<PAGE>
UTILITIES PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED)
<TABLE>
<S> <C> <C>
COMMON STOCKS -- 88.5%
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
Broadcasting and Cable -- 0.7%
- --------------------------------------------------------------------------
Ovation, Inc.(1)(2) 285,787 $ 3,469,454
- --------------------------------------------------------------------------
$ 3,469,454
- --------------------------------------------------------------------------
Electric Utilities -- 23.6%
- --------------------------------------------------------------------------
Allegheny Energy, Inc. 150,000 $ 4,809,375
Cleco Corp. 300,000 9,112,500
DPL, Inc. 650,000 11,943,750
DQE, Inc. 450,000 18,056,250
DTE Energy Co. 103,000 4,120,000
Duke Energy Corp. 80,000 4,350,000
Energy East Corp. 100,000 2,600,000
Illinova Corp. 40,000 1,090,000
LG & E Energy Corp. 200,000 4,200,000
National Grid Group PLC(3) 800,000 5,567,520
Nisource, Inc. 450,000 11,615,625
PacifiCorp 100,000 1,837,500
Pinnacle West Capital Corp. 550,000 22,137,500
PowerGen PLC(3) 600,000 6,469,140
Sierra Pacific Resources 100,000 3,637,500
Unicom Corp. 133,000 5,128,813
- --------------------------------------------------------------------------
$ 116,675,473
- --------------------------------------------------------------------------
Gas Utilities -- 3.0%
- --------------------------------------------------------------------------
CMS Energy Corp., Class G 35,100 $ 824,850
Columbia Energy Group 50,000 3,134,375
Keyspan Corp. 90,000 2,373,750
NICOR, Inc. 75,000 2,854,688
Northwestern Corp. 92,000 2,225,250
Peoples Energy Corp. 87,000 3,278,813
- --------------------------------------------------------------------------
$ 14,691,726
- --------------------------------------------------------------------------
REITS -- 1.9%
- --------------------------------------------------------------------------
Annaly Mortgage, Inc. 144A 350,000 $ 3,937,500
Security Capital US Realty Trust(2) 300,000 5,700,000
- --------------------------------------------------------------------------
$ 9,637,500
- --------------------------------------------------------------------------
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
Telephone Utilities -- 59.3%
- --------------------------------------------------------------------------
Alltel Corp. 70,000 $ 5,005,000
Ameritech Corp. 310,000 22,785,000
AT&T Corp. 123,000 6,864,938
Bell Atlantic Corp. 275,000 17,978,125
BellSouth Corp. 25,000 1,171,875
Cincinnati Bell, Inc. 310,000 7,730,625
Digital Island, Inc.(2) 100,000 1,793,750
Energis(2)(3) 2,585,397 61,660,166
GTE Corp. 350,000 26,512,500
MCI Worldcom, Inc.(2) 460,000 39,675,000
Omnipoint Corp. 575,000 16,639,063
SBC Communications, Inc. 750,000 43,499,999
Sprint Corp. 550,000 29,046,875
US West, Inc. 84,000 4,935,000
Vodafone AirTouch PLC ADR 25,000 4,925,000
Voicestream Wireless Corp.(2) 75,000 2,132,813
- --------------------------------------------------------------------------
$ 292,355,729
- --------------------------------------------------------------------------
Total Common Stocks
(identified cost $277,785,567) $ 436,829,882
- --------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS -- 6.9%
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
Electric Utilities -- 0.7%
- --------------------------------------------------------------------------
National Grid General Purpose 146,500 $ 3,552,625
- --------------------------------------------------------------------------
$ 3,552,625
- --------------------------------------------------------------------------
Gas Utilities -- 3.0%
- --------------------------------------------------------------------------
El Paso Energy Capital Trust 300,000 $ 14,850,000
- --------------------------------------------------------------------------
$ 14,850,000
- --------------------------------------------------------------------------
Telephone Utilities -- 3.2%
- --------------------------------------------------------------------------
Omnipoint Corp. 180,000 $ 9,831,600
Qwest Trends Trust 100,000 5,675,000
- --------------------------------------------------------------------------
$ 15,506,600
- --------------------------------------------------------------------------
Total Convertible Preferred Stocks
(identified cost $31,898,133) $ 33,909,225
- --------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
9
<PAGE>
UTILITIES PORTFOLIO AS OF JUNE 30, 1999
PORTFOLIO OF INVESTMENTS (UNAUDITED) CONT'D
<TABLE>
<S> <C> <C>
WARRANTS -- 0.0%
<CAPTION>
SECURITY SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
REITS -- 0.0%
- --------------------------------------------------------------------------
Walden Residential(2) 340,000 $ 78,200
- --------------------------------------------------------------------------
$ 78,200
- --------------------------------------------------------------------------
