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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-02589
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Eaton Vance Series Trust
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(Exact Name of registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
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(Name and Address of Agent for Services)
(617) 482-8260
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(registrant's Telephone Number)
December 31
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Date of Fiscal Year End
June 30, 2004
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Date of Reporting Period
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ITEM 1. REPORTS TO STOCKHOLDERS
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[EV LOGO]
[GRAPHIC IMAGE]
SEMIANNUAL REPORT JUNE 30, 2004
[GRAPHIC IMAGE]
EATON VANCE TAX-MANAGED GROWTH FUND 1.0
[GRAPHIC IMAGE]
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EATON VANCE FUNDS
EATON VANCE MANAGEMENT
BOSTON MANAGEMENT AND RESEARCH
EATON VANCE DISTRIBUTORS, INC.
PRIVACY NOTICE
The Eaton Vance organization is committed to ensuring your financial
privacy. This notice is being sent to comply with privacy regulations of
the Securities and Exchange Commission. Each of the above financial
institutions has in effect the following policy with respect to nonpublic
personal information about its customers:
- Only such information received from you, through application forms or
otherwise, and information about your Eaton Vance fund transactions will
be collected.
- None of such information about you (or former customers) will be
disclosed to anyone, except as permitted by law (which includes
disclosure to employees necessary to service your account).
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality
of such information.
For more information about Eaton Vance's privacy policies, call:
1-800-262-1122.
IMPORTANT NOTICE
REGARDING DELIVERY OF
SHAREHOLDER DOCUMENTS
The Securities and Exchange Commission permits funds to deliver only one
copy of shareholder documents, including prospectuses, proxy statements and
shareholder reports, to fund investors with multiple accounts at the same
residential or post office box address. This practice is often called
"householding" and it helps eliminate duplicate mailings to shareholders.
EATON VANCE, OR YOUR FINANCIAL ADVISER, MAY HOUSEHOLD THE MAILING OF YOUR
DOCUMENTS INDEFINITELY UNLESS YOU INSTRUCT EATON VANCE, OR YOUR FINANCIAL
ADVISER, OTHERWISE.
If you would prefer that your Eaton Vance documents not be householded,
please contact Eaton Vance at 1-800-262-1122, or contact your financial
adviser.
Your instructions that householding not apply to delivery of your Eaton
Vance documents will be effective within 30 days of receipt by Eaton Vance
or your financial adviser.
From time to time, funds are required to vote proxies related to the securities
held by the funds. The Eaton Vance Funds or their underlying Portfolios vote
proxies according to a set of policies and procedures approved by the Funds' and
Portfolios' Boards. You may obtain a description of these policies and
procedures without charge, upon request, by calling 1-800-262-1122. This
description is also available on the Securities and Exchange Commission's
website at http://www.sec.gov.
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EATON VANCE TAX-MANAGED GROWTH FUND 1.0 as of June 30, 2004
INVESTMENT UPDATE
MANAGEMENT DISCUSSION
- - Following a strong run-up in 2003, the first half of 2004 saw modest advances
for U.S. equity markets. Optimism regarding an improving economy and
accelerating earnings growth was offset by higher interest rates, rising
inflation and continuing uncertainty over the situation in Iraq. As the first
half of 2004 came to a close, the potential for greater stability in Iraq and
clarity with regard to Fed policy renewed investor optimism, and equity
markets ended the period on a positive note.
- - While the Portfolio's sector allocation remained similar to last year's,
several industry shifts were initiated during the period. For instance,
although we remained positive on the consumer, rising energy costs and
decreased refinancing activity presented obstacles to consumers' future
spending. As a result, we trimmed the Portfolio's relative overweighting of
the consumer discretionary sector, particularly in the specialty retail area.
Although this move was timely, the Portfolio's exposure to other industries
within the sector had a slight negative effect on performance.
- - Management also continued to decrease selected health care and technology
positions, relatively weaker performing sectors year-to-date. The underweight
of the semiconductor equipment and software industries of the information
technology sector was particularly beneficial. Although de-emphasis of the
health care sector has been prudent over the longer-term, the Portfolio's
weaker selection in the equipment and supplies stocks resulted in mixed
short-term results.
- - On the positive side, a continuing emphasis on consumer staples and
industrials, the market's strongest performing sectors during the period, was
beneficial to performance. Solid stock selection in the food, staples
retailing, and machinery industries also made significant contributions to
returns.
- - Another positive was the Portfolio's exposure to the energy sector. This shift
was correctly initiated last year and enabled the Portfolio's oil exploration
and gas investments to benefit from a global supply and demand imbalance and
subsequent rising oil prices. The Portfolio's selection in the cyclical metals
and mining industries was also notable.
THE FUND
THE PAST SIX MONTHS
- - During the six months ended June 30, 2004, shares of Tax-Managed Growth Fund
1.0 had a total return of 3.46%. This return was the result of an increase in
net asset value to $508.73 per share on June 30, 2004, from $493.87 per share
on December 31, 2003, and the distribution of $2.20 per share in dividend
income.
- - For comparison, during the six months ended June 30, 2004, the Standard &
Poors Composite 500 Index, an unmanaged index commonly used to measure the
performance of U.S. stocks, had a total return of 3.44%.(1) Over this same
period, the average return of the funds in the Lipper Large-Cap Core
Classification was 1.97%.(1)
SEE PAGE 3 FOR MORE PERFORMANCE INFORMATION, INCLUDING AFTER-TAX RETURNS.
THE VIEWS EXPRESSED THROUGHOUT THIS REPORT ARE THOSE OF MANAGEMENT AND ARE
CURRENT ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THESE VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED UPON MARKET OR OTHER
CONDITIONS, AND EATON VANCE DISCLAIMS ANY RESPONSIBILITY TO UPDATE SUCH VIEWS.
THESE VIEWS MAY NOT BE RELIED ON AS INVESTMENT ADVICE AND, BECAUSE INVESTMENT
DECISIONS FOR A FUND ARE BASED ON MANY FACTORS, MAY NOT BE RELIED ON AS AN
INDICATION OF TRADING INTENT ON BEHALF OF ANY FUND.
(1) It is not possible to invest directly in an Index or a Lipper
Classification.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE WITH ALL
DISTRIBUTIONS REINVESTED. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE
SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE IS FOR THE STATED TIME PERIOD ONLY; DUE TO MARKET VOLATILITY,
CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN QUOTED. FOR PERFORMANCE AS OF
THE MOST RECENT MONTH-END, PLEASE REFER TO www.eatonvance.com.
MUTUAL FUND SHARES ARE NOT INSURED BY THE FDIC AND ARE NOT DEPOSITS OR OTHER
OBLIGATIONS OF, OR GUARANTEED BY, ANY DEPOSITORY INSTITUTION. SHARES ARE
SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL INVESTED.
2
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EATON VANCE TAX-MANAGED GROWTH FUND 1.0 as of June 30, 2004
PERFORMANCE
The table below sets forth the pre-tax and after-tax performance for the Fund.
After-tax performance reflects the impact of federal income taxes on Fund
distributions of dividends and capital gains, as well as capital gains taxes on
the sale of Fund shares, while pre-tax performance does not. Because the
objective of the Fund is to achieve long-term, after-tax returns for its
shareholders through investing in a diversified portfolio of equity securities,
it is important for investors to know the effect of taxes on the Fund's returns.
AVERAGE ANNUAL TOTAL RETURNS
(FOR THE PERIODS ENDED JUNE 30, 2004)
RETURNS AT NET ASSET VALUE (NAV)
<Table>
<Caption>
ONE YEAR FIVE YEARS TEN YEARS
Return Before Taxes 18.46% 0.58% 13.16%
Return After Taxes on Distributions 17.92% 0.35% 12.83%
Return After Taxes on Distributions
and Sale of Fund Shares 12.57% 0.47% 11.74%
</Table>
The Fund commenced operations on 3/29/66.
After-tax returns are calculated using the highest historical individual federal
income tax rate and do not reflect the impact of state and local taxes. Actual
after-tax returns depend on a shareholder's tax situation and may differ from
those shown. After-tax returns are not relevant for shareholders who hold Fund
shares in tax-deferred accounts or to shares held by non-taxable entities.
After-tax returns for 5 years and 10 years reflect tax credits passed by the
Fund to shareholders. Return After Taxes on Distributions for a period may be
the same as Return Before Taxes for that period because no distributions were
paid during that period, or because the taxable portion of distributions made
during the period was insignificant. Also, Return After Taxes on Distributions
and Sale of Fund Shares for a period may be greater than Return After Taxes on
Distributions for the same period because of realized losses on the sale of Fund
shares.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE WITH ALL
DISTRIBUTIONS REINVESTED. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE
SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. PERFORMANCE IS FOR STATED TIME PERIOD ONLY; DUE TO MARKET VOLATILITY,
CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN QUOTED. FOR PERFORMANCE AS OF
THE MOST RECENT MONTH-END, PLEASE REFER TO www.eatonvance.com.
