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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- 10387
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Tax Managed Value Portfolio
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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)
October 31
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Date of Fiscal Year End
October 31, 2004
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Date of Reporting Period
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ITEM 1. REPORTS TO STOCKHOLDERS
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TAX-MANAGED VALUE PORTFOLIO as of October 31, 2004
PORTFOLIO OF INVESTMENTS
COMMON STOCKS -- 98.7%
<Table>
<Caption>
SECURITY SHARES VALUE
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AEROSPACE AND DEFENSE -- 2.9%
General Dynamics Corp. 125,000 $ 12,765,000
Northrop Grumman Corp. 200,000 10,350,000
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$ 23,115,000
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AUTO PARTS AND EQUIPMENT -- 1.0%
BorgWarner, Inc. 175,000 $ 8,116,500
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$ 8,116,500
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BANKS-REGIONAL -- 11.9%
Bank of America Corp. 450,000 $ 20,155,500
Marshall and Ilsley Corp. 100,000 4,197,000
National City Corp. 400,000 15,588,000
SouthTrust Corp. 150,000 6,535,500
TCF Financial Corp. 300,000 9,456,000
U.S. Bancorp 125,000 3,576,250
Wachovia Corp. 300,000 14,763,000
Washington Mutual, Inc. 100,000 3,871,000
Wells Fargo & Co. 275,000 16,423,000
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$ 94,565,250
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BEVERAGES -- 0.6%
Anheuser-Busch Cos., Inc. 100,000 $ 4,995,000
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$ 4,995,000
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BUILDING PRODUCTS -- 1.0%
Masco Corp. 225,000 $ 7,708,500
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$ 7,708,500
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CHEMICALS -- 1.3%
Air Products and Chemicals, Inc. 190,000 $ 10,104,200
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$ 10,104,200
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COMMUNICATIONS SERVICES -- 4.0%
BellSouth Corp. 300,000 $ 8,001,000
SBC Communications, Inc. 400,000 10,104,000
Verizon Communications, Inc. 350,000 13,685,000
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$ 31,790,000
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COMPUTERS AND BUSINESS EQUIPMENT -- 3.4%
Diebold, Inc. 100,000 $ 4,785,000
Hewlett-Packard Co. 150,000 2,799,000
International Business Machines Corp. 150,000 13,462,500
NCR Corp.(1) 100,000 5,635,000
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$ 26,681,500
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CONGLOMERATES -- 1.3%
Tyco International Ltd.(2) 325,000 $ 10,123,750
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$ 10,123,750
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DIVERSIFIED MANUFACTURING -- 2.0%
Cooper Industries Ltd., Class A 125,000 $ 7,987,500
Eaton Corp. 125,000 7,993,750
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$ 15,981,250
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ELECTRIC UTILITIES -- 5.8%
Dominion Resources, Inc. 175,000 $ 11,256,000
Entergy Corp. 176,000 11,503,360
Exelon Corp. 382,000 15,134,840
FPL Group, Inc. 125,000 8,612,500
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$ 46,506,700
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ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.9%
Agilent Technologies, Inc.(1) 175,000 $ 4,385,500
Flextronics International Ltd.(1)(2) 250,000 3,012,500
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$ 7,398,000
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ELECTRONICS-SEMICONDUCTORS AND RELATED -- 0.5%
Applied Materials, Inc.(1) 250,000 $ 4,025,000
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$ 4,025,000
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FINANCIAL SERVICES -- 6.8%
Citigroup, Inc. 350,000 $ 15,529,500
Countrywide Financial Corp. 450,000 14,368,500
Freddie Mac 100,000 6,660,000
IndyMac Bancorp, Inc. 75,000 2,419,500
J.P.Morgan Chase & Co. 400,000 15,440,000
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$ 54,417,500
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</Table>
See notes to financial statements
16
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<Table>
<Caption>
SECURITY SHARES VALUE
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FOODS -- 2.4%
Nestle SA(2) 45,000 $ 10,626,482
Sara Lee Corp. 375,000 8,730,000
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$ 19,356,482
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HEALTH CARE SERVICES -- 1.5%
Caremark Rx, Inc.(1) 175,000 $ 5,244,750
Medco Health Solutions, Inc.(1) 200,000 6,782,000
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$ 12,026,750
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HOME BUILDERS -- 1.3%
Lennar Corp., Class A 225,000 $ 10,120,500
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$ 10,120,500
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HOUSEHOLD PRODUCTS -- 1.1%
Kimberly-Clark Corp. 150,000 $ 8,950,500
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$ 8,950,500
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INFORMATION TECHNOLOGY AND MANAGEMENT CONSULTING -- 0.5%
Accenture Ltd., Class A(1)(2) 175,000 $ 4,236,750
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$ 4,236,750
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INSURANCE -- 5.6%
Allstate Corp. (The) 150,000 $ 7,213,500
MetLife, Inc. 450,000 17,257,500
Progressive Corp. 100,000 9,355,000
XL Capital Ltd., Class A(2) 150,000 10,875,000
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$ 44,701,000
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INVESTMENT SERVICES -- 4.2%
