<PAGE>
Cash Management Portfolio as of December 31, 1998
PORTFOLIO OF INVESTMENTS
Commercial Paper -- 66.2%
Ratings (Unaudited)
- ------------------- Principal
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Automotive -- 1.1%
- --------------------------------------------------------------------------------
P-1 A-1 $1,500 General Motors Acceptance
Corp., 5.51%, 1/25/99 $ 1,494,490
- --------------------------------------------------------------------------------
$ 1,494,490
- --------------------------------------------------------------------------------
Banking and Finance -- 21.7%
- --------------------------------------------------------------------------------
P-1 A-1+ $4,000 Asset Securitization Coop.
Corp., 5.27%, 1/11/99(1)(2) $ 3,994,145
P-1 A-1+ 2,000 Associates Corp. of No.
America, 5.15%, 1/14/99 1,996,280
P-1 A-1+ 2,000 Associates Corp. of No.
America, 5.17%, 2/5/99 1,989,947
P-1 A-1+ 895 Associates Corp. of No.
America, 5.20%, 2/3/99 890,734
P-1 A-1+ 3,260 Central Corp. Credit
Union, 5.42%, 1/14/99 3,253,619
P-1 A-1+ 4,000 CIESCO, 5.07%, 1/26/99 3,985,916
P-1 A-1+ 3,000 Corporate Asset Funding
Co., Inc., 5.30%, 2/3/99(1) 2,985,425
P-1 A-1+ 2,500 Corporate Receivables
Corp., 5.48%, 1/20/99(1) 2,492,770
P-1 A-1+ 2,805 CXC, Inc., 5.40%,
1/13/99(1) 2,799,951
P-1 A-1+ 1,000 Delaware Funding Corp.,
5.40%, 1/28/99(1)(2) 995,950
P-1 A-1+ 1,070 Delaware Funding Corp.,
5.50%, 2/4/99(1)(2) 1,064,442
P-1 A-1 4,000 Norwest Financial, Inc.,
5.06%, 1/21/99 3,988,755
- --------------------------------------------------------------------------------
$ 30,437,934
- --------------------------------------------------------------------------------
Chemicals -- 2.1%
- --------------------------------------------------------------------------------
P-1 A-1+ $3,000 E.I. Dupont de Nemours &
Co., 5.05%, 1/27/99 $ 2,989,058
- --------------------------------------------------------------------------------
$ 2,989,058
- --------------------------------------------------------------------------------
Electric Utilities -- 4.1%
- --------------------------------------------------------------------------------
P-1 A-1+ $1,800 National Rural Utilities
Coop., Finance Co., 5.00%,
1/15/99 $ 1,796,500
P-1 A-1+ 1,200 National Rural Utilities
Coop., Finance Co., 5.05%,
2/12/99 1,192,930
P-1 A-1+ 2,800 TECO Finance, Inc.,
5.10%, 2/2/99(1) 2,787,307
- --------------------------------------------------------------------------------
$ 5,776,737
- --------------------------------------------------------------------------------
Electrical and Electronic Equipment -- 5.4%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,260 General Electric Capital
Corp., 5.03%, 1/22/99 $ 2,253,369
P-1 A-1+ 3,000 General Electric Capital
Corp., 5.04%, 1/29/99 2,988,240
P-1 A-1+ 630 General Electric Capital
Corp., 5.16%, 1/29/99 627,472
P-1 A-1+ 1,145 Motorola, Inc., 5.03%,
2/26/99 1,136,041
P-1 A-1+ 610 Motorola, Inc., 5.10%,
2/25/99 605,247
- --------------------------------------------------------------------------------
$ 7,610,369
- --------------------------------------------------------------------------------
Food and Beverages -- 5.9%
- --------------------------------------------------------------------------------
P-1 A-1 $1,500 Anheuser-Busch Cos., Inc.,
5.20%, 2/5/99 $ 1,492,417
P-1 A-1+ 4,000 Coca-Cola Co., 5.12%,
2/22/99 3,970,418
P-1 A-1 1,500 Heinz (H.J.) Co., 5.25%,
2/5/99 1,492,344
P-1 A-1+ 1,250 Kellogg Co., 4.98%, 3/11/99 1,238,069
- --------------------------------------------------------------------------------
$ 8,193,248
- --------------------------------------------------------------------------------
Gas Utilities -- 1.6%
- --------------------------------------------------------------------------------
P-1 A-1+ $2,175 Consolidated Natural Gas
Co., 5.10%, 2/1/99 $ 2,165,448
- --------------------------------------------------------------------------------
$ 2,165,448
- --------------------------------------------------------------------------------
Household Products -- 2.8%
- --------------------------------------------------------------------------------
P-1 A-1+ $1,000 Procter and Gamble Co.,