3
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EATON VANCE TAX-MANAGED GROWTH FUND 1.0 as of June 30, 2004
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2004
<Table>
ASSETS
Investment in Tax Managed Growth Portfolio, at value
(identified cost, $149,444,772) $ 989,897,200
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TOTAL ASSETS $ 989,897,200
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LIABILITIES
Payable for Fund shares redeemed $ 461,496
Payable to affiliate for Trustees' fees 865
Accrued expenses 25,127
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TOTAL LIABILITIES $ 487,488
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NET ASSETS FOR 1,944,881 SHARES OF BENEFICIAL INTEREST OUTSTANDING $ 989,409,712
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SOURCES OF NET ASSETS
Accumulated undistributed net realized gain from Portfolio (computed on the
basis of identified cost) less the excess of cost of Fund shares redeemed
over proceeds from sales of Fund shares (including shares issued to
shareholders electing to receive payments of distributions in Fund shares) $ 167,154,678
Accumulated undistributed net investment income 1,311,778
Accumulated federal tax on undistributed net realized long-term capital gain,
paid on behalf of the shareholders (19,509,172)
Net unrealized appreciation from Portfolio (computed on the basis of
identified cost) 840,452,428
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TOTAL $ 989,409,712
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NET ASSET VALUE AND REDEMPTION PRICE PER SHARE
($989,409,712 DIVIDED BY 1,944,881 SHARES OF BENEFICIAL INTEREST OUTSTANDING) $ 508.73
- -----------------------------------------------------------------------------------------------
</Table>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED
JUNE 30, 2004
<Table>
INVESTMENT INCOME
Dividends allocated from Portfolio (net of foreign taxes, $123,069) $ 7,192,596
Interest allocated from Portfolio 27,966
Expenses allocated from Portfolio (2,193,417)
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NET INVESTMENT INCOME FROM PORTFOLIO $ 5,027,145
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EXPENSES
Trustees' fees and expenses $ 1,714
Transfer and dividend disbursing agent fees 22,835
Custodian fee 14,736
Legal and accounting services 10,481
Printing and postage 5,518
Miscellaneous 860
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TOTAL EXPENSES $ 56,144
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NET INVESTMENT INCOME $ 4,971,001
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REALIZED AND UNREALIZED GAIN (LOSS) FROM PORTFOLIO
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 7,251,603
Foreign currency transactions 1,575
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NET REALIZED GAIN $ 7,253,178
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Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 21,366,250
Foreign currency (3,964)
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NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 21,362,286
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NET REALIZED AND UNREALIZED GAIN $ 28,615,464
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NET INCREASE IN NET ASSETS FROM OPERATIONS $ 33,586,465
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</Table>
See notes to financial statements
4
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STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
INCREASE (DECREASE) JUNE 30, 2004 YEAR ENDED
IN NET ASSETS (UNAUDITED) DECEMBER 31, 2003
- -------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 4,971,001 $ 9,247,706
Net realized gain from investment
transactions and foreign
currency transactions 7,253,178 151,892,344
Net change in unrealized appreciation
(depreciation) of investments and
foreign currency 21,362,286 33,254,105
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NET INCREASE IN NET ASSETS FROM OPERATIONS $ 33,586,465 $ 194,394,155
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Distributions to shareholders
From net investment income $ (4,310,741) $ (9,126,321)
From net realized gain on investment
transactions -- (17,532,783)
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TOTAL DISTRIBUTIONS TO SHAREHOLDERS $ (4,310,741) $ (26,659,104)
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Transactions in shares of beneficial interest --
Net asset value of shares issued to
shareholders in payment of
distributions declared 1,050,460 8,407,459
Cost of shares redeemed (20,099,512) (59,968,391)
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NET DECREASE IN NET ASSETS FROM FUND SHARE
TRANSACTIONS $ (19,049,052) $ (51,560,932)
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 10,226,672 $ 116,174,119
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NET ASSETS
At beginning of period $ 979,183,040 $ 863,008,921
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AT END OF PERIOD $ 989,409,712 $ 979,183,040
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ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME
INCLUDED IN NET ASSETS
AT END OF PERIOD $ 1,311,778 $ 651,518
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</Table>
See notes to financial statements
5
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FINANCIAL HIGHLIGHTS
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2004 -------------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
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Net asset value -- Beginning of period $ 493.870 $ 410.040 $ 514.030 $ 572.920 $ 562.030 $ 482.620
- -----------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 2.546 $ 4.627 $ 3.840 $ 3.292 $ 3.880 $ 3.588
Net realized and unrealized gain (loss) 14.514 92.657 (104.030) (58.932) 15.106 79.372
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TOTAL INCOME (LOSS) FROM OPERATIONS $ 17.060 $ 97.284 $ (100.190) $ (55.640) $ 18.986 $ 82.960
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LESS DISTRIBUTIONS
From net investment income $ (2.200) $ (4.550) $ (3.800) $ (3.250) $ (3.740) $ (3.550)
From net realized gain -- (8.904) -- -- -- --
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TOTAL DISTRIBUTIONS $ (2.200) $ (13.454) $ (3.800) $ (3.250) $ (3.740) $ (3.550)
- -----------------------------------------------------------------------------------------------------------------------------------
PROVISION FOR FEDERAL TAX ON
UNDISTRIBUTED NET REALIZED LONG-TERM
GAIN $ -- $ -- $ -- $ -- $ (4.356) $ --
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF PERIOD $ 508.730 $ 493.870 $ 410.040 $ 514.030 $ 572.920 $ 562.030
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1) 3.46% 23.86% (19.54)% (9.71)% 2.58% 17.27%
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's
omitted) $ 989,410 $ 979,183 $ 863,009 $ 1,138,791 $ 1,322,820 $ 1,362,841
Ratios (As a percentage of average
daily net assets):
Expenses(2) 0.46%(3) 0.47% 0.47% 0.46% 0.46% 0.47%
Expenses after custodian fee reduction 0.46%(3) -- -- -- -- --
Net investment income 1.01%(3) 1.04% 0.83% 0.63% 0.66% 0.70%
Portfolio Turnover of the Portfolio 2% 15% 23% 18% 13% 11%
- -----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested. Total return
is not computed on an annualized basis.
(2) Includes the Fund's share of the Portfolio's allocated expenses.
(3) Annualized.
See notes to financial statements
6
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EATON VANCE TAX-MANAGED GROWTH FUND 1.0 as of June 30, 2004
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Tax-Managed Growth Fund 1.0 (the Fund), is a diversified series
of Eaton Vance Series Trust (the Trust). The Trust is an entity of the type
commonly known as a Massachusetts business trust and is registered under the
Investment Company Act of 1940, as amended, as an open-end management
investment company. The Fund invests all of its investable assets in
interests of Tax-Managed Growth Portfolio (the Portfolio), a New York trust,
having the same investment objective as the Fund. The value of the Fund's
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio (5.4% at June 30, 2004). The performance of the
Fund is directly affected by the performance of the Portfolio. The financial
statements of the Portfolio, including the Portfolio of Investments, are
included elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
policies are in conformity with accounting principles generally accepted in
the United States of America.
A INVESTMENT VALUATION -- Valuation of securities by the Portfolio is
discussed in Note 1A of the Portfolio's Notes to Financial Statements which
are included elsewhere in this report.
B INCOME -- The Fund's net investment income consists of the Fund's pro rata
share of the net investment income of the Portfolio, less all actual and
accrued expenses of the Fund determined in accordance with accounting
principles generally accepted in the United States of America.
C EXPENSES -- The majority of expenses of the Trust are directly identifiable
to an individual fund. Expenses which are not readily identifiable to a
specific fund are allocated taking into consideration, among other things,
the nature and type of expense and the relative size of the funds.
D FEDERAL TAXES -- The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year substantially all of its net investment
income and all or substantially all of its net realized capital gains.
Accordingly, no provision for federal income or excise tax is necessary.
Although the Fund intends to distribute net realized long-term gains to
shareholders each year, the Fund reserves the right to designate such gains
as undistributed and pay the federal tax thereon on behalf of shareholders.
Provision for such tax is recorded on the Fund's records on the last business
day of the Fund's fiscal year because the Internal Revenue Code provides that
such tax is allocated among shareholders of record on that date.
E INDEMNIFICATIONS -- Under the Trust's organizational documents, its
officers and Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties to the Fund and
shareholders are indemnified against personal liability for the obligations
of the Trust. Additionally, in the normal course of business, the Fund enters
into agreements with service providers that may contain indemnification
clauses. The Fund's maximum exposure under these arrangements is unknown as
this would involve future claims that may be made against the Fund that have
not yet occurred.
F OTHER -- Investment transactions are accounted for on a trade-date basis.
Dividends to shareholders are recorded on the ex-dividend date.
G USE OF ESTIMATES -- The preparation of the financial statements in
conformity with accounting principles generally accepted in the United States
of America 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.
H INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating
to June 30, 2004 and for the six months then ended have not been audited by
an independent registered public accounting firm, but in the opinion of the
Fund's management reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
2 DISTRIBUTIONS TO SHAREHOLDERS
The Fund's policy is to distribute all or substantially all of the net
investment income allocated to the Fund by the Portfolio (less the Fund's
direct expenses) and to distribute all or substantially all of its net
realized capital gains (reduced by any available capital loss carryforwards
from prior years) allocated by the Portfolio to the Fund, if any.
Distributions are paid in the form of additional shares of the Fund or, at
the election of the shareholder, in cash. Shareholders may reinvest all
distributions in additional shares of the Fund at net asset value as of the
close of business on the ex-dividend date. The Fund distinguishes between
distributions on a tax basis and a financial
7
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reporting basis. Accounting principles generally accepted in the United
States of America require that only distributions in excess of tax basis
earnings and profits be reported in the financial statements as a return of
capital. Permanent differences between book and tax accounting relating to
distributions are re-classified to paid-in capital.
3 SHARES OF BENEFICIAL INTEREST
The Fund's Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par
value). Transactions in Fund shares were as follows:
<Table>
<Caption>
SIX MONTHS ENDED
JUNE 30, 2004 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2003
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Issued to shareholders electing to
receive payments of distributions in
Fund shares 2,098 17,489
Redemptions (39,891) (139,511)
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NET DECREASE (37,793) (122,022)
--------------------------------------------------------------------------------------
</Table>
4 INVESTMENT TRANSACTIONS
Decreases in the Fund's investment in the Portfolio aggregated $22,977,281
for the six months ended June 30, 2004.
5 TRANSACTIONS WITH AFFILIATES
Eaton Vance Management (EVM) serves as the administrator of the Fund, but
receives no compensation. The Portfolio has engaged Boston Management and
Research (BMR), a subsidiary of EVM, to render investment advisory services.
See Note 2 of the Portfolio's Notes to Financial Statements which are
included elsewhere in this report. EVM serves as the sub-transfer agent of
the Fund and receives an aggregate fee based upon the actual expenses
incurred by EVM in the performance of those services. For the six months
ended June 30, 2004, EVM earned $2,293 in sub-transfer agent fees.
Except for Trustees of the Fund and the Portfolio who are not members of
EVM's or BMR's organization, officers and Trustees receive remuneration for
their services to the Fund out of the investment adviser fee earned by BMR.
Trustees of the Fund who are not affiliated with EVM or BMR may elect to
defer receipt of all or a percentage of these annual fees in accordance with
terms of the Trustees Deferred Compensation Plan. For the six months ended
June 30, 2004, no significant amounts have been deferred.
Certain officers and Trustees of the Fund are officers of the above
organizations.
