<PAGE>
Cash Management Portfolio as of June 30, 1997
PORTFOLIO OF INVESTMENTS (Unaudited)
Commercial Paper -- 87.6%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Agricultural Services -- 1.8%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
P-1 A-1 $2,500 Cargill, Inc., 5.51%, 9/22/97 $ 2,468,241
- --------------------------------------------------------------------------------
$ 2,468,241
- --------------------------------------------------------------------------------
Auto and Parts -- 0.9%
- --------------------------------------------------------------------------------
P-1 A-1 $1,200 Ford Motor Credit Co.,
5.53%, 7/16/97 $ 1,197,235
- --------------------------------------------------------------------------------
$ 1,197,235
- --------------------------------------------------------------------------------
Banking and Finance -- 24.3%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,900 American Express Credit
Corp., 5.51%, 7/2/97 $ 2,899,556
P-1 A-1+ 1,650 Asset Securitization Coop.
Corp., 5.52%, 7/28/97/(1)/ 1,643,169
P-1 A-1+ 1,700 Asset Securitization Coop.
Corp., 5.58%, 7/3/97/(1)/ 1,699,473
P-1 A-1+ 2,200 Associates Corp. of No.
America, 5.55%, 9/19/97 2,172,867
P-1 A-1+ 1,300 Associates Corp. of No.
America, 5.61%, 8/12/97 1,291,491
P-1 A-1+ 2,000 CIESCO, 5.55%, 8/4/97 1,989,517
P-1 A-1+ 2,000 CIESCO, 5.58%, 7/17/97 1,995,040
P-1 A-1 2,500 CIT Group Holdings, Inc.,
5.53%, 7/22/97 2,491,935
P-1 A-1+ 2,500 Corporate Asset Funding Co.,
5.55%, 8/14/97/(2)/ 2,483,042
P-1 A-1+ 2,000 CXC, Inc., 5.60%, 7/14/97/(1)/ 1,995,956
P-1 A-1+ 2,600 Delaware Funding Corp.,
5.68%, 7/11/97/(1)/ 2,595,898
P-1 A-1+ 3,000 Greenwich Asset Funding,
5.57%, 7/21/97/(1)/ 2,990,717
P-1 A-1+ 2,900 Norwest Financial, Inc.,
5.60%, 7/18/97 2,892,331
P-1 A-1+ 1,500 Norwest Financial, Inc.,
5.60%, 7/25/97 1,494,400
P-1 A-1+ 2,300 U.S. Central Credit Union,
5.52%, 9/24/97 2,270,023
- --------------------------------------------------------------------------------
$ 32,905,415
- --------------------------------------------------------------------------------
Business Products and Services -- 2.8%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,750 Pitney Bowes Credit Corp.,
5.52%, 7/23/97 $ 2,740,723
P-1 A-1+ 1,090 Pitney Bowes Credit Corp.,
5.57%, 7/15/97 1,087,639
- --------------------------------------------------------------------------------
$ 3,828,362
- --------------------------------------------------------------------------------
Chemicals -- 1.6%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,200 E.I. Dupont de Nemours &
Co., 5.49%, 7/11/97/(1)/ $ 2,196,645
- --------------------------------------------------------------------------------
$ 2,196,645
- --------------------------------------------------------------------------------
Communications Equipment -- 2.9%
- --------------------------------------------------------------------------------
P-1 A-1+ $4,000 Ameritech Corp.,
5.55%, 9/8/97 $ 3,957,450
- --------------------------------------------------------------------------------
$ 3,957,450
- --------------------------------------------------------------------------------
Electric Utilities -- 4.1%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,800 National Rural Utilities
Coop. Co., 5.61%, 8/18/97 $ 2,779,056
P-1 A-1+ 800 Potomac Electric Power Co.,
5.53%, 7/9/97 799,017
P-1 A-1+ 2,000 Teco Finance, Inc.,
5.62%, 7/10/97/(1)/ 1,997,190
- --------------------------------------------------------------------------------
$ 5,575,263
- --------------------------------------------------------------------------------
Electrical and Electronic Equipment -- 8.9%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,000 General Electric Capital
Corp., 5.57%, 8/22/97 $ 1,983,909
P-1 A-1+ 1,700 General Electric Capital
Corp., 5.60%, 9/9/97 1,681,489
P-1 A-1+ 1,600 General Electric Capital
Corp., 5.60%, 8/15/97 1,588,800
P-1 A-1+ 2,500 Motorola Credit Corp.,
5.50%, 9/11/97 2,472,500
P-1 A-1+ 1,300 Motorola Credit Corp.,
5.50%, 7/29/97 1,294,439
P-1 A-1+ 3,000 Panasonic Finance, Inc.,
5.60%, 8/7/97/(1)/ 2,982,734
- --------------------------------------------------------------------------------
$ 12,003,871
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
13
<PAGE>
Cash Management Portfolio as of June 30, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Food and Beverages -- 9.1%
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
