (Note 1A)
(identified cost, $371,625,535) $429,966,051
Cash 2,416
Receivable for investments sold 10,829,601
Dividends and interest receivable 2,766,697
Miscellaneous receivable 15,213
Tax reclaim receivable 36,159
Deferred organization expenses (Note 1H) 5,539
- --------------------------------------------------------------------------------
Total assets $443,621,676
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Payable for investments purchased $ 21,849,611
Accrued expenses 54,019
- --------------------------------------------------------------------------------
Total liabilities $ 21,903,630
- --------------------------------------------------------------------------------
Net Assets applicable to investors' interest in Portfolio $421,718,046
- --------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $363,365,887
Net unrealized appreciation of investments (computed
on the basis of identified cost) 58,352,159
- --------------------------------------------------------------------------------
Total $421,718,046
- --------------------------------------------------------------------------------
</TABLE>
Statement of Operations
<TABLE>
<CAPTION>
For the Six Months Ended
June 30, 1997
Investment Income (Note 1B & 1I)
- --------------------------------------------------------------------------------
<S> <C>
Dividends (net of withholding taxes, $99,028) $ 10,148,838
Interest income 2,156,260
- --------------------------------------------------------------------------------
Total income $ 12,305,098
- --------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------
Investment adviser fee (Note 3) $ 1,466,571
Compensation of Trustees not members of the Investment
Adviser's organization (Note 3) 600
Custodian fee 94,772
Legal and accounting services 20,651
Amortization of organization expenses (Note 1H) 2,082
Miscellaneous 6,615
- --------------------------------------------------------------------------------
Total expenses $ 1,591,291
- --------------------------------------------------------------------------------
Net investment income $ 10,713,807
- --------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments
- --------------------------------------------------------------------------------
Net realized gain --
Investment transactions (identified cost basis) $ 9,671,633
Foreign currency transactions 56,106
- --------------------------------------------------------------------------------
Net realized gain on investments $ 9,727,739
- --------------------------------------------------------------------------------
Change in unrealized appreciation --
Investments (identified cost basis) $ 3,463,218
Foreign currency (3,062)
- --------------------------------------------------------------------------------
Net change in unrealized appreciation $ 3,460,156
- --------------------------------------------------------------------------------
Net realized and unrealized gain on investments $ 13,187,895
- --------------------------------------------------------------------------------
Net increase in net assets resulting from operations $ 23,901,702
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
11
<PAGE>
Total Return Portfolio as of June 30, 1997
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended
Increase (Decrease) June 30, 1997 Year Ended
in Net Assets (Unaudited) December 31, 1996
- ----------------------------------------------------------------------------------------
<S> <C> <C>
From operations --
Net investment income $ 10,713,807 $ 29,247,918
Net realized gain on investments 9,727,739 46,868,346
Net change in unrealized appreciation 3,460,156 (41,698,849)
- ----------------------------------------------------------------------------------------
Net increase in net assets
from operations $ 23,901,702 $ 34,417,415
- ----------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 22,591,605 $ 18,255,080
Withdrawals (79,842,256) (119,275,825)
- ----------------------------------------------------------------------------------------
Net decrease in net assets
from capital transactions $ (57,250,651) $(101,020,745)
- ----------------------------------------------------------------------------------------
Net decrease in net assets $ (33,348,949) $ (66,603,330)
- ----------------------------------------------------------------------------------------
Net Assets
- ----------------------------------------------------------------------------------------
At beginning of period $ 455,066,995 $ 521,670,325
- ----------------------------------------------------------------------------------------
At end of period $ 421,718,046 $ 455,066,995
- ----------------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
12
<PAGE>
Total Return Portfolio as of June 30, 1997
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Six Months Ended Year Ended December 31,
June 30, 1997 ----------------------------------------------------
(Unaudited) 1996 1995 1994 1993*
- ---------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Expenses 0.74%+ 0.85% 0.84% 0.85% 0.91%+
Net investment income 4.97%+ 5.94% 4.83% 5.22% 4.57%+
Portfolio Turnover 83% 166% 103% 107% 16%
- ---------------------------------------------------------------------------------------------------------------------
Average commission rate (per share) /(1)/ $ 0.0497 $ 0.0374 $ -- $ -- $ --
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
Leverage Analysis:
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Average daily balance of debt outstanding
during period (000's omitted) $ 2,160 $ 217 $ 232 $ 3,137 $ 15,452
- ---------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's omitted) $421,718 $455,067 $ 521,670 $505,567 $636,567
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
+ Annualized.
* For the period from the start of business, October 28, 1993, to December
31, 1993.
/(1)/ For fiscal years beginning on or after September 1, 1995, the Fund is
required to disclose its average commission rate per share for security
trades on which commissions are charged. Average commission rate paid is
computed by dividing the total dollar amount of commissions paid during
the fiscal year by the total number of shares purchased and sold during
the fiscal year for which commissions were charged.
See notes to financial statements
13
<PAGE>
Total Return Portfolio as of June 30, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
------------------------------------------------------------------------------
Total Return Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940 as a diversified open-end management investment company
which was organized as a trust under the laws of the State of New York on May
1, 1992. The Declaration of Trust permits the Trustees to issue beneficial
interests in the Portfolio. The following is a summary of significant
accounting policies of the Portfolio. The policies are in conformity with
generally accepted accounting principles.