8
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of June 30, 2004
PORTFOLIO OF INVESTMENTS (UNAUDITED)
COMMON STOCKS -- 99.5%
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 2.7%
Boeing Company (The) 794,801 $ 40,606,383
General Dynamics 735,000 72,985,500
Honeywell International, Inc. 275,998 10,109,807
Northrop Grumman Corp. 3,369,044 180,917,663
Raytheon Company 313,599 11,217,436
Rockwell Collins, Inc. 203,032 6,765,026
Teledyne Technologies Incorporated(1) 6,117 122,462
United Technologies Corp. 1,782,966 163,105,730
- -------------------------------------------------------------------------------------
$ 485,830,007
- -------------------------------------------------------------------------------------
AIR FREIGHT AND LOGISTICS -- 2.7%
FedEx Corporation 2,106,578 $ 172,086,357
Robinson (C.H.) Worldwide, Inc. 1,117,001 51,203,326
United Parcel Service, Inc. Class B 3,489,439 262,301,130
- -------------------------------------------------------------------------------------
$ 485,590,813
- -------------------------------------------------------------------------------------
AIRLINES -- 0.0%
Southwest Airlines, Inc. 126,393 $ 2,119,611
- -------------------------------------------------------------------------------------
$ 2,119,611
- -------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.2%
ArvinMeritor, Inc. 8,000 $ 156,560
Borg-Warner Automotive, Inc. 407,962 17,856,497
Dana Corp. 25,000 490,000
Delphi Automotive Systems Corp. 6,199 66,205
Johnson Controls, Inc. 328,728 17,547,501
Visteon Corp. 10,050 117,284
Wabtec 94,504 1,704,852
- -------------------------------------------------------------------------------------
$ 37,938,899
- -------------------------------------------------------------------------------------
AUTOMOBILES -- 0.1%
DaimlerChrysler AG 7,000 $ 329,490
Ford Motor Co. 143,528 2,246,213
General Motors Corp. 13,696 638,097
Harley-Davidson, Inc. 137,700 8,529,138
Honda Motor Co. Ltd. ADR 20,000 486,400
- -------------------------------------------------------------------------------------
$ 12,229,338
- -------------------------------------------------------------------------------------
BEVERAGES -- 4.6%
Anheuser-Busch Companies, Inc. 4,430,188 $ 239,230,152
Brown-Forman Corp. Class A 538,432 25,871,658
Brown-Forman Corp. Class B 2,520 121,640
Coca-Cola Company (The) 3,277,862 165,466,474
Coca-Cola Enterprises, Inc. 1,754,144 50,852,635
PepsiCo., Inc. 6,341,393 341,674,255
- -------------------------------------------------------------------------------------
$ 823,216,814
- -------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.5%
Amgen, Inc.(1) 3,855,319 $ 210,384,758
Applera Corp. - Celera Genomics Group(1) 26,000 299,260
Biogen Idec Inc.(1) 10,000 632,500
Genzyme Corp. - General Division(1) 564,926 26,737,948
Gilead Sciences, Inc.(1) 57,741 3,868,647
Incyte Pharmaceuticals, Inc.(1) 14,294 109,206
Invitrogen Corp.(1) 467,551 33,658,996
Vertex Pharmaceuticals, Inc.(1) 13,000 140,920
- -------------------------------------------------------------------------------------
$ 275,832,235
- -------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 1.0%
American Standard Companies, Inc.(1) 978,798 $ 39,455,347
CRH plc 329,450 6,974,361
Masco Corporation 4,225,436 131,749,094
Water Pik Technologies(1) 2,141 35,455
- -------------------------------------------------------------------------------------
$ 178,214,257
- -------------------------------------------------------------------------------------
CAPITAL MARKETS -- 3.7%
Affiliated Managers Group(1) 20,520 $ 1,033,592
Bank of New York Co., Inc. (The) 442,346 13,040,360
Bear Stearns Companies, Inc. 83,352 7,027,407
Credit Suisse Group(1) 155,136 5,512,258
Federated Investors, Inc. 1,666,768 50,569,741
Franklin Resources, Inc. 1,488,937 74,565,965
Goldman Sachs Group, Inc. 362,738 34,155,410
Investors Financial Services Corp. 475,402 20,718,019
Knight Trading Group, Inc.(1) 1,750,000 17,535,000
Legg Mason, Inc. 17,641 1,605,507
Lehman Brothers Holdings, Inc. 57,486 4,325,821
Mellon Financial Corporation 221,912 6,508,679
Merrill Lynch & Co., Inc. 1,921,744 103,735,741
Morgan (J.P.) Chase & Co. 407,342 15,792,649
Morgan Stanley Dean Witter & Co. 4,761,275 251,252,482
</Table>
See notes to financial statements
9
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
Northern Trust Corp. 261,505 $ 11,056,431
Nuveen Investments Class A 150,000 4,020,000
Piper Jaffray Companies, Inc.(1) 41,508 1,877,407
Price (T. Rowe) Group, Inc. 162,011 8,165,354
Raymond James Financial, Inc. 147,337 3,897,064
Schwab (Charles) & Co. 943,350 9,065,593
State Street Corp. 331,670 16,265,097
UBS AG(1) 49,812 3,539,641
Waddell & Reed Financial, Inc., Class A 271,320 5,998,885
- -------------------------------------------------------------------------------------
$ 671,264,103
- -------------------------------------------------------------------------------------
CHEMICALS -- 0.9%
Airgas, Inc. 389,753 $ 9,318,994
Arch Chemicals, Inc. 4,950 142,659
Bayer AG ADR 40,000 1,168,000
Dow Chemical Co. (The) 247,183 10,060,348
DuPont (E.I.) de Nemours & Co. 1,308,050 58,103,581
Ecolab, Inc. 258,423 8,192,009
MacDermid, Inc. 61,937 2,096,567
Monsanto Company 28,797 1,108,684
Olin Corp. 9,900 174,438
PPG Industries, Inc. 23,542 1,471,140
Rohm and Haas, Co. 2,601 108,150
RPM, Inc. 88,338 1,342,738
Sigma-Aldrich Corp. 630,897 37,607,770
Solutia Inc.(1) 20,293 4,667
Valspar Corp. 818,316 41,275,859
- -------------------------------------------------------------------------------------
$ 172,175,604
- -------------------------------------------------------------------------------------
COMMERCIAL BANKS -- 8.7%
AmSouth Bancorporation 695,898 $ 17,624,043
Associated Banc-Corp. 1,123,722 33,295,883
Bank of America Corporation 2,512,130 209,670,167
Bank of Hawaii Corp. 49,425 2,234,998
Bank of Montreal 268,131 10,733,284
Bank One Corp. 1,923,530 98,100,030
Banknorth Group, Inc. 35,279 1,145,862
BB&T Corp. 1,563,330 57,796,310
Canadian Imperial Bank of Commerce 100,000 4,890,000
Charter One Financial, Inc. 251,993 11,135,571
City National Corp. 273,260 17,953,182
Colonial Bancgroup, Inc. (The) 253,936 4,614,017
Comerica, Inc. 331,589 $ 18,197,604
Commerce Bancshares, Inc. 147,766 6,789,109
Community First Bankshares, Inc. 360,184 11,594,323
Compass Bancshares, Inc. 355,348 15,279,964
Fifth Third Bancorp 1,251,494 67,305,347
First Citizens BancShares, Inc. 30,600 3,733,200
First Financial Bancorp. 47,933 849,373
First Horizon National Corp. 156,879 7,133,288
First Midwest Bancorp, Inc. 815,329 28,707,734
Hibernia Corp. Class A 187,345 4,552,483
HSBC Holdings PLC ADR 601,596 45,065,556
Huntington Bancshares, Inc. 578,423 13,245,887
Keycorp 625,951 18,709,675
M&T Bank Corp. 47,419 4,139,679
Marshall & Ilsley Corp. 683,798 26,729,664
National City Corp. 1,627,140 56,966,171
National Commerce Financial Corp. 1,113,055 36,174,287
North Fork Bancorporation, Inc. 53,534 2,036,969
PNC Bank Corp. 156,003 8,280,639
Popular, Inc. 716 30,623
Regions Financial Corp. 1,589,301 58,088,952
Royal Bank of Canada 321,353 14,245,578
Royal Bank of Scotland Group PLC 50,837 1,464,023
S&T Bancorp, Inc. 100,000 3,198,000
Societe Generale 809,647 68,806,233
SouthTrust Corp. 484,589 18,806,899
Southwest Bancorporation of Texas, Inc. 767,914 33,880,366
SunTrust Banks, Inc. 418,940 27,226,911
Synovus Financial Corp. 1,345,581 34,070,111
TCF Financial Corporation 28,000 1,625,400
U.S. Bancorp 5,044,492 139,026,200
Union Planters Corp. 748,729 22,319,611
Valley National Bancorp 186,942 4,725,894
Wachovia Corp. 1,883,049 83,745,706
Wells Fargo & Company 3,206,053 183,482,413
Westamerica Bancorporation 268,474 14,081,461
Whitney Holding Corp. 350,175 15,642,317
Zions Bancorporation 252,271 15,502,053
- -------------------------------------------------------------------------------------
$ 1,584,653,050
- -------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 2.4%
Allied Waste Industries, Inc.(1) 1,674,390 $ 22,068,460
Apollo Group, Inc. Class A(1) 7,599 670,916
</Table>
See notes to financial statements
10
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES (CONTINUED)
Avery Dennison Corp. 1,350,977 $ 86,476,038
Banta Corp. 42,341 1,880,364
Block (H&R), Inc. 732,354 34,918,639
Cendant Corp. 549,359 13,448,308
Century Business Services, Inc.(1) 185,000 806,600
Cintas Corp. 1,488,833 70,972,669
Consolidated Graphics, Inc.(1) 70,215 3,092,971
Deluxe Corporation 32,000 1,392,000
Donnelley (R.R.) & Sons Co. 115,244 3,805,357
Equifax, Inc. 85,724 2,121,669
Gevity HR, Inc. 78,125 2,046,094
HNI Corp. 1,552,470 65,716,055
Hudson Highland Group, Inc.(1) 11,581 355,073
Ikon Office Solutions, Inc. 83,040 952,469
Imagistics International Inc.(1) 809 28,639
Laureate Education Inc.(1) 520,213 19,892,945
Manpower, Inc. 112,000 5,686,240
Miller (Herman) Inc. 541,800 15,679,692
Monster Worldwide Inc.(1) 154,426 3,971,837
Navigant Consulting, Inc.(1) 463,017 9,927,084
Pitney Bowes, Inc. 41,603 1,840,933
School Specialty Corp.(1) 49,197 1,786,343
ServiceMaster Co. 1,224,880 15,090,522
Steelcase Inc. 123,000 1,722,000
United Rentals, Inc.(1) 401,179 7,177,092
Waste Management, Inc. 1,205,396 36,945,387
- -------------------------------------------------------------------------------------
$ 430,472,396
- -------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.3%
3Com Corp.(1) 873,949 $ 5,462,181
ADC Telecommunications, Inc.(1) 349,010 991,188
Advanced Fibre Communications, Inc.(1) 15,000 303,000
Alcatel S.A. ADR(1) 43,728 677,347
Avaya, Inc.(1) 356,800 5,633,872
Ciena Corp.(1) 380,378 1,415,006
Cisco Systems, Inc.(1) 4,287,833 101,621,642
Comverse Technology, Inc.(1) 386,378 7,704,377
Corning, Inc.(1) 2,051,520 26,792,851
Enterasys Networks, Inc.(1) 55,945 118,044
JDS Uniphase Corp.(1) 52,451 198,789
Lucent Technologies, Inc.(1) 555,464 $ 2,099,654
McData Corp., Class A(1) 18,276 98,325
Motorola, Inc. 921,114 16,810,330
Nokia Corp., Class A, ADR 2,370,478 34,466,750
Nortel Networks Corp.(1) 1,225,250 6,113,997
Qualcomm, Inc. 344,112 25,113,294
Riverstone Networks, Inc.(1) 28,706 37,605
Tellabs, Inc.(1) 102,845 898,865
- -------------------------------------------------------------------------------------