Franklin Resources, Inc. 75,000 $ 4,546,500
Goldman Sachs Group, Inc. 145,000 14,265,100
Merrill Lynch & Co., Inc. 150,000 8,091,000
Morgan Stanley 135,000 6,897,150
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$ 33,799,750
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MACHINERY -- 2.1%
Caterpillar, Inc. 100,000 $ 8,054,000
Deere & Co. 150,000 8,967,000
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$ 17,021,000
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MEDIA -- 2.3%
Time Warner, Inc.(1) 675,000 $ 11,232,000
Viacom, Inc., Class B 200,000 7,298,000
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$ 18,530,000
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MEDICAL-DRUGS -- 2.9%
Forest Laboratories, Inc.(1) 50,000 $ 2,230,000
Pfizer, Inc. 175,000 5,066,250
Wyeth 400,000 15,860,000
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$ 23,156,250
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METALS-INDUSTRIAL -- 2.7%
Alcoa, Inc. 325,000 $ 10,562,500
Peabody Energy Corp. 72,500 4,624,050
Phelps Dodge Corp. 75,000 6,565,500
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$ 21,752,050
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OIL AND GAS-EQUIPMENT AND SERVICES -- 1.0%
GlobalSantaFe Corp. 150,000 $ 4,425,000
Transocean Sedco Forex, Inc.(1) 100,000 3,525,000
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$ 7,950,000
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OIL AND GAS-EXPLORATION AND PRODUCTION -- 2.3%
Apache Corp. 200,000 $ 10,140,000
Burlington Resources, Inc. 200,000 8,300,000
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$ 18,440,000
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OIL AND GAS-INTEGRATED -- 10.0%
ChevronTexaco Corp. 350,000 $ 18,571,000
ConocoPhillips 225,000 18,969,750
Exxon Mobil Corp. 350,000 17,227,000
Marathon Oil Corp. 150,000 5,716,500
Occidental Petroleum Corp. 340,000 18,982,200
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$ 79,466,450
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OIL AND GAS-REFINERY -- 1.1%
Valero Energy Corp. 200,000 $ 8,594,000
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$ 8,594,000
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PAPER AND FOREST PRODUCTS -- 1.8%
Weyerhaeuser Co. 225,000 $ 14,094,000
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$ 14,094,000
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</Table>
See notes to financial statements
17
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<Table>
<Caption>
SECURITY SHARES VALUE
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PUBLISHING -- 1.0%
Gannett Co., Inc. 100,000 $ 8,295,000
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$ 8,295,000
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REITS -- 2.9%
AMB Property Corp. 110,000 $ 4,125,000
AvalonBay Communities, Inc. 75,000 4,910,250
General Growth Properties, Inc. 150,000 4,948,500
Public Storage, Inc. 75,000 3,918,750
Vornado Realty Trust 75,000 5,040,000
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$ 22,942,500
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RESTAURANTS -- 1.1%
McDonald's Corp. 300,000 $ 8,745,000
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$ 8,745,000
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RETAIL-FOOD AND DRUG -- 0.6%
CVS Corp. 100,000 $ 4,346,000
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$ 4,346,000
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RETAIL-GENERAL -- 1.0%
J.C. Penney Company, Inc. 225,000 $ 7,782,750
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$ 7,782,750
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RETAIL-HOME IMPROVEMENT -- 1.4%
Home Depot, Inc. (The) 275,000 $ 11,297,000
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$ 11,297,000
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RETAIL-SPECIALTY AND APPAREL -- 0.9%
Target Corporation 75,000 $ 3,751,500
TJX Companies, Inc. 150,000 3,597,000
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$ 7,348,500
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TOBACCO -- 1.5%
Altria Group, Inc. 250,000 $ 12,115,000
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$ 12,115,000
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TRANSPORT-SERVICES -- 0.8%
FedEx Corp. 65,500 $ 5,968,360
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$ 5,968,360
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TRANSPORTATION -- 1.3%
Burlington Northern Santa Fe Corp. 250,000 $ 10,452,500
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$ 10,452,500
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TOTAL COMMON STOCKS
(IDENTIFIED COST $604,822,305) $ 787,016,242
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</Table>
WARRANTS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
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REITS -- 0.0%
General Growth Properties, Inc., Exp. 11/9/04(3) 15,000 $ 0
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$ 0
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TOTAL WARRANTS
(IDENTIFIED COST $0) $ 0
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</Table>
SHORT-TERM INVESTMENTS -- 1.1%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
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Investors Bank and Trust Company Time Deposit,
1.88%, 11/1/04 $ 8,955 $ 8,955,000
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TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST, $8,955,000) $ 8,955,000
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TOTAL INVESTMENTS -- 99.8%
(IDENTIFIED COST $613,777,305) $ 795,971,242
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OTHER ASSETS, LESS LIABILITIES -- 0.2% $ 1,451,654
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NET ASSETS -- 100.0% $ 797,422,896
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</Table>
(1) Non-income producing security.
