<Page>
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: 811-04015
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Eaton Vance Mutual Funds Trust
------------------------------
(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, 2004
-----------------
Date of Fiscal Year End
December 31
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Date of Reporting Period
<Page>
ITEM 1. REPORTS TO STOCKHOLDERS
<Page>
[EV LOGO]
[GRAPHIC IMAGE]
ANNUAL REPORT DECEMBER 31, 2004
[GRAPHIC IMAGE]
EATON VANCE COMBINED MONEY MARKET FUNDS
CASH MANAGEMENT FUND
MONEY MARKET FUND
[GRAPHIC IMAGE]
<Page>
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS, AND PROXY VOTING
PRIVACY. The Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has in effect the
following policy ("Privacy 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. This may include information such as name, address, social
security number, tax status, account balances and transactions.
- 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). In the normal
course of servicing a customer's account, Eaton Vance may share
information with unaffiliated third parties that perform various required
services such as transfer agents, custodians and broker/dealers.
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality
of such information.
- We reserve the right to change our Privacy Policy at any time upon proper
notification to you. Customers may want to review our Policy periodically
for changes by accessing the link on our homepage: www.eatonvance.com.
Our pledge of privacy applies to the following entities within the Eaton Vance
organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton
Vance Investment Counsel, Boston Management and Research, and Eaton Vance
Distributors, Inc.
In addition, our Privacy Policy only applies to those Eaton Vance customers who
are individuals and who have a direct relationship with us. If a customer's
account (i.e., fund shares) is held in the name of a third-party financial
adviser/broker-dealer, it is likely that only such adviser's privacy policies
apply to the customer. This notice supersedes all previously issued privacy
disclosures.
For more information about Eaton Vance's Privacy Policy,
please call 1-800-262-1122.
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.
PORTFOLIO HOLDINGS. Each Eaton Vance Fund and its underlying Portfolio (if
applicable) will file a schedule of its portfolio holdings on Form N-Q with the
Securities and Exchange Commission for the first and third quarters of each
fiscal year. The Form N-Q will be available on the Eaton Vance website
www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR
database on the Securities and Exchange Commision's website at www.sec.gov. Form
N-Q may also be reviewed and copied at the SEC's public reference room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
public reference room).
PROXY VOTING. 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 (if applicable) 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 and information on how the Funds or
Portfolios voted proxies relating to Portfolio securities during the 12 month
period ended June 30, without charge, upon request, by calling 1-800-262-1122.
This description is also available on the Securities and Exchange Commission's
website at www.sec.gov.
<Page>
EATON VANCE MONEY MARKET FUNDS as of December 31, 2004
INVESTMENT UPDATE
[PHOTO OF ELIZABETH S. KENYON]
Elizabeth S. Kenyon, CFA
Portfolio Manager
INVESTMENT ENVIRONMENT
- - During 2004, the U.S. economy experienced another year of solid growth,
growing at an annualized rate of 3.7% with moderate inflation, despite a
sharp increase in energy prices.
- - Energy prices rose significantly during the year, with oil reaching record
high levels before ending the year at $43.45 per barrel. Nevertheless, core
inflation -- which excludes volatile food and energy prices -- remained low.
Consumers continued to drive the economy's growth, with the help of tax cuts,
low home mortgage and refinancing rates, appreciation in home equity values,
and employment growth of more than two million jobs. Business spending began
the year slowly, but increased as the year progressed.
- - In a significant development for the fixed-income markets, the U.S. Federal
Reserve Board increased the Fed Funds Target Rate, a key short-term
interest-rate benchmark, by 25 basis points (0.25%) on five separate
occasions between June 2004 and December 2004 -- from 1.00% to 2.25%. In its
December 2004 meeting, the Fed indicated its focus had shifted from
supporting economic growth to fighting potential inflation, which we believe
increases the possibility of future short-term rate hikes.
[GRAPHIC IMAGE]
CASH MANAGEMENT PORTFOLIO
ABOUT THE PORTFOLIO
- - At December 31, 2004, Cash Management Portfolio had approximately 52.6% of
its net assets invested in high-quality commercial paper, a highly liquid
investment commonly used for money market funds.(1) The Portfolio also
invests in high-quality U.S. Government agency securities.
- - Management continued to maintain a relatively short weighted average maturity
in the Portfolio to provide flexibility for interest rate increases. Although
shorter-maturity securities typically offer lower yields, their flexibility
enabled management to reinvest at higher rates more quickly, helping to
increase the Portfolio's income stream. We will selectively seek
opportunities in 2005 to lengthen the Portfolio's weighted average maturity
in an effort to take advantage of potentially higher yields.
- - During the year ended December 31, 2004, shareholders of Eaton Vance Cash
Management Fund and Eaton Vance Money Market Fund received $0.006 and $0.001
per share, respectively, in income dividends.
[CHART]
ASSET ALLOCATION*
By net assets
<Table>
Commercial Paper 52.6%
U.S. Government Agency Obligations 45.6%
Short-Term Investments 1.8%
</Table>
* Asset allocation information may not be representative of the Portfolio's
current or future investments and may change due to active management.
(1) An investment in one of the money market funds is neither insured nor
guaranteed by the U.S. Government. Although each Fund seeks to maintain a
stable net asset value of $1.00 per share, it is possible to lose money by
investing in the Fund.
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.
THE VIEWS EXPRESSED THROUGHOUT THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGER
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 THE INVESTMENT ADVISER 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 EATON VANCE FUND.
2
<Page>
EATON VANCE MONEY MARKET FUNDS as of December 31, 2004
FUND EXPENSES
Example: As a shareholder of a Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases and redemption
fees (if applicable); and (2) ongoing costs, including management fees;
distribution or service fees; and other Fund expenses. This Example is intended
to help you understand your ongoing costs (in dollars) of investing in each Fund
and to compare these costs with the ongoing costs of investing in other mutual
funds. The Example is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (July 1, 2004 - December 31, 2004).
Actual Expenses: The first section of each table below provides information
about actual account values and actual expenses. You may use the information in
this line, together with the amount you invested, to estimate the expenses that
you paid over the period. Simply divide your account value by $1,000 (for
example, an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number in the first line under the heading entitled "Expenses Paid
During Period" to estimate the expenses you paid on your account during this
period.
Hypothetical Example for Comparison Purposes: The second section of each table
below provides information about hypothetical account values and hypothetical
expenses based on the actual Fund expense ratio and an assumed rate of return of
5% per year (before expenses), which is not the actual return of the Fund. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in your Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption fees (if applicable). Therefore, the second
section of the table is useful in comparing ongoing costs only, and will not
help you determine the relative total costs of owning different funds. In
addition, if these transactional costs were included, your costs would have been
higher.
EATON VANCE CASH MANAGEMENT FUND
<Table>
<Caption>
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
(7/1/04) (12/31/04) (7/1/04 - 12/31/04)
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Actual $ 1,000.00 $ 1,004.70 $ 3.88
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Hypothetical
(5% return per year before expenses) $ 1,000.00 $ 1,021.30 $ 3.91
</Table>
* Expenses are equal to the Fund's annualized expense ratio of
0.77% for Fund shares multiplied by the average account value
over the period, multiplied by 184/366 (to reflect the one-half
year period). The example assumes that the $1,000 was invested at
the net asset value per share determined at the close of business
on June 30, 2004. The example reflects the expenses of both the
Fund and the Portfolio.
EATON VANCE MONEY MARKET FUND
<Table>
<Caption>
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
(7/1/04) (12/31/04) (7/1/04 - 12/31/04)
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Actual $ 1,000.00 $ 1,000.50 $ 8.00
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Hypothetical
(5% return per year before expenses) $ 1,000.00 $ 1,017.10 $ 8.06
</Table>
* Expenses are equal to the Fund's annualized expense ratio of
1.59% for Fund shares multiplied by the average account value
over the period, multiplied by 184/366 (to reflect the one-half
year period). The example assumes that the $1,000 was invested at
the net asset value per share determined at the close of business
on June 30, 2004. The example reflects the expenses of both the
Fund and the Portfolio.
3
<Page>
EATON VANCE MONEY MARKET FUNDS as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2004
<Table>
<Caption>
CASH MONEY
MANAGEMENT FUND MARKET FUND
- --------------------------------------------------------------------------------------------
ASSETS
Investment in Cash Management Portfolio, at value $ 98,208,240 $ 68,221,767
Receivable for Fund shares sold 142,594 54,829
Receivable from the Administrator -- 139,560
- --------------------------------------------------------------------------------------------
TOTAL ASSETS $ 98,350,834 $ 68,416,156
- --------------------------------------------------------------------------------------------
LIABILITIES
Payable for Fund shares redeemed $ 139,047 $ 473,011
Dividends payable 35,848 5,014
Payable to affiliate for Trustees' fees 330 330
Payable to affiliate for distribution and service fees -- 24,059
Accrued expenses 10,552 28,914
- --------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 185,777 $ 531,328
- --------------------------------------------------------------------------------------------
NET ASSETS (REPRESENTED BY PAID-IN-CAPITAL) $ 98,165,057 $ 67,884,828
- --------------------------------------------------------------------------------------------
SHARES OF BENEFICIAL INTEREST OUTSTANDING
98,165,057 67,884,828
- --------------------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE (NOTE 6)
- --------------------------------------------------------------------------------------------
(Net assets DIVIDED BY shares of beneficial interest
outstanding) $ 1.00 $ 1.00
- --------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
4
<Page>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2004
<Table>
<Caption>
CASH MONEY
MANAGEMENT FUND MARKET FUND
- --------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest allocated from Portfolio $ 1,307,305 $ 1,146,305
Expenses allocated from Portfolio (557,933) (499,589)
- --------------------------------------------------------------------------------------------
NET INVESTMENT INCOME FROM PORTFOLIO $ 749,372 $ 646,716
- --------------------------------------------------------------------------------------------
EXPENSES
Trustees fees and expenses $ 2,356 $ 1,843
Distribution and service fees -- 743,585
Legal and accounting services 17,191 17,811
Printing and postage 6,830 11,609
Custodian fee 16,582 15,303
Transfer and dividend disbursing agent fees 80,157 123,306
Registration fees 61,609 32,632
Miscellaneous -- 452
- --------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 184,725 $ 946,541
- --------------------------------------------------------------------------------------------
Deduct --
Allocation of expenses to the Administrator $ -- $ 139,560
Reduction of distribution fees -- 195,942
- --------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ -- $ 335,502
- --------------------------------------------------------------------------------------------
NET EXPENSES $ 184,725 $ 611,039
- --------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 564,647 $ 35,677
- --------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
5
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 2004
<Table>
<Caption>
CASH MONEY
MANAGEMENT FUND MARKET FUND
- --------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
From operations --
Net investment income $ 564,647 $ 35,677
- --------------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income $ (564,647) $ (35,677)
- --------------------------------------------------------------------------------------------
Transactions in shares of beneficial interest at Net
Asset Value of $1.00 per share --
Proceeds from sale of shares $ 125,111,448 $ 75,535,474
Net asset value of shares issued to shareholders in
payment of distributions declared 404,213 28,884
Cost of shares redeemed (128,714,174) (107,920,251)
- --------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS $ (3,198,513) $ (32,355,893)
- --------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (3,198,513) $ (32,355,893)
- --------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 101,363,570 $ 100,240,721
- --------------------------------------------------------------------------------------------
AT END OF YEAR $ 98,165,057 $ 67,884,828
- --------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
6
<Page>
FOR THE YEAR ENDED DECEMBER 31, 2003
<Table>
<Caption>
CASH MONEY
MANAGEMENT FUND MARKET FUND
- --------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS --
Net investment income $ 486,714 $ --
Net realized loss from investment transactions (20) (5)
- --------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 486,694 $ (5)
- --------------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income $ (486,694) $ --
- --------------------------------------------------------------------------------------------
Transactions in shares of beneficial interest at Net
Asset Value of $1.00 per share --
Proceeds from sale of shares $ 257,636,160 $ 134,623,672
Net asset value of shares issued to shareholders
in payment of distributions declared 329,687 --
Cost of shares redeemed (268,342,965) (193,102,183)
- --------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM FUND SHARE TRANSACTIONS $ (10,377,118) $ (58,478,511)
- --------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (10,377,118) $ (58,478,516)
- --------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 111,740,688 $ 158,719,237
- --------------------------------------------------------------------------------------------
AT END OF YEAR $ 101,363,570 $ 100,240,721
- --------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
7
<Page>
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
CASH MANAGEMENT FUND
------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- --------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.006 $ 0.005 $ 0.010 $ 0.033 $ 0.056
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.006) $ (0.005) $ (0.010) $ (0.033) $ (0.056)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.006) $ (0.005) $ (0.010) $ (0.033) $ (0.056)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1) 0.60% 0.48% 1.02% 3.46% 5.68%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (000's omitted) $ 98,165 $ 101,364 $ 111,741 $ 143,079 $ 143,362
Ratios (As a percentage of average daily net assets):
Expenses(2) 0.79% 0.68% 0.79% 0.79% 0.76%
Expenses after custodian fee reduction(2) 0.79% 0.68% 0.79% 0.79% 0.76%
Net investment income 0.60% 0.47% 1.02% 3.16% 5.66%
- --------------------------------------------------------------------------------------------------------------------------------
</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.
See notes to financial statements
8
<Page>
<Table>
<Caption>
MONEY MARKET FUND
------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- --------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.001 $ -- $ 0.002 $ 0.024 $ 0.047
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.001) $ -- $ (0.002) $ (0.024) $ (0.047)
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.001) $ -- $ (0.002) $ (0.024) $ (0.047)
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1) 0.05% 0.00% 0.19% 2.46% 4.76%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 67,885 $ 100,241 $ 158,719 $ 168,555 $ 122,299
Ratios (As a percentage of average daily net assets):
Net expenses(2) 1.31% 1.17% 1.61% 1.68% 1.67%
Net expenses after custodian fee reduction(2) 1.31% 1.17% 1.61% 1.68% 1.67%
Net investment income 0.04% 0.00% 0.20% 2.25% 4.71%
- --------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Fund may reflect an
allocation of expenses to the Administrator and a
waiver of expenses by the Distributor. Had such
actions not been taken, the ratios and net
investment income (loss) per share would have been
as follows:
Ratios (As a percentage of average daily net assets):
Expenses(2) 1.71% 1.66% 1.61% 1.68%
Expenses after custodian fee reduction(2) 1.71% 1.66% 1.61% 1.68%
Net investment income (loss) (0.35)% (0.49)% 0.20% 4.70%
Net investment income (loss) per share $ (0.004) $ (0.005) $ 0.002 $ 0.047
- --------------------------------------------------------------------------------------------------------------------------------
</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. Total return would have been lower
had certain expenses not been reduced during the periods shown.
(2) Includes the Fund's share of the Portfolio's allocated expenses.
See notes to financial statements
9
<Page>
EATON VANCE MONEY MARKET FUNDS as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Cash Management Fund (Cash Management Fund) and Eaton Vance Money
Market Fund (Money Market Fund) (individually, the Fund, collectively the Funds)
are each diversified series of Eaton Vance Mutual Funds 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 Funds invest all of their investable
assets in interests in the Cash Management Portfolio (the Portfolio), a New York
Trust, having the same investment objective as the Funds. The value of each
Fund's investment in the Portfolio reflects the Fund's proportionate interest in
the net assets of the Portfolio (58.2% for Cash Management Fund and 40.4% for
Money Market Fund at December 31, 2004). The performance of each 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 each of the Fund's
financial statements. The following is a summary of significant accounting
policies consistently followed by the Funds in the preparation of their
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 Funds' net investment income consists of each Fund's pro rata
share of the net investment income of the Portfolio, less all actual and accrued
expenses of each Fund determined in accordance with accounting principles
generally accepted in the United States of America.
C FEDERAL TAXES -- Each 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 all of its taxable income, including any
net realized gain on investments. Accordingly, no provision for federal income
or excise tax is necessary.
D EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as custodian
to the Funds and the Portfolio. Pursuant to the respective custodian agreements,
IBT receives a fee reduced by credits which are determined based on the average
daily cash balances each Fund or the Portfolio maintains with IBT. All credit
balances used to reduce the Funds' custodian fees are reported as a reduction of
total expenses in the Statement of Operations. For the year ended December 31,
2004, no credits were used to reduce the Funds' custodian fees.
E 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.
F 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 Funds and shareholders are
indemnified against personal liability for obligations of the Trust.
Additionally, in the normal course of business, the Funds enter into agreements
with service providers that may contain indemnification clauses. The Funds'
maximum exposure under these arrangements is unknown as this would involve
future claims that may be made against the Funds that have not yet occurred.
G 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.
H OTHER -- Investment transactions are accounted for on a trade-date basis.
2 DISTRIBUTIONS TO SHAREHOLDERS
The net investment income of each Fund is determined daily, and substantially
all of the net investment income so determined is declared daily as a dividend
to shareholders of record at the time of declaration. Distributions are paid
monthly. Distributions are paid in the form of additional shares or, at the
election of the shareholder, in cash.
The Funds distinguish between distributions on a tax basis and a financial
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 reclassified to paid-in capital.
10
<Page>
<Table>
<Caption>
CASH MONEY
YEAR ENDED DECEMBER 31, 2004 MANAGEMENT FUND MARKET FUND
- ---------------------------------------------------------------
Distributions declared from:
Ordinary income $ 564,647 $ 35,677
</Table>
<Table>
<Caption>
YEAR ENDED DECEMBER 31, 2003
- ---------------------------------------------------------------
Distributions declared from:
Ordinary income $ 486,694 --
</Table>
3 SHARES OF BENEFICIAL INTEREST
The Funds' Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par value).
At December 31, 2004, Eaton Vance Management (EVM), its affiliates and its
retirement plan owned shares outstanding of the Cash Management Fund aggregating
approximately 17%.
4 TRANSACTIONS WITH AFFILIATES
EVM serves as the administrator of the Funds, 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. Pursuant to a
voluntary expense reimbursement, EVM was allocated $139,560 of the Money Market
Fund's operating expenses for the year ended December 31, 2004. EVM serves as
the sub-transfer agent of the Funds and receives from the transfer agent an
aggregate fee based upon the actual expenses incurred by EVM in the performance
of those services. For the year ended December 31, 2004, EVM earned $7,907 and
$9,330 from Cash Management Fund and Money Market Fund, respectively, in
sub-transfer agent fees. Except as to Trustees of the Funds and the Portfolio
who are not members of EVM's or BMR's organization, officers and Trustees
receive remuneration for their services to each Fund out of such investment
adviser fee. Certain officers and Trustees of the Funds and of the Portfolio are
officers of the above organizations.
5 DISTRIBUTION AND SERVICE PLANS
The Money Market Fund (the Fund) has in effect a distribution plan (the Plan)
pursuant to Rule 12b-1 under the 1940 Act. The Plan requires the Fund to pay the
Principal Underwriter, Eaton Vance Distributors, Inc. (EVD), amounts equal to
0.75% per annum of the Fund's average daily net assets, for providing ongoing
distribution services and facilities to the Fund. The Fund will automatically
discontinue payments to EVD during any period in which there are no outstanding
Uncovered Distribution Charges. The Fund's balance of Uncovered Distribution
Charges is equivalent to the sum of (i) 6.25% of the aggregate amount received
by the Fund for shares sold plus (ii) interest calculated by applying the rate
of 1% over the prevailing prime rate to the outstanding balance of Uncovered
Distribution Charges of EVD reduced by the aggregate amount of contingent
deferred sales charges (Note 6) and amounts theretofore paid to EVD. For the
year ended December 31, 2004, the distribution fee was equivalent to 0.75% of
the Fund's average daily net assets and amounted to $634,526. Pursuant to a
voluntary fee waiver, EVD waived $195,942 of distribution fees for the year
ended December 31, 2004. At December 31, 2004, the amount of Uncovered
Distribution Charges of EVD calculated under the Plan for the Fund was
approximately $10,746,000.
The Plan authorizes the Fund to make payments of service fees to EVD, investment
dealers and other persons in amounts not exceeding 0.25% of the Fund's average
daily net assets. The Trustees implemented the Plan by authorizing the Fund to
make quarterly service fee payments to EVD and investment dealers in amounts
equal to 0.15% per annum of the Fund's average daily net assets based on the
value of the Fund shares sold by such persons and remaining outstanding for at
least one year. Service fee payments are made for personal services and/or the
maintenance of shareholder accounts. Service fees paid to EVD and investment
dealers are separate and distinct from the sales commissions and distribution
fees payable by the Fund to EVD, and as such are not subject to automatic
discontinuance when there are no outstanding Uncovered Distribution Charges of
EVD. Service fees for the year ended December 31, 2004 amounted to $109,059.
Certain officers and Trustees of the Funds are officers of EVD.
6 CONTINGENT DEFERRED SALES CHARGE (CDSC)
Shares of the Money Market Fund (the Fund) (other than those acquired as the
result of an exchange from Class C of another Eaton Vance fund) generally are
subject to a CDSC on redemptions of shares made within six years of purchase, at
rates that begin at 5% in the case of redemptions in the first and second year
after purchase, declining one percentage point each subsequent year. The Fund's
shares acquired as a result of an exchange from Class C shares of a another
Eaton Vance fund are subject a 1% CDSC if redeemed within 12 months of purchase.
Generally, the CDSC is based upon the lower of the net asset value at date of
redemption or date of purchase. No charge is levied on shares acquired by
reinvestment of dividends or capital gains distributions. No CDSC is levied on
shares which have
11
<Page>
been sold to EVM or its affiliates or to their respective employees or clients
and may be waived under certain other limited conditions. CDSC assessed on Fund
shares are paid to EVD to reduce the amount of Uncovered Distribution Charges
calculated under the Fund's Distribution Plan. CDSC received from Fund shares
when no Uncovered Distribution Charges exist will be credited to the Fund. The
Fund was informed that EVD received approximately $430,000 of CDSC paid by
shareholders of the Fund for the year ended December 31, 2004.
7 INVESTMENT TRANSACTIONS
Increases and decreases in the Funds' investment in the Portfolio for the year
ended December 31, 2004 were as follows:
<Table>
CASH MANAGEMENT FUND
- ----------------------------------------------------
Increases $ 125,113,443
Decreases 129,327,704
MONEY MARKET FUND
- ----------------------------------------------------
Increases $ 75,813,924
Decreases 109,070,121
</Table>
12
<Page>
EATON VANCE MONEY MARKET FUNDS as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees of Eaton Vance Mutual Funds Trust and Shareholders of Eaton
Vance Cash Management Fund and Eaton Vance Money Market Fund:
In our opinion, the accompanying statements of assets and liabilities, and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Eaton Vance Cash Management Fund and Eaton Vance Money Market Fund, each a
series of Eaton Vance Mutual Funds Trust (the "Funds") at December 31, 2004, and
the results of each of their operations, the changes in each of their net assets
and the financial highlights for each of the periods presented, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with the 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 are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2005
13
<Page>
EATON VANCE MONEY MARKET FUNDS as of December 31, 2004
FEDERAL TAX INFORMATION (Unaudited)
The Form 1099-DIV you received in January 2005 showed 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 Funds.
14
<Page>
CASH MANAGEMENT PORTFOLIO as of December 31, 2004
PORTFOLIO OF INVESTMENTS
COMMERCIAL PAPER -- 52.6%
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------------
AUTOMOTIVE -- 4.4%
$ 748 American Honda Finance, 2.23%, 1/10/05 $ 747,583
1,750 American Honda Finance, 2.31%, 1/19/05 1,747,979
3,000 Toyota Motor Credit Co., 1.98%, 1/12/05 2,998,185
2,000 Toyota Motor Credit Co., 2.32%, 1/21/05 1,997,422
- -----------------------------------------------------------------------------------------------------------
$ 7,491,169
- -----------------------------------------------------------------------------------------------------------
BANKING AND FINANCE -- 26.3%
$ 4,000 American General Finance Corp., 2.26%, 1/19/05 $ 3,995,480
4,000 American General Finance Corp., 2.32%, 2/1/05 3,992,009
3,000 Barton Capital Corp., 2.18%, 1/3/05(1) 2,999,637
1,500 CAFCO, LLC, 2.32%, 1/24/05(1) 1,497,777
1,000 CIESCO, LLC, 2.23%, 1/18/05(1) 998,947
3,812 CIESCO, LLC, 2.23%, 1/20/05 3,807,514
3,000 CRC Funding, LLC, 2.28%, 1/27/05(1) 2,995,060
3,000 CXC, LLC, 2.18%, 1/18/05(1) 2,996,912
4,362 Kittyhawk Funding, 2.34%, 1/19/05(1) 4,356,897
3,142 Old Line Funding Corp., 2.35%, 2/7/05(1) 3,134,411
3,400 Ranger Funding Co., LLC, 2.39%, 2/14/05(1) 3,390,068
7,000 Societe Generale N.A., 2.32%, 2/10/05 6,981,955
3,300 Yorktown Capital, LLC, 2.34%, 1/21/05 3,295,710
- -----------------------------------------------------------------------------------------------------------
$ 44,442,377
- -----------------------------------------------------------------------------------------------------------
CREDIT UNIONS -- 3.0%
$ 2,500 Mid-States Corp. Federal Credit Union, 2.30%, 1/13/05 $ 2,498,083
2,500 Mid-States Corp. Federal Credit Union, 2.34%, 1/25/05 2,496,100
- -----------------------------------------------------------------------------------------------------------
$ 4,994,183
- -----------------------------------------------------------------------------------------------------------
ELECTRICAL AND ELECTRONIC EQUIPMENT -- 4.1%
$ 2,000 General Electric Capital Corp., 2.16%, 1/7/05 $ 1,999,280
5,000 General Electric Capital Corp., 2.37%, 2/23/05 4,982,554
- -----------------------------------------------------------------------------------------------------------
$ 6,981,834
- -----------------------------------------------------------------------------------------------------------
FOOD AND BEVERAGES -- 3.9%
$ 3,300 Coca-Cola Company (The), 2.26%, 1/25/05 $ 3,295,028
3,282 Unilever Capital Corp., 2.32%, 1/24/05(1) 3,277,136
- -----------------------------------------------------------------------------------------------------------
$ 6,572,164
- -----------------------------------------------------------------------------------------------------------
INSURANCE -- 3.0%
$ 1,350 New York Life Capital Corp., 2.30%, 2/1/05(1) $ 1,347,326
3,700 New York Life Capital Corp., 2.30%, 2/3/05(1) 3,692,199
- -----------------------------------------------------------------------------------------------------------
$ 5,039,525
- -----------------------------------------------------------------------------------------------------------
OIL -- 2.0%
$ 3,300 Cortez Capital Corp., 2.28%, 1/11/05(1) $ 3,297,910
- -----------------------------------------------------------------------------------------------------------
$ 3,297,910
- -----------------------------------------------------------------------------------------------------------
OPTICAL SUPPLIES -- 3.0%
$ 1,500 Alcon Capital Corp., 2.18%, 1/10/05(1) $ 1,499,182
3,500 Alcon Capital Corp., 2.28%, 1/14/05(1) 3,497,118
- -----------------------------------------------------------------------------------------------------------
$ 4,996,300
- -----------------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 2.9%
$ 5,000 Pfizer, Inc., 2.34%, 2/14/05(1) $ 4,985,700
- -----------------------------------------------------------------------------------------------------------
$ 4,985,700
- -----------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(AMORTIZED COST $88,801,162) $ 88,801,162
- -----------------------------------------------------------------------------------------------------------
U.S. Government Agency Obligations -- 45.6%
$ 1,800 FHLB Discount Notes, 2.20%, 1/19/05 $ 1,798,020
2,700 FHLB Discount Notes, 2.21%, 1/21/05 2,696,685
1,900 FHLMC Discount Notes, 2.20%, 1/18/05 1,898,026
6,450 FHLMC Discount Notes, 2.21%, 1/28/05 6,439,309
5,000 FNMA Discount Notes, 2.13%, 1/3/05 4,999,408
5,000 FNMA Discount Notes, 2.13%, 1/4/05 4,999,112
2,812 FNMA Discount Notes, 2.15%, 1/5/05 2,811,328
3,259 FNMA Discount Notes, 2.14%, 1/6/05 3,258,031
3,403 FNMA Discount Notes, 2.15%, 1/7/05 3,401,781
3,623 FNMA Discount Notes, 2.20%, 1/12/05 3,620,565
2,800 FNMA Discount Notes, 2.23%, 1/12/05 2,798,092
3,496 FNMA Discount Notes, 2.19%, 1/24/05 3,491,108
5,000 FNMA Discount Notes, 2.20%, 1/26/05 4,992,361
5,000 FNMA Discount Notes, 2.30%, 2/7/05 4,988,181
6,774 FNMA Discount Notes, 2.31%, 2/8/05 6,757,483
4,292 FNMA Discount Notes, 2.31%, 2/9/05 4,281,259
2,718 FNMA Discount Notes, 2.325%, 2/9/05 2,711,154
2,200 FNMA Discount Notes, 2.33%, 2/11/05 2,194,162
5,544 FNMA Discount Notes, 2.32%, 2/15/05 5,527,923
3,457 FNMA Discount Notes, 2.38%, 3/4/05 3,442,830
- -----------------------------------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(AMORTIZED COST, $77,106,818) $ 77,106,818
- -----------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
15
<Page>
SHORT-TERM INVESTMENTS -- 1.8%
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------------
$ 3,005 Investors Bank and Trust Company Time Deposit, 2.25%, 1/3/05 $ 3,005,000
- -----------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AMORTIZED COST, $3,005,000) $ 3,005,000
- -----------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(AMORTIZED COST $168,912,980)(2) $ 168,912,980
- -----------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- (0.0)% $ (25,285)
- -----------------------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 168,887,695
- -----------------------------------------------------------------------------------------------------------
</Table>
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation (Freddie Mac)
FNMA - Federal National Mortgage Association (Fannie Mae)
Securities issued by Fannie Mae, Freddie Mac or Federal Home Loan Bank are not
issued or guaranteed by the U.S. Government.
(1) A security which has been issued under section 4(2) of the Securities Act
of 1933 and is generally regarded as restricted and illiquid. This security
may be resold in transactions exempt from registration or to the public if
the security is registered. All such securities held have been deemed by
the Portfolio's Trustees to be liquid and were purchased with the
expectation that resale would not be necessary.
(2) Cost for federal income taxes is the same.
See notes to financial statements
16
<Page>
CASH MANAGEMENT PORTFOLIO as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
As of December 31, 2004
<Table>
ASSETS
Investments, at amortized cost $ 168,912,980
Cash 786
Interest receivable 188
- -------------------------------------------------------------------------------
TOTAL ASSETS $ 168,913,954
- -------------------------------------------------------------------------------
LIABILITIES
Payable to affiliate for Trustees' fees $ 2,325
Accrued expenses 23,934
- -------------------------------------------------------------------------------
TOTAL LIABILITIES $ 26,259
- -------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $ 168,887,695
- -------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital contributions and withdrawals $ 168,887,695
- -------------------------------------------------------------------------------
TOTAL $ 168,887,695
- -------------------------------------------------------------------------------
</Table>
STATEMENT OF OPERATIONS
For the Year Ended
December 31, 2004
<Table>
INVESTMENT INCOME
Interest $ 2,512,198
- -------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 2,512,198
- -------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 920,455
Trustees' fees and expenses 10,847
Custodian fee 106,987
Legal and accounting services 38,888
Miscellaneous 6,806
- -------------------------------------------------------------------------------
TOTAL EXPENSES $ 1,083,983
- -------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 35
- -------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 35
- -------------------------------------------------------------------------------
NET EXPENSES $ 1,083,948
- -------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 1,428,250
- -------------------------------------------------------------------------------
</Table>
See notes to financial statements
17
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
- ------------------------------------------------------------------------------------------------
INCREASE (DECREASE)
IN NET ASSETS
From operations --
Net investment income $ 1,428,250 $ 1,444,723
Net realized loss from investment transactions -- (25)
- ------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,428,250 $ 1,444,698
- ------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 205,687,872 $ 398,042,406
Withdrawals (246,450,820) (473,712,143)
- ------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS $ (40,762,948) $ (75,669,737)
- ------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (39,334,698) $ (74,225,039)
- ------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 208,222,393 $ 282,447,432
- ------------------------------------------------------------------------------------------------
AT END OF YEAR $ 168,887,695 $ 208,222,393
- ------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
18
<Page>
SUPPLEMENTARY DATA
<Table>
<Caption>
YEAR ENDED DECEMBER 31,
----------------------------------------------
2004 2003 2002 2001 2000
- ------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.59% 0.57% 0.58% 0.57% 0.58%
Expenses after custodian fee reduction 0.59% 0.57% 0.58% 0.57% 0.58%
Net investment income 0.78% 0.59% 1.22% 3.33% 5.77%
- ------------------------------------------------------------------------------------------------------
TOTAL RETURN* 0.78% 0.60% 1.22% 3.70% --
- ------------------------------------------------------------------------------------------------------
</Table>
* Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
19
<Page>
CASH MANAGEMENT PORTFOLIO as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Cash Management Portfolio (the Portfolio) is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company. The Portfolio was organized as a trust under the laws of the
State of New York on May 1, 1992. The Portfolio's objective is to provide as
high a rate of income as may be consistent with preservation of capital and
maintenance of liquidity. The Declaration of Trust permits the Trustees to issue
interests in the Portfolio. At December 31, 2004, the Eaton Vance Cash
Management Fund and the Eaton Vance Money Market Fund held interests of
approximately 58.2% and 40.4%, respectively, in the Portfolio. The following is
a summary of significant accounting policies of the Portfolio. The policies are
in conformity with accounting principles generally accepted in the United States
of America.
A SECURITY VALUATION -- The Portfolio values investment securities utilizing the
amortized cost valuation technique permitted by Rule 2a-7 of the Investment
Company Act of 1940, pursuant to which the Portfolio must comply with certain
conditions. This technique involves initially valuing a portfolio security at
its cost and thereafter assuming a constant amortization to maturity of any
discount or premium.
B INCOME -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or accretion of discount.
C INCOME TAXES -- The Portfolio has elected to be treated as a partnership for
federal tax purposes. No provision is made by the Portfolio for federal or state
taxes on any taxable income of the Portfolio because each investor in the
Portfolio is ultimately responsible for the payment of any taxes. Since some of
the Portfolio's investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolio, the Portfolio normally must
satisfy the applicable source of income and diversification requirements (under
the Internal Revenue Code) in order for its investors to satisfy them. The
Portfolio will allocate at least annually among its investors each investor's
distributive share of the Portfolio's net investment income, net realized
capital gains, and any other items of income, gain, loss, deduction or credit.
D EXPENSE Reduction -- Investors Bank & Trust Company (IBT) serves as custodian
to 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 credit balances used to reduce the
Portfolio's custodian fees are reported as a reduction of expenses on the
Statement of Operations.
E 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.
F 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.
G OTHER -- Investment transactions are accounted for on a trade-date basis.
2 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR), a
wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to the Portfolio. The fee
is computed at the rate of 1/2 of 1% per annum of the Portfolio's average daily
net assets and amounted to $920,455 for the year ended December 31, 2004. Except
as to Trustees of the Portfolio who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services to
the Portfolio out of such investment adviser fee.
Certain officers and Trustees of the Portfolio are officers of the above
organizations.
20
<Page>
3 LINE OF CREDIT
The Portfolio participates with other portfolios and funds managed by BMR or 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 December 31, 2004.
4 INVESTMENTS
Purchases and sales (including maturities) of investments during the year ended
December 31, 2004, exclusive of U.S. Government and agency securities,
aggregated $2,111,558,240 and $2,106,907,799, respectively. Purchases and sales
(including maturities) of U.S. Government and agency securities aggregated
$545,915,001 and $592,355,000, respectively.