5.05%, 2/25/99 $ 992,285
P-1 A-1+ 3,000 Procter and Gamble Co.,
5.15%, 1/28/99 2,988,413
- --------------------------------------------------------------------------------
$ 3,980,698
- --------------------------------------------------------------------------------
Insurance -- 9.4%
- --------------------------------------------------------------------------------
P-1 A-1+ $3,000 AIG Funding, Inc., 5.07%,
1/5/99 $ 2,998,310
P-1 A-1+ 3,000 American General Corp.,
5.32%, 1/19/99 2,992,020
P-1 A-1+ 900 Marsh and McLennan Cos.,
Inc., 5.30%, 1/15/99(1)(2) 898,145
P-1 A-1+ 2,500 MetLife Funding, Inc.,
5.22%, 1/25/99 2,491,300
P-1 A-1 575 Prudential Funding Corp.,
5.37%, 1/12/99 574,057
P-1 A-1 1,400 Transamerica Finance
Corp., 5.00%, 2/19/99 1,390,472
See notes to financial statements
14
<PAGE>
Cash Management Portfolio as of December 31, 1998
PORTFOLIO OF INVESTMENTS CONT'D
Ratings (Unaudited)
- -------------------
Principal
Amount
Standard (000's
Moody's & Poor's omitted) Security Value
- --------------------------------------------------------------------------------
Insurance (continued)
- --------------------------------------------------------------------------------
P-1 A-1+ $1,890 USAA Capital Corp.,
5.19%, 2/17/99 $ 1,877,194
- --------------------------------------------------------------------------------
$ 13,221,498
- --------------------------------------------------------------------------------
Leasing -- 2.9%
- --------------------------------------------------------------------------------
P-1 A-1+ $4,000 Greenwich Asset Funding,
Inc., 5.40%, 1/14/99(1)(2) $ 3,992,200
- --------------------------------------------------------------------------------
$ 3,992,200
- --------------------------------------------------------------------------------
Oil -- 3.7%
- --------------------------------------------------------------------------------
P-1 A-1+ $3,000 Chevron USA, Inc., 5.10%,
2/3/99 $ 2,985,975
P-1 A-1+ 2,210 Chevron USA, Inc., 5.15%,
2/4/99 2,199,251
- --------------------------------------------------------------------------------
$ 5,185,226
- --------------------------------------------------------------------------------
Pharmaceutical -- 2.8%
- --------------------------------------------------------------------------------
P-1 A-1+ $4,000 Schering Corp., 5.15%,
2/12/99 $ 3,975,967
- --------------------------------------------------------------------------------
$ 3,975,967
- --------------------------------------------------------------------------------
Telecommunications -- 2.7%
- --------------------------------------------------------------------------------
P-1 A-1+ $3,860 Bellsouth
Telecommunications, Inc.,
5.08%, 2/11/99 $ 3,837,668
- --------------------------------------------------------------------------------
$ 3,837,668
- --------------------------------------------------------------------------------
Total Commercial Paper, at value
(identified cost $92,860,541) $ 92,860,541
- --------------------------------------------------------------------------------
U.S. Government Obligations -- 33.8%
Amount
(000's
omitted) Security Value
- --------------------------------------------------------------------------------
$5,000 FHLMC Discount Notes,
4.905%, 2/18/99 $ 4,967,300
5,000 FHLMC Discount Notes,
4.95%, 1/6/99 4,996,562
4,865 FHLMC Discount Notes,
4.96%, 3/17/99 4,814,728
5,450 FHLMC Discount Notes,
5.02%, 1/12/99 5,441,639
2,370 FNMA Discount Notes,
4.905%, 2/16/99 2,355,146
2,600 FNMA Discount Notes,
4.905%, 2/19/99 2,582,642
5,000 FNMA Discount Notes,
4.93%, 1/26/99 4,982,882
3,900 FNMA Discount Notes,
5.02%, 2/24/99 3,870,633
1,585 FNMA Discount Notes,
5.04%, 1/4/99 1,584,334
5,000 FNMA Discount Notes,
5.05%, 1/7/99 4,995,791
3,000 FNMA Discount Notes,
5.05%, 1/8/99 2,997,054
3,825 FNMA Discount Notes,
5.07%, 1/4/99 3,823,384
- --------------------------------------------------------------------------------
Total U.S. Government Obligations, at value
(identified cost $47,412,095) $ 47,412,095
- --------------------------------------------------------------------------------
Total Investments -- 100.0%
(identified cost $140,272,636) $140,272,636(3)