(2) Foreign security.
(3) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
See notes to financial statements
18
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TAX-MANAGED VALUE PORTFOLIO as of October 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF OCTOBER 31, 2004
<Table>
ASSETS
Investments, at value (identified cost, $613,777,305) $ 795,971,242
Cash 759
Interest and dividends receivable 1,446,512
Tax reclaim receivable 90,554
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TOTAL ASSETS $ 797,509,067
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LIABILITIES
Payable to affiliate for Trustees' fees $ 1,567
Accrued expenses 84,604
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TOTAL LIABILITIES $ 86,171
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NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $ 797,422,896
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SOURCES OF NET ASSETS
Net proceeds from capital contributions and withdrawals $ 615,220,094
Net unrealized appreciation (computed on the basis of identified cost) 182,202,802
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TOTAL $ 797,422,896
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</Table>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED
OCTOBER 31, 2004
<Table>
INVESTMENT INCOME
Dividends (net of foreign taxes, $63,519) $ 16,974,312
Interest 98,943
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TOTAL INVESTMENT INCOME $ 17,073,255
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EXPENSES
Investment adviser fee $ 4,850,255
Trustees' fees and expenses 21,546
Custodian fee 251,618
Legal and accounting services 63,662
Miscellaneous 3,854
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TOTAL EXPENSES $ 5,190,935
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NET INVESTMENT INCOME $ 11,882,320
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REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 21,704,500
Foreign currency transactions 1,372
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NET REALIZED GAIN $ 21,705,872
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Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 59,586,523
Foreign currency 7,935
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NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 59,594,458
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NET REALIZED AND UNREALIZED GAIN $ 81,300,330
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NET INCREASE IN NET ASSETS FROM OPERATIONS $ 93,182,650
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</Table>
See notes to financial statements
19
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STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS OCTOBER 31, 2004 OCTOBER 31, 2003
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From operations --
Net investment income $ 11,882,320 $ 8,807,153
Net realized gain from investment and
foreign currency transactions 21,705,872 5,320,034
Net change in unrealized appreciation
(depreciation) from investments
and foreign currency 59,594,458 78,812,382
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NET INCREASE IN NET ASSETS FROM OPERATIONS $ 93,182,650 $ 92,939,569
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Capital transactions --
Contributions $ 163,659,208 $ 177,743,922
Withdrawals (132,830,780) (159,632,380)
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NET INCREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ 30,828,428 $ 18,111,542
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NET INCREASE IN NET ASSETS $ 124,011,078 $ 111,051,111
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NET ASSETS
At beginning of year $ 673,411,818 $ 562,360,707
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AT END OF YEAR $ 797,422,896 $ 673,411,818
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</Table>
See notes to financial statements
20
<Page>
SUPPLEMENTARY DATA
<Table>
<Caption>
YEAR ENDED OCTOBER 31,
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2004 2003 2002 2001(1)
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RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.69% 0.70% 0.72% 0.70%(2)
Net investment income 1.57% 1.47% 0.99% 0.69%(2)
Portfolio Turnover 44% 76% 213% 45%
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TOTAL RETURN(3) 13.55% 16.40% (7.99)% --
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NET ASSETS, END OF YEAR (000'S OMITTED) $ 797,423 $ 673,412 $ 562,361 $ 442,447
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</Table>
(1) For the period from the start of business, July 23, 2001, to October 31,
2001.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
21
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TAX-MANAGED VALUE PORTFOLIO as of October 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Tax-Managed Value Portfolio (the Portfolio) is registered under the
Investment Company Act of 1940, as amended, as an open-end management
investment company. The Portfolio, which was organized as a trust under the
laws of the State of New York on February 13, 2001, seeks to achieve
long-term after-tax returns by investing in a diversified portfolio of value
securities. The Declaration of Trust permits the Trustees to issue interests
in the Portfolio. At October 31, 2004, the Eaton Vance Tax-Managed Value Fund
held approximately 89.7% interest 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 VALUATION -- 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 -- Dividend income is recorded on the ex-dividend date for dividends
received in cash and/or securities. However, if the ex-dividend date has
passed, certain dividends from foreign securities are recorded as the
Portfolio is informed of the ex-dividend date. Interest income is recorded on
the accrual basis.
