<PAGE>
Utilities Portfolio as of June 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited)
Common Stocks -- 77.5%
Security Shares Value
- --------------------------------------------------------------------------------
Broadcasting and Cable -- 0.7%
- --------------------------------------------------------------------------------
Ovation, Inc.*+ 285,787 $3,000,764
- --------------------------------------------------------------------------------
$3,000,764
- --------------------------------------------------------------------------------
Drugs -- 0.9%
- --------------------------------------------------------------------------------
Sepracor, Inc.* 100,000 $4,150,000
- --------------------------------------------------------------------------------
$4,150,000
- --------------------------------------------------------------------------------
Electric Utilities -- 27.2%
- --------------------------------------------------------------------------------
Cilcorp, Inc. 130,000 $6,240,000
Cleco Corp. 230,000 6,842,500
DPL, Inc. 750,000 13,593,750
DQE, Inc. 450,000 16,200,000
Electric de Portugal ADR 80,000 3,685,000
Endesa S.A. ADR 100,000 2,162,500
National Grid Group PLC++ 2,450,000 16,514,715
Niagara Mohawk Power Corp.* 300,000 4,481,250
NIPSCO Industries, Inc. 650,000 18,200,000
Pinnacle West Capital Corp. 350,000 15,750,000
PowerGen PLC++ 650,000 9,001,525
Sierra Pacific Resources 150,000 5,446,875
Southern Electric++ 450,000 4,155,795
- --------------------------------------------------------------------------------
$122,273,910
- --------------------------------------------------------------------------------
Information Services -- 0.2%
- --------------------------------------------------------------------------------
Informission Group, Inc.*++ 112,800 $1,043,197
- --------------------------------------------------------------------------------
$1,043,197
- --------------------------------------------------------------------------------
Natural Gas Utilities -- 3.8%
- --------------------------------------------------------------------------------
KN Energy, Inc. 235,000 $12,734,063
Marketspan Corp. 154,000 4,610,375
- --------------------------------------------------------------------------------
$17,344,438
- --------------------------------------------------------------------------------
Oil and Gas - Exploration
and Production -- 2.1%
- --------------------------------------------------------------------------------
EEX Corp.* 800,000 $7,500,000
Louis Dreyfus Natural Gas* 50,000 946,875
Meridian Resource Corp.* 130,000 918,125
- --------------------------------------------------------------------------------
$9,365,000
- --------------------------------------------------------------------------------
Real Estate -- 0.5%
- --------------------------------------------------------------------------------
Excel Legacy Corp.* 485,000 $2,121,875
- --------------------------------------------------------------------------------
$2,121,875
- --------------------------------------------------------------------------------
REITS -- 12.9%
- --------------------------------------------------------------------------------
Annaly Mortgage, Inc. 144A 350,000 $3,193,750
Criimi Mae, Inc. 450,000 6,243,750
Equity Office Properties Trust 150,000 4,256,250
Excel Realty Trust, Inc. 480,000 13,830,000
Ocwen Asset Investment Corp. 183,600 3,040,875
Prime Group Realty Trust 280,000 4,795,000
Prime Retail, Inc. 98,000 1,169,875
Security Capital US Realty Trust* 600,000 7,980,000
Sunstone Hotel Investors, Inc. 327,000 4,353,188
Tower Realty Trust, Inc. 140,000 3,132,500
Vornado Realty Trust 150,000 5,953,125
- --------------------------------------------------------------------------------
$57,948,313
- --------------------------------------------------------------------------------
Telephone Utilities -- 29.2%
- --------------------------------------------------------------------------------
Ameritech Corp. 60,000 $2,692,500
BellSouth Corp. 375,000 25,171,875
Comcast UK Cable Partners Ltd.* 200,000 3,137,500
Energis*++ 3,500,000 53,287,499
MCI Communications Corp. 250,000 14,531,250
Orange PLC*++ 300,000 3,178,470
SBC Communications, Inc. 550,000 22,000,000
Worldcom, Inc.* 150,000 7,265,625
- --------------------------------------------------------------------------------
$131,264,719
- --------------------------------------------------------------------------------
Total Common Stocks