- --------------------------------------------------------------------------------
Other Assets, Less Liabilities -- 0% $ 69,785
- --------------------------------------------------------------------------------
Net Assets -- 100% $140,342,421
- --------------------------------------------------------------------------------
FHLMC-Federal Home Loan Mortgage Corporation (Freddie Mac)
FNMA-Federal National Mortgage Association (Fannie Mae)
(1) A security which has been issued under section 4(2) of the Securities Act of
1933 and is generally regarded as restricted and illiquid. This security may
be resold in transactions exempt from registration or to the public if the
security is 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 December 31, 1998, the value of these
securities amounted to $22,010,335 or 15.7% 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 December 31,
1998, the value of these securities amounted to $10,944,882 or 7.8% of the
Portfolio's net assets.
(3) Cost for Federal income tax purposes is the same.
See notes to financial statements
15
<PAGE>
Cash Management Portfolio as of December 31, 1998
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
<TABLE>
<CAPTION>
As of December 31, 1998
Assets
- --------------------------------------------------------------------------------
<S> <C>
Investments, at value $140,272,636
Cash 94,028
Deferred organization expenses 907
- --------------------------------------------------------------------------------
Total assets $140,367,571
- --------------------------------------------------------------------------------
Liabilities
- --------------------------------------------------------------------------------
Payable to affiliate for Trustees' fees $ 1,699
Other accrued expenses 23,451
- --------------------------------------------------------------------------------
Total liabilities $ 25,150
- --------------------------------------------------------------------------------
Net Assets (representing paid-in-capital) $140,342,421
- --------------------------------------------------------------------------------
Sources of Net Assets
- --------------------------------------------------------------------------------
Net proceeds from capital contributions and
withdrawals $140,342,421
- --------------------------------------------------------------------------------
Total $140,342,421
- --------------------------------------------------------------------------------
<CAPTION>
Statement of Operations
For the Year Ended
December 31, 1998
Investment Income
- --------------------------------------------------------------------------------
Interest $ 7,597,158
- --------------------------------------------------------------------------------
Expenses
- --------------------------------------------------------------------------------
Investment adviser fee $ 689,334
Trustees fees and expenses 8,095
Custodian fee 91,029
Legal and accounting services 33,844
Amortization of organization expenses 2,727
Miscellaneous 10,819
- --------------------------------------------------------------------------------
Total expenses $ 835,848
- --------------------------------------------------------------------------------
Net investment income $ 6,761,310
- --------------------------------------------------------------------------------
</TABLE>
See notes to financial statements
16
<PAGE>
Cash Management Portfolio as of December 31, 1998
FINANCIAL STATEMENTS CONT'D
Statements of Changes in Net Assets
Increase (Decrease) Year Ended Year Ended
in Net Assets December 31, 1998 December 31, 1997
- --------------------------------------------------------------------------------
From operations--
Net investment income $ 6,761,310 $ 7,185,996
- --------------------------------------------------------------------------------
Capital transactions--
Contributions $ 610,798,591 $ 791,713,159
Withdrawals (660,957,683) (806,819,022)
- --------------------------------------------------------------------------------
Net decrease in net assets
from capital transactions $ (50,159,092) $ (15,105,863)
- --------------------------------------------------------------------------------