C INCOME TAXES -- The Portfolio is treated as a partnership for federal tax
purposes. No provision is made by the Portfolio for federal or state taxes on
any taxable income of the Portfolio because each investor in the Portfolio is
ultimately responsible for the payment of any taxes on its share of taxable
income. Since the Portfolio's investors include regulated investment
companies that invest all or substantially all of their assets in the
Portfolio, the Portfolio normally must satisfy the applicable source of
income and diversification requirements (under the Internal Revenue Code) in
order for its investors to satisfy them. The Portfolio will allocate at least
annually among its investors each investor's distributive share of the
Portfolio's net investment income, net realized capital gains, and any other
items of income, gain, loss, deduction or credit.
D FINANCIAL FUTURES CONTRACT -- Upon entering a financial futures contract,
the Portfolio is required to deposit (initial margin) either in cash or
securities an amount 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 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.
22
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E EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolio. Pursuant to the custodian agreement, IBT receives
a fee reduced by credits which are determined based on the average daily cash
balance the Portfolio maintains with IBT. All significant credit balances
used to reduce the Portfolio's custodian fees are reported as a reduction of
expenses on the Statement of Operations.
F 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.
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 Portfolio enters into agreements with 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.
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 13/240 of 1% (equal to 0.65% annually) of average daily net assets
of the Portfolio up to $500 million, 0.23% of average net assets of $500
million but less than $1 billion, 0.217% of average net assets of $1 billion
but less than $1.5 billion, 0.20% of average net assets of $1.5 billion but
less than $2 billion, 0.183% of average net assets of $2 billion but less
than $3 billion, and 0.167% of average net assets of $3 billion or more, and
at reduced rates as daily net assets exceed that level. For the year ended
October 31, 2004, the advisory fee amounted to $4,850,255. 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 the investment adviser fee. Trustees of the Portfolio that
are not affiliated with BMR 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 year ended October 31, 2004, no significant
amounts have been deferred. Certain officers and Trustees of the Portfolio
are officers of the above organizations.
3 INVESTMENT TRANSACTIONS
Purchases and sales of investments, other than short-term obligations,
aggregated $368,868,101 and $330,590,717, respectively, for the year ended
October 31, 2004.
4 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of the
investments owned at October 31, 2004, as computed on a federal income tax
basis, were as follows:
<Table>
AGGREGATE COST $ 615,768,166
-------------------------------------------------------
Gross unrealized appreciation $ 181,456,549
Gross unrealized depreciation (1,253,473)
-------------------------------------------------------
NET UNREALIZED APPRECIATION $ 180,203,076
-------------------------------------------------------
</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
23
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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 October 31, 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 0.10% on
the daily unused portion of the line of credit is allocated among the
participating portfolios and funds at the end of each quarter. The Portfolio
did not have any significant borrowings or allocated fees during the year
ended October 31, 2004.
24
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TAX-MANAGED VALUE PORTFOLIO as of October 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES AND INVESTORS OF TAX-MANAGED VALUE PORTFOLIO:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Tax-Managed Value Portfolio (the Portfolio) as
of October 31, 2004, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended and the supplementary data for each of the three years in the
period then ended, and for the period from the start of business, July 23, 2001
to October 31, 2001. These financial statements and supplementary data are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements and supplementary data based on our
audit.