$ 236,557,117
- -------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.2%
Dell Inc.(1) 4,308,189 $ 154,319,330
EMC Corp.(1) 1,096,652 12,501,833
Gateway, Inc.(1) 95,621 430,294
Hewlett-Packard Co. 1,073,667 22,654,374
International Business Machines Corp. 2,437,437 214,860,072
Lexmark International Group, Inc.(1) 1,704,885 164,572,549
Network Appliance, Inc.(1) 488,000 10,506,640
Palmone, Inc.(1) 65,230 2,268,047
Sun Microsystems, Inc.(1) 370,670 1,608,708
- -------------------------------------------------------------------------------------
$ 583,721,847
- -------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 0.1%
Dycom Industries, Inc.(1) 149,711 $ 4,191,908
Jacobs Engineering Group, Inc.(1) 283,522 11,165,096
- -------------------------------------------------------------------------------------
$ 15,357,004
- -------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.1%
Vulcan Materials Company 184,512 $ 8,773,546
- -------------------------------------------------------------------------------------
$ 8,773,546
- -------------------------------------------------------------------------------------
CONSUMER FINANCE -- 0.9%
American Express Co. 533,575 $ 27,415,083
Capital One Financial Corp. 1,245,111 85,090,704
MBNA Corporation 456,002 11,760,292
Providian Financial Corp.(1) 457,296 6,708,532
SLM Corp. 905,499 36,627,435
- -------------------------------------------------------------------------------------
$ 167,602,046
- -------------------------------------------------------------------------------------
</Table>
See notes to financial statements
11
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
Bemis Co. 415,186 $ 11,729,004
Caraustar Industries, Inc.(1) 180,949 2,553,190
Sealed Air Corp.(1) 37,014 1,971,736
Sonoco Products Co. 160,690 4,097,595
Temple-Inland, Inc. 57,962 4,013,868
- -------------------------------------------------------------------------------------
$ 24,365,393
- -------------------------------------------------------------------------------------
DEPARTMENT STORES -- 0.0%
Neiman Marcus Group, Inc. (The) 27,117 $ 1,407,101
- -------------------------------------------------------------------------------------
$ 1,407,101
- -------------------------------------------------------------------------------------
DISTRIBUTORS -- 0.0%
Genuine Parts Company 188,609 $ 7,484,005
- -------------------------------------------------------------------------------------
$ 7,484,005
- -------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 1.1%
Citigroup Inc. 4,107,203 $ 190,984,939
Finova Group, Inc.(1) 175,587 26,338
ING groep, N.V. ADR 257,281 6,097,560
Moody's Corp. 47,543 3,074,130
- -------------------------------------------------------------------------------------
$ 200,182,967
- -------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.0%
Alltel Corp. 1,607,979 $ 81,395,897
AT&T Corp. 495,955 7,255,822
BCE, Inc. 3,500,000 70,140,000
BellSouth Corp. 446,927 11,718,426
Cincinnati Bell Inc.(1) 169,013 750,418
Citizens Communications Co.(1) 13,568 164,173
Deutsche Telekom AG(1) 2,006,790 35,540,251
McLeodUSA(1) 21,974 10,548
PTEK Holdings, Inc.(1) 28,000 322,840
Qwest Communications International, Inc.(1) 59,924 215,127
RSL Communications Ltd.(1) 247,161 2,472
SBC Communications, Inc. 1,470,327 35,655,430
Sprint Corp. - FON Group 176,955 3,114,408
Talk America Holdings, Inc.(1) 9,703 74,422
Telefonos de Mexico ADR 2,500,000 83,175,000
Verizon Communications 971,528 35,159,598
- -------------------------------------------------------------------------------------
$ 364,694,832
- -------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 0.3%
Ameren Corp. 5,000 $ 214,800
American Electric Power, Inc. 960 30,720
Exelon Corp. 1,000,000 33,290,000
PG&E Corp.(1) 47,705 1,332,878
Southern Co. (The) 85,985 2,506,463
TECO Energy, Inc. 34,145 409,399
TXU Corp. 250,196 10,135,440
Wisconsin Energy Corp. 9,576 312,273
- -------------------------------------------------------------------------------------
$ 48,231,973
- -------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.5%
American Power Conversion Corp. 34,704 $ 681,934
Baldor Electric Co. 149,060 3,480,551
Emerson Electric Co. 1,294,487 82,264,649
Rockwell International Corp. 174,782 6,556,073
Roper Industries, Inc. 23,122 1,315,642
Thomas & Betts Corp. 114,600 3,120,558
- -------------------------------------------------------------------------------------
$ 97,419,407
- -------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.8%
Agilent Technologies, Inc.(1) 467,331 $ 13,683,452
Arrow Electronics, Inc.(1) 8,750 234,675
Dionex Corp.(1) 139,750 7,710,007
Flextronics International Ltd.(1) 282,653 4,508,315
Jabil Circuit, Inc.(1) 2,127,971 53,582,310
Molex, Inc., Class A 68,832 1,877,737
National Instruments Corp. 735,687 22,548,807
PerkinElmer, Inc. 254,526 5,100,701
Plexus Corp.(1) 158,108 2,134,458
Sanmina Corp.(1) 1,140,602 10,379,478
Solectron Corporation(1) 1,813,994 11,736,541
X-Rite Incorporated 288,000 4,187,520
- -------------------------------------------------------------------------------------
$ 137,684,001
- -------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 0.5%
Baker Hughes, Inc. 457,604 $ 17,228,791
Core Laboratories N.V.(1) 46,338 1,065,774
Grant Prideco, Inc.(1) 124,234 2,293,360
Halliburton Company 481,502 14,570,251
National-Oilwell, Inc.(1) 573,218 18,050,635
Schlumberger Ltd. 559,525 35,535,433
Smith International, Inc.(1) 140,000 7,806,400
Transocean Sedco Forex, Inc.(1) 6,315 182,756
- -------------------------------------------------------------------------------------
$ 96,733,400
- -------------------------------------------------------------------------------------
</Table>
See notes to financial statements
12
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
FOOD AND STAPLES RETAILING -- 2.3%
Albertson's, Inc. 1,022,715 $ 27,142,856
Casey's General Stores, Inc. 89,966 1,646,378
Costco Wholesale Corp. 820,435 33,695,265
CVS Corp. 177,839 7,472,795
Kroger Co. (The)(1) 1,199,285 21,826,987
Safeway, Inc.(1) 1,259,438 31,914,159
Sysco Corp. 1,721,774 61,760,033
Sysco Corp.(2)(3) 32,036 1,148,269
Sysco Corp.(2)(3) 25,000 895,741
Walgreen Co. 867,198 31,401,240
Wal-Mart Stores, Inc. 3,752,495 197,981,636
Winn-Dixie Stores, Inc. 215,269 1,549,937
- -------------------------------------------------------------------------------------
$ 418,435,296
- -------------------------------------------------------------------------------------
FOOD PRODUCTS -- 2.6%
Archer-Daniels-Midland Co. 248,438 $ 4,168,790
Campbell Soup Co. 1,242,265 33,392,083
Conagra Inc. 1,617,310 43,796,755
Dean Foods Co.(1) 443,988 16,565,192
Del Monte Foods, Co.(1) 99,492 1,010,839
General Mills, Inc. 233,465 11,096,591
Heinz (H.J.) Co. 290,385 11,383,092
Hershey Foods Corp. 488,314 22,594,289
JM Smucker Co. 13,072 600,136
Kellogg Co. 67,333 2,817,886
Kraft Foods, Inc. 165 5,227
McCormick & Co., Inc. 35,886 1,220,124
Nestle SA 250,000 66,671,990
Riviana Foods, Inc. 250,000 6,542,500
Sara Lee Corp. 3,065,792 70,482,558
Smithfield Foods, Inc.(1) 4,207,530 123,701,382
Tyson Foods, Inc. 315,272 6,604,948
Wrigley (Wm.) Jr. Company Class A 933,873 58,880,693
- -------------------------------------------------------------------------------------
$ 481,535,075
- -------------------------------------------------------------------------------------
GAS UTILITIES -- 0.6%
Kinder Morgan, Inc. 1,781,672 $ 105,635,333
- -------------------------------------------------------------------------------------
$ 105,635,333
- -------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT AND SUPPLIES -- 1.6%
Advanced Medical Optics(1) 3,558 $ 151,464
Bausch & Lomb, Inc. 29,250 1,903,297
Baxter International, Inc. 246,713 $ 8,514,066
Becton & Dickinson and Co. 64,173 3,324,161
Biomet, Inc. 411,340 18,279,950
Boston Scientific Corporation(1) 1,383,970 59,233,916
Dentsply International, Inc. 10,928 569,349
Edwards Lifesciences Corp.(1) 14,353 500,202
Guidant Corp. 74,638 4,170,771
Hillenbrand Industries, Inc. 603,284 36,468,518
Hospira, Inc.(1) 235,545 6,501,042
Lumenis Ltd.(1) 100,000 133,500
Medtronic, Inc. 2,300,301 112,070,665
Millipore Corporation(1) 70,000 3,945,900
St. Jude Medical, Inc.(1) 10,014 757,559
Steris Corp.(1) 12,538 282,857
VISX, Inc.(1) 50,000 1,336,000
Waters Corp.(1) 165,841 7,923,883
Zimmer Holdings, Inc.(1) 236,629 20,870,678
- -------------------------------------------------------------------------------------
$ 286,937,778
- -------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS AND SERVICES -- 2.1%
AmerisourceBergen Corp. 104,493 $ 6,246,592
Andrx Group(1) 180,170 5,032,148
Beverly Enterprises, Inc.(1) 357,143 3,071,430
Cardinal Health, Inc. 1,879,133 131,633,267
Caremark Rx, Inc.(1) 700,000 23,058,000
Cigna Corp. 11,836 814,435
Express Scripts, Inc.(1) 26,658 2,112,113
HCA Inc. 200,140 8,323,823
Health Management Associates, Inc., Class A 1,036,833 23,245,796
IDX Systems Corp.(1) 60,000 1,913,400
IMS Health, Inc. 280,530 6,575,623
McKesson HBOC, Inc. 201,169 6,906,132
Medco Health Solutions, Inc.(1) 130,454 4,892,025
Parexel International Corp.(1) 27,837 551,173
Renal Care Group, Inc.(1) 480,046 15,903,924
Schein (Henry), Corp.(1) 1,222,130 77,165,288
Service Corp. International(1) 142,389 1,049,407
Stewart Enterprises, Inc.(1) 114,000 927,960
Sunrise Assisted Living, Inc.(1) 144,000 5,636,160
Tenet Healthcare Corp.(1) 3,961 53,117
UnitedHealth Group, Inc. 201,976 12,573,006
Ventiv Health, Inc.(1) 160,833 2,489,695
Wellpoint Health Networks(1) 404,000 45,252,040
- -------------------------------------------------------------------------------------
$ 385,426,554
- -------------------------------------------------------------------------------------
</Table>
See notes to financial statements
13
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.6%
Brinker International, Inc.(1) 322,917 $ 11,017,928
Carnival Corporation 559,353 26,289,591
CBRL Group, Inc. 62,047 1,914,150
Darden Restaurants Inc. 184,714 3,795,873
Evans (Bob) Farms, Inc. 51,662 1,414,506
Gaylord Entertainment Co.(1) 428,482 13,450,050
International Game Technology 400,000 15,440,000