21
<Page>
CASH MANAGEMENT PORTFOLIO as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES AND INVESTORS OF CASH MANAGEMENT PORTFOLIO:
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of Cash Management Portfolio (the "Portfolio")
at December 31, 2004, and the results of its operations, the changes in its net
assets and the supplementary data for each of the periods presented, in
conformity with accounting principles generally accepted in the United States of
America. These financial statements and supplementary data (hereafter referred
to as "financial statements") are the responsibility of the Portfolio's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with the 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 are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 2004 by correspondence with the custodian, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2005
22
<Page>
EATON VANCE MONEY MARKET FUNDS
MANAGEMENT AND ORGANIZATION
Fund Management. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and
Cash Management 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 or 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 LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY
DATE OF BIRTH THE PORTFOLIO SERVICE DURING PAST FIVE YEARS TRUSTEE(1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
James B. Hawkes Trustee Trustee of Chairman, President and 195 Director of EVC
11/9/41 the Trust Chief Executive Officer of
since 1991; BMR, EVC, EVM and EV;
of the Director of EV; Vice
Portfolio President and Director of
since 1993 EVD. Trustee and/or
officer of 195 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 Funds and Portfolio.
NONINTERESTED TRUSTEE(S)
Samuel L. Hayes, III Chairman of the Trustee of Jacob H. Schiff Professor 195 Director of Tiffany & Co.
2/23/35 Board and the Trust of Investment Banking (specialty retailer) and
Trustee since 1986; Emeritus, Harvard Telex, Inc.
of the University Graduate School (telecommunication services
Portfolio of Business Administration. company)
since
1993 and
Chairman of
the Board
since 2005
William H. Park Trustee Since 2003 President and Chief 195 None
9/19/47 Executive Officer, Prism
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, 195 None
7/10/40 Georgetown University Law
Center (since 1999). Tax
Partner, Covington &
Burling, Washington, DC
(1991-2000).
Norton H. Reamer Trustee Trustee of President, Chief Executive 195 None
9/21/35 the Trust Officer and a Director of
since 1986; Asset Management Finance
of the Corp. (a specialty finance
Portfolio company serving the
since 1993 investment management
industry) (since
October 2003). President,
Unicorn Corporation (an
investment and financial
advisory services company)
(since September 2000).
Formerly, Chairman and
Chief Operating Officer,
Hellmann, 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 Since 1998 Professor of Law, 195 None
9/14/57 University of California
at Los Angeles School of
Law (since July 2001).
Formerly, Professor of
Law, Georgetown University
Law Center.
</Table>
23
<Page>
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
<Table>
<Caption>
POSITION(S) TERM OF
WITH THE OFFICE AND
NAME AND TRUST AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH THE 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; Chief
5/31/58 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 59 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 registered
Trust investment companies managed by EVM or BMR.
7/28/59
Thomas J. Fetter Vice President of the Since 1997 Vice President of EVM and BMR. Officer of 124 registered
8/20/43 Trust investment companies managed by EVM or BMR.
Elizabeth S. Kenyon President of the Since 2002(2) Vice President of EVM and BMR. Officer of 2 registered
9/8/59 Portfolio investment companies managed by EVM or BMR.
Thomas H. Luster Vice President of the Since 2002 Vice President of EVM and BMR. Officer of 16 registered
4/8/62 Portfolio investment companies managed by EVM or BMR.
Michael R. Mach Vice President of the Since 1999 Vice President of EVM and BMR. Officer of 29 registered
7/15/47 Trust 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 registered
1/22/57 Trust investment companies managed by EVM or BMR.
Duncan W. Richardson Vice President of the Since 2001 Senior Vice President and Chief Equity Investment Officer of
Trust EVM and BMR. Officer of 46 registered investment companies
10/26/57 managed by EVM or BMR.
Walter A. Row, III Vice President of the Since 2001 Director of Equity Research and a Vice President of EVM and
7/20/57 Trust BMR. Officer of 26 registered investment companies managed by
EVM or BMR.
Judith A. Saryan Vice President of the Since 2003 Vice President of EVM and BMR. Officer of 28 registered
8/21/54 Trust investment companies managed by EVM or BMR.
Susan Schiff Vice President of the Since 2002 Vice President of EVM and BMR. Officer of 28 registered
3/13/61 Trust investment companies managed by EVM or BMR.
Kristin S. Anagnost Treasurer of the Since 2002(2) Assistant Vice President of EVM and BMR. Officer of 106
6/12/65 Portfolio registered investment companies managed by EVM or BMR.
Alan R. Dynner Secretary Since 1997 Vice President, Secretary and Chief Legal Officer of BMR, EVM,
10/10/40 EVD, EV and EVC. Officer of 195 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 117 registered
4/1/45 investment companies managed by EVM or BMR.
Paul M. O'Neil Chief Compliance Since 2004 Vice President of EVM and BMR. Officer of 195 registered
7/11/53 Officer 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. Kenyon served as Vice President of the Portfolio since
2001 and Ms. Anagnost served as Assistant Treasurer of the Portfolio since
1998.
The SAI for the Funds includes additional information about the Trustees and
officers of the Funds and the Portfolio and can be obtained without charge by
calling 1-800-225-6265.
24
<Page>
This Page Intentionally Left Blank
<Page>
PORTFOLIO INVESTMENT ADVISER
BOSTON MANAGEMENT AND RESEARCH
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
FUND ADMINISTRATOR
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
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PRICEWATERHOUSECOOPERS LLP
125 HIGH STREET
BOSTON, MA 02110
EATON VANCE MUTUAL FUNDS TRUST
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. BEFORE
INVESTING, INVESTORS SHOULD CONSIDER CAREFULLY THE FUND'S INVESTMENT
OBJECTIVE(S), RISKS, AND CHARGES AND EXPENSES. THE FUND'S CURRENT PROSPECTUS
CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND AND IS AVAILABLE THROUGH YOUR
FINANCIAL ADVISOR. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR
SEND MONEY. FOR FURTHER INFORMATION PLEASE CALL 1-800-225-6265.
<Page>
131-2/05 MMSRC
<Page>
[EV LOGO]
[GRAPHIC IMAGE]
ANNUAL REPORT DECEMBER 31, 2004
[GRAPHIC IMAGE]
EATON VANCE MUNICIPAL BOND FUND
[GRAPHIC IMAGE]
<Page>
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS, AND PROXY VOTING
PRIVACY. The Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has in effect the
following policy ("Privacy 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. This may include information such as name, address, social
security number, tax status, account balances and transactions.
- 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). In the normal
course of servicing a customer's account, Eaton Vance may share
information with unaffiliated third parties that perform various required
services such as transfer agents, custodians and broker/dealers.
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality
of such information.
- We reserve the right to change our Privacy Policy at any time upon proper
notification to you. Customers may want to review our Policy periodically
for changes by accessing the link on our homepage: www.eatonvance.com.
Our pledge of privacy applies to the following entities within the Eaton Vance
organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton
Vance Investment Counsel, Boston Management and Research, and Eaton Vance
Distributors, Inc.
In addition, our Privacy Policy only applies to those Eaton Vance customers who
are individuals and who have a direct relationship with us. If a customer's
account (i.e., fund shares) is held in the name of a third-party financial
adviser/ broker-dealer, it is likely that only such adviser's privacy policies
apply to the customer. This notice supersedes all previously issued privacy
disclosures.
For more information about Eaton Vance's Privacy Policy,
please call 1-800-262-1122.
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.
PORTFOLIO HOLDINGS. Each Eaton Vance Fund and its underlying Portfolio (if
applicable) will file a schedule of its portfolio holdings on Form N-Q with the
Securities and Exchange Commission for the first and third quarters of each
fiscal year. The Form N-Q will be available on the Eaton Vance website
www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR
database on the Securities and Exchange Commision's website at www.sec.gov. Form
N-Q may also be reviewed and copied at the SEC's public reference room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
public reference room).
PROXY VOTING. 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 (if applicable) 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 and information on how the Funds or
Portfolios voted proxies relating to Portfolio securities during the 12 month
period ended June 30, without charge, upon request, by calling 1-800-262-1122.
This description is also available on the Securities and Exchange Commission's
website at www.sec.gov.
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
LETTER TO SHAREHOLDERS
[PHOTO OF THOMAS J. FETTER]
Thomas J. Fetter
Vice President and
Portfolio Manager
The municipal bond market is a center of capital formation for states,
municipalities and, in some cases, private economic ini tiatives. In this
edition of our continuing educational series, will discuss industrial
development revenue (IDR) bonds. IDR bonds have long been used as a financing
mechanism by local governments to provide assistance to local employers and
encourage job retention and creation within their communities.
IDR BONDS FINANCE PRIVATE ACTIVITIES THAT BENEFIT THE PUBLIC...
IDR bonds are issued by municipal authorities to finance projects and facilities
used by private corporations. Historically, IDR bonds have represented a
partnership between the private and public sectors - a source of dedicated
funding for companies and a source of job creation in projects beneficial to
local communities. The "Private-Activities" provision of the Tax Reform Act of
1986 permits issuance of tax-exempt bonds for specific activities, including
pollution control; gas and electric service; water distribution; wastewater
systems; solid waste disposal; airports and selected transportation projects;
and other industrial projects.
The Act also placed a cap on the dollar amount that may be raised for IDR bonds
in each state, limiting the amount to $50 per person/per state/per year, with a
$150 million maximum. These limitations provide protection against potential
abuse and ensure that tax-exempt IDR bonds will indeed be issued for projects
that will benefit the public.
IDR BONDS FINANCE UTILITY-RELATED PROJECTS AND OTHER INDUSTRIAL INITIATIVES...
Typically, IDR bond projects provide financing for manufacturing, processing or
utility facilities. Historically, about one-half of these bonds have been issued
to finance pollution control facilities for manufacturers and electric
utilities. As many utilities and manufacturers have been ordered to comply with
stricter environmental and fuel standards, pollution control bonds have helped
finance the retrofits of existing plants. Other IDR bonds have served as
inducements from state and local issuers to locate plants or build new
facilities, in the hope that such construction might generate further economic
growth for a community.
IDR BONDS ARE SECURED BY CORPORATE REVENUES - NOT THOSE OF STATE OR LOCAL
GOVERNMENTS...
IDR bond issues are secured by the credit of the underlying corporation. The
municipal issuing authority acts solely as a conduit to permit tax-exempt
financing. The corporation pledges to make payments sufficient to meet all debt
service obligations. Unlike some revenue issues, IDR bonds are backed by
revenues of the entire corporation, not solely by those of the project being
financed.
Because IDR bonds are backed by corporate revenues and not by the taxing
authority of a state or local jurisdiction, they have historically provided
coupon premiums above those of general obligations and other more traditional
revenue bonds. Bonds may be either collateralized or unsecured. Collateralized
bonds have a lien against the company's assets, which may provide bond holders
enhanced bargaining power in the event of a bankruptcy. Unsecured bonds have no
such lien.
WHILE PROVIDING NEW OPPORTUNITIES, IDR BONDS REQUIRE RIGOROUS ANALYSIS...
While IDR bonds may provide unusual investment opportunities, they also may
entail increased risk, and therefore, demand especially intensive analysis. At
Eaton Vance, we have credit analysts and resources dedicated to IDR bond
research.
IDR bonds represent a key segment of the municipal bond market and should remain
an important source of capital formation. In our view, the experience and
resources needed to evaluate these issues further demonstrates the value of
professional management. We will continue to look for opportunities in this
sector of the municipal market.
Sincerely,
/s/ Thomas J. Fetter
Thomas J. Fetter
Vice President and
Portfolio Manager
February 9, 2005
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
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
MARKET RECAP
The expansion of the U.S. economy continued throughout the year ended December
31, 2004, bolstered by the strengthening employment data that emerged at the end
of the fiscal year. One key economic factor during the period was the surge in
gasoline and energy prices, which raised fears that inflation could re-emerge.
Amid those concerns, bond market performance was less robust in the second half
of the year than in the first half.
IN AN UNEVEN ECONOMY, SOME SECTORS GENERATED GROWTH...
The nation's Gross Domestic Product grew by 3.1% in the fourth quarter of 2004,
according to preliminary Commerce Department figures, following a 4.0% rise in
the third quarter. Economic activity was uneven, with some segments slowing and
others growing at varying rates. For example, auto sales were impacted by higher
gas prices, with buyers opting for fuel-efficient smaller vehicles over SUVs and
trucks.
Interestingly, manufacturing activity grew stronger, driven by rising demand for
durable goods and capital equipment. Demand for aerospace equipment, steel
products, industrial machinery, and information technology products was
especially strong. Non-durable goods manufacturing, tied more closely to
consumer spending, weakened significantly. The construction sector followed
recent patterns, with residential building on the rise, while commercial
activity lagged.
MEANWHILE, JOB GROWTH HAS GAINED SOME STRENGTH...
The employment picture continued to puzzle many economists throughout the year.
Despite having made significant productivity improvements during the recent
economic downturn, many businesses were slow to return to previous employment
levels. As a result, job gains during the summer and early fall fell short of
expectations. However, reports released in December 2004 brought news of a surge
in new employment, with the number of new jobs rising and the number of
Americans filing initial jobless claims falling. The nation's unemployment rate
fell to 5.4% in December 2004, down from 5.7% a year earlier. A resurgence in
hiring in 2004 should allow for continued consumer spending in the new year, the
key driver in an economy potentially on pace for its strongest rate of growth in
several years.
[CHART]
MUNICIPAL BOND YIELDS WERE 94% OF TREASURY YIELDS
<Table>
4.67% 7.18%
30-Year AAA-rated Taxable equivalent yield
General Obligation (GO) Bonds* in 35.0% tax bracket
4.84%
30-Year Treasury bond
</Table>
PRINCIPAL AND INTEREST PAYMENTS OF TREASURY SECURITIES ARE GUARANTEED BY THE
U.S. GOVERNMENT.
*GO YIELDS ARE A COMPILATION OF A REPRESENTATIVE VARIETY OF GENERAL OBLIGATIONS
AND ARE NOT NECESSARILY REPRESENTATIVE OF THE FUND'S YIELD. STATISTICS AS OF
DECEMBER 31, 2004.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
SOURCE: BLOOMBERG, L.P.
THE FEDERAL RESERVE PUSHED SHORT-TERM INTEREST RATES HIGHER IN 2004...
Amid soaring oil prices and a weaker U.S. dollar - each a potential inflation
threat - the Federal Reserve continued its tighter monetary policy, emphasizing
that it would fight any signs of inflation. After maintaining a stable interest
rate policy for more than a year, the Fed raised its benchmark Federal Funds
rate 5 times since June of 2004, with the fifth increase on December 15, 2004,
pushing the key interest rate to 2.25%.
The municipal bond market managed a solid gain for the year, in spite of
investor concerns about rising oil prices and a growing budget deficit. For the
year ended December 31, 2004, the Lehman Brothers Municipal Bond Index had a
total return of 4.48%.*
* It is not possible to invest directly in an Index. The Index's total return
does not reflect commissions or expenses that would have been incurred if an
investor individually purchased or sold the securities represented in the
Index.
THE VIEWS EXPRESSED THROUGHOUT THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGER
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 THE INVESTMENT ADVISER 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 EATON VANCE FUND.
3
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
THE FUND
PERFORMANCE FOR THE YEAR ENDED DECEMBER 31, 2004
- - The Fund's Class A shares had a total return of 4.56% during the year ended
December 31, 2004.(1) This return was the result of a decrease in net asset
value (NAV) to $9.78 per share on December 31, 2004 from $9.90 on December
31, 2003, and the reinvestment of $0.554 in dividends.(2)
- - The Fund's Class B shares had a total return of 3.97% during the year ended
December 31, 2004.(1) This return was the result of a decrease in net asset
value (NAV) to $9.71 per share on December 31, 2004 from $9.83 on December
31, 2003, and the reinvestment of $0.497 in dividends.(2)
- - The Fund's Class I shares had a total return of 4.91% during the year ended
December 31, 2004.(1) This return was the result of a decrease in net asset
value (NAV) to $10.69 per share on December 31, 2004 from $10.81 on December
31, 2003, and the reinvestment of $0.630 in dividends.(2)
- - For comparison, the Lehman Municipal Bond Index had a total return of 4.48%
for year ended December 31, 2004.(3)
- - Based on the Fund's most recent dividends and NAVs on December 31, 2004 of
$9.78 per share for Class A, $9.71 for Class B and $10.69 for Class I, the
Fund's distribution rates were 5.31%, 4.56% and 5.57%, respectively.(4) The
distribution rates of Class A, Class B and Class I are equivalent to taxable
rates of 8.17%, 7.02% and 8.57%, respectively.(5)
- - The SEC 30-day yields for Class A, B and I shares at December 31, 2004 were
4.55%, 4.03% and 5.03%, respectively.(6) The SEC 30-day yields of Class A,
Class B and Class I are equivalent to taxable yields of 7.00%, 6.20% and
7.74%, respectively.(5)
[PHOTO OF THOMAS J. FETTER]
Thomas J. Fetter
Portfolio Manager
MANAGEMENT DISCUSSION
- - The U.S. economy continued to expand in 2004, with new job creation gaining
momentum in the fourth quarter. Manufacturing was fairly strong, especially
in the chemicals, aerospace, energy, construction and defense areas. The
service sector also gained strength, notably within the business services
area. The nation's jobless rate was 5.4% in December 2004, down from 5.7% a
year ago.
- - Escrowed/prerefunded bonds remained the Fund's largest sector weighting at
December 31, 2004. Escrowed bonds are pre-refunded and backed by Treasury
bonds, most often as the result of a refinancing of existing higher-coupon
debt. Escrowed issues are prized for their very high quality and may provide
above-average coupons.
- - Special tax revenue bonds constituted a major commitment for the Fund. These
issues provide communities across the nation a versatile financing mechanism
for public facilities that included a wide variety of improvement projects.
- - Insured* and uninsured general obligations (GOs) constituted prominent
investments for the Fund. These high-quality investments were focused on both
state issuers and local issuers of school district and local board of
education issues, which typically have fairly stable revenues.
- - The Fund had significant investments in other, non-sector specific, revenue
bonds. Within this group were a diverse range of projects, including issues
promoting tourism, tobacco settlement bonds in several states and bonds that
financed tribal casino and gaming projects.
* Private insurance does not decrease the risk of loss of principal
associated with this investment.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN THE QUOTED RETURN. FOR PERFORMANCE AS OF THE MOST RECENT
MONTH-END, PLEASE REFER TO www.eatonvance.com.
(1) THESE RETURNS DO NOT INCLUDE THE 4.75% MAXIMUM SALES CHARGE FOR THE FUND'S
CLASS A SHARES OR THE APPLICABLE CONTINGENT DEFERRED SALES CHARGES (CDSC)
FOR CLASS B SHARES. CLASS I SHARES HAVE NO SALES CHARGE. IF SALES CHARGES
WERE DEDUCTED, RETURNS WOULD BE LOWER. (2) APORTION OF THE FUND'S INCOME
MAY BE SUBJECT TO FEDERAL OR STATE AND LOCAL INCOME TAXES AND/OR
ALTERNATIVE MINIMUM TAX. (3) IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN
INDEX. THE INDEX'S TOTAL RETURN DOES NOT REFLECT THE COMMISSIONS OR
EXPENSES THAT WOULD HAVE BEEN INCURRED IF AN INVESTOR INDIVIDUALLY
PURCHASED OR SOLD THE SECURITIES REPRESENTED IN THE INDEX. (4) THE FUND'S
DISTRIBUTION RATE REPRESENTS ACTUAL DISTRIBUTIONS PAID TO SHAREHOLDERS AND
IS CALCULATED BY DIVIDING THE LAST DISTRIBUTION PER SHARE (ANNUALIZED) BY
THE NET ASSET VALUE. (5) TAXABLE-EQUIVALENT RATES ASSUME MAXIMUM 35.0%
FEDERAL INCOME TAX RATE. A LOWER RATE WOULD RESULT IN LOWER TAX-EQUIVALENT
FIGURES. (6) THE FUND'S SEC YIELD IS CALCULATED BY DIVIDING THE NET
INVESTMENT INCOME PER SHARE FOR THE 30-DAY PERIOD BY THE OFFERING PRICE AT
THE END OF THE PERIOD AND ANNUALIZING THE RESULT.
4
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
PERFORMANCE
The line graph and table set forth below provide information about the Fund's
performance. The line graph compares the performance of Class I of the Fund with
that of the Lehman Brothers Municipal Bond Index, a broad-based, unmanaged
market index. The lines on the graph represent the total returns of a
hypothetical investment of $10,000 in each of Class I and the Lehman Brothers
Municipal Bond Index. The table includes the total returns of each Class of the
Fund at net asset value and maximum public offering price. The performance
presented below does not reflect the deduction of taxes, if any, that a
shareholder would pay on Fund distributions or the redemption of Fund shares.
<Table>
<Caption>
PERFORMANCE(1) CLASS A CLASS B CLASS I
- ---------------------------------------------------------------------------------------------
Average Annual Total Returns (at
net asset value)
- ---------------------------------------------------------------------------------------------
One Year 4.56% 3.97% 4.91%
Five Years 8.25 7.51 8.51
Ten Years N.A. N.A. 7.49
Life of Fund+ 5.32 4.42 7.30
SEC Average Annual Total Returns (including sales
charge or applicable CDSC)
- ---------------------------------------------------------------------------------------------
One Year -0.37% -0.97% 4.91%
Five Years 7.19 7.21 8.51
Ten Years N.A. N.A. 7.49
Life of Fund+ 4.59 4.42 7.30
</Table>
+Inception dates: Class A: 1/6/98; Class B: 1/14/98; Class I: 3/16/78
(1) AVERAGE ANNUAL TOTAL RETURNS DO NOT INCLUDE THE 4.75% MAXIMUM SALES CHARGE
FOR CLASS A SHARES OR THE APPLICABLE CONTINGENT DEFERRED SALES CHARGES
(CDSC) FOR CLASS B SHARES. IF SALES CHARGES WERE DEDUCTED, RETURNS WOULD BE
LOWER. SEC AVERAGE ANNUAL TOTAL RETURNS FOR CLASS A REFLECT THE MAXIMUM
4.75% SALES CHARGE. SEC RETURNS FOR CLASS B REFLECT APPLICABLE CDSC BASED
ON THE FOLLOWING SCHEDULE: 5% - 1ST AND 2ND YEARS; 4% - 3RD YEAR; 3% - 4TH
YEAR; 2% - 5TH YEAR; 1% - 6TH YEAR. CLASS I SHARES ARE OFFERED TO CERTAIN
INVESTORS AT NET ASSET VALUE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN THE QUOTED RETURN. FOR PERFORMANCE AS OF THE MOST RECENT
MONTH-END, PLEASE REFER TO www.eatonvance.com.
[CHART]
DIVERSIFICATION BY CREDIT QUALITY(2)
<Table>
Non-Rated 26.5%
AAA 42.7%
AA 5.9%
A 11.0%
BBB 11.1%
BB 2.7%
CCC 0.1%
</Table>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE MUNICIPAL
BOND FUND CLASS I VS. THE LEHMAN BROTHERS MUNICIPAL BOND INDEX*
December 31, 1994 - December 31, 2004
<Table>
<Caption>
EATON VANCE MUNICIPAL LEHMAN BROTHERS
BOND FUND- MUNICIPAL BOND
DATE CLASS I INDEX
- -------------------------------------------------------
12/31/1994 10,000 10,000
1/31/1995 10,349 10,286
2/28/1995 10,677 10,585
3/31/1995 10,744 10,707
4/30/1995 10,756 10,719
5/31/1995 11,068 11,061
6/30/1995 10,935 10,965
7/31/1995 10,982 11,068
8/31/1995 11,074 11,209
9/30/1995 11,121 11,280
10/31/1995 11,350 11,444
11/30/1995 11,580 11,634
12/31/1995 11,743 11,746
1/31/1996 11,814 11,834
2/29/1996 11,756 11,754
3/31/1996 11,569 11,604
4/30/1996 11,522 11,571
5/31/1996 11,534 11,567
6/30/1996 11,605 11,693
7/31/1996 11,736 11,799
8/31/1996 11,724 11,796
9/30/1996 11,929 11,961
10/31/1996 12,110 12,096
11/30/1996 12,341 12,318
12/31/1996 12,304 12,266
1/31/1997 12,354 12,289
2/28/1997 12,465 12,402
3/31/1997 12,303 12,236
4/30/1997 12,416 12,339
5/31/1997 12,604 12,525
6/30/1997 12,906 12,658
7/31/1997 13,437 13,009
8/31/1997 13,259 12,887
9/30/1997 13,489 13,039
10/31/1997 13,682 13,123
11/30/1997 13,759 13,201
12/31/1997 14,042 13,393
1/31/1998 14,210 13,531
2/28/1998 14,255 13,535
3/31/1998 14,306 13,547
4/30/1998 14,225 13,486
5/31/1998 14,448 13,700
6/30/1998 14,498 13,754
7/31/1998 14,511 13,788
8/31/1998 14,777 14,001
9/30/1998 14,976 14,176
10/31/1998 14,881 14,175
11/30/1998 14,959 14,225
12/31/1998 14,990 14,261
1/31/1999 15,183 14,431
2/28/1999 15,036 14,368
3/31/1999 15,075 14,387
4/30/1999 15,113 14,423
5/31/1999 14,941 14,340
6/30/1999 14,605 14,133
7/31/1999 14,587 14,185
8/31/1999 14,256 14,071
9/30/1999 14,121 14,077
10/31/1999 13,772 13,924
11/30/1999 13,925 14,073
12/31/1999 13,688 13,968
1/31/2000 13,495 13,907
2/29/2000 13,809 14,068
3/31/2000 14,320 14,376
4/30/2000 14,121 14,291
5/31/2000 13,909 14,217
6/30/2000 14,426 14,593
7/31/2000 14,767 14,796
8/31/2000 15,065 15,024
9/30/2000 14,907 14,946
10/31/2000 15,100 15,109
11/30/2000 15,247 15,224
12/31/2000 15,827 15,600
1/31/2001 15,777 15,754
2/28/2001 15,905 15,804
3/31/2001 16,088 15,946
4/30/2001 15,721 15,773
5/31/2001 15,985 15,943
6/30/2001 16,183 16,050
7/31/2001 16,576 16,287
8/31/2001 16,987 16,556
9/30/2001 16,836 16,500
10/31/2001 17,024 16,688
11/30/2001 16,872 16,556
12/31/2001 16,640 16,399
1/31/2002 16,946 16,684
2/28/2002 17,196 16,885
3/31/2002 16,863 16,554
4/30/2002 17,088 16,877
5/31/2002 17,233 16,980
6/30/2002 17,394 17,160
7/31/2002 17,675 17,380
8/31/2002 17,907 17,589
9/30/2002 18,391 17,974
10/31/2002 17,911 17,676
11/30/2002 17,854 17,603
12/31/2002 18,278 17,974
1/31/2003 18,102 17,929
2/28/2003 18,349 18,180
3/31/2003 18,398 18,190
4/30/2003 18,583 18,311
5/31/2003 19,000 18,739
6/30/2003 18,871 18,660
7/31/2003 18,285 18,007
8/31/2003 18,513 18,141
9/30/2003 19,114 18,674
10/31/2003 19,093 18,580
11/30/2003 19,465 18,774
12/31/2003 19,628 18,929
1/31/2004 19,738 19,038
2/29/2004 20,116 19,324
3/31/2004 19,832 19,257
4/30/2004 19,516 18,801
5/31/2004 19,461 18,733
6/30/2004 19,459 18,801
7/31/2004 19,759 19,048
8/31/2004 20,005 19,430
9/30/2004 20,173 19,533
10/31/2004 20,363 19,701
11/30/2004 20,342 19,539
12/31/2004 20,573 19,778
</Table>
*SOURCES: THOMSON FINANCIAL; LIPPER, INC.
A $10,000 HYPOTHETICAL INVESTMENT AT NET ASSET VALUE IN CLASS A ON 1/6/98 WOULD
HAVE BEEN VALUED AT $14,369 ON DECEMBER 31, 2004; A $10,000 HYPOTHETICAL
INVESTMENT IN CLASS A AT MAXIMUM OFFERING PRICE ON 1/6/98 WOULD HAVE BEEN
VALUED AT $13,685. A $10,000 HYPOTHETICAL INVESTMENT IN CLASS B ON 1/14/98
WOULD HAVE BEEN VALUED AT $13,518 ON DECEMBER 31, 2004. IT IS NOT POSSIBLE TO
INVEST DIRECTLY IN AN INDEX. THE INDEX'S TOTAL RETURN DOES NOT REFLECT THE
COMMISSIONS OR EXPENSES THAT WOULD HAVE BEEN INCURRED IF AN INVESTOR
INDIVIDUALLY PURCHASED OR SOLD THE SECURITIES REPRESENTED IN THE INDEX.
5
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
FUND EXPENSES
Example: As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases and redemption
fees (if applicable); and (2) ongoing costs, including management fees;
distribution or service fees; and other Fund expenses. This Example is intended
to help you understand your ongoing costs (in dollars) of investing in the Fund
and to compare these costs with the ongoing costs of investing in other mutual
funds. The Example is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (July 1, 2004 - December 31, 2004).
Actual Expenses: The first section of the table below provides information about
actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line under the heading entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes: The second section of the table
below provides information about hypothetical account values and hypothetical
expenses based on the Fund's actual expense ratios and an assumed rate of return
of 5% per year before expenses, which is not the actual return of the Fund. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in the Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption fees (if applicable). Therefore, the second
section of the table is useful in comparing ongoing costs only, and will not
help you determine the relative total costs of owning different funds. In
addition, if these transactional costs were included, your costs would have been
higher.
EATON VANCE MUNICIPAL BOND FUND
<Table>
<Caption>
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
(7/1/04) (12/31/04) (7/1/04-12/31/04)
------------------------------------------------------------------------------------------------------------
Actual
Class A $ 1,000.00 $ 1,056.30 $ 4.65
Class B $ 1,000.00 $ 1,054.60 $ 8.52
Class I $ 1,000.00 $ 1,058.20 $ 3.36
------------------------------------------------------------------------------------------------------------
Hypothetical
(5% return before expenses)
Class A $ 1,000.00 $ 1,020.60 $ 4.57
Class B $ 1,000.00 $ 1,016.80 $ 8.36
Class I $ 1,000.00 $ 1,021.90 $ 3.30
</Table>
* Expenses are equal to the Fund's annualized expense ratio of
0.90% for Class A shares, 1.65% for Class B shares and 0.65% for
Class I shares multiplied by the average account value over the
period, multiplied by 184/366 (to reflect the one-half year
period). The example assumes that the $1,000 was invested at the
net asset value per share determined at the close of business on
June 30, 2004.