We conducted our audit in accordance with standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and supplementary data are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities held as of October 31, 2004 by correspondence with the custodian and
brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.
In our opinion, such financial statements and supplementary data present fairly,
in all material respects, the financial position of the Tax-Managed Value
Portfolio at October 31, 2004, the results of its operations, the changes in its
net assets and the supplementary data for the respective stated periods in
conformity with accounting principles generally accepted in the United States of
America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
December 22, 2004
25
<Page>
EATON VANCE TAX-MANAGED VALUE FUND as of October 31, 2004
FEDERAL TAX INFORMATION (Unaudited)
The Form 1099-DIV you receive in January 2005 will show the tax status of all
distributions paid to your account in calendar 2004. Shareholders are advised to
consult their own tax adviser with respect to the tax consequences of their
investment in the Fund. As required by the Internal Revenue Code regulations,
shareholders must be notified within 60 days of the Fund's fiscal year end
regarding the status of qualified dividend income for individuals, the dividends
received deduction for corporations, and the foreign tax credit.
QUALIFIED DIVIDEND INCOME. The Fund designates approximately $13,854,493, or up
to the maximum amount of such dividends allowable pursuant to the Internal
Revenue Code, as qualified dividend income eligible for the reduced tax rate of
15%.
26
<Page>
EATON VANCE TAX-MANAGED VALUE FUND
MANAGEMENT AND ORGANIZATION
FUND MANAGEMENT. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and
Tax-Managed Value Portfolio (the Portfolio) are responsible for the overall
management and supervision of the Trust's and Portfolio's affairs. The Trustees
and officers of the Trust and the Portfolio are listed below. Except as
indicated, each individual has held the office shown or other offices in the
same company for the last five years. Trustees and officers of the Trust and the
Portfolio hold indefinite terms of office. The "noninterested Trustees" consist
of those Trustees who are not "interested persons" of the Trust and the
Portfolio, as that term is defined under the 1940 Act. The business address of
each Trustee and officer is The Eaton Vance Building, 255 State Street, Boston,
Massachusetts 02109. As used below, "EVC" refers to Eaton Vance Corp., "EV"
refers to Eaton Vance, Inc., "EVM" refers to Eaton Vance Management, "BMR"
refers to Boston Management and Research and "EVD" refers to Eaton Vance
Distributors, Inc. EVC and EV are the corporate parent and trustee,
respectively, of EVM and BMR. EVD is the Fund's principal underwriter, the
Portfolio's placement agent and a wholly-owned subsidiary of EVM.
<Table>
<Caption>
POSITION(S) TERM OF NUMBER OF PORTFOLIOS
WITH THE OFFICE AND IN FUND COMPLEX
NAME AND TRUST AND THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY
DATE OF BIRTH PORTFOLIO SERVICE DURING PAST FIVE YEARS TRUSTEE(1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
James B. Hawkes Trustee Trustee of the Chairman, President and Chief 192 Director of EVC
11/9/41 Trust since Executive Officer of BMR,
1991; of the EVC, EVM and EV; Director of
Portfolio EV; Vice President and
since 2001 Director of EVD. Trustee
and/or officer of 193
registered investment
companies in the Eaton Vance
Fund Complex. Mr. Hawkes is
an interested person because
of his positions with BMR,
EVM, EVC and EV, which are
affiliates of the Trust and
the Portfolio.
NONINTERESTED TRUSTEE(S)
Samuel L. Hayes, III Trustee Trustee of the Jacob H. Schiff Professor of 192 Director of Tiffany
2/23/35 Trust since Investment Banking Emeritus, & Co. (specialty
1986; of the Harvard University Graduate retailer) and
Portfolio School of Business Telect, Inc.
since 2001 Administration. (telecommunication
services company)
William H. Park Trustee Since 2003 President and Chief Executive 192 None
9/19/47 Officer, Prizm Capital
Management, LLC (investment
management firm) (since
2002). Executive Vice
President and Chief Financial
Officer, United Asset
Management Corporation (a
holding company owning
institutional investment
management firms)
(1982-2001).
Ronald A. Pearlman Trustee Since 2003 Professor of Law, Georgetown 192 None
7/10/40 University Law Center (since
1999). Tax Partner Covington
& Burling, Washington, DC
(1991-2000).