(identified cost $239,027,373) $348,512,216
- --------------------------------------------------------------------------------
Convertible Preferred Stocks -- 9.1%
Security Shares Value
- --------------------------------------------------------------------------------
Gas Utilities -- 2.8%
- --------------------------------------------------------------------------------
El Paso Energy Capital Trust 240,000 $12,720,000
- --------------------------------------------------------------------------------
$12,720,000
- --------------------------------------------------------------------------------
REITS -- 1.4%
- --------------------------------------------------------------------------------
Vornado Realty Trust 40,000 $ 2,295,000
Walden Residential 130,000 3,705,000
- --------------------------------------------------------------------------------
$ 6,000,000
- --------------------------------------------------------------------------------
See notes to financial statements
9
<PAGE>
Utilities Portfolio as of June 30, 1998
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
Security Shares Value
- --------------------------------------------------------------------------------
Telephone Utilities -- 4.9%
Intermedia Communications, Inc. 144A 225,000 $ 12,459,345
Omnipoint Corp. 200,000 9,650,000
- --------------------------------------------------------------------------------
$ 22,109,345
- --------------------------------------------------------------------------------
Total Convertible Preferred Stocks
(identified cost $32,676,722) $ 40,829,345
- --------------------------------------------------------------------------------
Warrants -- 0.1%
Security Shares Value
- --------------------------------------------------------------------------------
REITS -- 0.1%
- --------------------------------------------------------------------------------
Walden Residential Warrants* 340,000 $ 340,000
- --------------------------------------------------------------------------------
$ 340,000
- --------------------------------------------------------------------------------
Total Warrants
(identified cost $0) $ 340,000
- --------------------------------------------------------------------------------
Convertible Bonds -- 7.8%
Principal
Amount
Security (000's omitted) Value
- --------------------------------------------------------------------------------
Bell Atlantic Financial Services, 144A,
5.75%, 4/1/03 $ 5,000 $ 5,125,000
Loews Corp., 3.125%, 9/15/07 10,000 9,237,500
Midcom Communications, 144A,
8.25%, 8/15/03+++* 10,000 1,637,500
National Grid Co., 4.25%, 2/17/08++ 800 1,494,253
Ovation, Inc., 9.75%, 2/23/01+ 2,500 2,500,000
Smartalk Teleservices, 144A,
5.75%, 9/15/04 18,000 14,955,000
- --------------------------------------------------------------------------------
Total Convertible Bonds
(identified cost $47,561,531) $ 34,949,253
- --------------------------------------------------------------------------------
Corporate Bonds -- 3.0%
Principal
Amount
Security (000's omitted) Value
- --------------------------------------------------------------------------------
Bank Plus Corp., 12.00%, 7/18/07 $ 10,625 $ 12,165,625
Orbital Sciences 144A, 5.00%, 10/1/02 1,000 1,493,750
- --------------------------------------------------------------------------------
Total Corporate Bonds
(identified cost $12,018,750) $ 13,659,375
- --------------------------------------------------------------------------------
Commercial Paper -- 0.6%
Principal
Amount
Security (000's omitted) Value
- --------------------------------------------------------------------------------
General Electric Capital Corp., 6.10%, 7/1/98 $ 2,652 $ 2,652,000
- --------------------------------------------------------------------------------
Total Commercial Paper
(amortized cost $2,652,000) $ 2,652,000
- --------------------------------------------------------------------------------
Total Investments -- 98.1%
(identified cost $333,936,376) $440,942,189
- --------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 1.9% $ 8,326,208
- --------------------------------------------------------------------------------
Net Assets -- 100% $449,268,397
- --------------------------------------------------------------------------------
ADR - American Depositary Receipt
* Non-income producing security.
+ Valued in good faith at fair value using procedures approved by the Trustees
(see note 1A of Notes to Financial Statements).
++ Foreign security.