International Speedway Corporation 118,344 5,756,252
Jack in the Box, Inc.(1) 500,000 14,850,000
Lone Star Steakhouse & Saloon, Inc. 145,981 3,969,223
Marriott International, Inc. 308,972 15,411,523
McDonald's Corp. 608,986 15,833,636
MGM Grand, Inc.(1) 94,445 4,433,248
Navigant International, Inc.(1) 44,278 787,706
Outback Steakhouse, Inc. 1,641,207 67,880,322
Papa John's International, Inc.(1) 197,999 5,848,890
Royal Caribbean Cruises Ltd. 500,000 21,705,000
Sonic Corp.(1) 159,765 3,634,654
Starbucks Corp.(1) 1,255,994 54,610,619
Yum! Brands, Inc.(1) 240,349 8,945,790
- -------------------------------------------------------------------------------------
$ 296,988,961
- -------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.5%
Blyth Industries, Inc. 708,382 $ 24,432,095
D.R. Horton Inc. 300,000 8,520,000
Department 56, Inc.(1) 255,162 3,929,495
Fortune Brands Inc. 135,743 10,239,094
Helen of Troy Ltd.(1) 20,000 737,400
Interface, Inc. Class A(1) 75,467 658,827
Leggett & Platt, Inc. 1,435,942 38,354,011
Maytag Corp. 27,073 663,559
Newell Rubbermaid, Inc. 375,519 8,824,696
Snap-On, Inc. 42,453 1,424,298
- -------------------------------------------------------------------------------------
$ 97,783,475
- -------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.8%
Clorox Co. (The) 53,688 $ 2,887,341
Colgate-Palmolive Co. 675,272 39,469,648
Energizer Holdings(1) 168,981 7,604,145
Kimberly-Clark Corp. 1,508,416 99,374,446
Procter & Gamble Co. 3,177,122 172,962,522
- -------------------------------------------------------------------------------------
$ 322,298,102
- -------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 2.6%
3M Co. 645,514 $ 58,023,956
General Electric Co. 11,295,964 365,989,234
Teleflex, Inc. 47,559 2,385,084
Tyco International Ltd. 1,256,144 41,628,612
- -------------------------------------------------------------------------------------
$ 468,026,886
- -------------------------------------------------------------------------------------
INSURANCE -- 6.3%
21st Century Insurance Group 70,700 $ 914,858
Aegon N.V. ADR 5,311,829 64,379,367
AFLAC Inc. 2,141,083 87,377,597
Allstate Corp. (The) 188,362 8,768,251
American International Group, Inc. 5,566,670 396,792,238
AON Corp. 826,887 23,541,473
Berkshire Hathaway, Inc., Class A(1) 392 34,868,400
Berkshire Hathaway, Inc., Class B(1) 40,611 120,005,505
Chubb Corporation 3,777 257,516
Commerce Group, Inc. 120,000 5,924,400
Delphi Financial Group Inc. 9,672 430,404
Gallagher (Arthur J.) and Co. 991,627 30,195,042
Hartford Financial Services Group, Inc. 11,589 796,628
Jefferson-Pilot Corp. 210,921 10,714,787
Lincoln National Corp. 52,903 2,499,667
Manulife Financial Corp. 74,958 3,035,799
Marsh & McLennan Cos., Inc. 1,423,829 64,613,360
MetLife, Inc. 1,969,700 70,613,745
Old Republic International Corp. 240,548 5,705,799
Progressive Corp. 1,916,008 163,435,482
Safeco Corp. 177,122 7,793,368
St. Paul Companies, Inc. (The) 318,179 12,898,977
Torchmark Corp. 440,119 23,678,402
UICI(1) 43,597 1,038,045
UnumProvident Corp. 53,710 853,989
XL Capital Ltd., Class A 79,232 5,978,847
- -------------------------------------------------------------------------------------
$ 1,147,111,946
- -------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.4%
Amazon.com Inc.(1) 23,500 $ 1,278,400
eBay, Inc.(1) 607,942 55,900,267
InteractiveCorp.(1) 806,192 24,298,627
- -------------------------------------------------------------------------------------
$ 81,477,294
- -------------------------------------------------------------------------------------
</Table>
See notes to financial statements
14
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.0%
Retek, Inc.(1) 110,742 $ 679,956
- -------------------------------------------------------------------------------------
$ 679,956
- -------------------------------------------------------------------------------------
IT SERVICES -- 3.0%
Accenture Ltd.(1) 4,038,000 $ 110,964,240
Acxiom Corp. 647,804 16,084,973
Affiliated Computer Services(1) 183,730 9,726,666
Automatic Data Processing, Inc. 1,572,895 65,872,843
BISYS Group, Inc. (The)(1) 280,492 3,943,718
Ceridian Corp.(1) 166,750 3,751,875
Certegy, Inc. 42,862 1,663,046
Computer Sciences Corp.(1) 388,302 18,028,862
CSG Systems International, Inc.(1) 25,200 521,640
DST Systems, Inc.(1) 391,634 18,833,679
eFunds Corp.(1) 17,645 308,787
Electronic Data Systems Corp. 102,672 1,966,169
First Data Corp. 4,945,530 220,174,996
Gartner Group, Inc., Class A(1) 4,811 63,601
Gartner Group, Inc., Class B(1) 56,740 731,379
Keane, Inc.(1) 50,295 688,539
Paychex, Inc. 1,378,095 46,689,859
Perot Systems Corp.(1) 726,775 9,644,304
Safeguard Scientifics, Inc.(1) 26,579 61,132
SunGard Data Systems, Inc.(1) 778,524 20,241,624
- -------------------------------------------------------------------------------------
$ 549,961,932
- -------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.0%
Eastman Kodak Co. 149,158 $ 4,024,283
Mattel, Inc. 4,282 78,146
- -------------------------------------------------------------------------------------
$ 4,102,429
- -------------------------------------------------------------------------------------
MACHINERY -- 3.0%
Caterpillar, Inc. 31,255 $ 2,482,897
Danaher Corporation 4,031,970 209,057,644
Deere & Co. 3,350,000 234,969,000
Donaldson Company, Inc. 80,440 2,356,892
Dover Corp. 165,567 6,970,371
Federal Signal Corp. 283,471 5,275,395
Illinois Tool Works, Inc. 755,506 72,445,470
ITT Industries, Inc. 4,214 349,762
Nordson Corporation 163,978 7,111,726
Parker-Hannifin Corporation 30,653 1,822,627
Tecumseh Products Co., Class A 125,700 5,177,583
- -------------------------------------------------------------------------------------
$ 548,019,367
- -------------------------------------------------------------------------------------
MEDIA -- 5.7%
ADVO, Inc. 750,000 $ 24,690,000
Arbitron, Inc.(1) 30,885 1,127,920
Belo (A.H.) Corp. 542,924 14,577,509
Cablevision Systems Corp.(1) 207,410 4,075,607
Catalina Marketing Corp.(1) 88,490 1,618,482
Clear Channel Communications, Inc. 224,444 8,293,206
Comcast Corp. Class A(1) 2,366,124 66,322,456
Comcast Corp. Class A Special(1) 1,280,622 35,357,973
Cox Communications, Inc., Class A(1) 865,627 24,055,774
Disney (Walt) Company 4,819,773 122,856,014
EchoStar Communications, Class A(1) 35,150 1,080,862
Entercom Communications Corp.(1) 220,000 8,206,000
Gannett Co., Inc. 1,447,727 122,839,636
Havas Advertising, S.A. ADR 3,142,938 15,966,125
Interpublic Group of Companies, Inc.(1) 1,520,905 20,882,026
Knight Ridder, Inc. 18,123 1,304,856
Lamar Advertising Co.(1) 243,271 10,545,798
Liberty Media Corp. Class A(1) 1,013,104 9,107,805
Liberty Media Corp. Class B(1) 32,876 328,760
Liberty Media International Inc. Class A(1) 50,655 1,879,301
Liberty Media International Inc. Class B(1) 1,643 67,314
McClatchy Co. (The) 48,066 3,371,830
McGraw-Hill Companies, Inc. (The) 462,964 35,449,153
Meredith Corp. 190,000 10,442,400
New York Times Co. (The), Class A 303,168 13,554,641
News Corporation Ltd. 93,967 3,089,635
Omnicom Group, Inc. 2,326,307 176,393,479
Proquest Company(1) 115,000 3,133,750
Publicis Groupe SA 360,784 10,679,601
Reuters Holdings plc ADR 1,431 58,299
Scripps (The E.W) Company 25,533 2,680,965
Time Warner Inc.(1) 3,445,075 60,564,418
Tribune Co. 2,078,878 94,672,104
Univision Communications, Inc.(1) 947,055 30,239,466
Viacom, Inc., Class A 29,774 1,082,285
Viacom, Inc., Class B 1,281,337 45,769,358
Vivendi Universal S.A. ADR(1) 490,725 13,691,227
Washington Post Co. (The) 14,970 13,922,250
Westwood One, Inc.(1) 122,400 2,913,120
WPP Group plc 139,450 1,416,198
WPP Group plc ADR 237,655 12,175,066
- -------------------------------------------------------------------------------------
$ 1,030,482,669
- -------------------------------------------------------------------------------------
</Table>
See notes to financial statements
15
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
METALS AND MINING -- 0.3%
Alcoa, Inc. 797,947 $ 26,356,189
Allegheny Technologies, Inc. 21,408 386,414
Inco, Ltd.(1) 200,000 6,912,000
Nucor Corp. 221,462 16,999,423
Phelps Dodge Corp.(1) 14,862 1,151,954
Steel Dynamics, Inc.(1) 311,800 8,926,834
Worthington Industries, Inc. 75,160 1,543,035
- -------------------------------------------------------------------------------------
$ 62,275,849
- -------------------------------------------------------------------------------------
MULTILINE RETAIL -- 1.7%
99 Cents Only Stores(1) 1,142,232 $ 17,419,038
Dollar General Corp. 101,456 1,984,479
Dollar Tree Stores, Inc.(1) 813,306 22,308,984
Family Dollar Stores, Inc. 2,618,411 79,652,063
Kohls Corp.(1) 55 2,325
May Department Stores Co. (The) 607,760 16,707,322
Nordstrom, Inc. 65,692 2,799,136
Penney (J.C.) Company, Inc. 519,115 19,601,782
Sears, Roebuck & Co. 16,950 640,032
Target Corp. 3,689,321 156,685,463
- -------------------------------------------------------------------------------------
$ 317,800,624
- -------------------------------------------------------------------------------------
MULTI-UTILITIES AND UNREGULATED POWER -- 0.1%
AES Corporation(1) 49,542 $ 491,952
Dominion Resources, Inc. 10,464 660,069
Duke Energy Corp. 419,070 8,502,930
Dynegy, Inc.(1) 63,525 270,616
National Fuel Gas Co. 4,000 100,000
- -------------------------------------------------------------------------------------
$ 10,025,567
- -------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.0%
Xerox Corp.(1) 20,000 $ 290,000
Zebra Technologies Corp., Class A(1) 9,000 783,000
- -------------------------------------------------------------------------------------
$ 1,073,000
- -------------------------------------------------------------------------------------
OIL AND GAS -- 6.5%
Amerada Hess Corp. 18,947 $ 1,500,413
Anadarko Petroleum Corp. 2,557,003 149,840,376
Apache Corporation 2,070,394 90,165,659
Ashland, Inc. 85,716 4,526,662
BP plc ADR 5,065,968 271,383,906
Burlington Resources, Inc. 4,265,657 154,331,470
ChevronTexaco Corporation 130,947 $ 12,323,422
ConocoPhillips 1,790,067 136,514,241
Devon Energy Corp. 507,678 33,506,748
El Paso Corp. 175,909 1,386,163
Exxon Mobil Corp. 5,931,311 263,409,522
Kerr - McGee Corp. 267,327 14,374,173
Marathon Oil Corp. 1,450 54,868