Norton H. Reamer Trustee Trustee of the President, Chief Executive 192 None
9/21/35 Trust since Officer and a Director of
1986; of the Asset Management Finance
Portfolio Corp. (a specialty finance
since 2001 company serving the
investment management
industry) (since October
2003). President, Unicorn
Corporation (an investment
and financial advisory
services company) (since
September 2000). Formerly,
Chairman, Hellman, Jordan
Management Co., Inc. (an
investment management
company) (2000-2003).
Formerly, Advisory Director
of Berkshire Capital
Corporation (investment
banking firm) (2002-2003).
Formerly Chairman of the
Board, United Asset
Management Corporation (a
holding company owning
institutional investment
management firms) and
Chairman, President and
Director, UAM Funds (mutual
funds) (1980-2000).
Lynn A. Stout Trustee Trustee of the Professor of Law, University 192 None
9/14/57 Trust since of California at Los Angeles
1998; of the School of Law (since July
Portfolio 2001). Formerly, Professor of
since 2001 Law, Georgetown University
Law Center.
</Table>
27
<Page>
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
<Table>
<Caption>
POSITION(S) TERM OF
WITH THE OFFICE AND
NAME AND TRUST AND THE LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH PORTFOLIO SERVICE DURING PAST FIVE YEARS
- ----------------------------------------------------------------------------------------------------------------------------------
Thomas E. Faust Jr. President of the Trust Since 2002 Executive Vice President of EVM, BMR, EVC and EV;
5/31/58 Chief Investment Officer of EVM and BMR and
Director of EVC. Chief Executive Officer of Belair
Capital Fund LLC, Belcrest Capital Fund LLC,
Belmar Capital Fund LLC, Belport Capital Fund LLC
and Belrose Capital Fund LLC (private investment
companies sponsored by EVM). Officer of 55
registered investment companies managed by EVM or
BMR.
William H. Ahern, Jr. Vice President of the Since 1995 Vice President of EVM and BMR. Officer of 78
7/28/59 Trust registered investment companies managed by EVM or
BMR.
Thomas J. Fetter Vice President of the Since 1997 Vice President of EVM and BMR. Officer of 124
8/20/43 Trust registered investment companies managed by EVM or
BMR.
Michael R. Mach Vice President Vice President of the Trust Vice President of EVM and BMR. Previously,
7/15/47 since 1999; of the Portfolio Managing Director and Senior Analyst for Robertson
since 2001. Stephens (1998-1999). Officer of 28 registered
investment companies managed by EVM or BMR.
Robert B. MacIntosh Vice President of the Since 1998 Vice President of EVM and BMR. Officer of 124
1/22/57 Trust registered investment companies managed by EVM or
BMR.
Duncan W. Richardson Vice President of the Vice President of the Trust Senior Vice President and Chief Equity Investment
10/26/57 Trust; President of the since 2001; President of the Officer of EVM and BMR. Officer of 44 registered
Portfolio Portfolio since 2002 investment companies managed by EVM or BMR.
Walter A. Row, III Vice President of the Since 2001 Director of Equity Research and a Vice President
7/20/57 Trust of EVM and BMR. Officer of 24 registered
investment companies managed by EVM or BMR.
Judith A. Saryan Vice President of the Since 2003 Vice President of EVM and BMR. Previously, Portfolio
8/21/54 Trust Manager and Equity Analyst for State Street Global
Advisers (1980-1999). Officer of 27 registered
investment companies managed by EVM or BMR.
Susan Schiff Vice President of the Since 2002 Vice President of EVM and BMR. Officer of 27
3/13/61 Trust registered investment companies managed by EVM or
BMR.
Alan R. Dynner Secretary Secretary of the Trust Vice President, Secretary and Chief Legal Officer
10/10/40 since 1997; of the Portfolio of BMR, EVM, EVD, EV and EVC. Officer of 192
since 2001 registered investment companies managed by EVM or
BMR.
Barbara E. Campbell Treasurer of the Since 2002(2) Vice President of EVM and BMR. Officer of 192
6/19/57 Portfolio registered investment companies managed by EVM or
BMR.
James L. O'Connor Treasurer of the Trust Since 1989 Vice President of BMR, EVM and EVD. Officer of 114
4/1/45 registered investment companies managed by EVM or
BMR.
Paul M. O'Neil Chief Compliance Vice President of EVM and BMR. Officer of 192
7/11/53 Officer Since 2004 registered investment companies managed by EVM or
BMR.