+++ The issuer has filed for chapter 11 bankruptcy.
See notes to financial statements
10
<PAGE>
Utilities Portfolio as of June 30, 1998
FINANCIAL STATEMENTS (Unaudited)
Statement of Assets and Liabilities
As of June 30, 1998
Assets
- ----------------------------------------------------------
Investments, at value
(identified cost, $333,936,376) $440,942,189
Cash 1,284
Receivable for investments sold 8,761,105
Dividends and interest receivable 3,041,503
Miscellaneous receivable 15,213
Tax reclaim receivable 54,680
Deferred organization expenses 510
- ----------------------------------------------------------
Total assets $452,816,484
- ----------------------------------------------------------
Liabilities
- ----------------------------------------------------------
Payable for investments purchased $ 3,439,911
Payable to affiliate for Trustees' fees 11,080
Other accrued expenses 97,096
- ----------------------------------------------------------
Total liabilities $ 3,548,087
- ----------------------------------------------------------
Net Assets applicable to investors'
interest in Portfolio $449,268,397
- ----------------------------------------------------------
Sources of Net Assets
- ----------------------------------------------------------
Net proceeds from capital
contributions and withdrawals $342,250,938
Net unrealized appreciation (computed
on the basis of identified cost) 107,017,459
- ----------------------------------------------------------
Total $449,268,397
- ----------------------------------------------------------
Statement of Operations
For the Six Months
Ended June 30, 1998
Investment Income
- ----------------------------------------------------------
Dividends (net of foreign taxes,
$532,837) $ 8,593,466
Interest 1,272,933
- ----------------------------------------------------------
Total investment income $ 9,866,399
- ----------------------------------------------------------
Expenses
- ----------------------------------------------------------
Investment adviser fee $ 1,424,166
Trustees fees and expenses 21,055
Custodian fee 118,986
Legal and accounting services 32,667
Amortization of organization expenses 2,082
Interest expense 614,296
- ----------------------------------------------------------
Total expenses $ 2,213,252
- ----------------------------------------------------------
Net investment income $ 7,653,147
- ----------------------------------------------------------
Realized and Unrealized
Gain (Loss)
- ----------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 13,870,161
Foreign currency transactions (11,867)
- ----------------------------------------------------------
Net realized gain $ 13,858,294
- ----------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 40,129,132
Foreign currency (8,580)
- ----------------------------------------------------------
Net change in unrealized appreciation
(depreciation) $ 40,120,552
- ----------------------------------------------------------
Net realized and unrealized gain $ 53,978,846
- ----------------------------------------------------------
Net increase in net assets from
operations $ 61,631,993
- ----------------------------------------------------------
See notes to financial statements
11
<PAGE>
Utilities Portfolio as of June 30, 1998
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
Six Months Ended
Increase (Decrease) June 30, 1998 Year Ended
in Net Assets (Unaudited) December 31, 1997
- --------------------------------------------------------------------------------
From operations --
Net investment income $ 7,653,147 $ 18,943,635
Net realized gain 13,858,294 34,486,025
Net change in unrealized
appreciation (depreciation) 40,120,552 12,004,904
- --------------------------------------------------------------------------------
Net increase in net assets
from operations $ 61,631,993 $ 65,434,564
- --------------------------------------------------------------------------------
Capital transactions --
Contributions $ 12,840,778 $ 47,969,480
Withdrawals (38,613,273) (155,062,140)
- --------------------------------------------------------------------------------
Net decrease in net assets from
capital transactions $ (25,772,495) $(107,092,660)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets $ 35,859,498 $ (41,658,096)
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of period $ 413,408,899 $ 455,066,995
- --------------------------------------------------------------------------------
At end of period $ 449,268,397 $ 413,408,899
- --------------------------------------------------------------------------------
See notes to financial statements
12
<PAGE>
Utilities Portfolio as of June 30, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, 1998 --------------------------------------------------------------
(Unaudited) 1997 1996 1995 1994 1993*
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- ----------------------------------------------------------------------------------------------------------------------
Expenses 1.02%+ 0.75% 0.85% 0.84% 0.85% 0.91%+
Net investment income 3.52%+ 4.42% 5.94% 4.83% 5.22% 4.57%+
Portfolio turnover 30% 169% 166% 103% 107% 16%
- ----------------------------------------------------------------------------------------------------------------------
Leverage Analysis:
- ----------------------------------------------------------------------------------------------------------------------
Average daily balance of debt
outstanding during
period (000's omitted) $21,699 $ 922 $ 217 $ 232 $3,137 $15,452
- ----------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000's
omitted) $449,268 $413,409 $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.