Murphy Oil Corporation 13,200 972,840
Newfield Exploration Company(1) 60,000 3,344,400
Royal Dutch Petroleum Co. 114,774 5,930,373
Total Fina Elf SA ADR 400,000 38,432,000
Valero Energy Corp. 51,510 3,799,378
Williams Companies Inc (The) 222,833 2,651,713
- -------------------------------------------------------------------------------------
$ 1,188,448,327
- -------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.3%
Georgia-Pacific Corp. 647,002 $ 23,926,134
International Paper Co. 231,426 10,344,742
Louisiana-Pacific Corp. 70,750 1,673,237
MeadWestvaco Corp. 84,358 2,479,282
Weyerhaeuser Co. 148,108 9,348,577
- -------------------------------------------------------------------------------------
$ 47,771,972
- -------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.5%
Avon Products, Inc. 173,400 $ 8,000,676
Gillette Company 3,977,612 168,650,749
Lauder (Estee) Companies, Inc. 2,092,312 102,062,979
- -------------------------------------------------------------------------------------
$ 278,714,404
- -------------------------------------------------------------------------------------
PHARMACEUTICALS -- 6.7%
Abbott Laboratories 2,314,570 $ 94,341,873
Allergan, Inc. 38,000 3,401,760
Bristol-Myers Squibb Company 3,810,698 93,362,101
Elan Corp., PLC ADR(1) 31,838 787,672
Forest Laboratories, Inc.(1) 506,800 28,700,084
GlaxoSmithKline plc 429,936 17,825,147
Johnson & Johnson 3,143,682 175,103,087
King Pharmaceuticals, Inc.(1) 1,064,086 12,183,785
Lilly (Eli) & Co. 3,431,767 239,914,831
Merck & Co., Inc. 1,398,752 66,440,720
Mylan Laboratories, Inc. 27,992 566,838
Novo Nordisk ADR 292,277 15,180,867
</Table>
See notes to financial statements
16
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
PHARMACEUTICALS (CONTINUED)
Pfizer, Inc. 8,188,028 $ 280,685,600
Schering AG ADR 25,000 1,480,250
Schering-Plough Corp. 3,053,579 56,430,140
Sepracor, Inc.(1) 4,000 211,600
Teva Pharmaceutical Industries Ltd. ADR 1,200,000 80,748,000
Watson Pharmaceuticals, Inc.(1) 871,393 23,440,472
Wyeth Corp. 611,553 22,113,756
- -------------------------------------------------------------------------------------
$ 1,212,918,583
- -------------------------------------------------------------------------------------
REAL ESTATE -- 0.2%
AvalonBay Communities, Inc. 28,867 $ 1,631,563
Catellus Development Corp. 419,601 10,343,165
Forest City Enterprises - Class A 38,663 2,049,139
Jones Lang Lasalle, Inc.(1) 154,567 4,188,766
Plum Creek Timber Co., Inc. 198,791 6,476,611
Trammell Crow Co.(1) 764,200 10,775,220
- -------------------------------------------------------------------------------------
$ 35,464,464
- -------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.2%
ANC Rental Corporation(1) 459,525 $ 322
Burlington Northern Santa Fe Corp. 204,857 7,184,335
CSX Corporation 38,134 1,249,651
Florida East Coast Industries, Inc. 121,978 4,714,450
Heartland Express, Inc. 435,436 11,913,529
Kansas City Southern Industries, Inc.(1) 15,215 235,833
Norfolk Southern Corp. 3,990 105,815
Union Pacific Corp. 92,772 5,515,295
- -------------------------------------------------------------------------------------
$ 30,919,230
- -------------------------------------------------------------------------------------
SEMICONDUCTORS AND SEMICONDUCTOR
EQUIPMENT -- 2.3%
Agere Systems, Inc.(1) 6,495 $ 14,939
Agere Systems, Inc., Class B(1) 159,398 342,706
Altera Corp.(1) 66,116 1,469,098
Analog Devices, Inc. 655,525 30,862,117
Applied Materials, Inc.(1) 818,392 16,056,851
Applied Materials, Inc.(1)(2)(3) 543,250 10,653,236
Broadcom Corp.(1) 408,020 19,083,095
Conexant Systems, Inc.(1) 134,174 580,973
Cypress Semiconductor Corporation(1) 152,742 2,167,409
Intel Corp. 9,068,138 250,280,609
KLA-Tencor Corp.(1) 106,811 5,274,327
KLA-Tencor Corp.(1)(2)(3) 50,000 $ 2,467,148
Linear Technologies Corp. 87,760 3,463,887
LSI Logic Corporation(1) 132,810 1,012,012
Maxim Integrated Products Co. 274,351 14,381,479
Mindspeed Technologies Inc.(1) 44,724 221,831
Skyworks Solutions, Inc.(1) 98,685 861,520
Taiwan Semiconductor ADR 1,140,866 9,480,596
Teradyne, Inc.(1) 27,996 635,509
Texas Instruments, Inc. 2,022,695 48,908,765
Xilinx, Inc. 68,074 2,267,545
- -------------------------------------------------------------------------------------
$ 420,485,652
- -------------------------------------------------------------------------------------
SOFTWARE -- 2.4%
Adobe Systems, Inc. 258,794 $ 12,033,921
BMC Software, Inc.(1) 27,000 499,500
Cadence Design Systems, Inc.(1) 900,000 13,167,000
Cognos, Inc.(1) 77,000 2,784,320
Computer Associates International, Inc. 33,070 927,944
Compuware Corp.(1) 150,944 996,230
Electronic Arts Inc.(1) 21,405 1,167,643
Fair, Isaac and Co., Inc. 1,001,706 33,436,946
Henry (Jack) & Associates 201,006 4,040,221
I2 Technologies, Inc.(1) 220,000 195,800
Intuit, Inc.(1) 984,707 37,989,996
Microsoft Corp. 9,575,633 273,480,078
Oracle Corp.(1) 753,068 8,984,101
PalmSource, Inc.(1) 20,208 346,365
Parametric Technology Corp.(1) 94,600 473,000
PeopleSoft, Inc.(1) 228,867 4,234,040
Reynolds & Reynolds, Co. 451,043 10,432,625
Sap AG ADR 300,000 12,543,000
Siebel Systems, Inc.(1) 179,184 1,913,685
Symantec Corporation(1) 330,450 14,467,101
VERITAS Software Corp.(1) 43,942 1,217,193
Wind River Systems, Inc.(1) 91,910 1,080,862
- -------------------------------------------------------------------------------------
$ 436,411,571
- -------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 1.9%
Abercrombie & Fitch Co. 11,225 $ 434,969
AutoNation, Inc.(1) 3,081,075 52,686,383
Best Buy Co., Inc. 113,610 5,764,571
</Table>
See notes to financial statements
17
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
SPECIALTY RETAIL (CONTINUED)
Boise Cascade Corporation 2,192 $ 82,507
Burlington Coat Factory Warehouse Corp. 343,887 6,637,019
CarMax, Inc.(1) 67,797 1,482,720
Circuit City Stores, Inc. 216,000 2,797,200
Gap, Inc. (The) 541,012 13,119,541
Home Depot, Inc. (The) 3,392,961 119,432,227
Limited Brands, Inc. 766,867 14,340,413
Lowe's Companies 900,151 47,302,935
Office Depot, Inc.(1) 205,276 3,676,493
Payless Shoesource, Inc.(1) 23,100 344,421
Pep Boys - Manny, Moe & Jack (The) 83,415 2,114,570
Pier 1 Imports, Inc. 44,982 795,732
Radioshack Corp. 633,482 18,136,590
Sherwin-Williams Co. (The) 80,569 3,347,642
Staples, Inc. 92,500 2,711,175
Tiffany & Co. 57,286 2,110,989
TJX Companies, Inc. (The) 1,716,834 41,444,373
Too, Inc.(1) 38,284 639,343
- -------------------------------------------------------------------------------------
$ 339,401,813
- -------------------------------------------------------------------------------------
TEXTILES, APPAREL AND LUXURY GOODS -- 0.5%
Coach, Inc.(1) 365,720 $ 16,526,887
Nike Inc., Class B 1,079,222 81,751,067
Unifi, Inc.(1) 42,921 125,759
- -------------------------------------------------------------------------------------
$ 98,403,713
- -------------------------------------------------------------------------------------
THRIFTS AND MORTGAGE FINANCE -- 1.0%
Countrywide Financial Corp. 749,999 $ 52,687,430
Fannie Mae 445,656 31,802,012
Freddie Mac 135,586 8,582,594
Golden West Financial Corporation 21,845 2,323,216
GreenPoint Financial Corp. 1,081,474 42,934,518
MGIC Investment Corp. 85,000 6,448,100
Radian Group, Inc. 30,800 1,475,320
Sovereign Bancorporation, Inc. 23,766 525,229
Washington Mutual, Inc. 924,074 35,706,219
- -------------------------------------------------------------------------------------
$ 182,484,638
- -------------------------------------------------------------------------------------
TOBACCO -- 0.2%
Altria Group Inc. 691,248 $ 34,596,962
UST, Inc. 439 15,804
- -------------------------------------------------------------------------------------
$ 34,612,766
- -------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.2%
AT&T Wireless Services, Inc.(1) 1,030,775 $ 14,760,698
Nextel Communications, Inc., Class A(1) 73,122 1,949,433
Telephone and Data Systems, Inc. 70,844 5,044,093
Vodafone Group plc ADR 277,187 6,125,833
- -------------------------------------------------------------------------------------
$ 27,880,057
- -------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $14,798,536,115) $ 18,099,747,049
- -------------------------------------------------------------------------------------
</Table>
CONVERTIBLE PREFERRED STOCKS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
MULTI-UTILITIES AND UNREGULATED POWER -- 0.0%
Enron Corp.(1)(2) 11,050 $ 16,896
- -------------------------------------------------------------------------------------
$ 16,896
- -------------------------------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(IDENTIFIED COST $4,500,777) $ 16,896
- -------------------------------------------------------------------------------------
</Table>
PREFERRED STOCKS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
COMMERCIAL BANKS -- 0.0%
Wachovia Corp. (Dividend Equalization Preferred
Shares)(1) 166,518 $ 499
- -------------------------------------------------------------------------------------
$ 499
- -------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $39,407) $ 499
- -------------------------------------------------------------------------------------
</Table>
RIGHTS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
BANKS -- 0.0%
Bank United Corp. (Litigation Contingent Payment
Rights)(1) 102,072 $ 7,145
- -------------------------------------------------------------------------------------
$ 7,145
- -------------------------------------------------------------------------------------
COMPUTERS AND BUSINESS EQUIPMENT -- 0.0%
Seagate Technology, Inc. (Tax Refund Rights)(1)(2) 197,392 $ 0
</Table>
See notes to financial statements
18
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------
INTEGRATED TELECOMMUNICATION SERVICES -- 0.0%
McLeodUSA (Escrow Rights)(1)(2) 1,592,200 $ 0
- -------------------------------------------------------------------------------------
$ 0
- -------------------------------------------------------------------------------------
TOTAL RIGHTS
(IDENTIFIED COST $50,596) $ 7,145
- -------------------------------------------------------------------------------------
</Table>