P-1 A-1 $1,830 Anheuser-Busch Co.,
6.25%, 7/1/97/(1)/ $ 1,830,000
P-1 A-1+ 4,000 Coca-Cola Co.,
5.50%, 8/11/97/(1)/ 3,974,944
P-1 A-1+ 2,500 Kellogg Co., 5.50%, 8/6/97 2,486,250
P-1 A-1+ 4,000 Nestle Capital Corp.,
5.53%, 7/25/97 3,985,253
- --------------------------------------------------------------------------------
$ 12,276,447
- --------------------------------------------------------------------------------
Household Products -- 5.7%
- --------------------------------------------------------------------------------
P-1 A-1+ $ 780 Procter & Gamble Co.,
5.50%, 9/26/97 $ 769,633
P-1 A-1+ 3,000 Proctor & Gamble Co.,
5.52%, 7/7/97 2,997,240
P-1 A-1+ 4,000 Unilever Capital Corp.,
5.64%, 7/8/97/(1)/ 3,995,613
- --------------------------------------------------------------------------------
$ 7,762,486
- --------------------------------------------------------------------------------
Insurance -- 17.3%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,000 AI Credit Corp.,
5.60%, 7/16/97 $ 1,995,333
P-1 A-1+ 2,200 AIG Funding, Inc.,
5.52%, 9/10/97 2,176,049
P-1 A-1+ 2,500 American General Corp.,
5.55%, 8/21/97 2,480,344
P-1 A-1+ 1,000 APC Funding Corp.,
5.55%, 7/15/97 997,842
P-1 A-1+ 1,229 APC Funding Corp.,
5.55%, 7/22/97 1,225,021
P-1 A-1+ 2,600 Marsh & McLennan Cos.,
6.20%, 7/1/97/(1)/ 2,600,000
P-1 A-1+ 2,000 MetLife Funding, Inc.,
5.55%, 7/1/97 2,000,000
P-1 A-1+ 2,000 Prudential Funding Corp.,
5.55%, 7/15/97 1,995,683
P-1 A-1+ 2,000 SAFECO Credit Co., Inc.,
5.58%, 7/3/97 1,999,380
P-1 A-1+ 2,000 SAFECO Credit Co., Inc.,
5.62%, 8/5/97 1,989,072
P-1 A-1+ 1,125 USAA Capital Corp.,
5.52%, 7/31/97 1,119,825
P-1 A-1+ 1,375 USAA Capital Corp.,
5.54%, 10/1/97 1,355,533
P-1 A-1+ 1,500 USAA Capital Corp.,
5.62%, 7/25/97 1,494,380
- --------------------------------------------------------------------------------
$ 23,428,462
- --------------------------------------------------------------------------------
Oil -- 5.8%
- --------------------------------------------------------------------------------
P-1 A-1+ $5,000 Chevron Oil Finance Co.,
5.45%, 7/8/97 $ 4,994,705
P-1 A-1+ 2,800 Exxon Imperial U.S., Inc.,
5.51%, 7/9/97/(2)/ 2,796,572
- --------------------------------------------------------------------------------
$ 7,791,277
- --------------------------------------------------------------------------------
Pharmaceutical -- 2.4%
- --------------------------------------------------------------------------------
P-1 A-1+ $3,300 Novartis Finance Corp.,
5.63%, 7/3/97 $ 3,298,968
- --------------------------------------------------------------------------------
$ 3,298,968
- --------------------------------------------------------------------------------
Total Commercial Paper, at value
(identified cost $118,690,122) $ 118,690,122
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
14
<PAGE>
Cash Management Portfolio as of June 30, 1997
PORTFOLIO OF INVESTMENTS (Unaudited) CONT'D
U.S. Government Obligations -- 12.4%
<TABLE>
<CAPTION>
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
$5,000 FHLB Discount Notes,
5.50%, 7/24/97 $ 4,982,431
6,900 FHLMC Discount Notes,
5.53%, 8/1/97 6,867,143
5,000 FHLB Discount Notes,
5.45%, 7/30/97 4,978,047
- --------------------------------------------------------------------------------
Total U.S. Government Obligations, at value
(identified cost $16,827,621) $ 16,827,621
- --------------------------------------------------------------------------------
Total Investments -- 100.0%
(identified cost $135,517,743) $ 135,517,743
- --------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 0.0% $ 11,998
- --------------------------------------------------------------------------------
Net Assets -- 100% $ 135,529,741
- --------------------------------------------------------------------------------
</TABLE>
FHLB-Federal Home Loan Bank
FHLMC-Federal Home Mortgage Corporation (Freddie Mac)
/(1)/ A security has been issued under section 4(2) of the Securities Act of
1933 is generally regarded as restricted and illiquid. These securities
may be resold in transactions exempt from registration or to the public if
the securities are registered. All such securities held have been deemed
by the Portfolio's Trustees to be liquid and were purchased with the
expectation that resale would not be necessary. At June 30, 1997, the
value of these securities amounted to $28,305,694 or 20.9% of the
Portfolio's net assets.