6
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
PORTFOLIO OF INVESTMENTS
TAX-EXEMPT INVESTMENTS -- 98.8%
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
EDUCATION -- 2.5%
$ 1,375 Massachusetts Development Finance Agency,
(Boston University), 5.45%, 5/15/59 $ 1,460,181
2,500 Massachusetts HEFA, (Harvard University),
5.125%, 7/15/37 2,587,125
1,750 Ohio Higher Educational Facilities Authority,
(Oberlin College), Variable Rate, 7.70%, 10/1/29(1)(2) 1,820,665
- -----------------------------------------------------------------------------------------------
$ 5,867,971
- -----------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 6.5%
$ 500 Connecticut Development Authority, (Connecticut Light
and Power), Variable Rate, 9.163%, 9/1/28(1)(2) $ 569,050
500 Connecticut Development Authority, (Western Mass Electric),
Variable Rate, 9.163%, 9/1/28(1)(2) 569,050
2,100 Mississippi Business Finance Corp., (System Energy
Resources, Inc.), 5.90%, 5/1/22 2,121,084
5,000 North Carolina Municipal Power Agency No. 1, (Catawba
Electric), 5.50%, 1/1/14 5,489,450
2,000 Sam Rayburn, TX, Municipal Power Agency,
6.00%, 10/1/21 2,151,620
4,435 San Antonio, TX, Electric and Natural Gas, 4.50%, 2/1/21 4,468,573
- -----------------------------------------------------------------------------------------------
$ 15,368,827
- -----------------------------------------------------------------------------------------------
ESCROWED / PREREFUNDED -- 12.1%
$ 14,000 Dawson Ridge, CO, Metropolitan District #1,
Escrowed to Maturity, 0.00%, 10/1/22 $ 5,949,160
10,000 Foothill/Eastern Transportation Corridor Agency, CA,
Escrowed to Maturity, 0.00%, 1/1/18 5,675,500
1,515 Louisiana Public Facilities Authority, (General Health
Systems), Prerefunded to 11/1/06, 6.80%, 11/1/16 1,612,460
1,000 Maricopa County, AZ, IDA, (Place Five and The Greenery),
Escrowed to Maturity, 8.625%, 1/1/27 1,180,190
5,500 Massachusetts Turnpike Authority, Escrowed to Maturity,
5.00%, 1/1/20(3) 6,059,625
2,500 San Joaquin Hills Transportation Corridor Agency, CA,
Toll Road Bonds, Escrowed to Maturity, 0.00%, 1/1/14 1,748,075
10,000 San Joaquin Hills Transportation Corridor Agency, CA,
Toll Road Bonds, Escrowed to Maturity, 0.00%, 1/1/25 3,808,800
6,000 Savannah, GA, EDA, Escrowed to Maturity, 0.00%, 12/1/21 2,680,620
- -----------------------------------------------------------------------------------------------
$ 28,714,430
- -----------------------------------------------------------------------------------------------
GENERAL OBLIGATIONS -- 7.8%
$ 2,600 California, 5.25%, 4/1/30 $ 2,695,706
3,000 California, 5.25%, 2/1/33 3,116,940
$ 2,380 California, 5.50%, 11/1/33 $ 2,543,696
2,110 New York, NY, 5.00%, 8/1/21 2,202,165
3,000 New York, NY, 5.00%, 11/1/28 3,056,760
1,725 New York, NY, Variable Rate, 10.451%, 6/1/28(1)(4) 1,961,791
3,000 North East, TX, Independent School District, 5.00%, 2/1/30 3,039,480
- -----------------------------------------------------------------------------------------------
$ 18,616,538
- -----------------------------------------------------------------------------------------------
HEALTH CARE-MISCELLANEOUS -- 3.5%
$ 3,000 Allegheny County, PA, IDA, (Residential Resources, Inc.),
6.50%, 9/1/21 $ 3,184,140
210 Suffolk County, NY, Industrial Development Agency,
Civic Facility Revenue, (Alliance of Long Island Agencies),
7.50%, 9/1/15 228,913
125 Suffolk County, NY, Industrial Development Agency,
Civic Facility Revenue, (Alliance of Long Island Agencies),
7.50%, 9/1/15 136,257
100 Suffolk County, NY, Industrial Development Agency,
Civic Facility Revenue, (Alliance of Long Island Agencies),
7.50%, 9/1/15 109,006
2,230 Tax Revenue Exempt Securities Trust, Community Health
Provider, (Pooled Loan Program Various States Trust
Certificates), 5.50%, 12/1/36 2,207,568
1,873 Tax Revenue Exempt Securities Trust, Community Health
Provider, (Pooled Loan Program Various States Trust
Certificates), 5.50%, 12/1/36 1,854,357
530 Tax Revenue Exempt Securities Trust, Community Health
Provider, (Pooled Loan Program Various States Trust
Certificates), 6.00%, 12/1/36 550,338
- -----------------------------------------------------------------------------------------------
$ 8,270,579
- -----------------------------------------------------------------------------------------------
HOSPITAL -- 7.3%
$ 1,500 California Health Facilities Authority, (Cedars Sinai
Medical Center), Variable Rate, 9.826%, 12/1/34(1)(2) $ 1,730,400
980 Chautauqua County, NY, IDA, (Women's Christian
Association), 6.40%, 11/15/29 938,830
4,150 Maricopa County, AZ, IDA, (Catholic Healthcare),
5.50%, 7/1/26 4,302,222
3,000 New Jersey Health Care Facilities Financing Authority,
(Trinitas Hospital), 7.50%, 7/1/30 3,384,270
1,240 Oklahoma Development Finance Authority, (Hillcrest
Healthcare), 5.20%, 8/15/11 1,378,198
400 Oklahoma Development Finance Authority, (Hillcrest Medical
Center), 5.75%, 8/15/15 454,052
1,575 Oneida County, NY, IDA, (St. Elizabeth Medical Center),
5.75%, 12/1/19 1,484,658
265 Prince George's County, MD, (Greater Southeast Healthcare
System), 6.20%, 1/1/08(5)(6) 25,572
</Table>
See notes to financial statements
7
<Page>
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
HOSPITAL (CONTINUED)
$ 1,030 Prince George's County, MD, (Greater Southeast Healthcare
System), 6.375%, 1/1/23(5)(6) $ 99,395
1,135 Rochester, MN, Health Care Facilities, (Mayo Clinic),
Variable Rate, 8.69%, 11/15/27(1)(2) 1,302,072
1,100 San Benito, CA, Health Care District, 5.40%, 10/1/20 1,098,284
1,000 Sullivan County, TN, Health Educational and Facility Board,
(Wellmont Health System), 6.25%, 9/1/22 1,062,030
- -----------------------------------------------------------------------------------------------
$ 17,259,983
- -----------------------------------------------------------------------------------------------
HOUSING -- 3.1%
$ 1,300 Florida Capital Projects Finance Authority, Student Housing
Revenue, (Florida University), 7.75%, 8/15/20 $ 1,302,652
95 Florida Capital Projects Finance Authority, Student Housing
Revenue, (Florida University), 9.50%, 8/15/05 95,000
2,500 Georgia Private Colleges and Universities Authority,
Student Housing Revenue, (Mercer Housing Corp.),
6.00%, 6/1/31 2,583,600
1,345 Lake Creek, CO, (Affordable Housing Corp.),
6.25%, 12/1/23 1,243,318
840 Maricopa County, AZ, IDA, (National Health Facilities II),
6.375%, 1/1/19 676,410
1,170 North Little Rock, AR, Residential Housing Facilities,
(Parkstone Place), 6.50%, 8/1/21 1,086,556
340 Texas Student Housing Corp., (University of Northern Texas),
9.375%, 7/1/06 335,434
- -----------------------------------------------------------------------------------------------
$ 7,322,970
- -----------------------------------------------------------------------------------------------
INDUSTRIAL DEVELOPMENT REVENUE -- 3.4%
$ 200 Florence County, SC, (Stone Container), 7.375%, 2/1/07 $ 201,734
1,000 Hardeman County, TN, (Correctional Facilities Corp.),
7.75%, 8/1/17 1,047,010
1,750 New Jersey EDA, (Holt Hauling), 7.75%, 3/1/27(6) 1,688,750
2,500 Nez Perce County, ID, Pollution Control, 7.00%, 12/1/14 2,777,800
2,450 Port Camas-Washougan, WA, (James River),
6.70%, 4/1/23 2,455,855
- -----------------------------------------------------------------------------------------------
$ 8,171,149
- -----------------------------------------------------------------------------------------------
INSURED-EDUCATION -- 1.8%
$ 2,000 New York Dormitory Authority, (New York University),
(AMBAC), 5.50%, 7/1/31 $ 2,300,980
1,750 Virginia College Building Authority, (Washington and
Lee University), (MBIA), 5.25%, 1/1/31 1,957,165
- -----------------------------------------------------------------------------------------------
$ 4,258,145
- -----------------------------------------------------------------------------------------------
INSURED-ELECTRIC UTILITIES -- 3.6%
$ 2,000 Burlington, KS, PCR, (Kansas Gas & Electric Co.),
(MBIA), 5.30%, 6/1/31 $ 2,135,400
3,000 Long Island Power Authority, NY, Electric System, (CIFG),
5.00%, 9/1/33 3,070,770
6,500 Long Island Power Authority, NY, Electric System, (FSA),
0.00%, 6/1/25 2,510,105
30 Los Angeles, CA, Department of Water and Power, (MBIA),
Variable Rate, 458.187%, 2/15/30(1)(4) 74,760
2,865 Ohio Municipal Electric Generation Agency, (MBIA),
0.00%, 2/15/29 830,478
- -----------------------------------------------------------------------------------------------
$ 8,621,513
- -----------------------------------------------------------------------------------------------
INSURED-ESCROWED / PREREFUNDED -- 1.8%
$ 1,500 Metropolitan Transportation Authority, NY, Commuter
Facilities, (AMBAC), Escrowed to Maturity,
5.00%, 7/1/20 $ 1,599,300
2,500 Metropolitan Water District, CA, (Southern California
Waterworks), (MBIA), Prerefunded to 1/1/07,
5.00%, 7/1/27 2,640,525
- -----------------------------------------------------------------------------------------------
$ 4,239,825
- -----------------------------------------------------------------------------------------------
INSURED-GENERAL OBLIGATIONS -- 9.0%
$ 2,300 Ann Arbor, MI, School District, (FSA), 4.75%, 5/1/29 $ 2,312,788
1,320 California, (AMBAC), Variable Rate, 14.158%, 5/1/26(1)(4) 1,726,336
125 California, (FGIC), Variable Rate, 87.767%, 12/1/29(1)(4) 407,650
1,500 California, Residual Certificates, (AMBAC),
Variable Rate, 12.275%, 10/1/30(1)(4) 1,897,080
750 California, RITES, (AMBAC), Variable Rate,
10.156%, 2/1/28(1)(4) 902,032
6,000 Fairfax, VA, (MBIA), 4.50%, 1/15/36 5,867,280
2,340 Merced, CA, Union High School District, (FGIC),
0.00%, 8/1/20 1,121,632
2,000 Philadelphia, PA, School District, (FGIC), 5.25%, 6/1/34 2,123,660
2,395 Phoenix, AZ, (AMBAC), 3.00%, 7/1/28 1,836,845
5,000 St. Louis, MO, Board of Education, (FSA), 0.00%, 4/1/15 3,246,800
- -----------------------------------------------------------------------------------------------
$ 21,442,103
- -----------------------------------------------------------------------------------------------
INSURED-HOSPITAL -- 1.9%
$ 1,260 Maryland HEFA, (Medlantic), (AMBAC),
Variable Rate, 11.245%, 8/15/38(1)(4) $ 1,592,451
1,775 Maryland HEFA, (Medlantic/Helix Issue),
(AMBAC), 5.25%, 8/15/38 1,931,093
100 Maryland HEFA, (Medlantic/Helix Issue), (FSA),
5.25%, 8/15/38 108,794
800 Maryland HEFA, (Medlantic/Helix Issue), (FSA),
Variable Rate, 11.245%, 8/15/38(1)(4) 1,011,080
- -----------------------------------------------------------------------------------------------
$ 4,643,418
- -----------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
8
<Page>
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
INSURED-HOUSING -- 0.9%
$ 1,000 SCA MFMR Receipts, Burnsville, MN, (FSA),
7.10%, 1/1/30 $ 1,022,020
1,000 SCA MFMR Receipts, Springfield, MO, (FSA),
7.10%, 1/1/30 1,022,020
- -----------------------------------------------------------------------------------------------
$ 2,044,040
- -----------------------------------------------------------------------------------------------
INSURED-LEASE REVENUE / CERTIFICATES OF
PARTICIPATION -- 3.0%
$ 10,000 Anaheim, CA, Public Financing Authority Lease Revenue,
(FSA), 0.00%, 9/1/31 $ 2,411,800
12,800 Anaheim, CA, Public Financing Authority Lease Revenue,
(FSA), 0.00%, 9/1/29 3,476,096
2,500 Saint Louis, MO, IDA, (Convention Center Hotel),
(AMBAC), 0.00%, 7/15/19 1,272,350
- -----------------------------------------------------------------------------------------------
$ 7,160,246
- -----------------------------------------------------------------------------------------------
INSURED-SPECIAL TAX REVENUE -- 0.7%
$ 4,000 Hamilton County, OH, Sales Tax, (AMBAC),
0.00%, 12/1/22 $ 1,721,920
- -----------------------------------------------------------------------------------------------
$ 1,721,920
- -----------------------------------------------------------------------------------------------
INSURED-TRANSPORTATION -- 4.3%
$ 1,500 New Jersey Turnpike Authority, RITES, (MBIA),
Variable Rate, 11.684%, 1/1/30(1)(4) $ 1,860,270
1,930 Ohio Turnpike Commission, (FGIC), 5.50%, 2/15/26 2,230,154
1,500 South Carolina Transportation Infrastructure, (AMBAC),
5.00%, 10/1/33 1,535,205
10,000 Texas Turnpike Authority, (Central Texas Turnpike System),
(AMBAC), 0.00%, 8/15/21 4,523,400
- -----------------------------------------------------------------------------------------------
$ 10,149,029
- -----------------------------------------------------------------------------------------------
INSURED-WATER AND SEWER -- 0.5%
$ 1,000 Henry County, GA, Water and Sewer Authority, (FGIC),
5.625%, 2/1/30(3) $ 1,099,650
- -----------------------------------------------------------------------------------------------
$ 1,099,650
- -----------------------------------------------------------------------------------------------
NURSING HOME -- 3.5%
$ 945 Bell County, TX, (Heritage Oaks Healthcare),
6.70%, 6/1/29(6) $ 644,490
1,320 Bell County, TX, (Riverside Healthcare, Inc. - Normandy
Terrace), 9.00%, 4/1/23(6) 752,400
840 Clovis, NM, IDR, (Retirement Ranches, Inc.),
7.75%, 4/1/19 876,918
$ 1,100 Massachusetts IFA, (Age Institute of Massachusetts),
8.05%, 11/1/25 $ 1,105,764
1,145 Montgomery, PA, IDA, (Advancement of Geriatric Health
Care Institute), 8.375%, 7/1/23 1,082,071
510 Ohio HFA, Retirement Rental Housing, (Encore Retirement
Partners), 6.75%, 3/1/19 446,694
2,000 Orange County, FL, Health Facilities Authority,
(Westminster Community Care), 6.60%, 4/1/24 1,773,400
261 Tarrant County, TX, Health Facilities Authority,
8.00%, 9/1/25(6) 7,569
392 Tarrant County, TX, Health Facilities Authority,
(3927 Foundation), 10.25%, 9/1/19(6) 3,924
1,650 Wisconsin HEFA, (Wisconsin Illinois Senior Housing),
7.00%, 8/1/29 1,572,037
- -----------------------------------------------------------------------------------------------
$ 8,265,267
- -----------------------------------------------------------------------------------------------
OTHER REVENUE -- 8.0%
$ 1,000 Barona, CA, (Band of Mission Indians), 8.25%, 1/1/20 $ 1,038,190
2,950 California Statewide Communities Development Authority,
(East Valley Tourist Development Authority),
8.25%, 10/1/14 3,019,709
1,500 Capital Trust Agency, FL, (Seminole Tribe Convention),
8.95%, 10/1/33 1,709,100
5,000 Golden Tobacco Securitization Corp., CA,
Variable Rate, 8.192%, 6/1/33(1)(2) 5,611,050
1,000 Mohegan Tribe Indians, CT, Gaming Authority,
(Public Improvements), 6.25%, 1/1/21 1,066,460
1,500 Sandoval County, NM, (Santa Ana Pueblo), 7.75%, 7/1/15 1,547,100
1,000 Santa Fe, NM, (Crow Hobbs), 8.50%, 9/1/16 1,017,900
1,500 Tobacco Settlement Financing Corp., NJ,
Variable Rate, 11.379%, 6/1/39(1)(2) 1,499,670
2,500 Tobacco Settlement Management Authority, SC,
6.375%, 5/15/28 2,434,650
- -----------------------------------------------------------------------------------------------
$ 18,943,829
- -----------------------------------------------------------------------------------------------
SENIOR LIVING / LIFE CARE -- 4.0%
$ 995 Albuquerque, NM, Retirement Facilities, (La Vida Liena
Retirement Center), 5.75%, 12/15/28 $ 953,578
1,430 Albuquerque, NM, Retirement Facilities, (La Vida Liena
Retirement Center), 6.60%, 12/15/28 1,419,733
850 Bell County, TX, Health Facilities Authority,
(Care Institute, Inc. - Texas), 9.00%, 11/1/24 812,388
1,200 Grove City, PA, Area Hospital Authority, (Grove Manor),
6.625%, 8/15/29 1,249,788
1,500 Kansas City, MO, IDA, (Kingswood United Methodist Manor),
5.875%, 11/15/29 1,391,970
1,500 New Jersey EDA, (Fellowship Village), 5.50%, 1/1/25 1,502,265
</Table>
See notes to financial statements
9
<Page>
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------------------------------
SENIOR LIVING / LIFE CARE (CONTINUED)
$ 1,485 North Miami, FL, Health Facilities Authority,
(Imperial Club), 6.75%, 1/1/33 $ 1,387,807
980 St. Paul, MN, Housing and Redevelopment,
(Care Institute, Inc. - Highland), 8.75%, 11/1/24(7) 684,540
- -----------------------------------------------------------------------------------------------
$ 9,402,069
- -----------------------------------------------------------------------------------------------
SPECIAL TAX REVENUE -- 9.1%
$ 2,500 Baltimore, MD, (Clipper Mill), 6.25%, 9/1/33 $ 2,488,175
750 Baltimore, MD, (Strathdale Manor), 7.00%, 7/1/33 764,835
1,465 Bell Mountain Ranch, CO, Metropolitan District,
6.625%, 11/15/25 1,500,321
1,000 Capistrano, CA, Unified School District, 6.00%, 9/1/33 1,030,190
2,000 Cleveland-Cuyahoga County, OH, Port Authority,
7.00%, 12/1/18 2,089,400
45 Fleming Island, FL, Plantation Community Development District,
6.30%, 2/1/05 45,014
1,500 Frederick County, MD, Urbana Community Development
Authority, 6.625%, 7/1/25 1,560,120
945 Heritage Harbour, FL, South Community Development District,
Capital Improvements, 5.25%, 11/1/08 952,692
1,490 Lincoln, CA, Public Financing Authority, (Twelve Bridges),
6.20%, 9/2/25 1,578,014
25 New Jersey EDA, (Cigarette Tax), 5.75%, 6/15/34 26,022
3,150 New Jersey EDA, (Cigarette Tax), Variable Rate,
8.78%, 6/15/34(1)(2) 3,407,513
1,200 New York City, NY, Transitional Finance Authority,
4.75%, 11/1/23 1,221,936
3,500 New York State Local Government Assistance Corp.,
5.00%, 4/1/21 3,812,025
1,000 Tiverton, RI, Obligation Tax Increment,
(Mount Hope Bay Village), 6.875%, 5/1/22 1,062,100
- -----------------------------------------------------------------------------------------------
$ 21,538,357
- -----------------------------------------------------------------------------------------------
TRANSPORTATION -- 0.5%
$ 1,200 Port Authority of New York and New Jersey,
5.375%, 3/1/28 $ 1,325,232
- -----------------------------------------------------------------------------------------------
$ 1,325,232
- -----------------------------------------------------------------------------------------------
TOTAL TAX-EXEMPT INVESTMENTS -- 98.8%
(IDENTIFIED COST $217,736,202) $ 234,447,090
- -----------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- 1.2% $ 2,827,191
- -----------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 237,274,281
- -----------------------------------------------------------------------------------------------
</Table>
AMBAC - AMBAC Financial Group, Inc.
CIFG - CDC IXIS Financial Guaranty North America, Inc.
FGIC - Financial Guaranty Insurance Company
FSA - Financial Security Assurance, Inc.
MBIA - Municipal Bond Insurance Association
At December 31, 2004, the concentration of the Fund's investments in the various
states, determined as a percentage of net assets, is as follows:
<Table>
California 20.8%
New York 10.9%
Others, representing less than 10% individually 67.1%
</Table>
The Fund invests primarily in debt securities issued by municipalities. The
ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at December
31, 2004, 27.9% of the securities in the portfolio of investments are backed by
bond insurance of various financial institutions and financial guaranty
assurance agencies. The aggregate percentage insured by an individual financial
institution ranged from 1.3% to 9.7% of total investments.
(1) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At December 31,
2004, the aggregate value of the securities is $27,942,920 or 11.8% of the
Fund's net assets.
(2) Security has been issued as an inverse floater bond. The stated interest
rate represents the rate in effect at December 31, 2004.
(3) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
(4) Security has been issued as a leveraged inverse floater bond. The stated
interest rate represents the rate in effect at December 31, 2004.
(5) Security valued at fair value using methods determined in good faith by or
at the direction of the Trustees.
(6) Defaulted bond.
(7) The Fund is receiving only partial interest payments on this security.
See notes to financial statements
10
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2004
<Table>
ASSETS
Investments, at value (identified cost, $217,736,202) $ 234,447,090
Cash 4,706,042
Receivable for investments sold 191,806
Receivable for Fund shares sold 161,542
Interest receivable 3,814,861
- -----------------------------------------------------------------------------------------------
TOTAL ASSETS $ 243,321,341
- -----------------------------------------------------------------------------------------------
LIABILITIES
Payable for investments purchased $ 4,536,224
Payable for daily variation margin on open financial futures contracts 712,500
Dividends payable 535,004
Payable for Fund shares redeemed 222,260
Payable to affiliate for Trustees' fees 2,721
Accrued expenses 38,351
- -----------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 6,047,060
- -----------------------------------------------------------------------------------------------
NET ASSETS $ 237,274,281
- -----------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Paid-in capital $ 228,901,928
Accumulated net realized loss (computed on the basis of identified cost) (6,497,569)
Accumulated undistributed net investment income 330,259
Net unrealized appreciation (computed on the basis of identified cost) 14,539,663
- -----------------------------------------------------------------------------------------------
TOTAL $ 237,274,281
- -----------------------------------------------------------------------------------------------
CLASS A SHARES
NET ASSETS $ 111,705,911
SHARES OUTSTANDING 11,422,019
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 9.78
MAXIMUM OFFERING PRICE PER SHARE
(100 DIVIDED BY 95.25 of $9.78) $ 10.27
- -----------------------------------------------------------------------------------------------
CLASS B SHARES
NET ASSETS $ 54,016,326
SHARES OUTSTANDING 5,560,176
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 9.71
- -----------------------------------------------------------------------------------------------
CLASS I SHARES
NET ASSETS $ 71,552,044
SHARES OUTSTANDING 6,695,411
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 10.69
- -----------------------------------------------------------------------------------------------
</Table>
On sales of $25,000 or more, the offering price of Class A shares is reduced.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED
AS OF DECEMBER 31, 2004
<Table>
INVESTMENT INCOME
Interest $ 14,510,727
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 14,510,727
- -----------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 1,133,144
Trustees' fees and expenses 11,522
Service fees
Class A 259,327
Class B 565,675
Custodian fee 136,104
Transfer and dividend disbursing agent fees 104,332
Registration fees 62,056
Legal and accounting services 61,143
Printing and postage 14,949
Miscellaneous 37,060
- -----------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 2,385,312
- -----------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 14,173
- -----------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 14,173
- -----------------------------------------------------------------------------------------------
NET EXPENSES $ 2,371,139
- -----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 12,139,588
- -----------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 3,227,426
Financial futures contracts (4,833,867)
- -----------------------------------------------------------------------------------------------
NET REALIZED LOSS $ (1,606,441)
- -----------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 1,688,656
Financial futures contracts (2,026,975)
- -----------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ (338,319)
- -----------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED LOSS $ (1,944,760)
- -----------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 10,194,828
- -----------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
11
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS DECEMBER 31, 2004 DECEMBER 31, 2003
- ------------------------------------------------------------------------------------------
From operations --
Net investment income $ 12,139,588 $ 12,503,736
Net realized gain (loss) from
investment transactions, and
financial futures contracts (1,606,441) 155,593
Net change in unrealized
appreciation (depreciation)
from investments and
financial futures contracts (338,319) 3,235,123
- ------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 10,194,828 $ 15,894,452
- ------------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income
Class A $ (5,895,973) $ (4,868,041)
Class B (2,807,643) (2,670,880)
Class I (4,379,257) (4,211,012)
- ------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS $ (13,082,873) $ (11,749,933)
- ------------------------------------------------------------------------------------------
Transactions in shares of beneficial interest --
Proceeds from sale of shares
Class A $ 39,141,439 $ 42,885,166
Class B 5,439,840 13,209,162
Class I 4,414,958 4,584,428
Net asset value of shares issued to
shareholders in payment of
distributions declared
Class A 2,828,502 2,192,516
Class B 1,655,517 1,432,994
Class I 2,421,356 2,211,783
Cost of shares redeemed
Class A (33,475,883) (29,313,768)
Class B (12,275,095) (11,304,192)
Class I (12,066,481) (12,960,340)
Net asset value of shares exchanged
Class A 1,824,339 --
Class B (1,824,339) --
- ------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM
FUND SHARE TRANSACTIONS $ (1,915,847) $ 12,937,749
- ------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS $ (4,803,892) $ 17,082,268
- ------------------------------------------------------------------------------------------
<Caption>
YEAR ENDED YEAR ENDED
NET ASSETS DECEMBER 31, 2004 DECEMBER 31, 2003
- ------------------------------------------------------------------------------------------
At beginning of year $ 242,078,173 $ 224,995,905
- ------------------------------------------------------------------------------------------
AT END OF YEAR $ 237,274,281 $ 242,078,173
- ------------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
INCLUDED IN NET ASSETS
AT END OF YEAR $ 330,259 $ 1,423,466
- ------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
12
<Page>
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
CLASS A
--------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------------
2004(1) 2003(1) 2002(1) 2001(1)(2) 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.900 $ 9.720 $ 9.340 $ 9.370 $ 8.590
- ----------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.515 $ 0.526 $ 0.522 $ 0.497 $ 0.502
Net realized and unrealized gain (loss) (0.081) 0.151 0.347 (0.040) 0.776
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM OPERATIONS $ 0.434 $ 0.677 $ 0.869 $ 0.457 $ 1.278
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.554) $ (0.497) $ (0.489) $ (0.487) $ (0.498)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.554) $ (0.497) $ (0.489) $ (0.487) $ (0.498)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 9.780 $ 9.900 $ 9.720 $ 9.340 $ 9.370
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 4.56% 7.17% 9.51% 4.96% 15.38%
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (000's omitted) $ 111,706 $ 102,526 $ 85,048 $ 68,124 $ 53,271
Ratios (As a percentage of average daily
net assets):
Expenses 0.92% 0.89% 0.91% 0.93% 0.97%
Expenses after custodian fee reduction 0.91% 0.89% 0.91% 0.90% 0.96%
Net investment income 5.29% 5.42% 5.47% 5.27% 5.60%
Portfolio Turnover 36% 34% 21% 13% 46%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income per share was computed using average shares
outstanding.
(2) The Fund adopted the provisions of the revised AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES and began using the interest method to
amortize premiums on fixed-income securities. The effect of this change for
the year ended December 31, 2001 was to increase net investment income per
share by $0.003, increase net realized and unrealized loss per share by
$0.003, and increase the ratio of net investment income to average net
assets from 5.23% to 5.27%. Per share data and ratios for the periods prior
to January 1, 2001 have not been restated to reflect this change in
presentation.
(3) Returns are historical and are calculated using the percentage change in
net asset value with all distributions reinvested. Total return is not
computed on an annualized basis.
See notes to financial statements
13
<Page>
<Table>
<Caption>
CLASS B
--------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------------
2004(1) 2003(1) 2002(1) 2001(1)(2) 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.830 $ 9.660 $ 9.280 $ 9.300 $ 8.520
- ----------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.439 $ 0.450 $ 0.447 $ 0.433 $ 0.426
Net realized and unrealized gain (loss) (0.081) 0.142 0.348 (0.036) 0.779
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM OPERATIONS $ 0.358 $ 0.592 $ 0.795 $ 0.397 $ 1.205
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.478) $ (0.422) $ (0.415) $ (0.417) $ (0.425)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.478) $ (0.422) $ (0.415) $ (0.417) $ (0.425)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 9.710 $ 9.830 $ 9.660 $ 9.280 $ 9.300
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 3.97%(4) 6.26% 8.72% 4.36% 14.58%
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (000's omitted) $ 54,016 $ 61,793 $ 57,347 $ 40,168 $ 28,222
Ratios (As a percentage of average daily net assets):
Expenses 1.67% 1.64% 1.66% 1.68% 1.71%
Expenses after custodian fee reduction 1.66% 1.64% 1.66% 1.65% 1.70%
Net investment income 4.54% 4.67% 4.71% 4.62% 4.86%
Portfolio Turnover 36% 34% 21% 13% 46%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income per share was computed using average shares
outstanding.
(2) The Fund adopted the provisions of the revised AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES and began using the interest method to
amortize premiums on fixed-income securities. The effect of this change for
the year ended December 31, 2001 was to increase net investment income per
share by $0.003, increase net realized and unrealized loss per share by
$0.003, and increase the ratio of net investment income to average net
assets from 4.58% to 4.62%. Per share data and ratios for the periods prior
to January 1, 2001 have not been restated to reflect this change in
presentation.
(3) Returns are historical and are calculated using the percentage change in
net asset value with all distributions reinvested. Total return is not
computed on an annualized basis.
(4) Total return reflects an increase of 0.21% due to a change in the timing of
the payment and reinvestment of distributions.
See notes to financial statements
14
<Page>
<Table>
<Caption>
CLASS I
--------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------------------------
2004(1) 2003(1) 2002(1) 2001(1)(2) 2000
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 10.810 $ 10.620 $ 10.200 $ 10.240 $ 9.380
- ----------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.589 $ 0.602 $ 0.598 $ 0.570 $ 0.560
Net realized and unrealized gain (loss) (0.079) 0.159 0.383 (0.053) 0.857
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME FROM OPERATIONS $ 0.510 $ 0.761 $ 0.981 $ 0.517 $ 1.417
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.630) $ (0.571) $ (0.561) $ (0.557) $ (0.557)
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.630) $ (0.571) $ (0.561) $ (0.557) $ (0.557)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 10.690 $ 10.810 $ 10.620 $ 10.200 $ 10.240
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 4.91% 7.38% 9.84% 5.14% 15.63%
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (000's omitted) $ 71,552 $ 77,759 $ 82,600 $ 85,751 $ 85,656
Ratios (As a percentage of average daily net
assets):
Expenses 0.67% 0.64% 0.66% 0.69% 0.77%
Expenses after custodian fee reduction 0.66% 0.64% 0.66% 0.66% 0.76%
Net investment income 5.54% 5.68% 5.73% 5.53% 5.82%
Portfolio Turnover 36% 34% 21% 13% 46%
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income per share was computed using average shares
outstanding.
(2) The Fund adopted the provisions of the revised AICPA AUDIT AND ACCOUNTING
GUIDE FOR INVESTMENT COMPANIES and began using the interest method to
amortize premiums on fixed-income securities. The effect of this change for
the year ended December 31, 2001 was to increase net investment income per
share by $0.003, increase net realized and unrealized loss per share by
$0.003, and increase the ratio of net investment income to average net
assets from 5.50% to 5.53%. Per share data and ratios for the periods prior
to January 1, 2001 have not been restated to reflect this change in
presentation.
(3) Returns are historical and are calculated using the percentage change in
net asset value with all distributions reinvested. Total return is not
computed on an annualized basis.
See notes to financial statements
15
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Municipal Bond Fund (the Fund) is a diversified series of Eaton
Vance Mutual Funds 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 offers three classes of shares. Class A shares are generally
sold subject to a sales charge imposed at time of purchase. Class B shares are
sold at net asset value and are subject to a contingent deferred sales charge
(see Note 6). The Trustees have adopted a conversion feature pursuant to which
Class B shares of the Fund automatically convert to Class A shares eight years
after their purchase as described in the Fund's prospectus. Class I shares
generally are sold at net asset value. Each class represents a pro rata interest
in the Fund, but votes separately on class-specific matters and (as noted below)
is subject to different expenses. Realized and unrealized gains and losses are
allocated daily to each class of shares based on the relative net assets of each
class to the total net assets of the Fund. Net investment income, other than
class specific expenses, is allocated daily to each class of shares based upon
the ratio of the value of each class' paid shares to the total value of all paid
shares. Each class of shares differs in its distribution plan and certain other
class specific expenses. 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 VALUATIONS -- Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest available bid and asked prices. Futures contracts and options
on financial futures contracts listed on commodity exchanges are valued at
closing settlement prices. Over-the-counter options on futures contracts are
normally valued at the mean between the latest bid and asked prices. Interest
rate swaps are normally valued on the basis of valuations furnished by a broker.
Short-term obligations, maturing in sixty days or less, are valued at amortized
cost, which approximates value. Investments for which valuations or market
quotations are not readily available are valued at fair value using methods
determined in good faith by or at the direction of the Trustees.
B INCOME -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or accretion of discount on long-term debt
securities.
C INCOME 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 all of its taxable and tax-exempt income,
including any net realized gain on investments. Accordingly, no provision for
federal income or excise tax is necessary. Dividends paid by the Fund from net
interest on tax-exempt municipal bonds are not includable by shareholders as
gross income for federal income tax purposes because the Fund intends to meet
certain requirements of the Internal Revenue Code applicable to regulated
investment companies which will enable the Fund to pay exempt-interest
dividends. At December 31, 2004, the Fund, for federal income tax purposes, had
a capital loss carryover of ($9,241,508) which will reduce the taxable income
arising from future net realized gains on investments, if any, to the extent
permitted by the Internal Revenue Code, and thus will reduce the amount of
distributions to shareholders which would otherwise be necessary to relieve the
Fund of any liability for federal income or excise tax. The capital loss
carryover expires on December 31, 2008 ($2,939,035), December 31, 2010
($1,640,161), and December 31, 2012 ($4,662,312).
D INTEREST RATE SWAPS -- The Fund may enter into interest rate swap agreements
to enhance return, to hedge against fluctuations in securities prices or
interest rates or as substitution for the purchase and sale of securities.
Pursuant to these agreements, the Fund makes bi-annual payments at a fixed
interest rate. In exchange, the Fund receives payments based on the interest
rate of a benchmark industry index. During the term of the outstanding swap
agreement, changes in the underlying value of the swap are recorded as
unrealized gains and losses. The value of the swap is determined by changes in
the relationship between two rates of interest. The Fund is exposed to credit
loss in the event of non-performance by the swap counterparty. However, the Fund
does not anticipate non-performance by the counterparty. Risk may also arise
from the unanticipated movements in value of interest rates.
E FINANCIAL FUTURES CONTRACTS -- Upon the entering of a financial futures
contract, the Fund 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 Fund
16
<Page>
(margin maintenance) each day, dependent on the daily fluctuations in the value
of the underlying security, and are recorded for book purposes as unrealized
gains or losses by the Fund. The Fund's investment in financial futures
contracts is designed for both hedging against anticipated future changes in
interest rates and investment purposes. Should interest rates move unexpectedly,
the Fund may not achieve the anticipated benefits of the financial futures
contracts and may realize a loss.
F PUT OPTIONS ON FINANCIAL FUTURES CONTRACTS -- Upon the purchase of a put
option on a financial futures contract by the Fund, the premium paid is recorded
as an investment, the value of which is marked-to-market daily. When a purchased
option expires, the Fund will realize a loss in the amount of the cost of the
option. When the Fund enters into a closing sale transaction, the Fund will
realize a gain or loss depending on whether the sales proceeds from the closing
sale transaction are greater or less than the cost of the option. When the Fund
exercises a put option, settlement is made in cash. The risk associated with
purchasing options is limited to the premium originally paid.
G WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- The Fund may engage in
when-issued or delayed delivery transactions. The Fund records when-issued
securities on trade date and maintains security positions such that sufficient
liquid assets will be available to make payment for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are
marked-to-market daily and begin accruing interest on settlement date.
H LEGAL FEES -- Legal fees and other related expenses incurred as part of
negotiations of the terms and requirements of capital infusions, or that are
expected to result in the restructuring of or a plan of reorganization for an
investment are recorded as realized losses. Ongoing expenditures to protect or
enhance an investment are treated as operating expenses.
I EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as custodian
to the Fund. Pursuant to the custodian agreement, IBT receives a fee reduced by
credits which are determined based on the average daily cash balance the Fund
maintains with IBT. All credit balances used to reduce the Fund's custodian fees
are reported as a reduction of total expenses in the Statement of Operations.
J USE OF ESTIMATES -- The preparation of 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 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 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.
L 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.
M OTHER -- Investment transactions are accounted for on a trade-date basis.
Realized gains and losses are computed on the specific identification of the
securities sold.
2 DISTRIBUTIONS TO SHAREHOLDERS
The net income of the Fund is determined daily and substantially all of the net
income so determined is declared as a dividend to shareholders of record at the
time of declaration. Distributions are declared separately for each class of
shares. Distributions are paid monthly. Distributions of realized capital gains,
if any, are made at least annually. Shareholders may reinvest income and capital
gain distributions in additional shares of the same class of the Fund at the net
asset value as of the reinvestment date. Distributions are paid in the form of
additional shares of the same class or, at the election of the shareholder, in
cash.
The Fund distinguishes between distributions on a tax basis and a financial
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
17
<Page>
capital. Permanent differences between book and tax accounting relating to
distributions are reclassified to paid-in capital.
The tax character of distributions paid for the years ended December 31, 2004
and December 31, 2003 was as follows:
<Table>
<Caption>
YEAR ENDED DECEMBER 31,
---------------------------
2004 2003
- -----------------------------------------------------------------
Distributions declared from:
Tax-exempt income $ 13,069,286 $ 11,742,728
Ordinary Income $ 13,587 $ 7,205
</Table>
During the year ended December 31, 2004, accumulated undistributed net
investment income was decreased by $149,922, and accumulated net realized loss
was decreased by $149,922 primarily due to differences in book and tax
accounting for amortization and accretion on debt securities and market discount
on disposal of securities. This change had no effect on the net assets or the
net asset value per share.
As of December 31, 2004, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
<Table>
Undistributed income $ 330,259
Capital loss carryforward $ (9,241,508)
Unrealized gain $ 17,283,602
</Table>
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>
YEAR ENDED DECEMBER 31,
----------------------------------
CLASS A 2004 2003
- ---------------------------------------------------------------------------------------
Sales 4,017,657 4,424,206
Issued to shareholders electing to
receive payments of distributions
in Fund shares 290,587 225,789
Redemptions (3,429,487) (3,037,727)
Exchange from Class B shares 183,642 --
- ---------------------------------------------------------------------------------------
NET INCREASE 1,062,399 1,612,268
- ---------------------------------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
----------------------------------
CLASS B 2004 2003
- ---------------------------------------------------------------------------------------
Sales 560,584 1,373,788
Issued to shareholders electing to
receive payments of distributions
in Fund shares 170,672 148,636
Redemptions (1,271,736) (1,175,062)
Exchange to Class A shares (184,696) --
- ---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) (725,176) 347,362
- ---------------------------------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
----------------------------------
CLASS I 2004 2003
- ---------------------------------------------------------------------------------------
Sales 414,396 434,841
Issued to shareholders electing to
receive payments of distributions
in Fund shares 227,731 208,638
Redemptions (1,138,299) (1,228,733)
- ---------------------------------------------------------------------------------------
NET DECREASE (496,172) (585,254)
- ---------------------------------------------------------------------------------------
</Table>
4 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee, computed at the monthly rate of 0.025% (0.300% per
annum) of the average daily net assets and 3.00% of gross income (excluding net
realized gains on sales of securities) up to $500 million and at reduced rates
as daily net assets exceed that level, was earned by Eaton Vance Management
(EVM), as compensation for management and investment advisory services rendered
to the Fund. For the year ended December 31, 2004, the fee was equivalent to
0.48% of the Fund's average daily net assets for such period and amounted to
$1,133,144. Except as to Trustees of the Fund who are not members of EVM's
organization, officers and Trustees receive remuneration for their services to
the Fund out of such investment adviser fee. EVM serves as the sub-transfer
agent of the Fund and receives from the transfer agent an aggregate fee based
upon the actual expenses incurred by EVM in the performance of those activities.
For the year ended December 31, 2004, EVM earned $9,494 in sub-transfer agent
fees. The Fund was informed that Eaton Vance Distributors, Inc. (EVD), a
subsidiary of EVM and the Fund's principal underwriter, received $27,169 and
$368 from the Fund as its portion of the sales charge on sales of Class A and
Class I shares, respectively, for the year ended December 31, 2004.
18
<Page>
Trustees of the Fund that are not affiliated with the Investment Adviser may
elect to defer receipt of all or a percentage of their annual fees in accordance
with the terms of the Trustees Deferred Compensation Plan. For the year ended
December 31, 2004, no significant amounts have been deferred.