SHORT-TERM INVESTMENTS -- 0.3%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- -------------------------------------------------------------------------------------
Investors Bank & Trust Company --
Time Deposit, 1.44%, 7/1/04 56,777 $ 56,775,000
- -------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST, $56,775,000) $ 56,775,000
- -------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.8%
(IDENTIFIED COST $14,859,901,895) $ 18,156,546,589
- -------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- 0.2% $ 30,035,563
- -------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 18,186,582,152
- -------------------------------------------------------------------------------------
</Table>
ADR - American Depositary Receipt
(1) Non-income producing security.
(2) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
(3) Security subject to restrictions on resale (see Note 7).
See notes to financial statements
19
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of June 30, 2004
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENT OF ASSETS AND LIABILITIES
As of June 30, 2004
<Table>
ASSETS
Investments, at value
(identified cost, $14,859,901,895) $ 18,156,546,589
Cash 1,235
Receivable for investments sold 7,767,941
Dividends and interest receivable 21,283,215
Tax reclaim receivable 1,121,779
- ---------------------------------------------------------------------------------
TOTAL ASSETS $ 18,186,720,759
- ---------------------------------------------------------------------------------
LIABILITIES
Payable to affiliate for Trustees' fees $ 7,726
Accrued expenses 130,881
- ---------------------------------------------------------------------------------
TOTAL LIABILITIES $ 138,607
- ---------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $ 18,186,582,152
- ---------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital contributions and withdrawals $ 14,889,899,544
Net unrealized appreciation (computed on the basis of
identified cost) 3,296,682,608
- ---------------------------------------------------------------------------------
TOTAL $ 18,186,582,152
- ---------------------------------------------------------------------------------
</Table>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED
JUNE 30, 2004
<Table>
INVESTMENT INCOME
Dividends (net of foreign taxes, $2,234,799) $ 130,602,538
Interest 507,370
- ---------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 131,109,908
- ---------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 38,780,667
Trustees' fees and expenses 15,011
Custodian fee 952,297
Legal and accounting services 43,202
Miscellaneous 14,796
- ---------------------------------------------------------------------------------
TOTAL EXPENSES $ 39,805,973
- ---------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 39
- ---------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 39
- ---------------------------------------------------------------------------------
NET EXPENSES $ 39,805,934
- ---------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 91,303,974
- ---------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 118,137,956
Foreign currency transactions 28,383
- ---------------------------------------------------------------------------------
NET REALIZED GAIN $ 118,166,339
- ---------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 397,556,948
Foreign currency (9,463)
- ---------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 397,547,485
- ---------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 515,713,824
- ---------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 607,017,798
- ---------------------------------------------------------------------------------
</Table>
See notes to financial statements
20
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
SIX MONTHS ENDED
INCREASE (DECREASE) JUNE 30, 2004 YEAR ENDED
IN NET ASSETS (UNAUDITED) DECEMBER 31, 2003
- --------------------------------------------------------------------------------------
From operations --
Net investment income $ 91,303,974 $ 163,045,716
Net realized gain from investment
transactions and foreign
currency transactions 118,166,339 70,909,770
Net change in unrealized appreciation
(depreciation) of investments and
foreign currency 397,547,485 3,174,709,110
- --------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 607,017,798 $ 3,408,664,596
- --------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 898,680,054 $ 1,351,483,956
Withdrawals (928,704,705) (1,722,081,135)
- --------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (30,024,651) $ (370,597,179)
- --------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 576,993,147 $ 3,038,067,417
- --------------------------------------------------------------------------------------
NET ASSETS
At beginning of period $ 17,609,589,005 $ 14,571,521,588
- --------------------------------------------------------------------------------------
AT END OF PERIOD $ 18,186,582,152 $ 17,609,589,005
- --------------------------------------------------------------------------------------
</Table>
See notes to financial statements
21
<Page>
SUPPLEMENTARY DATA
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 2004 --------------------------------------------------------------------------
(UNAUDITED) 2003 2002 2001 2000 1999
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of
average daily net assets):
Expenses 0.45%(2) 0.45% 0.45% 0.45% 0.45% 0.46%
Expenses after custodian fee
reduction 0.45%(2) -- -- -- -- --
Net investment income 1.02%(2) 1.05% 0.85% 0.64% 0.67% 0.72%
Portfolio Turnover 2% 15% 23% 18% 13% 11%
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1) 3.45% 23.88% (19.52)% (9.67)% -- --
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD
(000'S OMITTED) $ 18,186,582 $ 17,609,589 $ 14,571,522 $ 18,335,865 $ 18,385,069 $ 15,114,649
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
(2) Annualized.
See notes to financial statements
22
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of June 30, 2004
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 SIGNIFICANT ACCOUNTING POLICIES
Tax-Managed Growth Portfolio (the Portfolio) is registered under the
Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company. The Portfolio, which was organized as a trust
under the laws of the State of New York on December 1, 1995, seeks to provide
long-term after-tax returns by investing in a diversified portfolio of equity
securities. The Declaration of Trust permits the Trustees to issue interests
in the Portfolio. The following is a summary of significant accounting
policies consistently followed by the Portfolio in the preparation of its
financial statements. The policies are in conformity with accounting
principles generally accepted in the United States of America.
A INVESTMENT VALUATIONS -- Securities listed on a U.S. securities exchange
generally are valued at the last sale price on the day of valuation or, if no
sales took place on such date, at the mean between the closing bid and asked
prices therefore on the exchange where such securities are principally
traded. Equity securities listed on NASDAQ National Market System generally
are valued at the official NASDAQ closing price. Unlisted or listed
securities for which closing sales prices or closing quotations are not
available are valued at the mean between the latest available bid and asked
prices or, in the case of preferred equity securities that are not listed or
traded in the over-the-counter market, by an independent pricing service.
Exchange-traded options are valued at the last sale price for the day of
valuation as quoted on the principal exchange or board of trade on which the
options are traded or, in the absence of sales on such date, at the mean
between the latest bid and asked prices therefore. Futures positions on
securities and currencies generally are valued at closing settlement prices.
Short-term debt securities with a remaining maturity of 60 days or less are
valued at amortized cost. If short-term debt securities were acquired with a
remaining maturity of more than 60 days, their amortized cost value will be
based on their value on the sixty-first day prior to maturity. 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. The daily valuation of foreign
securities generally is determined as of the close of trading on the
principal exchange on which such securities trade. Events occurring after the
close of trading on foreign exchanges may result in adjustments to the
valuation of foreign securities to more accurately reflect their fair value
as of the close of regular trading on the New York Stock Exchange. The
Portfolio may rely on an independent fair valuation service in adjusting the
valuations of foreign securities. Foreign securities and currencies are
valued in U.S. dollars, based on foreign currency exchange rate quotations
supplied by an independent quotation service. Investments held by the
Portfolio for which valuations or market quotations are unavailable are
valued at fair value using methods determined in good faith by or at the
direction of the Trustees of the Portfolio considering relevant factors, data
and information including the market value of freely tradable securities of
the same class in the principal market on which such securities are normally
traded.
B INCOME TAXES -- The Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes on
any taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes on its share of such
taxable income. 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 or losses, and
any other items of income, gain, loss, deduction or credit.
C FUTURES CONTRACTS -- Upon the entering of a financial futures contract, the
Portfolio is required to deposit either in cash or securities an amount
(initial margin) 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 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 to hedge against
anticipated future changes in the price of current or anticipated portfolio
positions. Should prices move unexpectedly, the Portfolio may not achieve the
anticipated benefits of the financial futures contracts and may realize a
loss.