/(2)/ Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. It is the
Portfolio's intention to hold the security until maturity. At June 30,
1997, the value of these securities amounted to $7,476,259 or 5.5% of net
assets.
See notes to financial statements
15
<PAGE>
Cash Management 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) $ 135,517,743
Cash 30,791
Deferred organization expenses (Note 1D) 5,008
- --------------------------------------------------------------------------------
Total assets $ 135,553,542
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Payable to affiliate for Trustees' fees (Note 2) $ 3,927
Accrued expenses 19,874
- --------------------------------------------------------------------------------
Total liabilities $ 23,801
- --------------------------------------------------------------------------------
Net Assets $ 135,529,741
- --------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------
Net proceeds from capital contributions and withdrawals $ 135,529,741
- --------------------------------------------------------------------------------
Total $ 135,529,741
- --------------------------------------------------------------------------------
<CAPTION>
Statement of Operations
For the Six Months Ended
June 30, 1997
Investment Income
- --------------------------------------------------------------------------------
<S> <C>
Interest income $ 3,961,722
- --------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------
Investment adviser fee (Note 2) $ 364,794
Compensation of Trustees not members of the
Investment Adviser's organization (Note 2) 4,688
Custodian fee 36,180
Legal and accounting services 14,748
Printing and postage 3,472
Amortization of organization expenses (Note 1D) 1,352
Miscellaneous 7,146
- --------------------------------------------------------------------------------
Total expenses $ 432,380
- --------------------------------------------------------------------------------
Net investment income $ 3,529,342
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
16
<PAGE>
Cash Management 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 $ 3,529,342 $ 9,078,037
- --------------------------------------------------------------------------------
Capital transactions --
Contributions $ 430,829,061 $ 1,075,567,385
Withdrawals (490,488,732) (1,097,885,067)
- --------------------------------------------------------------------------------
Net decrease in net assets
from capital transactions $ (59,659,671) $ (22,317,682)
- --------------------------------------------------------------------------------
Net decrease in net assets $ (56,130,329) $ (13,239,645)
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of period $ 191,660,070 $ 204,899,715
- --------------------------------------------------------------------------------
At end of period $ 135,529,741 $ 191,660,070
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
17
<PAGE>
Cash Management 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*
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Ratios to average daily
net assets
- -----------------------------------------------------------------------------------------------------
Expenses 0.60%+ 0.59% 0.60% 0.58%+
Net investment income 4.88%+ 4.83% 5.36% 4.22%+
- -----------------------------------------------------------------------------------------------------
+ Annualized.
* For the period from the start of business, May 2, 1994, to December 31, 1994.
</TABLE>
See notes to financial statements
18
<PAGE>
Cash Management Portfolio as of June 30, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited)
1 Significant Accounting Policies
-------------------------------------------------------------------------------
Cash Management 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 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 Security Valuation -- The Portfolio values investment securities utilizing
the amortized cost valuation technique permitted by Rule 2a-7 of the
Investment Company Act of 1940, pursuant to which the Portfolio must comply
with certain conditions. This technique involves initially valuing a portfolio
security at its cost and thereafter assuming a constant amortization to
maturity of any discount or premium. It is the normal practice of the
Portfolio to hold portfolio securities to maturity and realize par value
unless such sale or other disposition is mandated by withdrawal requests or
other extraordinary circumstances.
B Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or accretion of discount when required
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 taxable investment
income, net realized capital gains, and any other items of income, gain, loss,
deduction or credit.
D Deferred Organization Expenses -- Costs incurred by the Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
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 income and expense during the reporting period. Actual results could differ
from those estimates.
F Other -- Investment transactions are accounted for on a trade date basis.
G Interim Financial Information -- The interim financial statements relating
to June 30, 1997 and for 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 computed at the rate of 1/2 of 1% per annum of the Portfolio's average
daily net assets and amounted to $364,794 for the period ended June 30, 1997.
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.
19
<PAGE>
Cash Management Portfolio as of June 30, 1997
NOTES TO FINANCIAL STATEMENTS (Unaudited) CONT'D
3 Line of Credit
------------------------------------------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR or
EVM and its affiliates in a committed $120 million unsecured line of credit
agreement with a group of banks. The Portfolio may temporarily borrow from the
line of credit to satisfy withdrawal requests or settle investment
transactions. Interest is charged to each participating portfolio or fund
based on its borrowings at an amount above the bank's 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.
4 Investment
------------------------------------------------------------------------------
Purchases and sales (including maturities) of investments, during the period
ended June 30, 1997, exclusive of U.S. Government securities aggregated
$696,987,447 and $753,104,969, respectively. Purchases and sales (including
maturities) of U.S. Government Agency securities aggregated $167,064,983 and
$54,971,167, respectively.
20
<PAGE>
Cash Management Portfolio
INVESTMENT MANAGEMENT
<TABLE>
<CAPTION>
Cash Management Portfolio
<S> <C>
Officers 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
Michael B. Terry 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>
21