Certain officers and Trustees of the Fund are officers of the above
organizations.
5 DISTRIBUTION AND SERVICE PLANS
The Fund has in effect a distribution plan for Class B shares (Class B Plan)
pursuant to Rule 12b-1 under the Investment Company Act of 1940 and a Service
Plan for Class A shares (Class A Plan) (collectively, the Plans). The Class B
Plan requires the Fund to pay the principal underwriter, EVD, amounts equal to
1/365 of 0.75% of the Fund's daily net assets attributable to Class B shares for
providing ongoing distribution services and facilities to the Fund. The Fund
will automatically discontinue payments to EVD during any period in which there
are no outstanding Uncovered Distribution Charges, which are equivalent to the
sum of (i) 5% of the aggregate amount received by the Fund for the Class B
shares sold plus, (ii) interest calculated by applying the rate of 1% over the
prevailing prime rate to the outstanding balance of Uncovered Distribution
Charges due EVD reduced by the aggregate amount of contingent deferred sales
charges (see Note 6) and amounts theretofore paid to or payable to EVD. The
amount payable to EVD with respect to each day is accrued on such day as a
liability of the Fund and, accordingly, reduces the Class B net assets. The Fund
paid or accrued distribution fees of $424,256 for Class B shares to EVD for the
year ended December 31, 2004, representing 0.75% of the average daily net assets
for Class B shares. At December 31, 2004, the amount of Uncovered Distribution
Charges EVD calculated under the Class B Plan was approximately $1,766,000.
The Plans authorize the Fund to make payments of service fees to EVD, investment
dealers and other persons in amounts not exceeding 0.25% of the Fund's average
daily net assets attributable to Class A and Class B shares for each fiscal
year. Service fee payments will be made for personal services and/or the
maintenance of shareholder accounts. Service fees are separate and distinct from
the sales commissions and distribution fees payable by the Fund to EVD, and, as
such are not subject to automatic discontinuance when there are no outstanding
Uncovered Distribution Charges of EVD. Service fees for the year ended December
31, 2004 amounted to $259,327 and $141,419 for Class A and Class B shares,
respectively.
6 CONTINGENT DEFERRED SALES CHARGE
A contingent deferred sales charge (CDSC) generally is imposed on redemptions of
Class B shares made within six years of purchase. Class A shares may be subject
to a 1% CDSC if redeemed within 18 months of purchase (depending on the
circumstances of purchase). Generally, the CDSC is based upon the lower of the
net asset value at date of redemption or date of purchase. No charge is levied
on shares acquired by reinvestment of dividends or capital gain distributions.
The Class B CDSC is imposed at declining rates that begin at 5% in the first and
second year after purchase, declining one percentage point each subsequent year.
No CDSC is levied on shares which have been sold to EVM or its affiliates or to
their respective employees or clients and may be waived under certain other
limited conditions. CDSC charges are paid to EVD to reduce the amount of
Uncovered Distribution Charges calculated under the Class B Distribution Plan
(see Note 5). CDSC charges received when no Uncovered Distribution Charges exist
will be credited to the Fund. EVD received approximately $8,000 and $173,000 of
CDSC paid by Class A and Class B shareholders, respectively, for the year ended
December 31, 2004.
7 PURCHASES AND SALES OF INVESTMENTS
The Fund invests primarily in debt securities. The ability of the issuers of the
debt securities held by the Fund to meet their obligations may be affected by
economic developments in a specific industry or municipality. Purchases and
sales of investments, other than short-term obligations, aggregated $84,345,090
and $93,737,678 respectively.
8 LINE OF CREDIT
The Fund participates with other portfolios and funds managed by EVM and
affiliates in a $150 million unsecured line of credit with a group of banks.
Borrowings will be made by the Fund 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 Fund did not have any significant borrowings or allocated fees
during the year ended December 31, 2004.
19
<Page>
9 FEDERAL INCOME TAX BASIS OF UNREALIZED
APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) of investments of the Fund
at December 31, 2004, as computed on a federal income tax basis, were as
follows:
<Table>
AGGREGATE COST $ 214,992,263
- ----------------------------------------------------------------------------
Gross unrealized appreciation $ 23,171,756
Gross unrealized depreciation (3,716,929)
- ----------------------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 19,454,827
- ----------------------------------------------------------------------------
</Table>
10 FINANCIAL INSTRUMENTS
The Fund regularly trades 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 futures contracts
and interest rate swaps 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 Fund 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.
A summary of obligations under these financial instruments at December 31, 2004,
is as follows:
FUTURES CONTRACTS
<Table>
<Caption>
- -----------------------------------------------------------------------------------------
EXPIRATION AGGREGATE NET UNREALIZED
DATE(S) CONTRACTS COST VALUE POSITION DEPRECIATION
- -----------------------------------------------------------------------------------------
950
U.S Treasury
3/05 Bond $ (104,703,775) $ (106,875,000) Short $ (2,171,225)
</Table>
At December 31, 2004, the Fund had sufficient cash and/or securities to cover
margin requirements on open future contracts.
20
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES OF THE EATON VANCE MUTUAL FUNDS TRUST AND SHAREHOLDERS OF EATON
VANCE MUNICIPAL BOND FUND:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Eaton Vance Municipal Bond Fund (the
Fund) (one of the series of Eaton Vance Mutual Funds Trust) as of December 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 financial highlights for each of the five years in the period
ended December 31, 2004. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits 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 are free of material misstatement. An audit includes consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly we express no such opinion. An audit also
includes examining on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2004, by correspondence with the
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Eaton Vance
Municipal Bond Fund as of December 31, 2004, the results of its operations, the
changes in its net assets and its financial highlights for the respective stated
periods in conformity with accounting principles generally accepted in the
United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 18, 2005
21
<Page>
EATON VANCE MUNICIPAL BOND FUND as of December 31, 2004
FEDERAL TAX INFORMATION (Unaudited)
The Form 1099-DIV you received in January 2005 showed 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 exempt-interest dividends.
EXEMPT-INTEREST DIVIDENDS. The Fund designates 99.90% of dividends from net
investment income as an exempt-interest dividend.
22
<Page>
EATON VANCE MUNICIPAL BOND FUND
MANAGEMENT AND ORGANIZATION
FUND MANAGEMENT. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) are
responsible for the overall management and supervision of the Trust's affairs.
The Trustees and officers of the Trust 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 hold indefinite
terms of office. The "noninterested Trustees" consist of those Trustees who are
not "interested persons" of the Trust, 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
and a wholly-owned subsidiary of EVM.
<Table>
<Caption>
TERM OF NUMBER OF PORTFOLIOS
POSITION(S) OFFICE AND IN FUND COMPLEX
NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY
DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS TRUSTEE (1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
James B. Hawkes Trustee Since 1991 Chairman, President and Chief 195 Director of EVC
11/9/41 Executive Officer of BMR, EVC,
EVM and EV; Director of EV;
Vice President and Director of
EVD. Trustee and/or officer of
195 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 Fund.
NONINTERESTED TRUSTEE(S)
Samuel Chairman Trustee since 1986 Jacob H. Schiff Professor of 195 Director of
L.Hayes, III of the and Investment Banking Emeritus, Tiffany & Co.
2/23/35 Board and Chairman of the Board Harvard University Graduate (specialty
Trustee since 2005 School of Business retailer) and
Administration. Telect, Inc.
(telecommunication
services company)
William H. Trustee Since 2003 President and Chief Executive 195 None
Park Officer, Prizm Capital
9/19/47 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. Trustee Since 2003 Professor of Law, Georgetown 195 None
Pearlman University Law Center (since
7/10/40 1999). Tax Partner, Covington &
Burling, Washington, DC
(1991-2000).
Norton H. Trustee Since 1986 President, Chief Executive 195 None
Reamer Officer and a Director of Asset
9/21/35 Management Finance Corp. (a
specialty finance company
serving the investment
management industry) (since
October 2003). President,
Unicorn Corporation (an
investment and financial
advisory services company)
(since September 2000).
Formerly, Chairman and Chief
Operating Officer, 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 Since 1998 Professor of Law, University of 195 None
9/14/57 California at Los Angeles
School of Law (since July
2001). Formerly, Professor of
Law, Georgetown University Law
Center.
</Table>
23
<Page>
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
<Table>
<Caption>
TERM OF
POSITION(S) OFFICE AND
NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------------
Thomas E. Faust Jr. President Since 2002 Executive Vice President of EVM, BMR, EVC and EV; Chief
5/31/58 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 59 registered investment companies managed by EVM or
BMR.
William H. Ahern, Jr. Vice President Since 1995 Vice President of EVM and BMR. Officer of 78 registered
7/28/59 investment companies managed by EVM or BMR.
Thomas J. Fetter Vice President Since 1997 Vice President of EVM and BMR. Officer of 124 registered
8/20/43 investment companies managed by EVM or BMR.
Michael R. Mach Vice President Since 1999 Vice President of EVM and BMR. Officer of 29 registered
7/15/47 investment companies managed by EVM or BMR.
Robert B. MacIntosh Vice President Since 1998 Vice President of EVM and BMR. Officer of 124 registered
1/22/57 investment companies managed by EVM or BMR.
Duncan W. Richardson Vice President Since 2001 Senior Vice President and Chief Equity Investment
10/26/57 Officer of EVM and BMR. Officer of 46 registered
investment companies managed by EVM or BMR.
Walter A. Row, III Vice President Since 2001 Director of Equity Research and a Vice President of EVM
7/20/57 and BMR. Officer of 26 registered investment companies
managed by EVM or BMR.
Judith A. Saryan Vice President Since 2003 Vice President of EVM and BMR. Officer of 28 registered
8/21/54 investment companies managed by EVM or BMR.
Susan Schiff Vice President Since 2002 Vice President of EVM and BMR. Officer of 28 registered
3/13/61 investment companies managed by EVM or BMR.
Alan R. Dynner Secretary Since 1997 Vice President, Secretary and Chief Legal Officer of
10/10/40 BMR, EVM, EVD, EV and EVC. Officer of 195 registered
investment companies managed by EVM or BMR.
James L. O'Connor Treasurer Since 1989 Vice President of BMR, EVM and EVD. Officer of 117
4/1/45 registered investment companies managed by EVM or BMR.
Paul M. O'Neil Chief Compliance Since 2004 Vice President of EVM and BMR. Officer of 195 registered
7/11/53 Officer investment companies managed by EVM or BMR.
</Table>
(1) Includes both master and feeder funds in a master-feeder structure.
The SAI for the Fund includes additional information about the Trustees and
officers of the Fund can be obtained without charge by calling 1-800-225-6265.
24
<Page>
This Page Intentionally Left Blank
<Page>
INVESTMENT ADVISER
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
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
DELOITTE & TOUCHE LLP
200 BERKELEY STREET
BOSTON, MA 02116-5022
EATON VANCE MUNICIPAL BOND FUND
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. BEFORE
INVESTING, INVESTORS SHOULD CONSIDER CAREFULLY THE FUND'S INVESTMENT
OBJECTIVE(S), RISKS, AND CHARGES AND EXPENSES. THE FUND'S CURRENT PROSPECTUS
CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND AND IS AVAILABLE THROUGH YOUR
FINANCIAL ADVISOR. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR
SEND MONEY. FOR FURTHER INFORMATION PLEASE CALL 1-800-225-6265.
<Page>
279-2/05 MBSRC
<Page>
[EV LOGO]
[GRAPHIC IMAGE]
ANNUAL REPORT DECEMBER 31, 2004
EATON VANCE TAX FREE RESERVES
[GRAPHIC IMAGE]
[GRAPHIC IMAGE]
<Page>
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS, AND PROXY VOTING
PRIVACY. The Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has in effect the
following policy ("Privacy 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. This may include information such as name, address, social
security number, tax status, account balances and transactions.
- - 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). In the normal course of servicing a
customer's account, Eaton Vance may share information with unaffiliated third
parties that perform various required services such as transfer agents,
custodians and broker/dealers.
- - Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality of
such information.
- - We reserve the right to change our Privacy Policy at any time upon proper
notification to you. Customers may want to review our Policy periodically for
changes by accessing the link on our homepage: www.eatonvance.com.
Our pledge of privacy applies to the following entities within the Eaton Vance
organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton
Vance Investment Counsel, Boston Management and Research, and Eaton Vance
Distributors, Inc.
In addition, our Privacy Policy only applies to those Eaton Vance customers who
are individuals and who have a direct relationship with us. If a customer's
account (i.e., fund shares) is held in the name of a third-party financial
adviser/ broker-dealer, it is likely that only such adviser's privacy policies
apply to the customer. This notice supersedes all previously issued privacy
disclosures.
For more information about Eaton Vance's Privacy Policy, please call
1-800-262-1122.
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.
PORTFOLIO HOLDINGS. Each Eaton Vance Fund and its underlying Portfolio (if
applicable) will file a schedule of its portfolio holdings on Form N-Q with the
Securities and Exchange Commission for the first and third quarters of each
fiscal year. The Form N-Q will be available on the Eaton Vance website
www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR
database on the Securities and Exchange Commision's website at www.sec.gov. Form
N-Q may also be reviewed and copied at the SEC's public reference room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
public reference room).
PROXY VOTING. 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 (if applicable) 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 and information on how the Funds or
Portfolios voted proxies relating to Portfolio securities during the 12 month
period ended June 30, without charge, upon request, by calling 1-800-262-1122.
This description is also available on the Securities and Exchange Commission's
website at www.sec.gov.
<Page>
EATON VANCE TAX FREE RESERVES AS OF DECEMBER 31, 2004
INVESTMENT UPDATE
[PHOTO OF WILLIAM H. AHERN]
William H. Ahern
Portfolio Manager
INVESTMENT ENVIRONMENT
- - During 2004, the U.S. economy experienced another year of solid growth,
growing at an annualized rate of 3.7% with moderate inflation, despite a
sharp increase in energy prices.
- - Energy prices rose significantly during the year, with oil reaching record
high levels before ending the year at $43.45 per barrel. Nevertheless, core
inflation -- which excludes volatile food and energy prices -- remained low.
Consumers continued to drive the economy's growth, with the help of tax cuts,
low home mortgage and refinancing rates, appreciation in home equity values,
and employment growth of more than two million jobs. Business spending began
the year slowly, but increased as the year progressed.
- - In a significant development for the fixed-income markets, the U.S. Federal
Reserve Board increased the Fed Funds Target Rate, a key short-term
interest-rate benchmark, by 25 basis points (0.25%) on five separate
occasions between June 2004 and December 2004 -- from 1.00% to 2.25%. In its
December 2004 meeting, the Fed indicated its focus had shifted from
supporting economic growth to fighting potential inflation, which we believe
increases the possibility of future short-term rate hikes.
THE FUND
THE PAST YEAR
- - During the year ended December 31, 2004, shareholders of Eaton Vance Tax Free
Reserves received $0.005 per share in income dividends, free from regular
federal income tax.(1)
- - Management continued to maintain a relatively short weighted average maturity
in the Fund to provide flexibility for interest rate increases. Although
shorter-maturity securities typically offer lower yields, their flexibility
enabled management to reinvest at higher rates more quickly, helping to
increase the Fund's income stream. We will selectively seek opportunities in
2005 to tailor the Fund's weighted average maturity to the prevailing
interest rate environment.
ABOUT EATON VANCE TAX FREE RESERVES
- - Eaton Vance Tax Free Reserves invests in dollar-denominated, high-quality
fixed-income securities, including bonds, notes, and commercial paper, the
interest from which is exempt from regular federal income tax.(1)
- - The Fund seeks to invest in short-term obligations that have been rated in
one of the two highest short-term ratings categories.(2)
- - Taxes are always a concern for investors who wish to maximize their after-tax
returns. A money market mutual fund investing in high-quality investments,
exempt from regular federal income tax,(1) can be a sensible way to earn
income, while seeking to preserve capital and maintain liquidity.(2)
- ----------
(1) A portion of the Fund's income could be subject to federal income and/or
alternative minimum tax. Income may be subject to state tax.
(2) An investment in the Fund is neither insured nor guaranteed by the U.S.
Government. Although the Fund seeks to maintain a stable net asset value of
$1.00 per share, it is possible to lose money by investing in the Fund. The
Fund has no sales charge.
[CHART]
ASSET ALLOCATION*
By net assets
<Table>
Variable Rate Demand Obligations 83.4%
Revenue Notes/Bonds 9.9%
General Obligations Notes/Bonds 5.8%
</Table>
* Asset allocation information may not be representative of the Fund's
current or future investments and may change due to active management.
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.
THE VIEWS EXPRESSED THROUGHOUT THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGER
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 THE INVESTMENT ADVISER 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 EATON VANCE FUND.
2
<Page>
FUND EXPENSES
EXAMPLE: As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases and redemption
fees (if applicable); and (2) ongoing costs, including management fees;
distribution or service fees; and other Fund expenses. This Example is intended
to help you understand your ongoing costs (in dollars) of investing in the Fund
and to compare these costs with the ongoing costs of investing in other mutual
funds. The Example is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (July 1, 2004 - December 31, 2004).
ACTUAL EXPENSES: The first section of the table below provides information about
actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line under the heading entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES: The second section of the table
below provides information about hypothetical account values and hypothetical
expenses based on the actual Fund expense ratio and an assumed rate of return of
5% per year (before expenses), which is not the actual return of the Fund. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in your Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption fees (if applicable). Therefore, the second line
of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
EATON VANCE TAX FREE RESERVES
<Table>
<Caption>
Beginning Account Value Ending Account Value Expenses Paid During Period*
(7/1/04) (12/31/04) (7/1/04 - 12/31/04)
- -----------------------------------------------------------------------------------------------------------------------
ACTUAL $ 1,000.00 $ 1,003.50 $ 3.63
HYPOTHETICAL
(5% return per year before expenses) $ 1,000.00 $ 1,021.50 $ 3.66
</Table>
* Expenses are equal to the Fund's annualized expense ratio of 0.72%
multiplied by the average account value over the period, multiplied by
184/366 (to reflect the one-half year period). The example assumes that the
$1,000 was invested at the net asset value per share determined at the
close of business on June 30, 2004.
3
<Page>
EATON VANCE TAX FREE RESERVES as of December 31, 2004
PORTFOLIO OF INVESTMENTS
Tax-Exempt Investments -- 99.1%
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- -----------------------------------------------------------------------------------------------------
GENERAL OBLIGATION NOTES / BONDS -- 5.8%
$ 1,000 Iowa City, IA, School District, 2.00%, 6/1/05 $ 1,001,668
475 South Carolina, Series B, 5.25%, 4/1/05 479,456
- -----------------------------------------------------------------------------------------------------
$ 1,481,124
- -----------------------------------------------------------------------------------------------------
REVENUE NOTES / BONDS -- 9.9%
- -----------------------------------------------------------------------------------------------------
$ 100 Hamilton County, IN, Series A, FSA, 4.70%, 1/10/05 $ 100,089
160 New York Thruway Authority, Series C, Pre-Refunded at
102 to 1/1/05, (FGIC), 6.00% 163,200
1,250 Texas, 3.00%, 8/31/05 1,261,826
1,000 Wellesley, MA, 2.50%, 6/2/05 1,003,978
- -----------------------------------------------------------------------------------------------------
$ 2,529,093
- -----------------------------------------------------------------------------------------------------
VARIABLE RATE DEMAND OBLIGATIONS -- 83.4%
- -----------------------------------------------------------------------------------------------------
$ 1,000 Clark County, NV, Airport Revenue, Series C, AMT, (XLCA),
(SPA: Bayerische Landesbank), 2.03%, 7/1/29 $ 1,000,000
1,000 Cleveland-Cuyahoga County, OH, Port Authority Cultural
Facility, (Playhouse Square Foundation),
(LOC: Fifth Third Bank), 2.00%, 11/15/34 1,000,000
1,500 Connecticut, HEFA, (Bradley Health Care),
(LOC: Bank of America), 1.96%, 7/1/29 1,500,000
1,000 Connecticut, HEFA, (University of Hartford),
(LOC: Citizens Bank of Rhode Island), 1.99%, 7/1/34 1,000,000
1,000 Delaware Valley, PA, Regional Finance Authority,
(LOC: Toronto Dominion Bank), 1.98%, 12/1/20 1,000,000
500 Galveston, TX, Industrial Development Corp., AMT,
(Mitchell Industries), (LOC: Bank One Texas N.A.),
2.15%, 9/1/13 500,000
1,500 Illinois Educational Facility Authority, (John F. Kennedy
Health Care Foundation), (LOC: LaSalle National Bank),
2.00%, 12/1/25 1,500,000
1,000 Illinois Finance Authority, (Northwestern University),
1.97%, 12/1/34 1,000,000
1,250 Illinois, (FSA), (SPA: Wachovia Bank N.A.),
2.06%, 12/1/24 1,250,000
250 Lawrence County, SD, Solid Waste Disposal, AMT,
(Homestake Mining Co.), (LOC: JP Morgan Chase),
2.01%, 7/1/32 250,000
1,000 Massachusetts Water Resource Authority, (Multi Modal),
(FGIC), (SPA: SPI), 2.00%, 8/1/31 1,000,000
605 Metropolitan Government of Nashville and Davidson County,
TN, IDR, (Dixie Graphics Inc.), (LOC: SunTrust Bank),
2.00%, 5/1/09 605,000
1,000 Metropolitan Pier and Exposition Authority, IL, (MBIA),
(Liq: Citibank), 2.12%, 12/15/31 1,000,000
$ 1,000 North Carolina Capital Facility Finance Agency,
(Wake Forest University), 1.98%, 1/1/18 $ 1,000,000
600 Ohio Higher Educational Facility Commission,
(John Carroll University), (LOC: Allied Irish Bank PLC),
2.01%, 11/15/31 600,000
900 Pasadena, TX, School District, (SPA: Westdeutsche
Landsbank), (PSF Guaranteed), 2.00%, 8/15/26 900,000
400 Pennsylvania EDA, AMT, (Westrum Hanover LP),
(LOC: First Trust & Savings Bank, Federal Home Loan Bank),
2.05%, 3/1/34 400,000
990 Pennsylvania Turnpike Commission, (Oil Franchise), (AMBAC),
(Liq: Salomon Smith Barney), 2.03%, 12/15/15 990,000
1,000 Philadelphia, PA, IDR, (Newcourtland Elder Services),
(LOC: PNC Bank N.A.), 2.10%, 3/1/27 1,000,000
1,300 South Barrington, IL, (Cook County), (LOC: Harris Trust &
Savings Bank), 2.00%, 12/1/27 1,300,000
1,300 University of Pittsburgh of the Commonwealth System of
Higher Education, PA, (University of PA), (SPA: BNP Paribas),
1.98%, 9/15/24 1,300,000
1,250 West Memphis, AR, Public Facility Board, AMT,
(West Memphis Meadows 98 Apts.), (FHLMC),
2.03%, 12/1/34 1,250,000
- -----------------------------------------------------------------------------------------------------
$ 21,345,000
- -----------------------------------------------------------------------------------------------------
TOTAL TAX-EXEMPT INVESTMENTS -- 99.1%
(COST $25,355,217)(1) $ 25,355,217
- -----------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- 0.9% $ 238,444
- -----------------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 25,593,661
- -----------------------------------------------------------------------------------------------------
</Table>
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest Earned From These Securities May be Considered a Tax Preference
Item for Purposes of the Federal Alternative Minimum Tax.
FGIC - Financial Guaranty Insurance Company
FHLMC - Federal Home Loan Mortgage Corporation (Freddie Mac)
FSA - Financial Security Assurance, Inc.
LOC - Letter of Credit
MBIA - Municipal Bond Insurance Association
SPA - Standby Bond Purchase Agreement
XLCA - XL Capital Assurance, Inc.
The stated interest rate on variable rate demand obligations represents the rate
in effect at December 31, 2004.
See notes to financial statements
4
<Page>
At December 31, 2004, the concentration of the fund's investments in the various
states, determined as a percentage of net assets, is as follows:
<Table>
ILLINOIS 23.6%
PENNSYLVANIA 18.3%
TEXAS 10.4%
OTHERS, REPRESENTING LESS THAN 10% INDIVIDUALLY 46.8%
</Table>
At December 31, 2004, the concentration of the fund's investments in the various
industries, determined as a percentage of net assets, is as follows:
<Table>
GENERAL OBLIGATIONS 19.3%
EDUCATION 19.1%
HEALTHCARE 11.7%
OTHERS, REPRESENTING LESS THAN 10% INDIVIDUALLY 49.0%
</Table>
(1) Cost for federal income taxes is the same.
See notes to financial statements
5
<Page>
EATON VANCE TAX FREE RESERVES as of December 31, 2004
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
As of December 31, 2004
<Table>
ASSETS
Investments, at amortized cost $ 25,355,217
Cash 112,306
Receivable for Fund shares sold 266,556
Interest receivable 75,196
- --------------------------------------------------------------------------------------
Total assets $ 25,809,275
- --------------------------------------------------------------------------------------
LIABILITIES
Payable for Fund shares redeemed $ 188,391
Dividends payable 12,628
Payable to affiliate for Trustees' fees 330
Accrued expenses 14,265
- --------------------------------------------------------------------------------------
Total liabilities $ 215,614
- --------------------------------------------------------------------------------------
Net Assets for 25,611,445 shares of beneficial interest outstanding $ 25,593,661
- --------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Paid-in capital $ 25,595,376
Accumulated net realized loss (computed on the basis
of identified cost) (1,715)
- --------------------------------------------------------------------------------------
Total $ 25,593,661
- --------------------------------------------------------------------------------------
SHARES OF BENEFICIAL INTEREST OUTSTANDING
25,611,445
- --------------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE
($25,593,661 DIVIDED BY 25,611,445 shares of beneficial
interest outstanding) $ 1.00
- --------------------------------------------------------------------------------------
</Table>
Statement of Operations
For the Year Ended
December 31, 2004
<Table>
INVESTMENT INCOME
Interest $ 351,628
- --------------------------------------------------------------------------------------
Total investment income $ 351,628
- --------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 142,816
Trustees' fees and expenses 1,416
Legal and accounting services 28,882
Registration fees 19,625
Transfer and dividend disbursing agent fees 5,559
Custodian fee 30,300
Printing and postage 3,439
Interest 519
Miscellaneous 5,318
- --------------------------------------------------------------------------------------
Total expenses $ 237,874
- --------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 30,300
Waiver of investment adviser fee 5
- --------------------------------------------------------------------------------------
Total expense reductions $ 30,305
- --------------------------------------------------------------------------------------
Net expenses $ 207,569
- --------------------------------------------------------------------------------------
Net investment income $ 144,059
- --------------------------------------------------------------------------------------
REALIZED GAIN (LOSS)
Net realized loss --
Investment transactions (identified cost basis) $ (127)
- --------------------------------------------------------------------------------------
Net realized loss $ (127)
- --------------------------------------------------------------------------------------
Net increase in net assets from operations $ 143,932
- --------------------------------------------------------------------------------------
</Table>
See notes to financial statements
6
<Page>
Statements of Changes in Net Assets
<Table>
<Caption>
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS DECEMBER 31, 2004 DECEMBER 31, 2003
- --------------------------------------------------------------------------------------
From operations --
Net investment income $ 144,059 $ 125,244
Net realized loss from
investment transactions (127) (109)
- --------------------------------------------------------------------------------------
Net increase in net assets from operations $ 143,932 $ 125,135
- --------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income $ (144,059) $ (125,244)
- --------------------------------------------------------------------------------------
Total distributions to shareholders $ (144,059) $ (125,244)
- --------------------------------------------------------------------------------------
Transactions in shares of beneficial interest
net asset value of $1.00 per share --
Proceeds from sale of shares $ 63,791,369 $ 60,317,407
Net asset value of shares issued to
shareholders in payment of
distributions declared 51,962 35,682
Cost of shares redeemed (67,768,188) (60,099,666)
- --------------------------------------------------------------------------------------
Net increase (decrease) in net assets from
Fund share transactions $ (3,924,857) $ 253,423
Net increase (decrease) in net assets $ (3,924,984) $ 253,314
- --------------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------------
At beginning of year $ 29,518,645 $ 29,265,331
- --------------------------------------------------------------------------------------
At end of year $ 25,593,661 $ 29,518,645
- --------------------------------------------------------------------------------------
</Table>
See notes to financial statements
7
<Page>
Financial Highlights
<Table>
<Caption>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------
2004 2003 2002 2001 2000
- ----------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ----------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income $ 0.005 $ 0.004 $ 0.008 $ 0.021 $ 0.036
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.005) $ (0.004) $ (0.008) $ (0.021) $ (0.036)
- ----------------------------------------------------------------------------------------------------------------------
Total distributions $ (0.005) $ (0.004) $ (0.008) $ (0.021) $ (0.036)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value -- End of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
- ----------------------------------------------------------------------------------------------------------------------
Total Return(1) 0.51% 0.44% 0.81% 2.20% 3.69%
- ----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 25,594 $ 29,519 $ 29,265 $ 32,355 $ 45,703
Ratios (As a percentage of average daily net assets):
Net expenses 0.83% 0.77% 0.85% 0.75% 0.55%
Net expenses after custodian fee reduction 0.73% 0.67% 0.74% 0.66% 0.46%
Net investment income 0.50% 0.43% 0.81% 2.18% 3.56%
- ----------------------------------------------------------------------------------------------------------------------
</Table>
+ The operating expenses of the Fund may reflect a reduction of the
investment adviser fee. Had such actions not been taken, the ratios and net
investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
<Table>
Expenses 0.83% 0.78% 0.79% 0.75%
Expenses after custodian fee reduction 0.73% 0.68% 0.70% 0.66%
Net investment income 0.50% 0.42% 2.13% 3.36%
Net investment income per share $ 0.005 $ 0.004 $ 0.021 $ 0.034
- ----------------------------------------------------------------------------------------------------------------------
</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. Total return would have been lower
had certain expenses not been reduced during the periods.
See notes to financial statements
8
<Page>
EATON VANCE TAX FREE RESERVES as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Tax Free Reserves (the Fund) is a series of Eaton Vance Mutual
Funds Trust (the Trust). The Trust is an entity of the type known as a
Massachusetts business trust and is registered under the Investment Company
Act of 1940 (the 1940 Act), as amended, as an open-end management
investment company. The Fund's investment objective is to provide a means
whereby investors may earn as high a rate of income exempt from regular
federal income tax as may be consistent with preservation of capital and
maintenance of liquidity. 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 SECURITY VALUATION -- The Fund values investment securities utilizing the
amortized cost valuation technique permitted by Rule 2a-7 of the Investment
Company Act of 1940, pursuant to which the Fund must comply with certain
conditions. This technique involves initially valuing a portfolio security
at its cost and thereafter assuming a constant amortization to maturity of
any discount or premium.
B INTEREST INCOME -- Interest income consists of interest accrued, adjusted
for amortization of any premium or accretion of any discount, accrued
ratably to the date of maturity or call.
C FEDERAL TAXES -- The Fund's policy is to comply with the provisions of
the Internal Revenue Code (the Code) applicable to regulated investment
companies and to distribute to shareholders each year all of its net
investment income, including any net realized gain on investments.
Accordingly, no provision for federal income or excise tax is necessary. At
December 31, 2004, the Fund, for federal income tax purposes, had a capital
loss carryover of $1,715, which will reduce the Fund's taxable income
arising from future net realized gain on investments, if any, to the extent
permitted by the Code, and thus will reduce the amount of the distributions
to shareholders which would otherwise be necessary to relieve the Fund of
any liability for federal income tax. Such capital loss carryover will
expire on December 31, 2005 ($1,479), on December 31, 2011 ($109), and on
December 31, 2012 ($127). Dividends paid by the Fund from net interest
earned on tax-exempt municipal bonds are not includable by shareholders as
gross income for federal income tax purposes because the Fund intends to
meet certain requirements of the Code applicable to regulated investment
companies which will enable the Fund to pay exempt-interest dividends. The
portion of such interest, if any, earned on private activity bonds issued
after August 7, 1986 may be considered a tax preference item for
shareholders.
D OTHER -- Investment transactions are accounted for on a trade-date basis.
Realized gains and losses are computed on the specific identification of
the securities sold.
E EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as
custodian to the Fund. Pursuant to the custodian agreement, IBT receives a
fee reduced by credits which are determined based on the average daily cash
balance the Fund maintains with IBT. All credit balances used to reduce the
Fund's custodian fees are reported as a reduction of total expenses in 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 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 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.
H 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.
2 DISTRIBUTIONS TO SHAREHOLDERS
The net investment income of the Fund is determined daily, and
substantially all of the net investment income so determined is declared as
a dividend to shareholders of record at the time of declaration. Such
dividends are paid monthly. Distributions are paid in the form of
additional
9
<Page>
shares of the Fund, or, at the election of the shareholder, in cash. The
Fund distinguishes between distributions on a tax basis and a financial
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 reclassified to paid-in capital.
The tax character of the distributions declared for the years ended
December 31, 2004 and December 31, 2003 was as follows:
<Table>
<Caption>
YEAR ENDED YEAR ENDED
12/31/04 12/31/03
- --------------------------------------------------------------------------------
Distributions declared from:
Tax-exempt income $ 144,059 $ 125,244
</Table>
As of December 31, 2004, the components of distributable earnings
(accumulated losses) on a tax basis were as follows:
<Table>
Capital loss carryforwards $ (1,715)
</Table>
3 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee is earned by Eaton Vance Management (EVM) as
compensation for management, investment advisory, and other services
rendered to the Fund and is computed at the monthly rate of 1/24 of 1%
(0.50% annually) of the Fund's average daily net assets. For the year ended
December 31, 2004, the fee amounted to $142,816. Pursuant to a voluntary
fee waiver, EVM waived $5 of its investment adviser fee for the year ended
December 31, 2004. Except as to Trustees of the Fund who are not members of
EVM's organization, officers and Trustees receive remuneration for their
services to the Fund out of such investment adviser fee. EVM serves as the
sub-transfer agent of the Fund and receives from the transfer agent an
aggregate fee based upon the actual expenses incurred by EVM in the
performance of those services. For the year ended December 31, 2004, EVM
earned $582 in sub-transfer agent fees. Certain officers and Trustees of
the Fund are officers of the above organization.
4 SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value).
5 LINE OF CREDIT
The Fund participates with other portfolios and funds managed by EVM and
its affiliates in a $150 million unsecured line of credit agreement with a
group of banks. Borrowings will be made by the Fund 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 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 Fund did not have any
significant borrowings or allocated fees during the year ended December 31,
2004.
6 PURCHASES AND SALES OF INVESTMENTS
The Fund invests primarily in state and municipal debt securities. The
ability of the issuers of the debt securities held by the Fund to meet
their obligations may be affected by economic developments in a specific
industry or municipality. Purchases and sales (including maturities) of
investments aggregated $58,177,076 and $61,874,394, respectively, for the
year ended December 31, 2004.
10
<Page>
EATON VANCE TAX FREE RESERVES as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES AND SHAREHOLDERS
OF EATON VANCE TAX FREE RESERVES
In our opinion, the accompanying statement of assets and liabilities, including
the portfolio of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Eaton Vance Tax Free Reserves, a
series of Eaton Vance Mutual Funds Trust, (the "Fund") at December 31, 2004, and
the results of its operations, the changes in its net assets and the financial
highlights for each of the periods indicated, in conformity with accounting
principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with the
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 are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 2004 by
correspondence with the custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 16, 2005
11
<Page>
EATON VANCE TAX FREE RESERVES as of December 31, 2004
FEDERAL TAX INFORMATION (UNAUDITED)
The Form 1099-DIV you received in January 2005 showed 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 exempt-interest dividends.
EXEMPT-INTEREST DIVIDENDS. The Fund designates 100.00% of dividends from net
investment income as an exempt-interest dividend.
12
<Page>
EATON VANCE TAX FREE RESERVES
MANAGEMENT AND ORGANIZATION
FUND MANAGEMENT. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) are
responsible for the overall management and supervision of the Trust's affairs.
The Trustees and officers of the Trust 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 hold indefinite
terms of office. The "noninterested Trustees" consist of those Trustees who are
not "interested persons" of the Trust, 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 Corporation, "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 and a wholly-owned subsidiary of EVM.