D PUT OPTIONS -- Upon the purchase of a put option by the Portfolio, the
premium paid is recorded as an asset in the Statement of Assets and
Liabilities, the value of which is marked-to-market daily. When a purchased
option expires, the Portfolio will realize a loss in the amount of the
premium paid. When the Portfolio enters into a closing sale transaction, the
Portfolio will realize a gain or loss depending on whether the sales proceeds
from the closing sale transaction are greater or less than the premium paid.
When the Portfolio exercises a put option, settlement is
23
<Page>
made in cash. The risk associated with purchasing options is limited to the
premium originally paid.
E SECURITIES SOLD SHORT -- The Portfolio may sell a security short if it owns
at least an equal amount of the security sold short or another security
exchangeable for an equal amount of the security sold short in anticipation
of a decline in the market price of the securities or in order to hedge
portfolio positions. The Portfolio will generally borrow the security sold in
order to make delivery to the buyer. Upon executing the transaction, the
Portfolio records the proceeds as deposits with brokers in the Statement of
Assets and Liabilities and establishes an offsetting payable for securities
sold short for the securities due on settlement. The proceeds are retained by
the broker as collateral for the short position. The liability is
marked-to-market and the Portfolio is required to pay the lending broker any
dividend or interest income earned while the short position is open. A gain
or loss is recorded when the security is delivered to the broker. The
Portfolio may recognize a loss on the transaction if the market value of the
securities sold increases before the securities are delivered.
F FOREIGN CURRENCY TRANSLATION -- Investment valuations, other assets and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases
and sales of foreign investment securities and income and expenses are
converted into U.S. dollars based upon currency exchange rates prevailing on
the respective dates of such transactions. Recognized gains or losses on
investment transactions attributable to foreign currency exchange 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
results from fluctuations in foreign currency exchange rates is not
separately disclosed.
G INDEMNIFICATIONS -- Under the Portfolio's organizational documents, its
officers and Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties to the Portfolio.
Interestholders in the Portfolio are jointly and severally liable for the
liabilities and obligations of the Portfolio in the event that the Portfolio
fails to satisfy such liabilities and obligations; provided, however, that,
to the extent assets are available in the Portfolio, the Portfolio may, under
certain circumstances, indemnify interestholders from and against any claim
or liability to which such holder may become subject by reason of being or
having been an interestholder in the Portfolio. Additionally, in the normal
course of business, the Fund enters into agreements with the service
providers that may contain indemnification clauses. The Portfolio's maximum
exposure under these arrangements is unknown as this would involve future
claims that may be made against the Portfolio that have not yet occurred.
H OTHER -- Investment transactions are accounted for on a trade-date basis.
Dividend income is recorded on the ex-dividend date. 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. Interest
income is recorded on the accrual basis.
I 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. For the six months ended June 30,
2004, credit balances of $39 were used to reduce the Portfolio's custodian
fee.
J USE OF ESTIMATES -- The preparation of the financial statements in
conformity with accounting principles generally accepted in the United States
of America 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.
K INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating
to June 30, 2004 and for the six months then ended have not been audited by
an independent registered public accounting firm, 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.
Under the advisory agreement, BMR receives a monthly advisory fee in the
amount of 0.625% annually of average daily net assets of the Portfolio up to
$500,000,000 and at reduced rates as daily net assets exceed that level.
Certain of the advisory fee rate reductions are pursuant to an agreement
between the
24
<Page>
Portfolio's Board of Trustees and BMR. Those reductions may not be changed
without Trustee and shareholder approval. For the six months ended June 30,
2004, the advisory fee was 0.44% (annualized) of the Portfolio's average
daily net assets. Except for 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. Trustees
of the Portfolio who 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, 2004, no significant amounts have been deferred.
Certain officers and Trustees of the Portfolio are officers of the above
organizations.
3 INVESTMENT TRANSACTIONS
For the six months ended June 30, 2004, purchases and sales of investments,
other than short-term obligations, aggregated $307,769,472 and $443,055,837,
respectively. In addition, investments having an aggregate market value of
$349,398,453 at dates of withdrawal were distributed in payment for capital
withdrawals. During the six months ended June 30, 2004, investors contributed
securities with a value of $607,300,845.
4 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of the
investments owned at June 30, 2004 as computed on a federal income tax basis,
were as follows:
<Table>
AGGREGATE COST $ 5,054,531,230
-----------------------------------------------------
Gross unrealized appreciation $ 13,105,404,630
Gross unrealized depreciation (3,389,271)
-----------------------------------------------------
NET UNREALIZED APPRECIATION $ 13,102,015,359
-----------------------------------------------------
</Table>
5 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. The
Portfolio did not have any open obligations under these financial instruments
at June 30, 2004.
6 LINE OF CREDIT
The Portfolio participates with other portfolios and funds managed by BMR and
EVM and its affiliates in a $150 million unsecured line of credit agreement
with a group of banks. Borrowings will be made by the Portfolio solely to
facilitate the handling of unusual and/or unanticipated short-term cash
requirements. Interest is charged to each participating portfolio or fund
based on its borrowings at an amount above either the Eurodollar rate or
Federal Funds rate. In addition, a fee computed at an annual rate of 0.1% 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, 2004.
7 RESTRICTED SECURITIES
At June 30, 2004, the Portfolio owned the following securities (representing
0.1% of net assets) which were restricted as to public resale and not
registered under the Securities Act of 1933. The securities are eligible for
resale after December 17, 2004. The securities are valued at fair value using
methods determined in good faith by or at the direction of the Trustees.
<Table>
<Caption>
DATE OF
DESCRIPTION ACQUISITION SHARES COST FAIR VALUE
----------------------------------------------------------------------------------------------
COMMON STOCKS
Applied Materials, Inc. 12/17/03 543,250 $ 11,575,935 $ 10,653,236
KLA-Tencor Corp. 12/17/03 50,000 2,744,377 2,467,148
Sysco Corp. 12/17/03 32,036 1,157,644 1,148,269
Sysco Corp. 3/3/04 25,000 994,756 895,741
----------------------------------------------------------------------------------------------
$ 16,472,712 $ 15,164,394
----------------------------------------------------------------------------------------------
</Table>
25
<Page>
INVESTMENT MANAGEMENT
EATON VANCE TAX-MANAGED GROWTH FUND 1.0
OFFICERS
Duncan W. Richardson
President
Thomas E. Faust Jr.
Vice President
Michelle A. Alexander
Treasurer
Alan R. Dynner
Secretary
TRUSTEES
James B. Hawkes
Samuel L. Hayes, III
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Lynn A. Stout
TAX-MANAGED GROWTH PORTFOLIO
OFFICERS
Duncan W. Richardson
President and Portfolio Manager
Thomas E. Faust Jr.
Vice President
Michelle A. Alexander
Treasurer
Alan R. Dynner
Secretary
TRUSTEES
James B. Hawkes
Samuel L. Hayes, III
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Lynn A. Stout
26
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INVESTMENT ADVISER OF TAX-MANAGED GROWTH PORTFOLIO
BOSTON MANAGEMENT AND RESEARCH
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
ADMINISTRATOR OF EATON VANCE TAX-MANAGED GROWTH FUND 1.0
EATON VANCE MANAGEMENT
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
PRINCIPAL UNDERWRITER
EATON VANCE DISTRIBUTORS, INC.
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
(617) 482-8260
CUSTODIAN
INVESTORS BANK & TRUST COMPANY
200 CLARENDON STREET
BOSTON, MA 02116
TRANSFER AGENT
PFPC INC.
ATTN: EATON VANCE FUNDS
P.O. BOX 9653
PROVIDENCE, RI 02940-9653
(800) 262-1122
EATON VANCE TAX-MANAGED GROWTH FUND 1.0
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
<Page>
157-8/04 TGSRC
<Page>
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting Officer.
The registrant undertakes to provide a copy of such code of ethics to any person
upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (investment management
firm). Previously, he served as Executive Vice President and Chief Financial
Officer of United Asset Management Corporation ("UAM") (a holding company owning
institutional investment management firms). Mr. Hayes is the Jacob H. Schiff
Professor of Investment Banking Emeritus of the Harvard University Graduate
School of Business Administration. Mr. Reamer is the President, Chief Executive
Officer and a Director of Asset Management Finance Corp. (a specialty finance
company serving the investment management industry) and is President of Unicorn
Corporation (an investment and financial advisory services company). Formerly,
Mr. Reamer was Chairman of Hellman, Jordan Management Co., Inc. (an investment
management company) and Advisory Director of Berkshire Capital Corporation (an
investment banking firm), Chairman of the Board of UAM and Chairman, President
and Director of the UAM Funds (mutual funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not required in this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Please see schedule of investments contained in the Report to Stockholders
included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not required in this filing.
<Page>
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Effective February 9, 2004, the Governance Committee of the Board of Trustees
formalized the procedures by which a Fund's shareholders may recommend nominees
to the registrant's Board of Trustees. The Governance Committee shall, when
identifying candidates for the position of Independent Trustee, consider any
such candidate recommended by a shareholder of a Fund if such recommendation
contains sufficient background information concerning the candidate, and is
received in a sufficiently timely manner (and in any event no later than the
date specified for receipt of shareholder proposals in any applicable proxy
statement with respect to a Fund). Shareholders shall be directed to address any
such recommendations to the attention of the Governance Committee, c/o the
Secretary of the Fund.
ITEM 10. CONTROLS AND PROCEDURES
(a) It is the conclusion of the registrant's principal executive officer and
principal financial officer that the effectiveness of the registrant's current
disclosure controls and procedures (such disclosure controls and procedures
having been evaluated within 90 days of the date of this filing) provide
reasonable assurance that the information required to be disclosed by the
registrant has been recorded, processed, summarized and reported within the time
period specified in the Commission's rules and forms and that the information
required to be disclosed by the registrant has been accumulated and communicated
to the registrant's principal executive officer and principal financial officer
in order to allow timely decisions regarding required disclosure.
(b) There have been no changes in the registrant's internal controls over
financial reporting during the period that has materially affected, or is
reasonably likely to materially affect the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS
(a)(1) Registrant's Code of Ethics - Not applicable (please see Item 2).
(a)(2)(i) Treasurer's Section 302 certification.
(a)(2)(ii) President's Section 302 certification.
(b) Combined Section 906 certification.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
EATON VANCE SERIES TRUST (ON BEHALF OF EATON VANCE TAX-MANAGED GROWTH FUND 1.0)
By: /S/ Duncan W. Richardson
------------------------
Duncan W. Richardson
President
Date: August 13, 2004
---------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /S/ Michelle A. Alexander
-------------------------
Michelle A. Alexander
Treasurer
Date: August 13, 2004
---------------
By: /S/ Duncan W. Richardson
------------------------
Duncan W. Richardson
President
Date: August 13, 2004
---------------