Net decrease in net assets $ (43,397,782) $ (7,919,867)
- --------------------------------------------------------------------------------
Net Assets
- --------------------------------------------------------------------------------
At beginning of year $ 183,740,203 $ 191,660,070
- --------------------------------------------------------------------------------
At end of year $ 140,342,421 $ 183,740,203
- --------------------------------------------------------------------------------
See notes to financial statements
17
<PAGE>
Cash Management Portfolio as of December 31, 1998
FINANCIAL STATEMENTS CONT'D
Supplementary Data
<TABLE>
<CAPTION>
Year Ended December 31,
--------------------------------------------------------------
1998 1997 1996 1995 1994/(1)/
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ratios to average daily net assets
- --------------------------------------------------------------------------------------------------------------------
Expenses 0.61% 0.59% 0.59% 0.60% 0.58%/(2)/
Net investment income 4.90% 4.96% 4.83% 5.36% 4.22%/(2)/
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
/(1)/ For the period from the start of business, May 2, 1994, to December 31,
1994.
/(2)/ Annualized.
See notes to financial statements
18
<PAGE>
Cash Management Portfolio as of December 31, 1998
NOTES TO FINANCIAL STATEMENTS
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 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 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.
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 $689,334 for the year ended December
31, 1998. 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.
3 Line of Credit
-----------------------------------------------------------------------------
The Portfolio participates with other portfolios and funds managed by BMR or
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 participating 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 period.
19
<PAGE>
Cash Management Portfolio as of December 31, 1998
NOTES TO FINANCIAL STATEMENTS CONT'D
4 Investments
-----------------------------------------------------------------------------
Purchases and sales (including maturities) of investments, during the year
ended December 31, 1998, exclusive of U.S. Government securities, aggregated
$946,588,316 and $927,805,191, respectively. Purchases and sales (including
maturities) of U.S. Government Agency securities aggregated $457,029,364 and
$519,458,871, respectively.
20
<PAGE>
Cash Management Portfolio as of December 31, 1998
INDEPENDENT ACCOUNTANTS' REPORT
To the Trustees and Investors
of Cash Management Portfolio:
- --------------------------------------------------------------------------------
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and supplementary data present fairly, in all material
respects, the financial position of Cash Management Portfolio (the "Portfolio")
at December 31, 1998, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
the supplementary data for each of the four years then ended, and for the period
from the start of business, May 2, 1994, to December 31, 1994, in conformity
with generally accepted accounting principles. These financial statements and
supplementary data (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 5, 1999
21
<PAGE>
Cash Management Portfolio as of December 31, 1998
INVESTMENT MANAGEMENT
Cash Management Portfolio
Officers Independent Trustees
James B. Hawkes Jessica M. Bibliowicz
President and Trustee President and Chief Operating Officer
John A. Levin & Co. Director,
Michael B. Terry Baker, Fentress & Co.
Vice President and
Portfolio Manager Donald R. Dwight
President, Dwight Partners, Inc.
James L. O'Connor
Treasurer Samuel L. Hayes, III
Jacob H. Schiff Professor of Investment Banking,
Alan R. Dynner Emeritus, Harvard University Graduate School of
Secretary Business Administration
Norton H. Reamer
Chairman and Chief Executive Officer,
United Asset Management Corporation
Lynn A. Stout
Professor of Law,
Georgetown University Law Center
John L. Thorndike
Formerly Director, Fiduciary
Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
22