<Table>
<Caption>
TERM OF NUMBER OF PORTFOLIOS
POSITION(S) OFFICE AND IN FUND COMPLEX
NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY
DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS TRUSTEE(1) OTHER DIRECTORSHIPS HELD
- ---------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
James B. Hawkes Trustee Since 1991 Chairman, President and 195 Director of EVC
11/9/41 Chief Executive Officer of
BMR, EVC, EVM and EV;
Director of EV; Vice
President and Director of
EVD. Trustee and/or officer
of 195 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.
NONINTERESTED TRUSTEE(S)
Samuel L. Hayes, III Chairman Trustee Jacob H. Schiff Professor 195 Director of Tiffany &
2/23/35 of the since 1986 of Investment Banking Co. (specialty retailer)
Board and and Emeritus, Harvard and Telect, Inc.
Trustee Chairman of University Graduate School (telecommunication
the Board of Business Administration. services company)
since 2005
William H. Park Trustee Since 2003 President and Chief 195 None
9/19/47 Executive 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, 195 None
7/10/40 Georgetown University Law
Center (since 1999). Tax
Partner, Covington &
Burling, Washington, DC
(1991-2000).
Norton H. Reamer Trustee Since 1986 President, Chief Executive 195 None
9/21/35 Officer and a Director of
Asset Management Finance
Corp. (a specialty finance
company serving the
investment management
industry) (since October
2003). President, Unicorn
Corporation (an investment
and financial advisory
services company) (since
September 2000). Formerly,
Chairman and Chief
Operating Officer,
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 Since 1998 Professor of Law, 195 None
9/14/57 University of California at
Los Angeles School of Law
(since July 2001).
Formerly, Professor of Law,
Georgetown University Law
Center.
</Table>
13
<Page>
<Table>
<Caption>
TERM OF
POSITION(S) OFFICE AND
NAME AND WITH THE LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH TRUST SERVICE DURING PAST FIVE YEARS
- ---------------------------------------------------------------------------------------------------------------------------------
Thomas E. Faust Jr. President Since 2002 Executive Vice President of EVM, BMR, EVC and EV; Chief Investment Officer of
5/31/58 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 59 registered investment companies managed by EVM or BMR.
William H. Ahern, Jr. Vice Since 1995 Vice President of EVM and BMR. Officer of 78 registered investment companies
7/28/59 President managed by EVM or BMR.
Thomas J. Fetter Vice Since 1997 Vice President of EVM and BMR. Officer of 124 registered investment companies
8/20/43 President managed by EVM or BMR.
Michael R. Mach Vice Since 1999 Vice President of EVM and BMR. Officer of 29 registered investment companies
7/15/47 President managed by EVM or BMR.
Robert B. MacIntosh Vice Since 1998 Vice President of EVM and BMR. Officer of 124 registered investment companies
1/22/57 President managed by EVM or BMR.
Duncan W. Richardson Vice Since 2001 Senior Vice President and Chief Equity Investment Officer of EVM and BMR.
10/26/57 President Officer of 46 registered investment companies managed by EVM or BMR.
Walter A. Row, III Vice Since 2001 Director of Equity Research and a Vice President of EVM and BMR. Officer of
7/20/57 President 26 registered investment companies managed by EVM or BMR.
Judith A. Saryan Vice Since 2003 Vice President of EVM and BMR. Officer of 28 registered investment companies
8/21/54 President managed by EVM or BMR.
Susan Schiff Vice Since 2002 Vice President of EVM and BMR. Officer of 28 registered investment companies
3/13/61 President managed by EVM or BMR.
Alan R. Dynner Secretary Since 1997 Vice President, Secretary and Chief Legal Officer of BMR, EVM, EVD, EV and
10/10/40 EVC. Officer of 195 registered investment companies managed by EVM or BMR.
James L. O'Connor Treasurer Since 1989 Vice President of BMR, EVM, and EVD. Officer of 117 registered investment
4/1/45 companies managed by EVM or BMR.
Paul M. O'Neil Chief Since 2004 Vice President of EVM and BMR. Officer of 195 registered investment companies
7/11/53 Compliance managed by EVM or BMR.
Officer
</Table>
(1) Includes both master and feeder funds in a master-feeder structure.
The SAI for the Fund includes additional information about the Trustees and
officers of the Fund and can be obtained without charge by calling
1-800-225-6265.
14
<Page>
INVESTMENT ADVISER
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
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PRICEWATERHOUSECOOPERS LLP
125 HIGH STREET
BOSTON, MA 02110
EATON VANCE TAX FREE RESERVES
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. BEFORE
INVESTING, INVESTORS SHOULD CONSIDER CAREFULLY THE FUND'S INVESTMENT
OBJECTIVE(s), RISKS, AND CHARGES AND EXPENSES. THE FUND'S CURRENT PROSPECTUS
CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND AND IS AVAILABLE THROUGH YOUR
FINANCIAL ADVISOR. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR
SEND MONEY. FOR FURTHER INFORMATION PLEASE CALL 1-800-225-6265.
<Page>
277-2/05 TRSRC
<Page>
[EV LOGO]
[GRAPHIC IMAGE]
ANNUAL REPORT DECEMBER 31, 2004
EATON VANCE TAX-MANAGED GROWTH FUND 1.1
[GRAPHIC IMAGE]
[GRAPHIC IMAGE]
<Page>
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS, AND PROXY VOTING
PRIVACY. The Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has in effect the
following policy ("Privacy 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. This may include information such as name, address, social
security number, tax status, account balances and transactions.
- 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). In the normal course of
servicing a customer's account, Eaton Vance may share information with
unaffiliated third parties that perform various required services such as
transfer agents, custodians and broker/dealers.
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality
of such information.
- We reserve the right to change our Privacy Policy at any time upon proper
notification to you. Customers may want to review our Policy periodically
for changes by accessing the link on our homepage: www.eatonvance.com.
Our pledge of privacy applies to the following entities within the Eaton Vance
organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton
Vance Investment Counsel, Boston Management and Research, and Eaton Vance
Distributors, Inc.
In addition, our Privacy Policy only applies to those Eaton Vance customers who
are individuals and who have a direct relationship with us. If a customer's
account (i.e., fund shares) is held in the name of a third-party financial
adviser/ broker-dealer, it is likely that only such adviser's privacy policies
apply to the customer. This notice supersedes all previously issued privacy
disclosures.
For more information about Eaton Vance's Privacy Policy, please call
1-800-262-1122.
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.
PORTFOLIO HOLDINGS. Each Eaton Vance Fund and its underlying Portfolio (if
applicable) will file a schedule of its portfolio holdings on Form N-Q with the
Securities and Exchange Commission for the first and third quarters of each
fiscal year. The Form N-Q will be available on the Eaton Vance website
www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR
database on the Securities and Exchange Commision's website at www.sec.gov. Form
N-Q may also be reviewed and copied at the SEC's public reference room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
public reference room).
PROXY VOTING. 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 (if applicable) 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 and information on how the Funds or
Portfolios voted proxies relating to Portfolio securities during the 12 month
period ended June 30, without charge, upon request, by calling 1-800-262-1122.
This description is also available on the Securities and Exchange Commission's
website at www.sec.gov.
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.1 AS OF DECEMBER 31, 2004
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
[PHOTO OF DUNCAN W. RICHARDSON]
DUNCAN W. RICHARDSON
PORTFOLIO MANAGER
THE FUND
PERFORMANCE FOR THE PAST YEAR
- During the year ended December 31, 2004, Eaton Vance Tax-Managed Growth Fund
1.1 (the Fund) Class A shares had a total return of 9.30%. This return was
the result of an increase in net asset value (NAV) per share to $22.55 on
December 31, 2004, from $20.80 on December 31, 2003, and the reinvestment of
$0.182 per share in dividend income.(1)
- The Fund's Class B shares had a total return of 8.50% during the same period,
the result of an increase in NAV per share to $21.43 on December 31, 2004,
from $19.76 on December 31, 2003, and the reinvestment of $0.009 per share in
dividend income.(1)
- The Fund's Class C shares had a total return of 8.52% during the same period,
the result of an increase in NAV per share to $20.56 on December 31, 2004,
from $18.97 on December 31, 2003, and the reinvestment of $0.025 per share in
dividend income.(1)
- The Fund's Class I shares had a total return of 9.58% during the same period,
the result of an increase in NAV per share to $10.60 on December 31, 2004,
from $9.89 on December 31, 2003, and the reinvestment of $0.236 per share in
dividend income.(1)
- The Fund's Class S shares had a total return of 9.54% during the same period,
the result of an increase in NAV per share to $22.68 on December 31, 2004,
from $20.88 on December 31, 2003, and the reinvestment of $0.190 per share in
dividend income.(1)
- For comparison, the S&P 500 Index - a broad-based, unmanaged market index
commonly used as a measure of overall U.S. stock market performance - had a
total return of 10.87% for the same period.(2)
- The Fund estimates that virtually all of the income declared by the Fund in
calendar year 2004 will be considered qualifying dividend income, subject to
taxation at long-term capital gains rates no greater than 15%.
See pages 4 and 5 for more performance information, including after-tax returns.
MANAGEMENT DISCUSSION
- Economic pressures lingered for much of 2004, but the lifting of some
political uncertainty ignited a year-end market rally, helping U.S. equities
lock in a second year of consecutive gains. Strength in the broader market
was a function of several economic and fundamental factors: historically low
interest rates, decisive election results, retreating oil prices and solid
earnings growth. A wave of merger and acquisition activity provided
additional support for equities, as companies across the technology,
telecommunications, and health care sectors announced multi-billion dollar
combinations. Although the Federal Funds rate increased to 2.25% during the
year, domestic monetary policy remained accommodative.
- While the Fund's performance for the year ended December 31, 2004, was
strong, returns trailed those of the S&P 500 Index.(2) Tax-Managed Growth
Portfolio (the Portfolio)'s underperformance was primarily driven by weaker
stock selection within some of the industries that led the market. The
Portfolio remained overweighted in the outperforming consumer discretionary
sector, but limited exposure to better-performing industries, such as
internet and multi-line retailers, hindered returns. Health care stocks
trailed the market for much of the year, and the Portfolio benefited by
underweighting the sector. The Portfolio's stock selection, however,
particularly within health care equipment and biotechnology industries, was
negative. Another factor contributing to the Fund's underperformance versus
the market was a continued underweighting of the utilities and telecom
sectors, some of the best performing sectors of 2004.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN QUOTED. FOR PERFORMANCE AS OF THE MOST RECENT MONTH-END,
PLEASE REFER TO www.eatonvance.com.
(1) THESE RETURNS DO NOT INCLUDE THE 5.75% MAXIMUM SALES CHARGE FOR CLASS A
SHARES OR THE APPLICABLE CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS
B AND CLASS C SHARES. IF THE SALES CHARGE WERE DEDUCTED, THE PERFORMANCE
WOULD BE LOWER. CLASS I AND CLASS S ARE SOLD AT NET ASSET VALUE AND DO NOT
HAVE A SALES CHARGE.
(2) IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX. THE INDEX'S TOTAL RETURN
DOES NOT REFLECT ANY COMMISSIONS OR EXPENSES THAT WOULD HAVE BEEN INCURRED
IF AN INVESTOR INDIVIDUALLY PURCHASED OR SOLD THE SECURITIES REPRESENTED IN
THE INDEX.
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
<Page>
- During the year, we decreased the Portfolio's financial sector exposure. This
shift, particularly in insurance and financial service holdings, was
beneficial. Additionally, the Portfolio's de-emphasis of the technology
sector helped performance, since it underperformed the broader market for
much of the year.
- Energy and industrial stocks were some of the best performers of 2004. The
Portfolio benefited from its continued emphasis of the industrials and energy
sectors. Supply pressures and rising exploration costs, coupled with
international uncertainty, kept oil prices elevated for much of the year,
supporting strong price advancement of oil equipment and drilling
investments. The Portfolio's exposure to air freight logistics and machinery
stocks in the industrial sector, which advanced on continued earnings
recovery and strong equipment demand, was beneficial to performance.
The views expressed throughout this report are those of the portfolio manager
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 the investment adviser 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 Eaton Vance
fund.
TEN LARGEST HOLDINGS*
By net assets
<Table>
General Electric Co. 2.25%
American International Group (1) 1.95
Pepsico Inc. 1.71
Exxon Mobil Corp. 1.67
BP PLC Spons ADR 1.55
United Parcel Service, Inc. 1.52
Morgan Stanley 1.37
Amgen Inc. 1.36
Deere & Co. 1.30
IBM Corp. 1.25
</Table>
[CHART]
COMMON STOCK INVESTMENTS BY SECTOR*
By net assets
<Table>
Financial 23.24%
Industrials 15.44%
Consumer Discretionary 13.06%
Consumer Staples 12.22%
Information Technology 12.06%
Health Care 11.13%
Energy 8.36%
Telecommunication Services 2.19%
Materials 1.73%
Utilities 0.40%
</Table>
* Ten Largest Holdings represented 15.93% of the Portfolio's net assets as of
December 31, 2004. Holdings are subject to change due to active management.
(1) This percentage does not reflect 3,000,000 shares of American International
Group (AIG) sold short at December 31, 2004. Adjusting for the short sale,
AIG represented 0.92% of the Portfolio's net assets. See financial
statements of the Portfolio included herein.
3
<Page>
FUND PERFORMANCE
The line graphs and table set forth below provide information about the Fund's
performance. The line graphs compare the performance of Class A and Class B of
the Fund with that of the S&P 500 Index, an unmanaged index of 500 common stocks
commonly used as a measure of U.S. stock market performance. The lines on the
graphs represent the total returns of a hypothetical investment of $10,000 in
each of Class A, Class B, and the S&P 500 Index. Class A total returns are
presented at net asset value and maximum public offering price. The table
includes the total returns of each Class of the Fund at net asset value and
public offering price. The performance presented below does not reflect the
deduction of taxes, if any, that a shareholder would pay on distributions or
redemptions of Fund shares.
<Table>
<Caption>
PERFORMANCE* CLASS A CLASS B CLASS C CLASS I CLASS S
Average Annual Total Returns
(at net asset value)
One Year 9.30% 8.50% 8.52% 9.58% 9.54%
Five Years 0.06 -0.69 -0.70 0.41 0.19
Life of Fund+ 9.91 9.10 8.95 1.56 1.60
SEC Average Annual Total Returns (including sales charge or applicable CDSC)
One Year 3.00% 3.50% 7.52% 9.58% 9.54%
Five Years -1.12 -1.09 -0.70 0.41 0.19
Life of Fund+ 9.17 9.10 8.95 1.56 1.60
</Table>
+ Inception Dates - Class A and Class B: 3/28/96; Class C: 8/2/96; Class
I: 7/2/99; Class S: 5/14/99
* THESE RETURNS DO NOT INCLUDE THE 5.75% MAXIMUM SALES CHARGE FOR CLASS A
SHARES OR THE APPLICABLE CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS
B AND CLASS C SHARES. IF THE SALES CHARGE WERE DEDUCTED, THE PERFORMANCE
WOULD BE LOWER. CLASS I AND CLASS S ARE SOLD AT NET ASSET VALUE AND DO NOT
HAVE A SALES CHARGE. SEC AVERAGE ANNUAL TOTAL RETURNS FOR CLASS A REFLECT
THE MAXIMUM 5.75% SALES CHARGE. SEC RETURNS FOR CLASS B REFLECT THE
APPLICABLE CDSC BASED ON THE FOLLOWING SCHEDULE: 5% - 1ST AND 2ND YEARS; 4%
- 3RD YEAR; 3% - 4TH YEAR; 2% - 5TH YEAR; 1% - 6TH YEAR. SEC 1-YEAR RETURN
FOR CLASS C REFLECTS A 1% CDSC. CLASS I AND CLASS S GENERALLY HAVE NO SALES
CHARGE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN THE QUOTED RETURN. FOR PERFORMANCE AS OF THE MOST RECENT
MONTH-END, PLEASE REFER TO www.eatonvance.com.
[CHART]
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE
TAX-MANAGED GROWTH FUND 1.1 CLASS A VS. THE S&P 500 INDEX**
MARCH 31, 1996-DECEMBER 31, 2004
<Table>
<Caption>
EATON VANCE TAX-MANAGEED FUND INCL. MAXIMUM STANDARD & POOR'S
GROWTH FUND 1.1 CLASS A SALES CHARGE 500 INDEX
3/31/1996 10000 9425 10000
4/30/1996 10281.7 9687.2 10147.29
5/31/1996 10503 9895.73 10408.54
6/30/1996 10543.3 9933.65 10448.22
7/31/1996 10050.3 9469.19 9986.88
8/31/1996 10342.1 9744.07 10197.85
9/30/1996 10955.7 10322.27 10771.3
10/31/1996 11237.4 10587.67 11068.18
11/30/1996 12042.3 11345.97 11904.06
12/31/1996 11831 11146.92 11668.25
1/31/1997 12525.2 11800.94 12396.83
2/28/1997 12434.6 11715.64 12494.16
3/31/1997 12052.3 11355.45 11981.75
4/30/1997 12676.1 11943.12 12696.41
5/31/1997 13470.8 12691.94 13468.84
6/30/1997 14089.5 13274.84 14071.9
7/31/1997 15226.7 14346.31 15190.96
8/31/1997 14582.6 13739.46 14340.57
9/30/1997 15377.7 14488.54 15125.51
10/31/1997 14816.1 13959.42 14620.93
11/30/1997 15250.1 14368.31 15297.21
12/31/1997 15643.7 14739.17 15559.73
1/31/1998 15704.2 14796.22 15731.66
2/28/1998 16955.7 15975.36 16865.64
3/31/1998 17773.2 16745.6 17728.61
4/30/1998 18076 17030.87 17906.88
5/31/1998 17520.9 16507.87 17599.52
6/30/1998 18187.1 17135.47 18313.87
7/31/1998 17773.2 16745.6 18119.35
8/31/1998 15179.4 14301.75 15502.36
9/30/1998 16168.5 15233.64 16495.49
10/31/1998 17309 16308.18 17836.06
11/30/1998 18207.2 17154.49 18916.62
12/31/1998 19620.2 18485.77 20005.97
1/31/1999 20195.5 19027.79 20842.24
2/28/1999 19610.1 18476.26 20194.58
3/31/1999 20195.5 19027.79 21002.34
4/30/1999 20750.6 19550.79 21815.64
5/31/1999 20336.8 19160.92 21301.22
6/30/1999 21336 20102.32 22482.44
7/31/1999 20599.2 19408.15 21781.11
8/31/1999 20346.9 19170.43 21673.28
9/30/1999 19690.9 18552.33 21079.86
10/31/1999 20912.1 19702.94 22413.23
11/30/1999 21426.8 20187.9 22868.82
12/31/1999 22960.9 21633.29 24214.91
1/31/2000 22183.8 20901.09 22998.44
2/29/2000 22658.1 21348.02 22563.54
3/31/2000 24313.3 22907.52 24769.49
4/30/2000 23909.6 22527.15 24024.54
5/31/2000 23485.7 22127.77 23531.37
6/30/2000 24161.9 22764.88 24111.59
7/31/2000 23758.2 22384.52 23734.97
8/31/2000 25322.6 23858.43 25208.42
9/30/2000 24535.4 23116.72 23877.92
10/31/2000 24575.7 23154.76 23776.63
11/30/2000 22930.6 21604.77 21903.46
12/31/2000 23657.3 22289.42 22010.92
1/31/2001 23950 22565.19 22791.37
2/28/2001 22335.2 21043.73 20714.55
3/31/2001 20952.5 19740.97 19403.01
4/30/2001 22345.2 21053.24 20909.63
5/31/2001 22617.7 21309.98 21049.9
6/30/2001 22113.1 20834.53 20537.76
7/31/2001 21891.1 20625.32 20335.51
8/31/2001 20821.2 19617.36 19063.75
9/30/2001 19075.2 17972.27 17524.43
10/31/2001 19327.5 18210 17858.79
11/30/2001 20851.5 19645.88 19228.34
12/31/2001 21295.6 20064.29 19396.89
1/31/2002 20972.6 19759.99 19113.99
2/28/2002 20639.6 19446.19 18745.29
3/31/2002 21447 20206.92 19450.38
4/30/2002 20568.9 19379.63 18271.66
5/31/2002 20427.6 19246.5 18137.53
6/30/2002 18933.9 17839.15 16846.04
7/31/2002 17420 16412.78 15533.2
8/31/2002 17571.4 16555.41 15634.89
9/30/2002 16057.5 15129.04 13937.22
10/31/2002 17137.4 16146.52 15162.76
11/30/2002 17914.5 16878.72 16054.35
12/31/2002 17076.9 16089.46 15111.68
1/31/2003 16491.5 15537.93 14716.57
2/28/2003 16168.5 15233.64 14495.43
3/31/2003 16259.3 15319.22 14635.78
4/30/2003 17470.5 16460.32 15840.77
5/31/2003 18288 17230.56 16674.58
6/30/2003 18439.4 17373.2 16887.6
7/31/2003 18772.4 17687 17185.49
8/31/2003 19145.9 18038.84 17519.98
9/30/2003 18853.2 17763.07 17334.48
10/31/2003 19943.2 18790.06 18314.59
11/30/2003 20205.6 19037.3 18475.54
12/31/2003 21070.5 19852.21 19443.8
1/31/2004 21323.7 20090.81 19800.62
2/29/2004 21708.7 20453.5 20075.77
3/31/2004 21495.9 20253.07 19772.93
4/30/2004 21212.3 19985.83 19462.94
5/31/2004 21465.6 20224.44 19729.49
6/30/2004 21759.3 20501.22 20113.02
7/31/2004 20989.4 19775.85 19447.41
8/31/2004 21019.8 19804.48 19525.53
9/30/2004 21293.3 20062.18 19736.86
10/31/2004 21516.2 20272.16 20038.39
11/30/2004 22377.3 21083.42 20848.91
12/31/2004 23028.9 21697.34 21558.15
</Table>
[CHART]
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE
TAX-MANAGED GROWTH FUND 1.1 CLASS B VS. THE S&P 500 INDEX**
MARCH 31, 1996-DECEMBER 31, 2004
<Table>
<Caption>
EATON VANCE TAX-MANAGEED STANDARD & POOR'S
GROWTH FUND 1.1 CLASS B 500 INDEX
3/31/1996 10000 10000
4/30/1996 10271.6 10147.29
5/31/1996 10503 10408.54
6/30/1996 10543.3 10448.22
7/31/1996 10040.2 9986.88
8/31/1996 10332 10197.85
9/30/1996 10935.6 10771.3
10/31/1996 11217.3 11068.18
11/30/1996 12002 11904.06
12/31/1996 11780.7 11668.25
1/31/1997 12464.8 12396.83
2/28/1997 12374.2 12494.16
3/31/1997 11992 11981.75
4/30/1997 12595.6 12696.41
5/31/1997 13360.2 13468.84
6/30/1997 13953.7 14071.9
7/31/1997 15060.4 15190.96
8/31/1997 14416.5 14340.57
9/30/1997 15191.1 15125.51
10/31/1997 14637.8 14620.93
11/30/1997 15060.4 15297.21
12/31/1997 15432.6 15559.73
1/31/1998 15482.9 15731.66
2/28/1998 16700.2 16865.64
3/31/1998 17495 17728.61
4/30/1998 17786.7 17906.88
5/31/1998 17233.4 17599.52
6/30/1998 17877.3 18313.87
7/31/1998 17454.7 18119.35
8/31/1998 14909.5 15502.36
9/30/1998 15855.1 16495.49
10/31/1998 16971.8 17836.06
11/30/1998 17847.1 18916.62
12/31/1998 19215.3 20005.97
1/31/1999 19758.6 20842.24
2/28/1999 19185.1 20194.58
3/31/1999 19748.5 21002.34
4/30/1999 20271.6 21815.64
5/31/1999 19869.2 21301.22
6/30/1999 20814.9 22482.44
7/31/1999 20090.5 21781.11
8/31/1999 19829 21673.28
9/30/1999 19185.1 21079.86
10/31/1999 20362.2 22413.23
11/30/1999 20845.1 22868.82
12/31/1999 22323.9 24214.91
1/31/2000 21549.3 22998.44
2/29/2000 22002 22563.54
3/31/2000 23591.5 24769.49
4/30/2000 23179.1 24024.54
5/31/2000 22756.5 23531.37
6/30/2000 23400.4 24111.59
7/31/2000 22987.9 23734.97
8/31/2000 24497 25208.42
9/30/2000 23712.3 23877.92
10/31/2000 23742.5 23776.63
11/30/2000 22142.9 21903.46
12/31/2000 22827 22010.92
1/31/2001 23088.5 22791.37
2/28/2001 21529.2 20714.55
3/31/2001 20181.1 19403.01
4/30/2001 21509.1 20909.63
5/31/2001 21760.6 21049.9
6/30/2001 21267.6 20537.76
7/31/2001 21036.2 20335.51
8/31/2001 19989.9 19063.75
9/30/2001 18299.8 17524.43
10/31/2001 18541.2 17858.79
11/30/2001 19979.9 19228.34
12/31/2001 20392.4 19396.89
1/31/2002 20080.5 19113.99
2/28/2002 19738.4 18745.29
3/31/2002 20513.1 19450.38
4/30/2002 19647.9 18271.66
5/31/2002 19507 18137.53
6/30/2002 18068.4 16846.04
7/31/2002 16619.7 15533.2
8/31/2002 16740.4 15634.89
9/30/2002 15291.8 13937.22
10/31/2002 16307.8 15162.76
11/30/2002 17042.3 16054.35
12/31/2002 16227.4 15111.68
1/31/2003 15674 14716.57
2/28/2003 15352.1 14495.43
3/31/2003 15432.6 14635.78
4/30/2003 16569.4 15840.77
5/31/2003 17334 16674.58
6/30/2003 17454.7 16887.6
7/31/2003 17766.6 17185.49
8/31/2003 18108.7 17519.98
9/30/2003 17827 17334.48
10/31/2003 18843.1 18314.59
11/30/2003 19084.5 18475.54
12/31/2003 19879.3 19443.8
1/31/2004 20100.6 19800.62
2/29/2004 20452.7 20075.77
3/31/2004 20251.5 19772.93
4/30/2004 19969.8 19462.94
5/31/2004 20191.1 19729.49
6/30/2004 20452.7 20113.02
7/31/2004 19718.3 19447.41
8/31/2004 19728.4 19525.53
9/30/2004 19979.9 19736.86
10/31/2004 20181.1 20038.39
11/30/2004 20965.8 20848.91
12/31/2004 21568.5 21558.15
</Table>
** SOURCE: THOMSON FINANCIAL. CLASS A AND CLASS B OF THE FUND COMMENCED
NVESTMENT OPERATIONS ON 3/28/96.
A $10,000 HYPOTHETICAL INVESTMENT ON 8/2/96 AT NET ASSET VALUE IN CLASS C
SHARES WOULD HAVE BEEN VALUED AT $20,585 ON DECEMBER 31, 2004. A $10,000
HYPOTHETICAL INVESTMENT ON 7/2/99 AT NET ASSET VALUE IN CLASS I SHARES
WOULD HAVE BEEN VALUED AT $10,891 ON DECEMBER 31, 2004. A $10,000
HYPOTHETICAL INVESTMENT ON 5/14/99 AT NET ASSET VALUE IN CLASS S SHARES
WOULD HAVE BEEN VALUED AT $10,939 ON DECEMBER 31, 2004.
IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX. THE INDEX'S TOTAL RETURN
DOES NOT REFLECT ANY COMMISSIONS OR EXPENSES THAT WOULD HAVE BEEN INCURRED
IF AN INVESTOR INDIVIDUALLY PURCHASED OR SOLD THE SECURITIES REPRESENTED IN
THE INDEX.
4
<Page>
"RETURN BEFORE TAXES" DOES NOT TAKE INTO CONSIDERATION SHAREHOLDER TAXES. IT IS
MOST RELEVANT TO TAX-FREE OR TAX-DEFERRED SHAREHOLDER ACCOUNTS. "RETURN AFTER
TAXES ON DISTRIBUTIONS" REFLECTS THE IMPACT OF FEDERAL INCOME TAXES DUE ON FUND
DISTRIBUTIONS OF DIVIDENDS AND CAPITAL GAINS. IT IS MOST RELEVANT TO TAXPAYING
SHAREHOLDERS WHO CONTINUE TO HOLD THEIR SHARES. "RETURN AFTER TAXES ON
DISTRIBUTIONS AND SALE OF FUND SHARES" ALSO REFLECTS THE IMPACT OF TAXES ON
CAPITAL GAIN OR LOSS REALIZED UPON A SALE OF SHARES. IT IS MOST RELEVANT TO
TAXPAYING SHAREHOLDERS WHO SELL THEIR SHARES.
AVERAGE ANNUAL TOTAL RETURNS (FOR THE PERIODS ENDED DECEMBER 31, 2004)
RETURNS AT NET ASSET VALUE (NAV) (CLASS A)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 9.30% 0.06% 9.91%
Return After Taxes on Distributions 9.16% 0.02% 9.88%
Return After Taxes on Distributions 6.22% 0.05% 8.80%
and Sale of Fund Shares
</Table>
RETURNS AT PUBLIC OFFERING PRICE (POP) (CLASS A)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 3.00% -1.12% 9.17%
Return After Taxes on Distributions 2.88% -1.16% 9.14%
Return After Taxes on Distributions 2.12% -0.95% 8.12%
and Sale of Fund Shares
</Table>
AVERAGE ANNUAL TOTAL RETURNS (FOR THE PERIODS ENDED DECEMBER 31, 2004)
RETURNS AT NET ASSET VALUE (NAV) (CLASS B)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 8.50% -0.69% 9.10%
Return After Taxes on Distributions 8.49% -0.69% 9.10%
Return After Taxes on Distributions 5.53% -0.58% 8.06%
and Sale of Fund Shares
</Table>
RETURNS AT PUBLIC OFFERING PRICE (POP) (CLASS B)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 3.50% -1.09% 9.10%
Return After Taxes on Distributions 3.49% -1.09% 9.10%
Return After Taxes on Distributions 2.28% -0.92% 8.06%
and Sale of Fund Shares
</Table>
AVERAGE ANNUAL TOTAL RETURNS (FOR THE PERIODS ENDED DECEMBER 31, 2004)
RETURNS AT NET ASSET VALUE (NAV) (CLASS C)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 8.52% -0.70% 8.95%
Return After Taxes on Distributions 8.50% -0.70% 8.95%
Return After Taxes on Distributions 5.56% -0.59% 7.92%
and Sale of Fund Shares
</Table>
RETURNS AT PUBLIC OFFERING PRICE (POP) (CLASS C)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 7.52% -0.70% 8.95%
Return After Taxes on Distributions 7.50% -0.70% 8.95%
Return After Taxes on Distributions 4.91% -0.59% 7.92%
and Sale of Fund Shares
</Table>
RETURNS AT NET ASSET VALUE (NAV) (CLASS I)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 9.58% 0.41% 1.56%
Return After Taxes on Distributions 9.22% 0.33% 1.49%
Return After Taxes on Distributions 6.71% 0.35% 1.33%
and Sale of Fund Shares
</Table>
RETURNS AT NET ASSET VALUE (NAV) (CLASS S)
<Table>
<Caption>
ONE YEAR FIVE YEARS LIFE OF FUND
Return Before Taxes 9.54% 0.19% 1.60%
Return After Taxes on Distributions 9.40% 0.16% 1.57%
Return After Taxes on Distributions 6.38% 0.16% 1.37%
and Sale of Fund Shares
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN QUOTED. FOR PERFORMANCE AS OF THE MOST RECENT MONTH-END,
PLEASE REFER TO www.eatonvance.com.
Class A and Class B of the Fund commenced investment operations 3/28/96, Class C
commenced operations on 8/2/96, Class I commenced operations on 7/2/99, and
Class S commenced operations on 5/14/99. Returns at Public Offering Price (POP)
reflect the deduction of the maximum initial sales charge and applicable CDSC,
while Returns at Net Asset Value (NAV) do not.
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 shares
in tax-deferred accounts or to shares held by non-taxable entities. 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.
5
<Page>
FUND EXPENSES
EXAMPLE: As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases and redemption
fees (if applicable); and (2) ongoing costs, including management fees;
distribution or service fees; and other Fund expenses. This Example is intended
to help you understand your ongoing costs (in dollars) of investing in the Fund
and to compare these costs with the ongoing costs of investing in other mutual
funds. The Example is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (July 1, 2004 - December 31, 2004).
ACTUAL EXPENSES: The first section of the table below provides information about
actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line under the heading entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES: The second section of the table
below provides information about hypothetical account values and hypothetical
expenses based on the actual Fund expense ratio and an assumed rate of return of
5% per year (before expenses), which is not the actual return of the Fund. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in your Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption fees (if applicable). Therefore, the second
section of the table is useful in comparing ongoing costs only, and will not
help you determine the relative total costs of owning different funds. In
addition, if these transactional costs were included, your costs would have been
higher.
EATON VANCE TAX-MANAGED GROWTH FUND 1.1
<Table>
<Caption>
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
(7/1/04) (12/31/04) (7/1/04 - 12/31/04)
- -----------------------------------------------------------------------------------------------------------------
ACTUAL
Class A $ 1,000.00 $ 1,058.34 $ 4.14
Class B $ 1,000.00 $ 1,054.55 $ 8.01
Class C $ 1,000.00 $ 1,054.58 $ 8.01
Class I $ 1,000.00 $ 1,059.44 $ 2.85
Class S $ 1,000.00 $ 1,059.86 $ 3.05
- -----------------------------------------------------------------------------------------------------------------
HYPOTHETICAL
(5% return per year before expenses)
Class A $ 1,000.00 $ 1,021.10 $ 4.06
Class B $ 1,000.00 $ 1,017.30 $ 7.86
Class C $ 1,000.00 $ 1,017.30 $ 7.86
Class I $ 1,000.00 $ 1,022.40 $ 2.80
Class S $ 1,000.00 $ 1,022.20 $ 3.00
</Table>
* Expenses are equal to the Fund's annualized expense ratio of 0.80% for
Class A shares, 1.55% for Class B shares, 1.55% for Class C shares, 0.55%
for Class I shares, and 0.59% for Class S shares multiplied by the average
account value over the period, multiplied by 184/366 (to reflect the
one-half year period). The example assumes that the $1,000 was invested at
the net asset value per share determined at the close of business on June
30, 2004. The Example reflects the expenses of both the Fund and the
Portfolio.