Total Warrants
(identified cost -- $0) $ 78,200
- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C>
CONVERTIBLE BONDS -- 3.2%
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
Bell Atlantic Financial, 4.25%, 9/15/05 $ 6,000 $ 6,172,800
National Grid Co., 4.25%, 2/17/08(3) 800 1,477,009
NTL, Inc., 7.00%, 12/15/08 3,500 5,508,300
Ovation, Inc., 9.75%, 2/23/01(1) 2,500 2,500,000
- --------------------------------------------------------------------------
Total Convertible Bonds
(identified cost $14,181,530) $ 15,658,109
- --------------------------------------------------------------------------
COMMERCIAL PAPER -- 1.3%
<CAPTION>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
Associates Corp., 5.75%, 7/1/99 $ 6,167 $ 6,167,000
- --------------------------------------------------------------------------
Total Commercial Paper
(amortized cost $6,167,000) $ 6,167,000
- --------------------------------------------------------------------------
Total Investments -- 99.9%
(identified cost $330,032,230) $ 492,642,416
- --------------------------------------------------------------------------
Other Assets, Less Liabilities -- 0.1% $ 664,355
- --------------------------------------------------------------------------
Net Assets -- 100% $ 493,306,771
- --------------------------------------------------------------------------
</TABLE>
ADR - American Depositary Receipt
(1) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
(2) Non-income producing security.
(3) Foreign security.
SEE NOTES TO FINANCIAL STATEMENTS
10
<PAGE>
UTILITIES 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,
$330,032,230) $ 492,642,416
Cash 451,547
Receivable for investments sold 246,189
Dividends and interest receivable 1,616,834
Miscellaneous receivable 15,213
Tax reclaim receivable 12,389
- -------------------------------------------------------
TOTAL ASSETS $ 494,984,588
- -------------------------------------------------------
Liabilities
- -------------------------------------------------------
Payable for investments purchased $ 1,638,476
Payable to affiliate for Trustees' fees 7,677
Other accrued expenses 31,664
- -------------------------------------------------------
TOTAL LIABILITIES $ 1,677,817
- -------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $ 493,306,771
- -------------------------------------------------------
Sources of Net Assets
- -------------------------------------------------------
Net proceeds from capital contributions
and withdrawals $ 330,700,063
Net unrealized appreciation (computed on
the basis of identified cost) 162,606,708
- -------------------------------------------------------
TOTAL $ 493,306,771
- -------------------------------------------------------
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED
JUNE 30, 1999
<S> <C>
Investment Income
- ------------------------------------------------------
Dividends (net of foreign taxes,
$38,917) $ 4,475,370
Interest (net of defaulted interest,
$1,263,834) 615,689
- ------------------------------------------------------
TOTAL INVESTMENT INCOME $ 5,091,059
- ------------------------------------------------------
Expenses
- ------------------------------------------------------
Investment adviser fee $ 1,552,119
Trustees fees and expenses 17,285
Custodian fee 130,575
Legal and accounting services 21,119
Miscellaneous 2,611
- ------------------------------------------------------
TOTAL EXPENSES $ 1,723,709
- ------------------------------------------------------
NET INVESTMENT INCOME $ 3,367,350
- ------------------------------------------------------
Realized and Unrealized Gain (Loss)
- ------------------------------------------------------
Net realized gain (loss) --
Investment transactions (identified
cost basis) $ 35,380,480
Foreign currency transactions (16,636)
- ------------------------------------------------------
NET REALIZED GAIN $ 35,363,844
- ------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ 20,485,808
Foreign currency (5,000)
- ------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) $ 20,480,808
- ------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 55,844,652
- ------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 59,212,002
- ------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
11
<PAGE>
UTILITIES PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
Increase (Decrease) JUNE 30, 1999 YEAR ENDED
in Net Assets (UNAUDITED) DECEMBER 31, 1998
<S> <C> <C>
- --------------------------------------------------------------------------------
From operations --
Net investment income $ 3,367,350 $ 13,457,660
Net realized gain 35,363,844 5,496,806
Net change in unrealized appreciation
(depreciation) 20,480,808 75,228,993
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 59,212,002 $ 94,183,459
- --------------------------------------------------------------------------------