See notes to financial statements
13
<PAGE>
Utilities Portfolio as of June 30, 1998
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
- --------------------------------------------------------------------------------
Utilities Portfolio (the Portfolio), (formerly the Total Return 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.
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. 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 -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes. Dividend income is recorded on the ex-dividend date for
dividends received in cash and/or securities. However, if the ex-dividend
date has passed, certain dividends from foreign securities are recorded as
the Portfolio is informed of the ex-dividend date. Dividend income may
include dividends that represent returns of capital for federal income tax
purposes.
C Income Taxes -- The Portfolio has elected to be treated as a partnership
for federal tax purposes. No provision is made by the Portfolio for federal
or state taxes on any taxable income of the Portfolio because each investor
in the Portfolio is ultimately responsible for the payment of any taxes.
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.
D 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.
E 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 determined 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.
F 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
14
<PAGE>
Utilities Portfolio as of June 30, 1998
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
risk for an unfavorable change in the price of the securities underlying the
written option.
G 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.
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. If 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.
H 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 is fixed. Losses may arise due to changes in the
market value of the underlying securities if the counterparty does not
perform under the contract.
I Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
J Other -- Investment transactions are accounted for on a trade date basis.
K 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.
L Interim Financial Information -- The interim financial statements relating
to June 30, 1998 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 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
months ended June 30, 1998, the fee was equivalent to 0.65% (annualized) of
the Portfolio's average daily net assets for such period and amounted to
$1,424,166. 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 months ended June 30, 1998,
no significant amounts have been deferred.
3 Investment Transactions
------------------------------------------------------------------------------
Purchases and sales of investments, other than short-term obligations,
aggregated $138,213,572 and $185,921,318, respectively.
4 Federal Income Tax Basis of Investments
------------------------------------------------------------------------------
The cost and unrealized appreciation/depreciation in value of the investments
owned at June 30, 1998, as computed on a federal income tax basis, were as
follows:
Aggregate cost $333,936,376
---------------------------------------------------
Gross unrealized appreciation $ 22,203,105
Gross unrealized depreciation (15,197,292)
---------------------------------------------------
Net unrealized appreciation $107,005,813
---------------------------------------------------
15
<PAGE>
Utilities Portfolio as of June 30, 1998
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
5 Line of Credit
------------------------------------------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $100 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 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.
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, 1998
there were no outstanding obligations under these financial instruments.
7 Name Change
------------------------------------------------------------------------------
Effective May 1, 1998, the Total Return Portfolio changed its name to the
Utilities Portfolio.
16
<PAGE>
Utilities Portfolio as of June 30, 1998
INVESTMENT MANAGEMENT
<TABLE>
<CAPTION>
Utilities Portfolio
<S> <C>
Officers Independent Trustees
M. Dozier Gardner Donald R. Dwight
President and Trustee President, Dwight Partners, Inc.
James B. Hawkes Samuel L. Hayes, III
Vice President and Trustee Jacob H. Schiff Professor of Investment
Banking, Harvard University Graduate
Timothy O'Brien School of Business Administration
Vice President and
Portfolio Manager Norton H. Reamer
Chairman and Chief Executive Officer,
James L. O'Connor United Asset Management Corporation
Treasurer
John L. Thorndike
Alan R. Dynner Formerly Director, Fiduciary Company
Secretary Incorporated
Jack L. Treynor
Investment Adviser and Consultant
</TABLE>
17