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.1 as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2004
<Table>
ASSETS
Investment in Tax-Managed Growth Portfolio, at value
(identified cost, $1,903,949,250) $ 3,800,766,589
Receivable for Fund shares sold 392,347
- --------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 3,801,158,936
- --------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for Fund shares redeemed $ 5,670,147
Payable to affiliate for distribution and service fees 143,847
Payable to affiliate for Trustees' fees 663
Accrued expenses 644,869
- --------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 6,459,526
- --------------------------------------------------------------------------------------------------------
NET ASSETS $ 3,794,699,410
- --------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Paid-in capital $ 2,509,612,786
Accumulated net realized loss from Portfolio (computed on
the basis of identified cost) (611,761,121)
Accumulated undistributed net investment income 30,406
Net unrealized appreciation from Portfolio (computed on
the basis of identified cost) 1,896,817,339
- --------------------------------------------------------------------------------------------------------
TOTAL $ 3,794,699,410
- --------------------------------------------------------------------------------------------------------
CLASS A SHARES
NET ASSETS $ 1,024,002,143
SHARES OUTSTANDING 45,400,268
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 22.55
MAXIMUM OFFERING PRICE PER SHARE
(100 DIVIDED BY 94.25 of $22.55) $ 23.93
- --------------------------------------------------------------------------------------------------------
CLASS B SHARES
NET ASSETS $ 1,991,318,198
SHARES OUTSTANDING 92,906,722
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 21.43
- --------------------------------------------------------------------------------------------------------
CLASS C SHARES
NET ASSETS $ 744,512,065
SHARES OUTSTANDING 36,214,323
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 20.56
- --------------------------------------------------------------------------------------------------------
CLASS I SHARES
NET ASSETS $ 709,119
SHARES OUTSTANDING 66,910
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 10.60
- --------------------------------------------------------------------------------------------------------
CLASS S SHARES
NET ASSETS $ 34,157,885
SHARES OUTSTANDING 1,506,281
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 22.68
- --------------------------------------------------------------------------------------------------------
</Table>
On sales of $50,000 or more, the offering price of Class A shares is reduced.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED
DECEMBER 31, 2004
<Table>
INVESTMENT INCOME
Dividends allocated from Portfolio (net of foreign taxes, $830,926) $ 63,072,707
Interest allocated from Portfolio 249,557
Expenses allocated from Portfolio (17,511,342)
- --------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME FROM PORTFOLIO $ 45,810,922
- --------------------------------------------------------------------------------------------------------
EXPENSES
Trustees' fees and expenses $ 2,831
Distribution and service fees
Class A 2,466,290
Class B 21,211,837
Class C 7,672,423
Class S 67,945
Transfer and dividend disbursing agent fees 3,572,063
Printing and postage 117,436
Registration fees 91,158
Legal and accounting services 88,726
Custodian fee 38,638
Miscellaneous 197,513
- --------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 35,526,860
- --------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 10,284,062
- --------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) FROM PORTFOLIO
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (129,131,468)
Foreign currency transactions 13,276
- --------------------------------------------------------------------------------------------------------
NET REALIZED LOSS $ (129,118,192)
- --------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 440,883,544
Securities sold short (5,163,589)
Foreign currency 16,420
- --------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 435,736,375
- --------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 306,618,183
- --------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 316,902,245
- --------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
7
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
INCREASE (DECREASE) YEAR ENDED YEAR ENDED
IN NET ASSETS DECEMBER 31, 2004 DECEMBER 31, 2003
- -----------------------------------------------------------------------------------------
From operations --
Net investment income $ 10,284,062 $ 3,746,307
Net realized loss from investment
transactions, securities sold short
and foreign currency transactions (129,118,192) (130,476,634)
Net change in unrealized
appreciation (depreciation) of
investments, securities sold short
and foreign currency 435,736,375 930,959,645
- -----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 316,902,245 $ 804,229,318
- -----------------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income
Class A $ (8,234,185) $ (3,586,020)
Class B (838,654) --
Class C (914,518) --
Class I (15,675) (3,221)
Class S (286,202) (156,181)
- -----------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS $ (10,289,234) $ (3,745,422)
- -----------------------------------------------------------------------------------------
Transactions in shares of beneficial interest --
Proceeds from sale of shares
Class A $ 24,144,109 $ 29,725,051
Class B 19,207,252 35,315,466
Class C 14,965,506 20,454,177
Class I 63,850 30,735
Net asset value of shares issued to
shareholders in payment of
distributions declared
Class A 6,838,508 3,053,149
Class B 661,263 --
Class C 666,097 --
Class I 5,655 1,228
Class S 52,476 49,371
Cost of shares redeemed
Class A (197,074,531) (202,049,652)
Class B (386,649,026) (373,706,441)
Class C (149,724,519) (146,669,341)
Class I (86,082) (55,095)
Class S (3,980,540) (6,596,838)
Net asset value of shares exchanged
Class A 127,057,392 --
Class B (127,057,392) --
- -----------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
FUND SHARE TRANSACTIONS $ (670,909,982) $ (640,448,190)
- -----------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS $ (364,296,971) $ 160,035,706
- -----------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 4,158,996,381 $ 3,998,960,675
- -----------------------------------------------------------------------------------------
AT END OF YEAR $ 3,794,699,410 $ 4,158,996,381
- -----------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
AT END OF YEAR $ 30,406 $ 780
- -----------------------------------------------------------------------------------------
</Table>
See Notes to financial statements
8
<Page>
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
CLASS A
------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value--Beginning of year $ 20.800 $ 16.920 $ 21.100 $ 23.440 $ 22.750
- --------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income(1) $ 0.175 $ 0.120 $ 0.091 $ 0.062 $ 0.083
Net realized and unrealized gain (loss) 1.757 3.836 (4.271) (2.402) 0.607
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 1.932 $ 3.956 $ (4.180) $ (2.340) $ 0.690
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.182) $ (0.076) $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.182) $ (0.076) $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE--END OF YEAR $ 22.550 $ 20.800 $ 16.920 $ 21.100 $ 23.440
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(2) 9.30% 23.39% (19.81)% (9.98)% 3.03%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 1,024,002 $ 982,531 $ 958,625 $ 1,526,735 $ 1,698,289
Ratios (As a percentage of average daily net assets):
Expenses(3) 0.80% 0.85% 0.81% 0.79% 0.77%
Expenses after custodian fee reduction(3) 0.80% -- -- -- --
Net investment income 0.82% 0.66% 0.48% 0.29% 0.35%
Portfolio Turnover of the Portfolio 3% 15% 23% 18% 13%
- --------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(3) 0.80% -- -- -- --
Expenses after custodian fee reduction(3) 0.80% -- -- -- --
Net investment income 0.82% -- -- -- --
Net investment income per share $ 0.175 -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income per share was computed using average shares
outstanding.
(2) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested.
(3) Includes the Fund's share of the Portfolio's allocated expenses.
See notes to financial statements
9
<Page>
<Table>
<Caption>
CLASS B
------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value--Beginning of year $ 19.760 $ 16.130 $ 20.270 $ 22.690 $ 22.190
- --------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income (loss)(1) $ 0.012 $ (0.016) $ (0.048) $ (0.095) $ (0.092)
Net realized and unrealized gain (loss) 1.667 3.646 (4.092) (2.325) 0.592
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 1.679 $ 3.630 $ (4.140) $ (2.420) $ 0.500
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.009) $ -- $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.009) $ -- $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE--END OF YEAR $ 21.430 $ 19.760 $ 16.130 $ 20.270 $ 22.690
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(2) 8.50% 22.50% (20.42)% (10.67)% 2.25%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 1,991,318 $ 2,321,779 $ 2,217,673 $ 3,381,103 $ 3,951,916
Ratios (As a percentage of average daily net assets):
Expenses(3) 1.55% 1.60% 1.56% 1.54% 1.53%
Expenses after custodian fee reduction(3) 1.55% -- -- -- --
Net investment income (loss) 0.06% (0.09)% (0.27)% (0.46)% (0.40)%
Portfolio Turnover of the Portfolio 3% 15% 23% 18% 13%
- --------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(3) 1.55% -- -- -- --
Expenses after custodian fee reduction(3) 1.55% -- -- -- --
Net investment income 0.06% -- -- -- --
Net investment income per share $ 0.012 -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income (loss) per share was computed using average shares
outstanding.
(2) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested.
(3) Includes the Fund's share of the Portfolio's allocated expenses.
See notes to financial statements
10
<Page>
<Table>
<Caption>
CLASS C
------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value--Beginning of year $ 18.970 $ 15.490 $ 19.460 $ 21.800 $ 21.320
- --------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income (loss)(1) $ 0.013 $ (0.015) $ (0.046) $ (0.092) $ (0.091)
Net realized and unrealized gain (loss) 1.602 3.495 (3.924) (2.248) 0.571
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 1.615 $ 3.480 $ (3.970) $ (2.340) $ 0.480
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.025) $ -- $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.025) $ -- $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE--END OF YEAR $ 20.560 $ 18.970 $ 15.490 $ 19.460 $ 21.800
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(2) 8.52% 22.47% (20.40)% (10.73)% 2.25%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 744,512 $ 818,715 $ 787,374 $ 1,228,899 $ 1,384,535
Ratios (As a percentage of average daily net assets):
Expenses(3) 1.55% 1.60% 1.56% 1.54% 1.54%
Expenses after custodian fee reduction(3) 1.55%
Net investment income (loss) 0.07% (0.09)% (0.27)% (0.46)% (0.41)%
Portfolio Turnover of the Portfolio 3% 15% 23% 18% 13%
- --------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(3) 1.55% -- -- -- --
Expenses after custodian fee reduction(3) 1.55% -- -- -- --
Net investment income 0.07% -- -- -- --
Net investment income per share $ 0.013 -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income (loss) per share was computed using average shares
outstanding.
(2) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested.
(3) Includes the Fund's share of the Portfolio's allocated expenses.
See notes to financial statements
11
<Page>
<Table>
<Caption>
CLASS I
------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value--Beginning of year $ 9.890 $ 8.030 $ 9.990 $ 11.020 $ 10.670
- --------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income(1) $ 0.109 $ 0.079 $ 0.066 $ 0.055 $ 0.068
Net realized and unrealized gain (loss) 0.837 1.828 (2.026) (1.085) 0.282
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.946 $ 1.907 $ (1.960) $ (1.030) $ 0.350
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.236) $ (0.047) $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.236) $ 0.047 $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE--END OF YEAR $ 10.600 $ 9.890 $ 8.030 $ 9.990 $ 11.020
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(2) 9.58% 23.76% (19.62)% (9.35)% 3.28%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 709 $ 679 $ 575 $ 720 $ 438
Ratios (As a percentage of average daily net assets):
Expenses(3) 0.55% 0.60% 0.56% 0.54% 0.54%
Expenses after custodian fee reduction(3) 0.55% -- -- -- --
Net investment income 1.08% 0.91% 0.75% 0.55% 0.61%
Portfolio Turnover of the Portfolio 3% 15% 23% 18% 13%
- --------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(3) 0.55% -- -- -- --
Expenses after custodian fee reduction(3) 0.55% -- -- -- --
Net investment income 1.08% -- -- -- --
Net investment income per share $ 0.109 -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income per share was computed using average shares
outstanding.
(2) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested.
(3) Includes the Fund's share of the Portfolio's allocated expenses.
See notes to financial statements
12
<Page>
<Table>
<Caption>
CLASS S
------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value-- Beginning of year $ 20.880 $ 16.970 $ 21.150 $ 23.470 $ 22.750
- --------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income(1) $ 0.211 $ 0.144 $ 0.111 $ 0.090 $ 0.107
Net realized and unrealized gain (loss) 1.779 3.857 (4.291) (2.410) 0.613
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 1.990 $ 4.001 $ (4.180) $ (2.320) $ 0.720
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.190) $ (0.091) $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.190) $ (0.091) $ -- $ -- $ --
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE END OF YEAR $ 22.680 $ 20.880 $ 16.970 $ 21.150 $ 23.470
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(2) 9.54% 23.58% (19.76)% (9.88)% 3.16%
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 34,158 $ 35,292 $ 34,713 $ 47,802 $ 56,798
Ratios (As a percentage of average daily net assets):
Expenses(3) 0.64% 0.71% 0.71% 0.66% 0.67%
Expenses after custodian fee reduction(3) 0.64% -- -- -- --
Net investment income 0.99% 0.79% 0.59% 0.42% 0.45%
Portfolio Turnover of the Portfolio 3% 15% 23% 18% 13%
- --------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses(3) 0.64% -- -- -- --
Expenses after custodian fee reduction(3) 0.64% -- -- -- --
Net investment income 0.99% -- -- -- --
Net investment income per share $ 0.211 -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Net investment income per share was computed using average shares
outstanding.
(2) Returns are historical and are calculated by determining the percentage
change in net asset value with all distributions reinvested.
(3) Includes the Fund's share of the Portfolio's allocated expenses.
See notes to financial statements
13
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.1 as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Tax-Managed Growth Fund 1.1 (the Fund) is a diversified series of
Eaton Vance Mutual Funds 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 has five classes of shares. Class A shares are generally sold
subject to a sales charge imposed at the time of purchase. Class B and Class C
shares are sold at net asset value and are subject to a contingent deferred
sales charge (see Note 6). Class I shares are sold at net asset value and are
not subject to a sales charge. Class S shares were issued in connection with the
acquisition of a private investment company and are exempt from registration
under the Securities Act of 1933. The Trustees have adopted a conversion feature
pursuant to which Class B shares of the Fund automatically convert to Class A
shares eight years after their purchase as described in the Fund's prospectus.
Each class represents a pro rata interest in the Fund, but votes separately on
class-specific matters and (as noted below) is subject to different expenses.
Realized and unrealized gains and losses and net investment income, other than
class-specific expenses, are allocated daily to each class of shares based on
the relative net assets of each class to the total net assets of the Fund. Each
class of shares differs in its distribution plan and certain other
class-specific expenses. 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 (19.9% at December 31, 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 fund.
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. At
December 31, 2004, the Fund, for federal income tax purposes, had a capital loss
carryover of $219,675,423 which will reduce taxable income arising from future
net realized gains on investments, if any, to the extent permitted by the
Internal Revenue Code, and thus will reduce the amount of distributions to
shareholders which would otherwise be necessary to relieve the Fund of any
liability for federal income or excise tax. Such capital loss carryover will
expire on December 31, 2010 ($99,588,672) and December 31, 2009 ($120,086,751).
E EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as a
custodian to the Fund and the Portfolio. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by credits which are determined based on
average daily cash balances the Fund or the Portfolio maintains with IBT. All
credit balances used to reduce the Fund's custodian fees are reported as a
reduction of total expenses in the Statement of Operations.
F OTHER -- Investment transactions are accounted for on a trade-date basis.
Dividends to shareholders are recorded on the ex-dividend date.
G 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
14
<Page>
is unknown as this would involve future claims that may be made against the Fund
that have not yet occurred.
H 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.
2 DISTRIBUTIONS TO SHAREHOLDERS
The Fund's policy is to distribute annually (normally in December) substantially
all of the net investment income allocated to the Fund by the Portfolio (less
the Fund's direct expenses) and to distribute annually 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 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 reclassified to paid-in
capital.
During the year ended December 31, 2004, accumulated paid-in capital was
decreased by $170,889,313, accumulated distributions in excess of net investment
income were decreased by $34,798, and accumulated net realized loss was
decreased by $170,854,515 primarily due to differences between book and tax
accounting treatment of foreign currency gain (loss) and redemptions in-kind.
This change had no effect on the net assets or the net asset value per share.
As of December 31, 2004, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
<Table>
Capital loss carryforwards $ (219,675,423)
Unrealized appreciation $ 1,504,731,641
Accumulated undistributed net investment income $ 30,406
</Table>
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>
YEAR ENDED DECEMBER 31,
---------------------------
CLASS A 2004 2003
- -----------------------------------------------------------------
Sales 1,137,659 1,627,466
Issued to shareholders electing to
receive payments of distributions
in Fund shares 305,284 148,644
Redemptions (9,278,071) (11,213,392)
Exchanges from Class B shares 6,001,886 --
- -----------------------------------------------------------------
NET DECREASE (1,833,242) (9,437,282)
- -----------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
---------------------------
CLASS B 2004 2003
- -----------------------------------------------------------------
Sales 955,057 2,047,870
Issued to shareholders electing to
receive payments of distributions
in Fund shares 31,060 --
Redemptions (19,227,239) (22,027,706)
Exchanges to Class A shares (6,340,627) --
- -----------------------------------------------------------------
NET DECREASE (24,581,749) (19,979,836)
- -----------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
---------------------------
CLASS C 2004 2003
- -----------------------------------------------------------------
Sales 773,069 1,238,332
Issued to shareholders electing to
receive payments of distributions
in Fund shares 32,620 --
Redemptions (7,747,474) (8,925,247)
- -----------------------------------------------------------------
NET DECREASE (6,941,785) (7,686,915)
- -----------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
---------------------------
CLASS I 2004 2003
- -----------------------------------------------------------------
Sales 6,173 3,579
Issued to shareholders electing to
receive payments of distributions
in Fund shares 537 126
Redemptions (8,500) (6,640)
- -----------------------------------------------------------------
NET DECREASE (1,790) (2,935)
- -----------------------------------------------------------------
</Table>
15
<Page>
<Table>
<Caption>
YEAR ENDED DECEMBER 31,
---------------------------
CLASS S 2004 2003
- -----------------------------------------------------------------
Issued to shareholders electing to
receive payments of distributions
in Fund shares 2,330 2,394
Redemptions (185,951) (357,707)
- -----------------------------------------------------------------
NET DECREASE (183,621) (355,313)
- -----------------------------------------------------------------
</Table>
4 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 on actual expenses incurred by EVM for the
performance of these services. For the year ended December 31, 2004, EVM earned
$320,192 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 their annual fees in accordance with the terms of the
Trustees Deferred Compensation Plan. For the year ended December 31, 2004, no
significant amounts have been deferred.
Eaton Vance Distributors, Inc. (EVD), a subsidiary of EVM and the Fund's
principal underwriter, received $54,542 as its portion of the sales charge on
sales of Class A shares for the year ended December 31, 2004.
Certain officers and Trustees of the Fund and the Portfolio are officers of the
above organizations.
5 DISTRIBUTION AND SERVICE PLAN
The Fund has in effect distribution plans for Class B shares (Class B Plan) and
Class C shares (Class C Plan) pursuant to Rule 12b-1 under the Investment
Company Act of 1940 and a service plan for Class A shares (Class A Plan)
(collectively, the Plans). The Plans require the Fund to pay EVD amounts equal
to 1/365 of 0.75% of the Fund's average daily net assets attributable to Class B
and Class C shares for providing ongoing distribution services and facilities to
the Fund. The Fund will automatically discontinue payments to EVD during any
period in which there are no outstanding Uncovered Distribution Charges, which
are equivalent to the sum of (i) 5% and 6.25% of the aggregate amount received
by the Fund for the Class B and Class C shares sold, respectively, plus (ii)
interest calculated by applying the rate of 1% over the prevailing prime rate to
the outstanding balance of Uncovered Distribution Charges of EVD of each
respective class, reduced by the aggregate amount of contingent deferred sales
charges (see Note 6) and daily amounts theretofore paid to EVD by each
respective class. The Fund paid or accrued $15,908,878 and $5,754,317 for Class
B and Class C shares, respectively, to or payable to EVD for the year ended
December 31, 2004, representing 0.75% of the average daily net assets for Class
B and Class C shares. At December 31, 2004, the amount of Uncovered Distribution
Charges EVD calculated under the Plan were approximately $52,994,000 and
$85,744,000 for Class B and Class C shares, respectively.
The Plans authorize the Fund to make payments of service fees to EVD, investment
dealers and other persons in amounts not exceeding 0.25% of the Fund's average
daily net assets attributable to Class A, Class B, and Class C shares for any
fiscal year. Service fee payments will be made for personal services and/or the
maintenance of shareholder accounts. Service fees are separate and distinct from
the sales commissions and distribution fees payable by the Fund to EVD and, as
such, are not subject to automatic discontinuance when there are no outstanding
Uncovered Distribution Charges of EVD. Service fees paid or accrued for the year
ended December 31, 2004 amounted to $2,466,290, $5,302,959, and $1,918,106 for
Class A, Class B, and Class C shares, respectively.
Pursuant to a servicing agreement, the Fund makes service fee payments in the
amount of 0.20% of the Fund's average daily net assets attributable to Class S
shares to EVD, one half of which is paid to a subagent. The Fund paid or accrued
service fees to or payable to EVD for the year ended December 31, 2004 in the
amount of $67,945.
6 CONTINGENT DEFERRED SALES CHARGE
A contingent deferred sales charge (CDSC) is generally imposed on any redemption
of Class B shares made within six years of purchase and on any redemption of
Class C shares made within one year of purchase. Generally, the CDSC is based
upon the lower of the net asset value at date of redemption or date of purchase.
No charge is levied on shares acquired by reinvestment of dividends or capital
gains distributions. Class A shares may be subject to a 1% CDSC if redeemed
within one year of purchase (depending
16
<Page>
on the circumstances of purchase). Class B CDSC is imposed at declining rates
that begin at 5% in the case of redemptions in the first and second year after
purchase, declining one percentage point each subsequent year. Class C shares
will be subject to a 1% CDSC if redeemed within one year of purchase.
No CDSC is levied on shares which have been sold to EVM, its affiliates or to
their respective employees or clients and may be waived under certain other
limited conditions. CDSC pertaining to Class B and Class C shares are paid to
EVD to reduce the amount of Uncovered Distribution Charges calculated under the
Plans (see Note 5). CDSC assessed on Class B and Class C shares received when no
Uncovered Distribution Charges exist will be credited to the Fund. EVD received
approximately $22,000, $3,448,000 and $14,000 of CDSC paid by shareholders for
Class A, Class B and Class C shares, respectively, for the year ended December
31, 2004.
7 INVESTMENT TRANSACTIONS
Increases and decreases in the Fund's investment in the Portfolio aggregated
$58,663,337 and $779,880,807, respectively, for the year ended December 31,
2004.
17
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.1 as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES OF EATON VANCE MUTUAL FUNDS TRUST AND SHAREHOLDERS OF EATON
VANCE TAX-MANAGED GROWTH FUND 1.1:
We have audited the accompanying statement of assets and liabilities of Eaton
Vance Tax-Managed Growth Fund 1.1 (the Fund) (one of the series constituting
Eaton Vance Mutual Funds Trust) as of December 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 financial
highlights for each of the five years in the period then ended. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the 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 are free of material misstatement. An audit includes consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Eaton Vance
Tax-Managed Growth Fund 1.1 at December 31, 2004, the results of its operations
for the year then ended, the changes in its net assets for each of the two years
in the period then ended, and its financial highlights for the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 18, 2005
18
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.1 as of December 31, 2004
FEDERAL TAX INFORMATION (UNAUDITED)
The Form 1099-DIV you received in January 2005 showed 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 and the
dividends received deduction for corporations.
QUALIFIED DIVIDEND INCOME. The Fund designates approximately 100%, 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%.
DIVIDENDS RECEIVED DEDUCTION. Corporate shareholders are generally entitled to
take the dividends received deduction on the portion of the Fund's dividend
distribution that qualified under tax law. For the Fund's fiscal 2004 ordinary
income dividends, 100% qualified for the corporate dividends received deduction.
19
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
PORTFOLIO OF INVESTMENTS
COMMON STOCKS -- 99.8%
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE--2.8%
Boeing Company (The) 796,801 $ 41,250,388
General Dynamics 735,000 76,881,000
Honeywell International, Inc. 277,798 9,836,827
Northrop Grumman Corp. 3,497,103 190,102,519
Raytheon Company 340,663 13,227,944
Rockwell Collins, Inc. 190,614 7,517,816
Teledyne Technologies Incorporated(1) 6,117 180,023
United Technologies Corp. 1,897,601 196,117,063
- ---------------------------------------------------------------------------------------------------------
$ 535,113,580
- ---------------------------------------------------------------------------------------------------------
AIR FREIGHT AND LOGISTICS -- 2.9%
FedEx Corporation 2,106,578 $ 207,476,867
Robinson (C.H.) Worldwide, Inc. 1,098,233 60,973,896
United Parcel Service, Inc. Class B 3,401,734 290,712,188
- ---------------------------------------------------------------------------------------------------------
$ 559,162,951
- ---------------------------------------------------------------------------------------------------------
AIRLINES -- 0.0%
Southwest Airlines, Inc. 294,642 $ 4,796,772
- ---------------------------------------------------------------------------------------------------------
$ 4,796,772
- ---------------------------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.2%
ArvinMeritor, Inc. 8,000 $ 178,960
Borg-Warner Automotive, Inc. 381,499 20,665,801
Dana Corp. 25,000 433,250
Delphi Automotive Systems Corp. 6,199 55,915
Johnson Controls, Inc. 234,164 14,855,364
Visteon Corp. 9,828 96,020
- ---------------------------------------------------------------------------------------------------------
$ 36,285,310
- ---------------------------------------------------------------------------------------------------------
AUTOMOBILES -- 0.1%
DaimlerChrysler AG 7,000 $ 336,350
Ford Motor Co. 145,050 2,123,532
General Motors Corp. 13,492 540,490
Harley-Davidson, Inc. 140,700 8,547,525
Honda Motor Co. Ltd. ADR 20,000 521,200
- ---------------------------------------------------------------------------------------------------------
$ 12,069,097
- ---------------------------------------------------------------------------------------------------------
BEVERAGES -- 4.0%
Anheuser-Busch Companies, Inc. 4,421,625 $ 224,309,036
Brown-Forman Corp. Class A 547,732 27,802,876
Brown-Forman Corp. Class B 45,820 $ 2,230,518
Coca-Cola Company (The) 3,442,924 143,328,926
Coca-Cola Enterprises, Inc. 1,756,930 36,631,991
PepsiCo., Inc. 6,267,913 327,185,059
- ---------------------------------------------------------------------------------------------------------
$ 761,488,406
- ---------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.7%
Amgen, Inc.(1) 4,060,747 $ 260,496,920
Applera Corp. - Celera Genomics Group(1) 26,000 357,500
Biogen Idec Inc.(1) 11,200 746,032
Genzyme Corp. - General Division(1) 564,926 32,805,253
Gilead Sciences, Inc.(1) 115,482 4,040,715
Incyte Pharmaceuticals, Inc.(1) 14,294 142,797
Invitrogen Corp.(1) 429,910 28,859,858
Vertex Pharmaceuticals, Inc.(1) 13,000 137,410
- ---------------------------------------------------------------------------------------------------------
$ 327,586,485
- ---------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 1.0%
American Standard Companies, Inc.(1) 977,738 $ 40,400,134
Masco Corporation 4,157,854 151,886,407
Water Pik Technologies(1) 2,141 37,960
- ---------------------------------------------------------------------------------------------------------
$ 192,324,501
- ---------------------------------------------------------------------------------------------------------
CAPITAL MARKETS -- 4.1%
Affiliated Managers Group(1) 20,520 $ 1,390,025
Bank of New York Co., Inc. (The) 402,028 13,435,776
Bear Stearns Companies, Inc. 88,001 9,003,382
Credit Suisse Group(1) 155,136 6,521,607
Federated Investors, Inc. 1,666,768 50,669,747
Franklin Resources, Inc. 1,462,116 101,836,379
Goldman Sachs Group, Inc. 832,738 86,638,062
Investors Financial Services Corp. 453,428 22,662,331
Knight Trading Group, Inc.(1) 1,750,000 19,162,500
Legg Mason, Inc. 26,461 1,938,533
Lehman Brothers Holdings, Inc. 99,493 8,703,648
Mellon Financial Corporation 221,912 6,903,682
Merrill Lynch & Co., Inc. 2,108,147 126,003,946
Morgan Stanley Dean Witter & Co. 4,737,998 263,053,649
Northern Trust Corp. 368,571 17,905,179
Nuveen Investments Class A 150,000 5,920,500
Piper Jaffray Companies, Inc.(1) 41,059 1,968,779
Price (T. Rowe) Group, Inc. 191,743 11,926,415
</Table>
See notes to financial statements
20
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
Raymond James Financial, Inc. 147,337 $ 4,564,500
Schwab (Charles) & Co. 857,261 10,252,842
State Street Corp. 131,670 6,467,630
UBS AG 63,392 5,314,785
Waddell & Reed Financial, Inc., Class A 340,438 8,133,064
- ---------------------------------------------------------------------------------------------------------
$ 790,376,961
- ---------------------------------------------------------------------------------------------------------
CHEMICALS -- 1.0%
Airgas, Inc. 353,715 $ 9,376,985
Arch Chemicals, Inc. 4,950 142,461
Bayer AG ADR 40,000 1,359,200
Dow Chemical Co. (The) 247,183 12,238,030
DuPont (E.I.) de Nemours & Co. 1,328,903 65,182,692
Ecolab, Inc. 258,423 9,078,400
MacDermid, Inc. 61,937 2,235,926
Monsanto Company 19,181 1,065,505
Olin Corp. 9,900 217,998
PPG Industries, Inc. 23,542 1,604,623
Rohm and Haas, Co. 2,601 115,042
RPM, Inc. 70,138 1,378,913
Sigma-Aldrich Corp. 630,897 38,144,033
Solutia Inc.(1) 20,293 23,743
Valspar Corp. 818,316 40,923,983
- ---------------------------------------------------------------------------------------------------------
$ 183,087,534
- ---------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS -- 8.6%
AmSouth Bancorporation 626,715 $ 16,231,919
Associated Banc-Corp 1,061,378 35,248,363
Bank of America Corporation 4,845,034 227,668,148
Bank of Hawaii Corp. 69,735 3,538,354
Bank of Montreal 267,204 12,863,201
Banknorth Group, Inc. 10,000 366,000
BB&T Corp. 1,826,737 76,814,291
Canadian Imperial Bank of Commerce 100,000 6,026,000
City National Corp. 273,260 19,305,819
Colonial Bancgroup, Inc. (The) 253,936 5,391,061
Comerica, Inc. 331,589 20,233,561
Commerce Bancshares, Inc. 155,154 7,788,731
Compass Bancshares, Inc. 301,339 14,666,169
Fifth Third Bancorp 1,355,381 64,082,414
First Citizens BancShares, Inc. 30,600 4,536,450
First Financial Bancorp 47,933 838,828
First Horizon National Corp. 155,551 $ 6,705,804
First Midwest Bancorp, Inc. 815,329 29,588,289
Hibernia Corp. Class A 187,345 5,528,551
HSBC Holdings PLC ADR 592,965 50,485,040
Huntington Bancshares, Inc. 586,532 14,534,263
Keycorp 625,951 21,219,739
M&T Bank Corp. 47,419 5,113,665
Marshall & Ilsley Corp. 629,932 27,842,994
National City Corp. 1,677,060 62,973,603
North Fork Bancorporation, Inc. 1,785,892 51,522,984
PNC Bank Corp. 156,003 8,960,812
Popular, Inc. 1,432 41,285
Regions Financial Corp. 2,282,030 81,217,448
Royal Bank of Canada 349,353 18,669,424
Royal Bank of Scotland Group PLC 50,837 1,707,348
S&T Bancorp, Inc. 100,000 3,769,000
Societe Generale 809,647 81,960,387
Southwest Bancorporation of Texas, Inc. 1,255,140 29,232,211
SunTrust Banks, Inc. 1,307,505 96,598,469
Synovus Financial Corp. 1,345,581 38,456,705
TCF Financial Corporation 72,500 2,330,150
U.S. Bancorp 5,276,270 165,252,776
Valley National Bancorp 164,652 4,552,628
Wachovia Corp. 2,239,760 117,811,376
Wells Fargo & Company 2,391,184 148,612,086
Westamerica Bancorporation 268,474 15,654,719
Whitney Holding Corp. 347,200 15,620,528
Zions Bancorporation 250,076 17,012,670
- ---------------------------------------------------------------------------------------------------------
$ 1,638,574,263
- ---------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 2.0%
Allied Waste Industries, Inc.(1) 1,674,390 $ 15,538,339
Apollo Group, Inc. Class A(1) 18,411 1,485,952
Avery Dennison Corp. 1,157,598 69,421,152
Banta Corp. 42,341 1,895,183
Block (H&R), Inc. 732,354 35,885,346
Cendant Corp. 549,359 12,844,013
Century Business Services, Inc.(1) 185,000 806,600
Cintas Corp. 1,399,270 61,371,982
Consolidated Graphics, Inc.(1) 70,215 3,222,869
Deluxe Corporation 32,000 1,194,560
Donnelley (R.R.) & Sons Co. 91,260 3,220,565
Equifax, Inc. 80,000 2,248,000
</Table>
See notes to financial statements
21
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES (CONTINUED)
Gevity HR, Inc. 78,125 $ 1,606,250
HNI Corp. 1,470,565 63,307,823
Hudson Highland Group, Inc.(1) 11,581 333,533
Ikon Office Solutions, Inc. 83,040 959,942
Imagistics International Inc.(1) 809 27,231
Laureate Education Inc.(1) 520,213 22,936,191
Manpower, Inc. 2,000 96,600
Miller (Herman) Inc. 541,800 14,969,934
Monster Worldwide Inc.(1) 154,426 5,194,891
Navigant Consulting, Inc.(1) 463,017 12,316,252
Pitney Bowes, Inc. 42,343 1,959,634
School Specialty Corp.(1) 49,197 1,897,036
ServiceMaster Co. 1,224,880 16,891,095
Steelcase Inc. 123,000 1,702,320
Waste Management, Inc. 1,145,998 34,311,180
- ---------------------------------------------------------------------------------------------------------
$ 387,644,473
- ---------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.2%
3Com Corp.(1) 873,949 $ 3,644,367
ADC Telecommunications, Inc.(1) 301,164 807,119
Alcatel S.A. ADR(1) 43,728 683,469
Avaya, Inc.(1) 56,571 973,021
Ciena Corp.(1) 380,378 1,270,463
Cisco Systems, Inc.(1) 4,475,139 86,370,183
Comverse Technology, Inc.(1) 375,922 9,191,293
Corning, Inc.(1) 3,645,380 42,906,123
Enterasys Networks, Inc.(1) 55,945 100,701
JDS Uniphase Corp.(1) 52,451 166,270
Lucent Technologies, Inc.(1) 555,464 2,088,545
Motorola, Inc. 980,426 16,863,327
Nokia Corp., Class A, ADR 2,050,478 32,130,990
Nortel Networks Corp.(1) 1,135,030 3,961,255
Qualcomm, Inc. 758,638 32,166,251
Riverstone Networks, Inc.(1) 28,706 30,572
Tellabs, Inc.(1) 110,405 948,379
- ---------------------------------------------------------------------------------------------------------
$ 234,302,328
- ---------------------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.4%
Dell Inc.(1) 4,460,429 $ 187,962,478
EMC Corp.(1) 1,388,652 20,649,255
Gateway, Inc.(1) 95,621 574,682
Hewlett-Packard Co. 1,094,183 22,945,018
International Business Machines Corp. 2,426,216 $ 239,176,373
Lexmark International Group, Inc.(1) 1,804,885 153,415,225
McData Corp., Class A(1) 17,982 107,173
Network Appliance, Inc.(1) 488,000 16,211,360
Palmone, Inc.(1) 65,230 2,058,007
Sun Microsystems, Inc.(1) 366,670 1,972,685