Capital transactions --
Contributions $ 6,269,400 $ 17,840,966
Withdrawals (31,790,716) (65,817,239)
- --------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL
TRANSACTIONS $ (25,521,316) $ (47,976,273)
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 33,690,686 $ 46,207,186
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of period $ 459,616,085 $ 413,408,899
- --------------------------------------------------------------------------------
AT END OF PERIOD $ 493,306,771 $ 459,616,085
- --------------------------------------------------------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
12
<PAGE>
UTILITIES PORTFOLIO AS OF JUNE 30, 1999
FINANCIAL STATEMENTS CONT'D
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
1999 -----------------------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Ratios to average daily net assets
- ------------------------------------------------------------------------------------------------------------------------------
Expenses 0.73%(1) 0.88% 0.75% 0.85% 0.84% 0.85%
Net investment income 1.42%(1) 3.13% 4.42% 5.94% 4.83% 5.22%
Portfolio turnover 33% 78% 169% 166% 103% 107%
- -------------------------------------------------------------------------------------------------------------------------
Borrowing Analysis:
- ------------------------------------------------------------------------------------------------------------------------------
Average daily balance of debt outstanding
during
period (000's omitted) -- $ 10,594 $ 922 $ 217 $ 232 $ 3,137
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $493,307 $459,616 $413,409 $455,067 $521,670 $505,567
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
13
<PAGE>
UTILITIES PORTFOLIO AS OF JUNE 30, 1999
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 non-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 Valuation -- 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. During the six months ended June 30, 1999, the Portfolio
took a one time charge to interest income in the amount of $1,263,834
representing accrued defaulted income on certain investments. 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 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 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 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.
F 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
14
<PAGE>
UTILITIES PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
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.
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 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.
H Other -- Investment transactions are accounted for on a trade date basis.
I 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.
J 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.
The fee is based upon a percentage of average daily net assets. For the six
months ended June 30, 1999, the fee was equivalent to 0.65% (annualized) of
the Portfolio's average daily net assets for such period and amounted to
$1,552,119. 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
officers and Trustees of the Portfolio are officers 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, 1999, no significant
amounts have been deferred.
3 Investment Transactions
- -------------------------------------------
Purchases and sales of investments, other than short-term obligations,
aggregated $146,943,604 and $154,542,134, respectively.
4 Federal Income Tax Basis of Investments
- -------------------------------------------
The cost and unrealized appreciation/depreciation in value of the investments
owned at June 30, 1999, as computed on a federal income tax basis, were as
follows:
<TABLE>
<S> <C>
AGGREGATE COST $ 330,032,230
- -------------------------------------------------------
Gross unrealized appreciation $ 166,544,198
Gross unrealized depreciation (3,934,012)
- -------------------------------------------------------
NET UNREALIZED APPRECIATION $ 162,610,186
- -------------------------------------------------------
</TABLE>
5 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 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. The Portfolio did not have any significant borrowings or
allocated fees during the six months ended June 30, 1999. At June 30, 1999
the Portfolio did not have a loan outstanding under this agreement.
15
<PAGE>
UTILITIES PORTFOLIO AS OF JUNE 30, 1999
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONT'D
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, 1999
there were no outstanding obligations under these financial instruments.
16
<PAGE>
UTILITIES PORTFOLIO
Officers
James B. Hawkes
President and Trustee
Judith A. Saryan
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
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
Jack L. Treynor
Investment Adviser and Consultant
17