A Investment Valuations -- Securities listed on securities exchanges or in the
NASDAQ National Market are valued at closing sales prices or, if there has
been no sale, at the mean between the closing bid and asked prices. Unlisted
securities are valued at the mean between the latest available bid and asked
prices. Options and financial futures contracts are valued at the last sale
price, as quoted on the principal exchange or board of trade on which such
options or contracts are traded or, in the absence of a sale, the mean between
the last bid and asked prices. Short-term obligations, maturing in 60 days or
less, are valued at amortized cost, which approximates value. Securities for
which market quotations are unavailable are appraised at their fair value as
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. 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 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 Expense Reduction -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Pursuant to the custodian agreement, IBT receives
a fee reduced by credits which are based on the average daily cash balances
the Portfolio maintains with IBT. All significant credit balances used to
reduce the Portfolio's custodian fees are reported as a reduction of expenses
on the Statement of Operations.
D Option Accounting Principles -- Upon the writing of a covered call option,
an amount equal to the premium received by the Portfolio is included in the
Statement of Assets and Liabilities as a liability. The amount of the
liability is subsequently marked-to-market to reflect the current market value
of the option written in accordance with the Portfolio's policies on
investment valuations discussed above. Premiums received from writing call
options which expire are treated as realized gains. Premiums received from
writing call options which are exercised or are closed are added to or offset
against the proceeds or amount paid on the transaction to determine the
realized gain or loss. The Portfolio, as writer of a call option, may have no
control over whether the underlying securities may be sold and, as a result,
bears the market risk for an unfavorable change in the price of the securities
underlying the written option.
E Financial Futures Contracts -- Upon the entering of a financial futures
contract, the Portfolio is required to deposit an amount ("initial margin")
either in cash or securities 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 the daily fluctuations in the value of the underlying security, and are
recorded for book purposes as unrealized gains or losses by the Portfolio.
When the Portfolio enters into a closing transaction, the Portfolio will
realize for book purposes a gain or loss equal to the difference between the
value of the financial futures contract to sell and the financial futures
contract to buy. The Portfolio's investment in financial futures contracts is
designed only to hedge against anticipated future changes in interest rates,
security prices, commodity prices or currency exchange rates. Should interest
rates, security prices, commodity prices or currency exchange rates move
unexpectedly, the Portfolio may not achieve the anticipated benefits of the
financial futures contracts and may realize a loss.
14
<PAGE>
Total Return Portfolio as of June 30, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
F Foreign Currency Translation -- Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases
and sales of foreign investment securities and income and expenses are
converted into U.S. dollars based upon currency exchange rates prevailing on
the respective dates of such transactions. Recognized gains or losses on
investment transactions attributable to foreign currency rates are recorded
for financial statement purposes as net realized gains and losses on
investments. That portion of unrealized gains and losses on investments that
result from fluctuations in foreign currency exchange rates are not separately
disclosed.
G Delayed Delivery Transactions -- The Portfolio may purchase or sell
securities on a when-issued or forward commitment basis. Payment and delivery
may take place at a period in time after the date of the transaction. At the
time the transaction is negotiated, the price of the security that will be
delivered and paid for are fixed. Losses may arise due to changes in the
market value of the underlying securities if the counterparty does not perform
under the contract.
H Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
I Other -- Investment transactions are accounted for on the date the
investments are purchased or sold. Dividend income is recorded on the ex-
dividend date. Realized gains and losses on the sale of investments are
determined on the identified cost basis.
J Use of Estimates -- The preparation of the 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.
K Interim Financial Information -- The interim financial statements relating
to June 30, 1997 and the six month period 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 Transactions
------------------------------------------------------------------------------
Purchases and sales of investments, other than short-term obligations,
aggregated $342,325,929 and $383,977,316, respectively.
3 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. The fee
is based upon a percentage of average daily net assets. For the six month
period ended June 30, 1997, the fee was equivalent to 0.68%(annualized) of the
Portfolio's average net assets for such period and amounted to $1,466,571.
Except as to 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. Certain of the officers and
Trustees of the Portfolio are officers and directors/trustees of the above
organizations. 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 six month period ended June 30, 1997, no significant amounts
have been deferred.
4 Line of Credit
------------------------------------------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $120 million unsecured line of credit agreement
with a group of banks. The Portfolio may temporarily borrow 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 an
amount above the banks' adjusted certificate of deposit rate, eurodollar rate
or federal funds rate. In addition, a fee computed at an annual rate of 0.15%
on the daily unused portion of the line of credit is allocated among the
participating portfolios and funds at the end of each quarter. The Portfolio
did not have any significant borrowings or allocated fees during the six
months ended June 30, 1997.
15
<PAGE>
Total Return Portfolio as of June 30, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
5 Federal Income Tax Basis of Investments
------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in value of the investments
owned at June 30, 1997, as computed on a federal income tax basis, were as
follows:
<TABLE>
<S> <C>
Aggregate cost $ 371,625,535
------------------------------------------------------------------------------
Gross unrealized appreciation $ 64,936,435
Gross unrealized depreciation (6,595,919)
------------------------------------------------------------------------------
Net unrealized appreciation $ 58,340,516
------------------------------------------------------------------------------
</TABLE>
6 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. At June 30, 1997 there
were no outstanding obligations under these financial instruments.
16
<PAGE>
Total Return Portfolio as of June 30, 1997
INVESTMENT MANAGEMENT
<TABLE>
<CAPTION>
Total Return Portfolio
<S> <C>
Officers Independent Trustees
M. Dozier Gardner Donald R. Dwight
President and Trustee President, Dwight Partners, Inc.
Chairman, Newspapers of New England, Inc.
James B. Hawkes
Vice President and Trustee Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment
Timothy O'Brien Banking, Harvard University Graduate School of
Vice President and Business Administration
Portfolio Manager
Norton H. Reamer
James L. O'Connor President and Director, United Asset
Treasurer Management Corporation
Alan R. Dynner John L. Thorndike
Secretary Formerly Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
</TABLE>
17