- ---------------------------------------------------------------------------------------------------------
$ 645,072,256
- ---------------------------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 0.1%
Dycom Industries, Inc.(1) 149,711 $ 4,569,180
Jacobs Engineering Group, Inc.(1) 229,985 10,990,983
- ---------------------------------------------------------------------------------------------------------
$ 15,560,163
- ---------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.1%
CRH plc 329,450 $ 8,812,801
Vulcan Materials Company 184,512 10,076,200
- ---------------------------------------------------------------------------------------------------------
$ 18,889,001
- ---------------------------------------------------------------------------------------------------------
CONSUMER FINANCE -- 1.2%
American Express Co. 772,583 $ 43,550,504
Capital One Financial Corp. 1,411,152 118,833,110
MBNA Corporation 456,002 12,854,696
Providian Financial Corp.(1) 457,296 7,531,665
SLM Corp. 905,499 48,344,592
- ---------------------------------------------------------------------------------------------------------
$ 231,114,567
- ---------------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
Bemis Co. 295,186 $ 8,586,961
Caraustar Industries, Inc.(1) 167,599 2,819,015
Sealed Air Corp.(1) 37,014 1,971,736
Sonoco Products Co. 160,690 4,764,459
Temple-Inland, Inc. 57,962 3,964,601
- ---------------------------------------------------------------------------------------------------------
$ 22,106,772
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTORS -- 0.1%
Genuine Parts Company 323,060 $ 14,234,024
- ---------------------------------------------------------------------------------------------------------
$ 14,234,024
- ---------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 1.7%
Citigroup Inc. 4,110,278 $ 198,033,194
Finova Group, Inc.(1) 175,587 28,094
</Table>
See notes to financial statements
22
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
ING groep, N.V. ADR 257,281 $ 7,782,750
Moody's Corp. 67,543 5,866,110
Morgan (J.P.) Chase & Co. 2,952,221 115,166,141
- ---------------------------------------------------------------------------------------------------------
$ 326,876,289
- ---------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.1%
Alltel Corp. 1,632,558 $ 95,929,108
AT&T Corp. 495,955 9,452,902
BCE, Inc. 3,400,000 82,042,000
BellSouth Corp. 455,705 12,664,042
Cincinnati Bell Inc.(1) 169,013 701,404
Citizens Communications Co. 13,568 187,103
Deutsche Telekom AG(1) 2,006,790 45,513,997
McLeodUSA(1) 21,974 15,821
PTEK Holdings, Inc.(1) 28,000 299,880
Qwest Communications International, Inc.(1) 59,924 266,063
RSL Communications Ltd.(1)(2) 247,161 0
SBC Communications, Inc. 1,464,924 37,751,091
Sprint Corp. - FON Group 101,903 2,532,290
Talk America Holdings, Inc.(1) 9,703 64,234
Telefonos de Mexico ADR 2,000,000 76,640,000
Verizon Communications 1,050,565 42,558,388
- ---------------------------------------------------------------------------------------------------------
$ 406,618,323
- ---------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 0.3%
Ameren Corp. 5,000 $ 250,700
American Electric Power, Inc. 960 32,966
Exelon Corp. 1,002,000 44,158,140
PG&E Corp.(1) 47,705 1,587,622
Southern Co. (The) 65,985 2,211,817
TECO Energy, Inc. 34,145 523,784
TXU Corp. 250,196 16,152,654
Wisconsin Energy Corp. 9,576 322,807
- ---------------------------------------------------------------------------------------------------------
$ 65,240,490
- ---------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.5%
American Power Conversion Corp. 34,704 $ 742,666
Baldor Electric Co. 149,060 4,103,622
Emerson Electric Co. 1,111,539 77,918,884
Rockwell International Corp. 156,699 7,764,435
Roper Industries, Inc. 23,122 1,405,124
Thomas & Betts Corp.(1) 114,600 3,523,950
- ---------------------------------------------------------------------------------------------------------
$ 95,458,681
- ---------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.7%
Agilent Technologies, Inc.(1) 569,891 $ 13,734,373
Arrow Electronics, Inc.(1) 8,750 212,625
Dionex Corp.(1) 139,750 7,919,633
Flextronics International Ltd.(1) 293,053 4,049,992
Jabil Circuit, Inc.(1) 2,127,971 54,433,498
Molex, Inc., Class A 65,367 1,742,031
National Instruments Corp. 735,687 20,047,471
PerkinElmer, Inc. 254,526 5,724,290
Plexus Corp.(1) 158,108 2,056,985
Sanmina Corp.(1) 1,140,602 9,660,899
Solectron Corporation(1) 1,752,794 9,342,392
X-Rite Incorporated 288,000 4,610,880
- ---------------------------------------------------------------------------------------------------------
$ 133,535,069
- ---------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 0.7%
Baker Hughes, Inc. 457,426 $ 19,518,367
Core Laboratories N.V.(1) 31,290 730,622
Grant Prideco, Inc.(1) 35,444 710,652
Halliburton Company 990,930 38,884,093
National-Oilwell, Inc.(1) 514,062 18,141,248
Schlumberger Ltd. 567,476 37,992,518
Smith International, Inc.(1) 140,000 7,617,400
Transocean Sedco Forex, Inc.(1) 106,247 4,503,810
- ---------------------------------------------------------------------------------------------------------
$ 128,098,710
- ---------------------------------------------------------------------------------------------------------
FOOD AND STAPLES RETAILING -- 2.2%
Albertson's, Inc. 1,022,529 $ 24,417,993
Casey's General Stores, Inc. 89,966 1,632,883
Costco Wholesale Corp. 927,132 44,882,460
CVS Corp. 132,268 5,961,319
Kroger Co. (The)(1) 1,357,551 23,811,445
Safeway, Inc.(1) 1,649,342 32,558,011
Sysco Corp.(2)(3) 30,000 1,143,381
Sysco Corp. 1,749,792 66,789,561
Sysco Corp.(2)(3) 25,000 953,892
Walgreen Co. 800,825 30,727,655
Wal-Mart Stores, Inc. 3,481,821 183,909,785
Winn-Dixie Stores, Inc. 204,622 931,030
- ---------------------------------------------------------------------------------------------------------
$ 417,719,415
- ---------------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 2.8%
Archer-Daniels-Midland Co. 1,143,641 $ 25,514,631
</Table>
See notes to financial statements
23
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
Campbell Soup Co. 1,242,265 $ 37,131,301
Conagra Inc. 1,657,734 48,820,266
Dean Foods Co.(1) 443,988 14,629,405
Del Monte Foods, Co.(1) 99,492 1,096,402
General Mills, Inc. 186,227 9,257,344
Heinz (H.J.) Co. 292,208 11,393,190
Hershey Foods Corp. 507,333 28,177,275
JM Smucker Co. 12,365 582,021
Kellogg Co. 59,640 2,663,522
Kraft Foods, Inc. 465 16,559
McCormick & Co., Inc. 1,624 62,686
Nestle SA 275,000 71,773,953
Sara Lee Corp. 3,789,758 91,484,758
Smithfield Foods, Inc.(1) 4,207,530 124,500,813
Tyson Foods, Inc. 315,272 5,801,005
Wrigley (Wm.) Jr. Company Class A 902,761 62,462,034
- ---------------------------------------------------------------------------------------------------------
$ 535,367,165
- ---------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT AND SUPPLIES -- 1.4%
Advanced Medical Optics(1) 3,558 $ 146,376
Bausch & Lomb, Inc. 29,250 1,885,455
Baxter International, Inc. 221,749 7,659,210
Becton & Dickinson and Co. 64,173 3,645,026
Biomet, Inc. 419,890 18,219,027
Boston Scientific Corporation(1) 1,110,370 39,473,654
Dentsply International, Inc. 10,928 614,154
Edwards Lifesciences Corp.(1) 10,353 427,165
Guidant Corp. 74,638 5,381,400
Hillenbrand Industries, Inc. 586,943 32,598,814
Hospira, Inc.(1) 246,711 8,264,819
Lumenis Ltd.(1) 100,000 193,500
Medtronic, Inc. 2,312,831 114,878,316
St. Jude Medical, Inc.(1) 48,028 2,013,814
Steris Corp.(1) 8,125 192,725
Stryker Corp. 36,741 1,772,753
VISX, Inc.(1) 50,000 1,293,500
Waters Corp.(1) 165,841 7,759,700
Zimmer Holdings, Inc.(1) 285,489 22,873,379
- ---------------------------------------------------------------------------------------------------------
$ 269,292,787
- ---------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS AND SERVICES -- 1.9%
AmerisourceBergen Corp. 141,513 $ 8,303,983
Andrx Group(1) 180,170 $ 3,933,111
Beverly Enterprises, Inc.(1) 357,143 3,267,858
Cardinal Health, Inc. 1,840,995 107,053,859
Caremark Rx, Inc.(1) 701,471 27,659,002
Cigna Corp. 11,836 965,463
Express Scripts, Inc.(1) 26,658 2,037,738
HCA Inc. 140 5,594
Health Management Associates, Inc., Class A 856,502 19,459,725
IDX Systems Corp.(1) 60,000 2,067,600
IMS Health, Inc. 280,530 6,511,101
McKesson HBOC, Inc. 2,631 82,771
Medco Health Solutions, Inc.(1) 170,891 7,109,066
Parexel International Corp.(1) 27,837 565,091
Renal Care Group, Inc.(1) 480,046 17,276,856
Schein (Henry), Corp.(1) 1,188,477 82,765,538
Service Corp. International(1) 142,389 1,060,798
Stewart Enterprises, Inc.(1) 114,000 796,860
Sunrise Assisted Living, Inc.(1) 144,000 6,675,840
Tenet Healthcare Corp.(1) 3,961 43,492
UnitedHealth Group, Inc. 201,976 17,779,947
Ventiv Health, Inc.(1) 160,833 3,268,127
WellPoint Inc.(1) 404,000 46,460,000
- ---------------------------------------------------------------------------------------------------------
$ 365,149,420
- ---------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.9%
Brinker International, Inc.(1) 304,144 $ 10,666,330
Carnival Corporation 565,071 32,565,042
CBRL Group, Inc. 62,047 2,596,667
Darden Restaurants Inc. 184,714 5,123,966
Evans (Bob) Farms, Inc. 51,662 1,350,445
Gaylord Entertainment Co.(1) 428,482 17,794,857
International Game Technology 400,000 13,752,000
International Speedway Corporation 118,344 6,248,563
Jack in the Box, Inc.(1) 500,000 18,435,000
Lone Star Steakhouse & Saloon, Inc. 145,981 4,087,468
Marriott International, Inc. 288,169 18,148,884
McDonald's Corp. 690,866 22,149,164
MGM Grand, Inc.(1) 94,445 6,869,929
Navigant International, Inc.(1) 44,278 538,863
Outback Steakhouse, Inc. 1,641,207 75,134,456
Papa John's International, Inc.(1) 195,330 6,727,165
Royal Caribbean Cruises Ltd. 500,000 27,220,000
Sonic Corp.(1) 159,765 4,872,833
</Table>
See notes to financial statements
24
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE (CONTINUED)
Starbucks Corp.(1) 1,229,375 $ 76,663,825
Yum! Brands, Inc. 236,779 11,171,233
- ---------------------------------------------------------------------------------------------------------
$ 362,116,690
- ---------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.6%
Blyth Industries, Inc. 708,382 $ 20,939,772
D.R. Horton Inc. 468,942 18,903,052
Department 56, Inc.(1) 255,162 4,248,447
Fortune Brands Inc. 128,148 9,890,463
Helen of Troy Ltd.(1) 20,000 672,200
Interface, Inc. Class A(1) 75,467 752,406
Leggett & Platt, Inc. 1,813,805 51,566,476
Maytag Corp. 27,073 571,240
Newell Rubbermaid, Inc. 374,251 9,053,132
Snap-On, Inc. 42,453 1,458,685
- ---------------------------------------------------------------------------------------------------------
$ 118,055,873
- ---------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.7%
Clorox Co. (The) 53,688 $ 3,163,834
Colgate-Palmolive Co. 699,356 35,779,053
Energizer Holdings(1) 168,981 8,396,666
Kimberly-Clark Corp. 1,476,156 97,145,826
Procter & Gamble Co. 3,229,777 177,896,117
- ---------------------------------------------------------------------------------------------------------
$ 322,381,496
- ---------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 2.9%
3M Co. 697,787 $ 57,267,379
General Electric Co. 11,805,529 430,901,809
Teleflex, Inc. 33,700 1,750,378
Tyco International Ltd. 2,017,132 72,092,298
- ---------------------------------------------------------------------------------------------------------
$ 562,011,864
- ---------------------------------------------------------------------------------------------------------
INSURANCE -- 5.9%
21st Century Insurance Group 70,700 $ 961,520
Aegon N.V. ADR 5,311,829 72,825,176
AFLAC Inc. 2,190,281 87,260,795
Allstate Corp. (The) 199,712 10,329,105
American International Group, Inc. 5,670,853 372,404,917
AON Corp. 824,293 19,667,631
Berkshire Hathaway, Inc., Class A(1) 450 39,555,000
Berkshire Hathaway, Inc., Class B(1) 40,634 119,301,424
Chubb Corporation 7,077 544,221
Commerce Group, Inc. 120,000 $ 7,324,800
Gallagher (Arthur J.) and Co. 821,773 26,707,623
Hartford Financial Services Group, Inc. 13,797 956,270
Jefferson-Pilot Corp. 186,921 9,712,415
Lincoln National Corp. 52,903 2,469,512
Manulife Financial Corp. 74,958 3,463,060
Marsh & McLennan Cos., Inc. 1,080,587 35,551,312
MetLife, Inc. 1,869,700 75,741,547
Old Republic International Corp. 240,548 6,085,864
Progressive Corp.(2)(3) 10,900 923,369
Progressive Corp. 1,991,008 168,917,119
Safeco Corp. 173,122 9,043,893
St. Paul Companies, Inc. (The) 311,524 11,548,195
Torchmark Corp. 417,159 23,836,465
UICI 43,597 1,477,938
UnumProvident Corp. 53,710 963,557
XL Capital Ltd., Class A 187,100 14,528,315
- ---------------------------------------------------------------------------------------------------------
$ 1,122,101,043
- ---------------------------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.5%
Amazon.com Inc.(1) 23,500 $ 1,040,815
eBay, Inc.(1) 619,501 72,035,576
IAC/InterActivecorp(1) 806,192 22,267,023
- ---------------------------------------------------------------------------------------------------------
$ 95,343,414
- ---------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.0%
Retek, Inc.(1) 110,742 $ 681,063
- ---------------------------------------------------------------------------------------------------------
$ 681,063
- ---------------------------------------------------------------------------------------------------------
IT SERVICES -- 2.8%
Accenture Ltd.(1) 4,838,000 $ 130,626,000
Acxiom Corp. 647,804 17,037,245
Affiliated Computer Services(1) 183,730 11,058,709
Automatic Data Processing, Inc. 1,553,046 68,877,590
BISYS Group, Inc. (The)(1) 280,492 4,614,093
Ceridian Corp.(1) 27,490 502,517
Certegy, Inc. 42,862 1,522,887
Computer Sciences Corp.(1) 362,598 20,439,649
CSG Systems International, Inc.(1) 25,200 471,240
DST Systems, Inc.(1) 391,634 20,411,964
eFunds Corp.(1) 17,645 423,656
Electronic Data Systems Corp. 77,336 1,786,462
</Table>
See notes to financial statements
25
<Page>
<Table>
<Caption>
SECURITY SHARES VALUES
- -------------------------------------------------------------------------------------------------------
IT SERVICES (CONTINUED)
First Data Corp. 3,776,540 $ 160,654,012
Fiserv, Inc.(1) 300,000 12,057,000
Gartner Group, Inc., Class A(1) 4,811 59,945
Gartner Group, Inc., Class B(1) 27,576 338,909
Keane, Inc.(1) 50,295 739,337
Paychex, Inc. 1,398,101 47,647,282
Perot Systems Corp.(1) 725,507 11,629,877
Safeguard Scientifics, Inc.(1) 26,579 56,347
SunGard Data Systems, Inc.(1) 773,601 21,916,116
- ---------------------------------------------------------------------------------------------------------
$ 532,870,837
- ---------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.0%
Eastman Kodak Co. 113,722 $ 3,667,535
Mattel, Inc. 1,096 21,361
- ---------------------------------------------------------------------------------------------------------
$ 3,688,896
- ---------------------------------------------------------------------------------------------------------
MACHINERY -- 3.1%
Caterpillar, Inc. 53,830 $ 5,248,963
Danaher Corporation 4,031,970 231,475,398
Deere & Co. 3,350,000 249,240,000
Donaldson Company, Inc. 80,440 2,620,735
Dover Corp. 165,567 6,943,880
Federal Signal Corp. 283,471 5,006,098
Illinois Tool Works, Inc. 809,040 74,981,827
ITT Industries, Inc. 4,214 355,872
Nordson Corporation 163,978 6,570,598
Parker-Hannifin Corporation 30,653 2,321,658
Tecumseh Products Co., Class A 125,700 6,008,460
Wabtec 94,504 2,014,825
- ---------------------------------------------------------------------------------------------------------
$ 592,788,314
- ---------------------------------------------------------------------------------------------------------
MEDIA -- 5.3%
ADVO, Inc. 750,000 $ 26,737,500
Arbitron, Inc.(1) 11,555 452,725
Belo (A.H.) Corp. 542,924 14,246,326
Cablevision Systems Corp.(1) 207,410 5,165,546
Catalina Marketing Corp. 88,490 2,621,959
Clear Channel Communications, Inc. 145,017 4,856,619
Comcast Corp. Class A(1) 1,968,785 65,521,165
Comcast Corp. Class A Special(1) 1,280,622 42,055,626
Disney (Walt) Company 4,834,833 134,408,357
EchoStar Communications, Class A 35,150 1,168,386
Entercom Communications Corp.(1) 220,000 $ 7,895,800
Gannett Co., Inc. 1,562,342 127,643,341
Havas Advertising, S.A. ADR 3,142,938 17,565,880
Interpublic Group of Companies, Inc.(1) 1,134,505 15,202,367
Knight Ridder, Inc. 18,123 1,213,154
Lamar Advertising Co.(1) 241,409 10,327,477
Liberty Media Corp. Class A(1) 1,013,104 11,123,882
Liberty Media Corp. Class B(1) 32,876 381,362
Liberty Media International Inc. Class A(1) 50,655 2,341,781
Liberty Media International Inc. Class B(1) 1,643 80,408
McClatchy Co. (The) 48,066 3,451,619
McGraw-Hill Companies, Inc. (The) 446,964 40,915,085
Meredith Corp. 190,000 10,298,000
New York Times Co. (The), Class A 303,168 12,369,254
News Corp. Inc. - Class A 187,934 3,506,848
Omnicom Group, Inc. 2,318,719 195,514,386
Proquest Company(1) 115,000 3,415,500
Publicis Groupe SA 360,784 11,681,944
Reuters Holdings plc ADR 1,431 61,461
Scripps (The E.W) Company 51,066 2,465,466
Time Warner Inc.(1) 4,102,164 79,746,068
Tribune Co. 1,428,878 60,212,919
Univision Communications, Inc.(1) 401,298 11,745,992
Viacom, Inc., Class A 29,774 1,104,020
Viacom, Inc., Class B 971,451 35,351,102
Vivendi Universal S.A. ADR(1) 490,725 15,737,551
Washington Post Co. (The) 14,970 14,715,809
Westwood One, Inc.(1) 122,400 3,296,232
WPP Group plc 139,450 1,529,144
WPP Group plc ADR 256,051 13,993,187
- ---------------------------------------------------------------------------------------------------------
$ 1,012,121,248
- ---------------------------------------------------------------------------------------------------------
METALS AND MINING -- 0.4%
Alcoa, Inc. 797,947 $ 25,071,495
Allegheny Technologies, Inc. 21,408 463,911
Inco, Ltd.(1) 200,000 7,356,000
Nucor Corp. 442,924 23,182,642
Phelps Dodge Corp. 14,862 1,470,149
Steel Dynamics, Inc. 311,800 11,810,984
Worthington Industries, Inc. 75,160 1,471,633
- ---------------------------------------------------------------------------------------------------------
$ 70,826,814
- ---------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
26
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
MULTILINE RETAIL -- 1.8%
99 Cents Only Stores(1) 1,142,232 $ 18,458,469
Dollar General Corp. 101,456 2,107,241
Dollar Tree Stores, Inc.(1) 813,306 23,325,616
Family Dollar Stores, Inc. 2,618,411 81,772,976
Kohls Corp.(1) 55 2,704
May Department Stores Co. (The) 607,760 17,868,144
Neiman Marcus Group, Inc. (The) 6 401
Nordstrom, Inc. 65,692 3,069,787
Penney (J.C.) Company, Inc. 223,408 9,249,091
Sears, Roebuck & Co. 23,074 1,177,466
Target Corp. 3,547,475 184,220,377
- ---------------------------------------------------------------------------------------------------------
$ 341,252,272
- ---------------------------------------------------------------------------------------------------------
MULTI-UTILITIES AND UNREGULATED POWER -- 0.1%
AES Corporation(1) 49,542 $ 677,239
Dominion Resources, Inc. 10,464 708,831
Duke Energy Corp. 417,416 10,573,147
Dynegy, Inc.(1) 63,525 293,486
National Fuel Gas Co. 4,000 113,360
- ---------------------------------------------------------------------------------------------------------
$ 12,366,063
- ---------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.0%
Xerox Corp.(1) 42,878 $ 729,355
Zebra Technologies Corp., Class A(1) 13,500 759,780
- ---------------------------------------------------------------------------------------------------------
$ 1,489,135
- ---------------------------------------------------------------------------------------------------------
OIL AND GAS -- 7.8%
Amerada Hess Corp. 18,947 $ 1,560,854
Anadarko Petroleum Corp. 2,557,003 165,719,364
Apache Corporation 2,075,352 104,950,551
Ashland, Inc. 85,716 5,004,100
BP plc ADR 5,081,540 296,761,936
Burlington Resources, Inc. 4,259,405 185,284,118
ChevronTexaco Corporation 311,976 16,381,860
ConocoPhillips 1,675,581 145,490,698
Devon Energy Corp. 1,015,400 39,519,368
El Paso Corp. 148,709 1,546,574
Exxon Mobil Corp. 6,231,588 319,431,201
Kerr - McGee Corp. 267,327 15,448,827
Kinder Morgan, Inc. 1,781,672 130,293,673
Marathon Oil Corp. 1,450 54,535
Murphy Oil Corporation 19,518 1,570,223
Newfield Exploration Company(1) 60,000 $ 3,543,000
Royal Dutch Petroleum Co. 83,074 4,766,786
Total Fina Elf SA ADR 400,000 43,936,000
Valero Energy Corp. 103,020 4,677,108
Williams Companies Inc (The) 219,065 3,568,569
- ---------------------------------------------------------------------------------------------------------
$ 1,489,509,345
- ---------------------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.2%
Georgia-Pacific Corp. 598,732 $ 22,440,475
International Paper Co. 112,154 4,710,468
Louisiana-Pacific Corp. 70,750 1,891,855
MeadWestvaco Corp. 84,358 2,858,893
Neenah Paper Inc.(1) 44,890 1,463,414
Weyerhaeuser Co. 89,778 6,034,877
- ---------------------------------------------------------------------------------------------------------
$ 39,399,982
- ---------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS--1.5%
Avon Products, Inc. 173,400 $ 6,710,580
Gillette Company 3,950,586 176,907,241
Lauder (Estee) Companies, Inc. 2,092,312 95,765,120
- ---------------------------------------------------------------------------------------------------------
$ 279,382,941
- ---------------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 6.2%
Abbott Laboratories 2,821,474 $ 131,621,762
Allergan, Inc. 38,300 3,104,981
Bristol-Myers Squibb Company 4,566,981 117,006,053
Elan Corp., PLC ADR(1) 31,838 867,586
Forest Laboratories, Inc.(1) 56,800 2,548,048
GlaxoSmithKline plc 430,517 20,402,201
Johnson & Johnson 3,181,341 201,760,646
King Pharmaceuticals, Inc.(1) 505,637 6,269,899
Lilly (Eli) & Co. 3,412,870 193,680,373
Merck & Co., Inc. 2,317,124 74,472,365
Mylan Laboratories, Inc. 27,992 494,899
Novo Nordisk ADR 292,277 15,858,950
Pfizer, Inc. 8,662,582 232,936,830
Schering AG ADR 25,000 1,856,250
Schering-Plough Corp. 2,515,998 52,534,038
Sepracor, Inc.(1) 4,000 237,480
Teva Pharmaceutical Industries Ltd. ADR 2,282,011 68,140,848
Watson Pharmaceuticals, Inc.(1) 865,911 28,410,540
Wyeth Corp. 790,783 33,679,448
- ---------------------------------------------------------------------------------------------------------
$ 1,185,883,197
- ---------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
27
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
REAL ESTATE -- 0.2%
AvalonBay Communities, Inc. 28,867 $ 2,173,685
Catellus Development Corp. 419,601 12,839,791
Forest City Enterprises - Class A 38,663 2,225,056
Jones Lang Lasalle, Inc.(1) 154,567 5,782,351
Plum Creek Timber Co., Inc. 198,791 7,641,526
Trammell Crow Co.(1) 764,200 13,839,662
- ---------------------------------------------------------------------------------------------------------
$ 44,502,071
- ---------------------------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.2%
ANC Rental Corporation(1) 459,525 $ 46
Burlington Northern Santa Fe Corp. 207,932 9,837,263
CSX Corporation 38,134 1,528,411
Florida East Coast Industries, Inc. 121,978 5,501,208
Heartland Express, Inc. 653,154 14,676,370
Kansas City Southern Industries, Inc.(1) 15,215 269,762
Norfolk Southern Corp. 3,990 144,398
Union Pacific Corp. 7,811 525,290
- ---------------------------------------------------------------------------------------------------------
$ 32,482,748
- ---------------------------------------------------------------------------------------------------------
SEMICONDUCTORS AND SEMICONDUCTOR EQUIPMENT -- 2.0%
Agere Systems, Inc.(1) 6,495 $ 8,898
Agere Systems, Inc., Class B(1) 159,398 215,187
Altera Corp.(1) 66,116 1,368,601
Analog Devices, Inc. 778,870 28,755,880
Applied Materials, Inc.(1) 1,741,642 29,782,078
Broadcom Corp. - Class A(1) 530,892 17,137,194
Broadcom Corp. - Class A(1)(2)(3) 35,000 1,128,105
Conexant Systems, Inc.(1) 134,174 267,006
Cypress Semiconductor Corporation(1) 152,742 1,791,664
Freescale Semiconductor-B(1) 101,704 1,867,286
Intel Corp. 9,580,974 224,098,982
KLA-Tencor Corp.(1) 148,373 6,911,214
Linear Technologies Corp. 187,760 7,277,578
LSI Logic Corporation(1) 132,810 727,799
Maxim Integrated Products Co. 374,351 15,868,739
Mindspeed Technologies Inc.(1) 44,724 124,333
Skyworks Solutions, Inc.(1) 98,685 930,600
Taiwan Semiconductor ADR 866 7,352
Teradyne, Inc.(1) 27,996 477,892
Texas Instruments, Inc. 1,912,604 47,088,310
Xilinx, Inc. 59,554 1,765,776
- ---------------------------------------------------------------------------------------------------------
$ 387,600,474
- ---------------------------------------------------------------------------------------------------------
SOFTWARE -- 2.1%
Adobe Systems, Inc. 258,794 $ 16,236,736
Cadence Design Systems, Inc.(1) 900,000 12,429,000
Cognos, Inc.(1) 77,000 3,392,620
Computer Associates International, Inc. 33,070 1,027,154
Compuware Corp.(1) 150,944 976,608
Electronic Arts Inc.(1) 21,405 1,320,260
Fair, Isaac and Co., Inc. 997,172 36,576,269
Henry (Jack) & Associates 201,006 4,002,029
Intuit, Inc.(1) 921,314 40,547,029
Microsoft Corp. 7,312,311 195,311,827
Oracle Corp.(1) 817,568 11,217,033
PalmSource, Inc.(1) 20,208 257,450
Parametric Technology Corp.(1) 94,600 557,194
Reynolds & Reynolds, Co. 216,412 5,737,082
Sap AG ADR 600,000 26,526,000
Siebel Systems, Inc.(1) 179,184 1,881,432
Symantec Corporation(1) 1,499,722 38,632,839
VERITAS Software Corp.(1) 243,942 6,964,544
Wind River Systems, Inc.(1) 91,910 1,245,381
- ---------------------------------------------------------------------------------------------------------
$ 404,838,487
- ---------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.0%
Abercrombie & Fitch Co. 11,225 $ 527,014
AutoNation, Inc.(1) 1,493,099 28,682,432
Best Buy Co., Inc. 113,610 6,750,706
Burlington Coat Factory Warehouse Corp. 238,448 5,412,770
CarMax, Inc.(1) 67,797 2,105,097
Circuit City Stores, Inc. 216,000 3,378,240
Gap, Inc. (The) 541,012 11,426,173
Home Depot, Inc. (The) 4,281,726 183,000,969
Limited Brands, Inc. 762,510 17,552,980
Lowe's Companies 875,941 50,445,442
Office Depot, Inc.(1) 205,276 3,563,591
Officemax Inc. 2,192 68,785
Payless Shoesource, Inc.(1) 23,100 284,130
Pep Boys - Manny, Moe & Jack (The) 83,415 1,423,894
Radioshack Corp. 631,599 20,766,975
Sherwin-Williams Co. (The) 80,569 3,595,794
Staples, Inc. 158,266 5,335,147
Tiffany & Co. 57,286 1,831,433
TJX Companies, Inc. (The) 1,716,834 43,144,038
Too, Inc.(1) 38,284 936,427
- ---------------------------------------------------------------------------------------------------------
$ 390,232,037
- ---------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
28
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL AND LUXURY GOODS -- 0.7%
Coach, Inc.(1) 365,720 $ 20,626,608
Nike Inc., Class B 1,329,222 120,547,143
Unifi, Inc.(1) 1,208 4,627
- ---------------------------------------------------------------------------------------------------------
$ 141,178,378
- ---------------------------------------------------------------------------------------------------------
THRIFTS AND MORTGAGE FINANCE -- 0.7%
Countrywide Financial Corp. 1,499,998 $ 55,514,926
Fannie Mae 345,171 24,579,627
Freddie Mac 135,586 9,992,688
Golden West Financial Corporation 74,590 4,581,318
MGIC Investment Corp. 85,000 5,857,350
Radian Group, Inc. 30,800 1,639,792
Washington Mutual, Inc. 927,674 39,222,057
- ---------------------------------------------------------------------------------------------------------
$ 141,387,758
- ---------------------------------------------------------------------------------------------------------
TOBACCO -- 0.2%
Altria Group Inc. 763,945 $ 46,677,040
UST, Inc. 439 21,120
- ---------------------------------------------------------------------------------------------------------
$ 46,698,160
- ---------------------------------------------------------------------------------------------------------
TRADING COMPANIES AND DISTRIBUTORS -- 0.0%
United Rentals, Inc.(1) 401,179 $ 7,582,283
- ---------------------------------------------------------------------------------------------------------
$ 7,582,283
- ---------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
Nextel Communications, Inc., Class A(1) 134,072 $ 4,022,160
Telephone and Data Systems, Inc. 70,844 5,451,446
Vodafone Group plc ADR 213,962 5,858,280
- ---------------------------------------------------------------------------------------------------------
$ 15,331,886
- ---------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $14,860,534,853) $ 19,109,250,562
- ---------------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS -- 0.0%
<Caption>
SECURITY SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
MULTI-UTILITIES AND UNREGULATED POWER -- 0.0%
Enron Corp.(1)(2) 11,050 $ 0
- ---------------------------------------------------------------------------------------------------------
$ 0
- ---------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(IDENTIFIED COST $4,500,777) $ 0
- ---------------------------------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.0%
COMMERCIAL BANKS -- 0.0%
Wachovia Corp. (Dividend Equalization Preferred Shares)(1) 166,518 $ 167
- ---------------------------------------------------------------------------------------------------------
$ 167
- ---------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $39,407) $ 167
- ---------------------------------------------------------------------------------------------------------
WARRANTS -- 0.0%
<Caption>
SECURITY SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 0.0%
Lucent Technologies, Inc. 18,106 $ 28,607
- ---------------------------------------------------------------------------------------------------------
$ 28,607
- ---------------------------------------------------------------------------------------------------------
TOTAL WARRANTS
(IDENTIFIED COST $0) $ 28,607
- ---------------------------------------------------------------------------------------------------------
RIGHTS -- 0.0%
<Caption>
SECURITY SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
BANKS -- 0.0%
Bank United Corp. (Litigation Contingent Payment Rights)(1)(2) 102,072 $ 6,124
- ---------------------------------------------------------------------------------------------------------
$ 6,124
- ---------------------------------------------------------------------------------------------------------
COMPUTERS AND BUSINESS EQUIPMENT -- 0.0%
Seagate Technology, Inc. (Tax Refund Rights)(1)(2) 197,392 $ 0
- ---------------------------------------------------------------------------------------------------------
$ 0
- ---------------------------------------------------------------------------------------------------------
INTEGRATED TELECOMMUNICATION SERVICES -- 0.0%
McLeodUSA (Escrow Rights)(1)(2) 1,592,200 $ 0
- ---------------------------------------------------------------------------------------------------------
$ 0
- ---------------------------------------------------------------------------------------------------------
TOTAL RIGHTS
(IDENTIFIED COST $50,596) $ 6,124
- ---------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
29
<Page>
SHORT-TERM INVESTMENTS -- 0.1%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000's OMITTED) VALUE
- ---------------------------------------------------------------------------------------------------------
Investors Bank & Trust Company --
Time Deposit, 2.25%, 1/3/05 $ 7,668 $ 7,668,000
- ---------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST, $7,668,000) $ 7,668,000
- ---------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 0.1%
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000's OMITTED) VALUE
- ---------------------------------------------------------------------------------------------------------
Societe Generale North America, 2.32%, 1/5/05 $ 22,295 $ 22,289,253
- ---------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(AT AMORTIZED COST, $22,289,253) $ 22,289,253
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(IDENTIFIED COST $14,895,082,886) $ 19,139,242,713
- ---------------------------------------------------------------------------------------------------------
SECURITIES SOLD SHORT -- 1.0%
<Caption>
SECURITY SHARES VALUE
- ---------------------------------------------------------------------------------------------------------
American International Group, Inc. 3,000,000 $ (197,010,000)
- ---------------------------------------------------------------------------------------------------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $169,710,627) $ (197,010,000)
- ---------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES
EXCLUDING SECURITIES SOLD SHORT -- 1.0% $ 198,909,689
- ---------------------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 19,141,142,402
- ---------------------------------------------------------------------------------------------------------
</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
30
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2004
<Table>
ASSETS
Investments, at value (identified cost, $14,895,082,886) $ 19,139,242,713
Cash 2,563
Deposits with brokers for securities sold short 169,710,627
Dividends and interest receivable 24,103,436
Receivable for investments sold 4,256,707
Tax reclaim receivable 1,180,262
- --------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 19,338,496,308
- --------------------------------------------------------------------------------------------------------
LIABILITIES
Securities sold short, at value (proceeds received of $169,710,627) $ 197,010,000
Payable for dividends on securities sold short 225,000
Payable to affiliate for Trustees' fees 6,053
Accrued expenses 112,853
- --------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 197,353,906
- --------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $ 19,141,142,402
- --------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital contributions and withdrawals $ 14,924,128,572
Net unrealized appreciation (computed on the basis of identified cost) 4,217,013,830
- --------------------------------------------------------------------------------------------------------
TOTAL $ 19,141,142,402
- --------------------------------------------------------------------------------------------------------
</Table>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED
DECEMBER 31, 2004
<Table>
INVESTMENT INCOME
Dividends (net of foreign taxes, $3,794,755) $ 291,107,513
Interest 1,157,693
- --------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 292,265,206
- --------------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 77,609,178
Trustees' fees and expenses 25,376
Custodian fee 1,999,827
Dividends on securities sold short 225,000
Legal and accounting services 94,573
Miscellaneous 304,587
- --------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 80,258,541
- --------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 39
Reduction of investment adviser fee 26,667
- --------------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 26,706
- --------------------------------------------------------------------------------------------------------
NET EXPENSES $ 80,231,835
- --------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 212,033,371
- --------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 152,362,325
Foreign currency transactions 60,515
- --------------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 152,422,840
- --------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 1,345,093,649
Securities sold short (27,299,373)
Foreign currency 84,431
- --------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 1,317,878,707
- --------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 1,470,301,547
- --------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,682,334,918
- --------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
31
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
- -------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
From operations --
Net investment income $ 212,033,371 $ 163,045,716
Net realized gain from investment
transactions, securities sold short
and foreign currency transactions 152,422,840 70,909,770
Net change in unrealized appreciation
(depreciation) of investments,
securities sold short and
foreign currency 1,317,878,707 3,174,709,110
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,682,334,918 $ 3,408,664,596
- -------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS --
Contributions $ 1,775,098,351 $ 1,351,483,956
Withdrawals (1,925,879,872) (1,722,081,135)
NET DECREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS $ (150,781,521) $ (370,597,179)
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS $ 1,531,553,397 $ 3,038,067,417
- -------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 17,609,589,005 $ 14,571,521,588
- -------------------------------------------------------------------------------------------------
AT END OF YEAR $ 19,141,142,402 $ 17,609,589,005
- -------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
32
<Page>
SUPPLEMENTARY DATA
<Table>
<Caption>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------------------------
2004 2003 2002 2001 2000
- ---------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Ratios (As a percentage of average daily net assets):
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45%
Net expenses after custodian fee reduction 0.45% -- -- -- --
Net investment income 1.18% 1.05% 0.85% 0.64% 0.67%
Portfolio Turnover 3% 15% 23% 18% 13%
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1) 9.67% 23.88% (19.52)% (9.67)% --
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $ 19,141,142 $ 17,609,589 $ 14,571,522 $ 18,335,865 $ 18,385,069
- ---------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios would have been as
follows:
Ratios (As a percentage of average daily net assets):
Expenses 0.45% -- -- -- --
Expenses after custodian fee reduction 0.45% -- -- -- --
Net investment income 1.18% -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
33
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
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 the 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. Foreign securities
and currencies are valued in U.S. dollars, based on foreign currency exchange
rate quotations supplied by an independent quotation 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. When valuing foreign equity securities that meet certain criteria, the
Trustees have approved the use of a fair value service that values such
securities to reflect market trading that occurs after the close of the
applicable foreign markets of comparable securities or other instruments that
have a strong correlation to the securities held by the Portfolio. 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
34
<Page>
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 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 recognized 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 credit balances used to reduce the
Portfolio's custodian fees are reported as a reduction of expenses on the
Statement of Operations.