</Table>
(1) Includes both master and feeder funds in a master-feeder structure.
(2) Prior to 2002, Ms. Campbell served as Assistant Treasurer of the Portfolio
since 2001.
The SAI for the Fund includes additional information about the Trustees and
officers of the Fund and the Portfolio and can be obtained without charge by
calling 1-800-225-6265.
28
<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
(a)-(d)
The following table presents aggregate fees billed to the registrant for the
fiscal years ended October 31, 2003, and October 31, 2004 by the registrant's
principal accountant for professional services rendered for the audit of the
registrant's annual financial statements and fees billed for other services
rendered by the principal accountant during those periods.
<Table>
<Caption>
FISCAL YEARS ENDED 10/31/03 10/31/04
- --------------------------------------------------------------------------------
Audit Fees $ 58,671 $ 60,462
Audit-Related Fees(1) $ 0 $ 0
Tax Fees(2) $ 4,000 $ 4,100
All Other Fees(3) $ 0 $ 0
-------------------------
Total $ 62,671 $ 64,562
=========================
</Table>
<Page>
(1) Audit-related fees consist of the aggregate fees billed for assurance
and related services that are reasonably related to the performance of the audit
of the registrant's financial statements and are not reported under the category
of audit fees.
(2) Tax fees consist of the aggregate fees billed for professional
services rendered by the principal accountant relating to tax compliance, tax
advice, and tax planning and specifically include fees for tax return
preparation.
(3) All other fees consist of the aggregate fees billed for products and
services provided by the registrant's principal accountant other than audit,
audit-related, and tax services. During the fiscal year ended October 31, 2004,
$35,000 was billed by the registrant's principal accountant, Deloitte and Touche
LLP, for work done in connection with its Rule 17Ad-13 Eaton Vance Management's
examination of management's assertion that it has maintained an effective
internal control structure over sub-transfer agent and registrar functions, such
services being pre-approved in accordance with Rule 2-01(c)(7)(ii) of Regulation
S-X.
(e)(1) The registrant's audit committee has adopted policies and procedures
relating to the pre-approval of services provided by the registrant's principal
accountant (the "Pre-Approval Policies"). The Pre-Approval Policies establish a
framework intended to assist the audit committee in the proper discharge of its
pre-approval responsibilities. As a general matter, the Pre-Approval Policies
(i) specify certain types of audit, audit-related, tax, and other services
determined to be pre-approved by the audit committee; and (ii) delineate
specific procedures governing the mechanics of the pre-approval process,
including the approval and monitoring of audit and non-audit service fees.
Unless a service is specifically pre-approved under the Pre-Approval Policies,
it must be separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services
pre-approved therein must be reviewed and ratified by the registrant's audit
committee at least annually. The registrant's audit committee maintains full
responsibility for the appointment, compensation, and oversight of the work of
the registrant's principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the
registrant's audit committee pursuant to the "de minimis exception" set forth in
Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees
for audit-related, tax, and other services) billed to the registrant by the
registrant's principal accountant for the last two fiscal years of the
registrant; and (ii) the aggregate non-audit fees (i.e., fees for audit-related,
tax, and other services) billed to the Eaton Vance organization by the
registrant's principal accountant for the last two fiscal years of the
registrant.
<Table>
<Caption>
FISCAL YEARS ENDED 10/31/03 10/31/04
- --------------------------------------------------------------------------------
Registrant $ 4,000 $ 4,100
</Table>
<Page>
<Table>
Eaton Vance (1) $ 467,489 $ 340,730
</Table>
(1) The investment adviser to the registrant, as well as any of its
affiliates that provide ongoing services to the registrant, are
subsidiaries of Eaton Vance Corp.
(h) The registrant's audit committee has considered whether the provision by the
registrant's principal accountant of non-audit services to the registrant's
investment adviser and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the registrant that
were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is
compatible with maintaining the principal accountant's independence.
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.
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
<Page>
(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.
Tax Managed Value Portfolio
- ---------------------------
By: /s/ Duncan W. Richardson
-------------------------------------
Duncan W. Richardson
President
Date: December 22, 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/ Barbara E. Campbell
-----------------------------------
Barbara E. Campbell
Treasurer
Date: December 22, 2004
By: /s/ Duncan W. Richardson
-------------------------------------
Duncan W. Richardson
President
Date: December 22, 2004