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.
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 Portfolio's Board of
Trustees and BMR. Those reductions may not be changed without Trustee and
interestholder approval. For the year ended December 31, 2004, the advisory fee
was 0.43% of the Portfolio's average daily net assets. BMR has also agreed to
reduce the investment adviser fee by an amount equal to that portion
35
<Page>
of commissions paid to broker dealers in execution of Portfolio security
transactions that is consideration for third-party research services. For the
year ended December 31, 2004, BMR waived $26,667 of its advisory fee. 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 year ended December 31, 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 year ended December 31, 2004, purchases and sales of investments, other
than short-term obligations, aggregated $534,673,041 and $946,726,635,
respectively. In addition, investments having an aggregate market value of
$808,158,950 at dates of withdrawal were distributed in payment for capital
withdrawals. During the year ended December 31, 2004, investors contributed
securities with a value of $1,370,704,943.
4 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of the investments
owned at December 31, 2004 as computed on a federal income tax basis, were as
follows:
<Table>
AGGREGATE COST $ 4,833,216,291
- -----------------------------------------------------------
Gross unrealized appreciation $ 14,307,238,475
Gross unrealized depreciation (1,212,053)
- -----------------------------------------------------------
NET UNREALIZED APPRECIATION $ 14,306,026,422
- -----------------------------------------------------------
</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 December 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 0.1% 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 year ended December 31, 2004.
7 RESTRICTED SECURITIES
At December 31, 2004, the Portfolio owned the following securities (representing
0.02% 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 15, 2005, except for the 25,000 shares of Sysco Corp.
which are eligible for resale after March 3, 2005. 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
COMMON STOCKS ACQUISITION SHARES COST FAIR VALUE
- ------------------------------------------------------------------------------
Broadcom Corp. - Class A 12/15/04 35,000 $ 1,121,815 $ 1,128,105
Progressive Corp. 12/15/04 10,900 943,939 923,369
Sysco Corp. 3/3/04 25,000 994,756 953,892
Sysco Corp. 12/15/04 30,000 1,115,824 1,143,381
- ------------------------------------------------------------------------------
$ 4,176,334 $ 4,148,747
- ------------------------------------------------------------------------------
</Table>
36
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES AND INVESTORS
OF TAX-MANAGED GROWTH PORTFOLIO:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Tax- Managed Growth Portfolio (the Portfolio)
as of December 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 five years in
the period then ended. 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
audits.
We conducted our audits in accordance with the 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 are free of material misstatement. An audit includes consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Portfolio's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2004, by correspondence with the
custodian. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and supplementary data present fairly,
in all material respects, the financial position of Tax-Managed Growth Portfolio
at December 31, 2004, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
its supplementary data for each of the five years in the period then ended in
conformity with accounting principles generally accepted in the United States of
America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 18, 2005
37
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.1
MANAGEMENT AND ORGANIZATION
FUND MANAGEMENT. The Trustees of Eaton Vance Mutual Funds Trust (the Trust)
and Tax-Managed Growth 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 LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY OTHER
DATE OF BIRTH THE PORTFOLIO SERVICE DURING PAST FIVE YEARS TRUSTEE(1) DIRECTORSHIPS HELD
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
James B. Hawkes Trustee Trustee of Chairman, President and Chief Executive 195 Director of EVC
11/9/41 the Trust Officer of BMR, EVC, EVM and EV;
since 1991; Director of EV; Vice President and
of the Director of EVD. Trustee and/or officer
Portfolio of 195 registered investment companies
since 1997 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 Chairman of Trustee of Jacob H. Schiff Professor of Investment 195 Director of
2/23/35 the Board the Trust Banking Emeritus, Harvard University Tiffany & Co.
and Trustee since 1986 Graduate School of Business (specialty
and Chairman Administration. retailer) and
of the Board Telect, Inc.
since 2005; (telecommunication
of the services company)
Portfolio
since 1995
William H. Park Trustee Since 2003 President and Chief Executive Officer, 195 None
9/19/47 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 University 195 None
7/10/40 Law Center (since 1999). Tax Partner,
Covington & Burling, Washington, DC
(1991-2000).
Norton H. Reamer Trustee Trustee of President, Chief Executive Officer and 195 None
9/21/35 the Trust a Director of Asset Management Finance
since 1986; Corp. (a specialty finance company
of the serving the investment management
Portfolio industry) (since October 2003).
since 1995 President, Unicorn Corporation (an
investment and financial advisory
services company) (since September
2000). Formerly, Chairman and Chief
Operating Officer, 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 Professor of Law, University of 195 None
9/14/57 the Trust California at Los Angeles School of Law
since 1998; (since July 2001). Formerly, Professor
of the of Law, Georgetown University Law
Portfolio Center.
since 2003
</Table>
38
<Page>
<Table>
<Caption>
POSITION(S) TERM OF
WITH THE OFFICE AND
NAME AND TRUST AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH THE PORTFOLIO SERVICE DURING PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------------------------------
Thomas E. Faust Jr. President of Since 2002 Executive Vice President of EVM, BMR, EVC and EV; Chief Investment
5/31/58 the Trust and Officer of EVM and BMR and Director of EVC. Chief Executive Officer
Vice President of Belair Capital Fund LLC, Belcrest Capital Fund LLC, Belmar
of the Portfolio Capital Fund LLC, Belport Capital Fund LLC and Belrose Capital Fund
LLC (private investment companies sponsored by EVM). Officer of 59
registered investment companies managed by EVM or BMR.
William H. Ahern, Jr. Vice President Since 1995 Vice President of EVM and BMR. Officer of 78 registered investment
7/28/59 of the Trust companies managed by EVM or BMR.
Thomas J. Fetter Vice President Since 1997 Vice President of EVM and BMR. Officer of 124 registered investment
8/20/43 of the Trust companies managed by EVM or BMR.
Michael R. Mach Vice President Since 1999 Vice President of EVM and BMR. Officer of 29 registered investment
7/15/47 of the Trust companies managed by EVM or BMR.
Robert B. MacIntosh Vice President Since 1998 Vice President of EVM and BMR. Officer of 124 registered investment
1/22/57 of the Trust companies managed by EVM or BMR.
Duncan W. Richardson Vice President Vice President Senior Vice President and Chief Equity Investment Officer of EVM and
10/26/57 of the Trust of the Trust BMR. Officer of 46 registered investment companies managed by EVM
and President since 2001; or BMR.
of the Portfolio President of
the Portfolio
since 2002(2)
Walter A. Row, III Vice President Since 2001 Director of Equity Research and a Vice President of EVM and BMR.
7/20/57 of the Trust Officer of 26 registered investment companies managed by EVM or BMR.
Judith A. Saryan Vice President Since 2003 Vice President of EVM and BMR. Officer of 28 registered investment
8/21/54 of the Trust companies managed by EVM or BMR.
Susan Schiff Vice President Since 2002 Vice President of EVM and BMR. Officer of 28 registered investment
3/13/61 of the Trust companies managed by EVM or BMR.
Alan R. Dynner Secretary Since 1997 Vice President, Secretary and Chief Legal Officer of BMR, EVM, EVD,
10/10/40 EV and EVC. Officer of 195 registered investment companies managed
by EVM or BMR.
Michelle A. Green Treasurer of Since 2002(2) Vice President of EVM and BMR. Chief Financial Officer of Belair
8/25/69 the Portfolio 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 82 registered
investment companies managed by EVM or BMR.
James L. O'Connor Treasurer of Since 1989 Vice President of BMR, EVM and EVD. Officer of 117 registered
4/1/45 the Trust investment companies managed by EVM or BMR.
Chief
Paul M. O'Neil Compliance Since 2004 Vice President of EVM and BMR. Officer of 195 registered investment
7/11/53 Officer companies managed by EVM or BMR.
</Table>
(1) Includes both master and feeder funds in a master-feeder structure.
(2) Prior to 2002, Ms. Green served as Assistant Treasurer of the Portfolio
since 1998 and Mr. Richardson served as Vice President of the Portfolio
since 1995.
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.
39
<Page>
This Page Intentionally Left Blank
<Page>
This Page Intentionally Left Blank
<Page>
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 1.1
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
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
DELOITTE & TOUCHE LLP
200 Berkeley Street
Boston, MA 02116-5022
EATON VANCE TAX-MANAGED GROWTH FUND 1.1
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
This report must be preceded or accompanied by a current prospectus. Before
investing, investors should consider carefully the Fund's investment
objective(s), risks, and charges and expenses. The Fund's current prospectus
contains this and other information about the Fund and is available through your
financial advisor. Please read the prospectus carefully before you invest or
send money. For further information please call 1-800-225-6265.
<Page>
11096-2/05 TGSRC1.1
<Page>
[EV LOGO]
[GRAPHIC IMAGE]
ANNUAL REPORT DECEMBER 31, 2004
EATON VANCE TAX-MANAGED GROWTH FUND 1.2
[GRAPHIC IMAGE]
[GRAPHIC IMAGE]
<Page>
IMPORTANT NOTICES REGARDING PRIVACY,
DELIVERY OF SHAREHOLDER DOCUMENTS,
PORTFOLIO HOLDINGS, AND PROXY VOTING
PRIVACY. The Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has in effect the
following policy ("Privacy 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. This may include information such as name, address, social
security number, tax status, account balances and transactions.
- 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). In the normal course of
servicing a customer's account, Eaton Vance may share information with
unaffiliated third parties that perform various required services such as
transfer agents, custodians and broker/dealers.
- Policies and procedures (including physical, electronic and procedural
safeguards) are in place that are designed to protect the confidentiality
of such information.
- We reserve the right to change our Privacy Policy at any time upon proper
notification to you. Customers may want to review our Policy periodically
for changes by accessing the link on our homepage: www.eatonvance.com.
Our pledge of privacy applies to the following entities within the Eaton Vance
organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton
Vance Investment Counsel, Boston Management and Research, and Eaton Vance
Distributors, Inc.
In addition, our Privacy Policy only applies to those Eaton Vance customers who
are individuals and who have a direct relationship with us. If a customer's
account (i.e., fund shares) is held in the name of a third-party financial
adviser/ broker-dealer, it is likely that only such adviser's privacy policies
apply to the customer. This notice supersedes all previously issued privacy
disclosures.
For more information about Eaton Vance's Privacy Policy, please call
1-800-262-1122.
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.
PORTFOLIO HOLDINGS. Each Eaton Vance Fund and its underlying Portfolio (if
applicable) will file a schedule of its portfolio holdings on Form N-Q with the
Securities and Exchange Commission for the first and third quarters of each
fiscal year. The Form N-Q will be available on the Eaton Vance website
www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR
database on the Securities and Exchange Commision's website at www.sec.gov. Form
N-Q may also be reviewed and copied at the SEC's public reference room in
Washington, D.C. (call 1-800-732-0330 for information on the operation of the
public reference room).
PROXY VOTING. 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 (if applicable) 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 and information on how the Funds or
Portfolios voted proxies relating to Portfolio securities during the 12 month
period ended June 30, without charge, upon request, by calling 1-800-262-1122.
This description is also available on the Securities and Exchange Commission's
website at www.sec.gov.
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.2 AS OF DECEMBER 31, 2004
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE
[PHOTO OF DUNCAN W. RICHARDSON]
Duncan W. Richardson
Portfolio Manager
THE FUND
PERFORMANCE FOR THE PAST YEAR
- - During the year ended December 31, 2004, Eaton Vance Tax-Managed Growth Fund
1.2 (the Fund) Class A shares had a total return of 9.12%. This return was
the result of an increase in net asset value (NAV) per share to $10.15 on
December 31, 2004, from $9.35 on December 31, 2003, and the reinvestment of
$0.052 per share in dividend income.(1)
- - The Fund's Class B shares had a total return of 8.32% during the same period,
the result of an increase in NAV per share to $9.90 on December 31, 2004,
from $9.14 on December 31, 2003.(1)
- - The Fund's Class C shares had a total return of 8.20% during the same period,
the result of an increase in NAV per share to $9.90 on December 31, 2004,
from $9.15 on December 31, 2003.(1)
- - The Fund's Class I shares had a total return of 9.35% during the same period,
the result of an increase in NAV per share to $10.16 on December 31, 2004,
from $9.36 on December 31, 2003, and the reinvestment of $0.075 per share in
dividend income.(1)
- - For comparison, the S&P 500 Index - a broad-based, unmanaged market index
commonly used as a measure of overall U.S. stock market performance - had a
total return of 10.87% for the same period.(2)
- - The Fund estimates that virtually all of the income declared by the Fund in
calendar year 2004 will be considered qualifying dividend income, subject to
taxation at long-term capital gains rates no greater than 15%.
SEE PAGES 4 AND 5 FOR MORE PERFORMANCE INFORMATION, INCLUDING AFTER-TAX RETURNS.
MANAGEMENT DISCUSSION
- - Economic pressures lingered for much of 2004, but the lifting of some
political uncertainty ignited a year-end market rally, helping U.S. equities
lock in a second year of consecutive gains. Strength in the broader market
was a function of several economic and fundamental factors: historically low
interest rates, decisive election results, retreating oil prices and solid
earnings growth. A wave of merger and acquisition activity provided
additional support for equities, as companies across the technology,
telecommunications, and health care sectors announced multi-billion dollar
combinations. Although the Federal Funds rate increased to 2.25% during the
year, domestic monetary policy remained accommodative.
- - While the Fund's performance for the year ended December 31, 2004, was
strong, returns trailed those of the S&P 500 Index.(2) Tax-Managed Growth
Portfolio (the Portfolio)'s underperformance was primarily driven by weaker
stock selection within some of the industries that led the market. The
Portfolio remained overweighted in the outperforming consumer discretionary
sector, but limited exposure to better-performing industries, such as
internet and multi-line retailers, hindered returns. Health care stocks
trailed the market for much of the year, and the Portfolio benefited by
underweighting the sector. The Portfolio's stock selection, however,
particularly within health care equipment and biotechnology industries, was
negative. Another factor contributing to the Fund's underperformance versus
the market was a continued underweighting of the utilities and telecom
sectors, some of the best performing sectors of 2004.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN QUOTED. FOR PERFORMANCE AS OF THE MOST RECENT MONTH-END,
PLEASE REFER TO www.eatonvance.com.
(1) THESE RETURNS DO NOT INCLUDE THE 5.75% MAXIMUM SALES CHARGE FOR CLASS A
SHARES OR THE APPLICABLE CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS
B AND CLASS C SHARES. IF THE SALES CHARGE WERE DEDUCTED, THE PERFORMANCE
WOULD BE LOWER. CLASS I SHARES ARE SOLD AT NET ASSET VALUE AND DO NOT HAVE
A SALES CHARGE.
(2) IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX. THE INDEX'S TOTAL RETURN
DOES NOT REFLECT COMMISSIONS OR EXPENSES THAT WOULD HAVE BEEN INCURRED IF
AN INVESTOR INDIVIDUALLY PURCHASED OR SOLD THE SECURITIES REPRESENTED IN
THE INDEX.
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
<Page>
- - During the year, we decreased the Portfolio's financial sector exposure. This
shift, particularly in insurance and financial service holdings, was
beneficial. Additionally, the Portfolio's de-emphasis of the technology
sector helped performance, since it underperformed the broader market for
much of the year.
- - Energy and industrial stocks were some of the best performers of 2004. The
Portfolio benefited from its continued emphasis of the industrials and energy
sectors. Supply pressures and rising exploration costs, coupled with
international uncertainty, kept oil prices elevated for much of the year,
supporting strong price advancement of oil equipment and drilling
investments. The Portfolio's exposure to air freight logistics and machinery
stocks in the industrial sector, which advanced on continued earnings
recovery and strong equipment demand, was beneficial to performance.
THE VIEWS EXPRESSED THROUGHOUT THIS REPORT ARE THOSE OF THE PORTFOLIO MANAGER
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 THE INVESTMENT ADVISER 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 EATON VANCE FUND.
Ten Largest Holdings*
By net assets
<Table>
General Electric Co. 2.25%
American International Group (1) 1.95
Pepsico Inc. 1.71
Exxon Mobil Corp. 1.67
BP PLC Spons ADR 1.55
United Parcel Service, Inc. 1.52
Morgan Stanley 1.37
Amgen Inc. 1.36
Deere & Co. 1.30
IBM Corp. 1.25
</Table>
[CHART]
Common Stock Investments by Sector*
By net assets
<Table>
Financials 23.24%
Industrials 15.44%
Consumer Discretionary 13.06%
Consumer Staples 12.22%
Information Technology 12.06%
Health Care 11.13%
Energy 8.36%
Telecommunications Services 2.19%
Materials 1.73%
Utilities 0.40%
</Table>
* Ten Largest Holdings represented 15.93% of the Portfolio's net assets as of
December 31, 2004. Holdings are subject to change due to active management.
(1) This percentage does not reflect 3,000,000 shares of American International
Group (AIG) sold short at December 31, 2004. Adjusting for the short sale,
AIG represented 0.92% of the Portfolio's net assets. See financial
statements of the Portfolio included herein.
3
<Page>
FUND PERFORMANCE
The line graphs and table set forth below provide information about the Fund's
performance. The line graphs compare the performance of each class of the Fund
with that of the S&P 500 Index, an unmanaged index of 500 common stocks commonly
used as a measure of U.S. stock market performance. The lines on the graphs
represent the total returns of a hypothetical investment of $10,000 in each of
Class A, Class B, Class C, Class I and the S&P 500 Index. Class A total returns
are presented at net asset value and maximum public offering price. The table
includes the total returns of each Class of the Fund at net asset value and
public offering price. The performance presented below does not reflect the
deduction of taxes, if any, that a shareholder would pay on distributions or
redemptions of Fund shares.
<Table>
<Caption>
PERFORMANCE* CLASS A CLASS B CLASS C CLASS I
- -------------------------------------------------------------------------------------------------
Average Annual Total Returns (at net asset value)
One Year 9.12% 8.32% 8.20% 9.35%
Life of Fund+ 0.56 -0.26 -0.26 0.67
SEC Average Annual Total Returns
(including sales charge or applicable CDSC)
One Year 2.85% 3.32% 7.20% 9.35%
Life of Fund+ -0.98 -1.05 -0.26 0.67
</Table>
+ Inception Dates - Class A, Class B, Class C, and Class I: 2/28/01
* THESE RETURNS DO NOT INCLUDE THE 5.75% MAXIMUM SALES CHARGE FOR CLASS A
SHARES OR THE APPLICABLE CONTINGENT DEFERRED SALES CHARGE (CDSC) FOR CLASS
B AND CLASS C SHARES. IF THE SALES CHARGE WERE DEDUCTED, THE PERFORMANCE
WOULD BE LOWER. SEC AVERAGE ANNUAL TOTAL RETURNS FOR CLASS A REFLECT THE
MAXIMUM 5.75% SALES CHARGE. SEC RETURNS FOR CLASS B REFLECT THE APPLICABLE
CDSC BASED ON THE FOLLOWING SCHEDULE: 5% - 1ST AND 2ND YEARS; 4% - 3RD
YEAR; 3% - 4TH YEAR; 2% - 5TH YEAR; 1% - 6TH YEAR. SEC 1-YEAR RETURN FOR
CLASS C REFLECTS A 1% CDSC. CLASS I SHARES ARE SOLD AT NET ASSET VALUE AND
DO NOT HAVE A SALES CHARGE.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN THE QUOTED RETURN. FOR PERFORMANCE AS OF THE MOST RECENT
MONTH-END, PLEASE REFER TO www.eatonvance.com.
[CHART]
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE TAX-MANAGED
GROWTH FUND 1.2 CLASS A VS. THE STANDARD & POOR'S 500 INDEX**
February 28, 2001 - December 31, 2004
<Table>
<Caption>
EATON VANCE
DATE TAX-MANAGED GROWTH FUND 1.2 CLASS A FUND, INCLUDING MAXIMUM SALES CHARGE S&P 500 INDEX
2/28/2001 10000 10000 10000
3/31/2001 9360 8821.87 9366.85
4/30/2001 9970 9396.79 10094.17
5/31/2001 10080 9500.47 10161.89
6/30/2001 9850 9283.69 9914.66
7/31/2001 9750 9189.44 9817.02
8/31/2001 9280 8746.46 9203.08
9/30/2001 8510 8020.73 8459.97
10/31/2001 8620 8124.41 8621.39
11/30/2001 9290 8755.89 9282.54
12/31/2001 9480 8934.97 9363.91
1/31/2002 9340 8803.02 9227.33
2/28/2002 9190 8661.64 9049.35
3/31/2002 9550 9000.94 9389.73
4/30/2002 9150 8623.94 8820.71
5/31/2002 9090 8567.39 8755.95
6/30/2002 8430 7945.33 8132.49
7/31/2002 7760 7313.85 7498.71
8/31/2002 7820 7370.4 7547.81
9/30/2002 7150 6738.93 6728.25
10/31/2002 7630 7191.33 7319.88
11/30/2002 7970 7511.78 7750.31
12/31/2002 7600 7163.05 7295.23
1/31/2003 7340 6918 7104.49
2/28/2003 7200 6786.05 6997.73
3/31/2003 7240 6823.75 7065.49
4/30/2003 7770 7323.28 7647.2
5/31/2003 8130 7662.58 8049.73
6/30/2003 8200 7728.56 8152.57
7/31/2003 8340 7860.51 8296.37
8/31/2003 8510 8020.73 8457.84
9/30/2003 8380 7898.21 8368.29
10/31/2003 8860 8350.61 8841.45
11/30/2003 8980 8463.71 8919.15
12/31/2003 9363.16 8824.85 9386.59
1/31/2004 9473.32 8928.67 9558.84
2/29/2004 9643.56 9089.12 9691.67
3/31/2004 9543.42 8994.74 9545.47
4/30/2004 9423.25 8881.48 9395.83
5/31/2004 9523.39 8975.86 9524.51
6/30/2004 9663.59 9108 9709.66
7/31/2004 9313.09 8777.66 9388.34
8/31/2004 9323.11 8787.09 9426.04
9/30/2004 9443.28 8900.35 9528.07
10/31/2004 9543.42 8994.74 9673.63
11/30/2004 9923.95 9353.39 10064.92
12/31/2004 10217 9629.62 10407.31
</Table>
[CHART]
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE TAX-MANAGED
GROWTH FUND 1.2 CLASS B VS. THE STANDARD & POOR'S 500 INDEX**
FEBRUARY 28, 2001 - DECEMBER 31, 2004
<Table>
<Caption>
EATON VANCE
DATE TAX-MANAGED GROWTH FUND 1.2 CLASS B FUND, INCLUDING MAXIMUM SALES CHARGE S&P 500 INDEX
2/28/2001 10,000 10000 10000
3/31/2001 9,300 9300 9366.85
4/30/2001 9,890 9890 10094.17
5/31/2001 10,000 10000 10161.89
6/30/2001 9,800 9800 9914.66
7/31/2001 9,690 9690 9817.02
8/31/2001 9,220 9220 9203.08
9/30/2001 8,450 8450 8459.97
10/31/2001 8,550 8550 8621.39
11/30/2001 9,210 9210 9282.54
12/31/2001 9,400 9400 9363.91
1/31/2002 9,250 9250 9227.33
2/28/2002 9,100 9100 9049.35
3/31/2002 9,440 9440 9389.73
4/30/2002 9,050 9050 8820.71
5/31/2002 8,980 8980 8755.95
6/30/2002 8,320 8320 8132.49
7/31/2002 7,650 7650 7498.71
8/31/2002 7,710 7710 7547.81
9/30/2002 7,040 7040 6728.25
10/31/2002 7,510 7510 7319.88
11/30/2002 7,850 7850 7750.31
12/31/2002 7,470 7470 7295.23
1/31/2003 7,220 7220 7104.49
2/28/2003 7,070 7070 6997.73
3/31/2003 7,100 7100 7065.49
4/30/2003 7,620 7620 7647.2
5/31/2003 7,980 7980 8049.73
6/30/2003 8,030 8030 8152.57
7/31/2003 8,170 8170 8296.37
8/31/2003 8,330 8330 8457.84
9/30/2003 8,200 8200 8368.29
10/31/2003 8,660 8660 8841.45
11/30/2003 8,770 8770 8919.15
12/31/2003 9,140 9140 9386.59
1/31/2004 9,240 9240 9558.84
2/29/2004 9,400 9400 9691.67
3/31/2004 9,300 9300 9545.47
4/30/2004 9,170 9170 9395.83
5/31/2004 9,270 9270 9524.51
6/30/2004 9,400 9400 9709.66
7/31/2004 9,050 9050 9388.34
8/31/2004 9,060 9060 9426.04
9/30/2004 9,170 9170 9528.07
10/31/2004 9,260 9260 9673.63
11/30/2004 9,620 9620 10064.92
12/31/2004 9,900 9900 10407.31
</Table>
[CHART]
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE TAX-MANAGED
GROWTH FUND 1.2 CLASS C VS. THE STANDARD & POOR'S 500 INDEX**
FEBRUARY 28, 2001 - DECEMBER 31, 2004
<Table>
<Caption>
EATON VANCE
DATE TAX-MANAGED GROWTH FUND 1.2 CLASS C S&P 500 INDEX
2/28/2001 10000 10000
3/31/2001 9340 9366.85
4/30/2001 9940 10094.17
5/31/2001 10040 10161.89
6/30/2001 9800 9914.66
7/31/2001 9700 9817.02
8/31/2001 9220 9203.08
9/30/2001 8450 8459.97
10/31/2001 8560 8621.39
11/30/2001 9220 9282.54
12/31/2001 9400 9363.91
1/31/2002 9260 9227.33
2/28/2002 9100 9049.35
3/31/2002 9450 9389.73
4/30/2002 9060 8820.71
5/31/2002 8990 8755.95
6/30/2002 8330 8132.49
7/31/2002 7660 7498.71
8/31/2002 7720 7547.81
9/30/2002 7050 6728.25
10/31/2002 7520 7319.88
11/30/2002 7850 7750.31
12/31/2002 7480 7295.23
1/31/2003 7220 7104.49
2/28/2003 7070 6997.73
3/31/2003 7110 7065.49
4/30/2003 7630 7647.2
5/31/2003 7980 8049.73
6/30/2003 8040 8152.57
7/31/2003 8180 8296.37
8/31/2003 8340 8457.84
9/30/2003 8200 8368.29
10/31/2003 8670 8841.45
11/30/2003 8780 8919.15
12/31/2003 9150 9386.59
1/31/2004 9250 9558.84
2/29/2004 9410 9691.67
3/31/2004 9310 9545.47
4/30/2004 9180 9395.83
5/31/2004 9280 9524.51
6/30/2004 9400 9709.66
7/31/2004 9060 9388.34
8/31/2004 9070 9426.04
9/30/2004 9180 9528.07
10/31/2004 9270 9673.63
11/30/2004 9630 10064.92
12/31/2004 9900 10407.31
</Table>
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EATON VANCE TAX-MANAGED
GROWTH FUND 1.2 CLASS I VS. THE STANDARD & POOR'S 500 INDEX**
FEBRUARY 28, 2001 - DECEMBER 31, 2004
[CHART]
<Table>
<Caption>
EATON VANCE
DATE TAX-MANAGED GROWTH FUND 1.2 CLASS C S&P 500 INDEX
2/28/2001 10000 10000
3/31/2001 9310 9366.85
4/30/2001 9910 10094.17
5/31/2001 10030 10161.89
6/30/2001 9810 9914.66
7/31/2001 9710 9817.02
8/31/2001 9240 9203.08
9/30/2001 8480 8459.97
10/31/2001 8590 8621.39
11/30/2001 9260 9282.54
12/31/2001 9460 9363.91
1/31/2002 9320 9227.33
2/28/2002 9170 9049.35
3/31/2002 9530 9389.73
4/30/2002 9140 8820.71
5/31/2002 9080 8755.95
6/30/2002 8420 8132.49
7/31/2002 7750 7498.71
8/31/2002 7820 7547.81
9/30/2002 7140 6728.25
10/31/2002 7630 7319.88
11/30/2002 7970 7750.31
12/31/2002 7600 7295.23
1/31/2003 7340 7104.49
2/28/2003 7200 6997.73
3/31/2003 7240 7065.49
4/30/2003 7780 7647.2
5/31/2003 8140 8049.73
6/30/2003 8210 8152.57
7/31/2003 8360 8296.37
8/31/2003 8520 8457.84
9/30/2003 8400 8368.29
10/31/2003 8880 8841.45
11/30/2003 9000 8919.15
12/31/2003 9383.3 9386.59
1/31/2004 9493.57 9558.84
2/29/2004 9663.99 9691.67
3/31/2004 9573.77 9545.47
4/30/2004 9453.47 9395.83
5/31/2004 9563.75 9524.51
6/30/2004 9694.07 9709.66
7/31/2004 9353.22 9388.34
8/31/2004 9363.25 9426.04
9/30/2004 9483.55 9528.07
10/31/2004 9593.82 9673.63
11/30/2004 9974.77 10064.92
12/31/2004 10261 10407.31
</Table>
** SOURCE: THOMSON FINANCIAL. CLASS A, CLASS B, CLASS C AND CLASS I OF THE
FUND COMMENCED INVESTMENT OPERATIONS ON 2/28/01. IT IS NOT POSSIBLE TO
INVEST DIRECTLY IN AN INDEX. THE INDEX'S TOTAL RETURNS DO NOT REFLECT ANY
COMMISSIONS OR EXPENSES THAT WOULD HAVE BEEN INCURRED IF AN INVESTOR
INDIVIDUALLY PURCHASED OR SOLD THE SECURITIES REPRESENTED IN THE INDEX.
4
<Page>
"RETURN BEFORE TAXES" DOES NOT TAKE INTO CONSIDERATION SHAREHOLDER TAXES. IT IS
MOST RELEVANT TO TAX-FREE OR TAX-DEFERRED SHAREHOLDER ACCOUNTS. "RETURN AFTER
TAXES ON DISTRIBUTIONS" REFLECTS THE IMPACT OF FEDERAL INCOME TAXES DUE ON FUND
DISTRIBUTIONS OF DIVIDENDS AND CAPITAL GAINS. IT IS MOST RELEVANT TO TAXPAYING
SHAREHOLDERS WHO CONTINUE TO HOLD THEIR SHARES. "RETURN AFTER TAXES ON
DISTRIBUTIONS AND SALE OF FUND SHARES" ALSO REFLECTS THE IMPACT OF TAXES ON
CAPITAL GAIN OR LOSS REALIZED UPON A SALE OF SHARES. IT IS MOST RELEVANT TO
TAXPAYING SHAREHOLDERS WHO SELL THEIR SHARES.
AVERAGE ANNUAL TOTAL RETURNS (FOR THE PERIODS ENDED DECEMBER 31, 2004)
RETURNS AT NET ASSET VALUE (NAV) (CLASS A)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 9.12% 0.56%
Return After Taxes on Distributions 9.03% 0.53%
Return After Taxes on Distributions and Sale of Fund Shares 6.04% 0.48%
</Table>
RETURNS AT PUBLIC OFFERING PRICE (POP) (CLASS A)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 2.85% -0.98%
Return After Taxes on Distributions 2.77% -1.00%
Return After Taxes on Distributions and Sale of Fund Shares 1.96% -0.83%
</Table>
AVERAGE ANNUAL TOTAL RETURNS (FOR THE PERIODS ENDED DECEMBER 31, 2004)
RETURNS AT NET ASSET VALUE (NAV) (CLASS B)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 8.32% -0.26%
Return After Taxes on Distributions 8.32% -0.26%
Return After Taxes on Distributions and Sale of Fund Shares 5.41% -0.22%
</Table>
RETURNS AT PUBLIC OFFERING PRICE (POP) (CLASS B)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 3.32% -1.05%
Return After Taxes on Distributions 3.32% -1.05%
Return After Taxes on Distributions and Sale of Fund Shares 2.16% -0.89%
</Table>
RETURNS AT NET ASSET VALUE (NAV) (CLASS C)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 8.20% -0.26%
Return After Taxes on Distributions 8.20% -0.26%
Return After Taxes on Distributions and Sale of Fund Shares 5.33% -0.22%
</Table>
RETURNS AT PUBLIC OFFERING PRICE (POP) (CLASS C)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 7.20% -0.26%
Return After Taxes on Distributions 7.20% -0.26%
Return After Taxes on Distributions and Sale of Fund Shares 4.68% -0.22%
</Table>
RETURNS AT NET ASSET VALUE (NAV) (CLASS I)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 9.35% 0.67%
Return After Taxes on Distributions 9.23% 0.63%
Return After Taxes on Distributions and Sale of Fund Shares 6.24% 0.57%
</Table>
RETURNS AT PUBLIC OFFERING PRICE (POP) (CLASS I)
<Table>
<Caption>
One Year Life of Fund
Return Before Taxes 9.35% 0.67%
Return After Taxes on Distributions 9.23% 0.63%
Return After Taxes on Distributions and Sale of Fund Shares 6.24% 0.57%
</Table>
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. RETURNS ARE HISTORICAL AND
ARE CALCULATED BY DETERMINING THE PERCENTAGE CHANGE IN NET ASSET VALUE OR
OFFERING PRICE (AS APPLICABLE) 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, THE FUND'S CURRENT PERFORMANCE MAY BE
LOWER OR HIGHER THAN THE QUOTED RETURN. FOR PERFORMANCE AS OF THE MOST RECENT
MONTH-END, PLEASE REFER TO www.eatonvance.com.
Class A, Class B, Class C, and Class I of the Fund commenced investment
operations on 2/28/01. Returns at Public Offering Price (POP) reflect the
deduction of the maximum initial sales charge and applicable CDSC, while Returns
at Net Asset Value (NAV) do not.
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 shares in tax-deferred accounts or to shares held by
non-taxable entities. 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.
5
<Page>
FUND EXPENSES
EXAMPLE: As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchases and redemption
fees (if applicable); and (2) ongoing costs, including management fees;
distribution or service fees; and other Fund expenses. This Example is intended
to help you understand your ongoing costs (in dollars) of investing in the Fund
and to compare these costs with the ongoing costs of investing in other mutual
funds. The Example is based on an investment of $1,000 invested at the beginning
of the period and held for the entire period (July 1, 2004 - December 31, 2004).
ACTUAL EXPENSES: The first section of the table below provides information about
actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in the first line under the heading entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES: The second section of the table
below provides information about hypothetical account values and hypothetical
expenses based on the actual Fund expense ratio and an assumed rate of return of
5% per year (before expenses), which is not the actual return of the Fund. The
hypothetical account values and expenses may not be used to estimate the actual
ending account balance or expenses you paid for the period. You may use this
information to compare the ongoing costs of investing in your Fund and other
funds. To do so, compare this 5% hypothetical example with the 5% hypothetical
examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads) or redemption fees (if applicable). Therefore, the second
section of the table is useful in comparing ongoing costs only, and will not
help you determine the relative total costs of owning different funds. In
addition, if these transactional costs were included, your costs would have been
higher.
EATON VANCE TAX-MANAGED GROWTH FUND 1.2
<Table>
<Caption>
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING PERIOD*
(7/1/04) (12/31/04) (7/1/04 - 12/31/04)
- -----------------------------------------------------------------------------------------------------------------------
ACTUAL
Class A $ 1,000.00 $ 1,057.27 $ 5.02
Class B $ 1,000.00 $ 1,053.19 $ 8.93
Class C $ 1,000.00 $ 1,053.19 $ 8.93
Class I $ 1,000.00 $ 1,058.49 $ 3.73
HYPOTHETICAL
(5% return per year before expenses)
Class A $ 1,000.00 $ 1,020.30 $ 4.93
Class B $ 1,000.00 $ 1,016.40 $ 8.77
Class C $ 1,000.00 $ 1,016.40 $ 8.77
Class I $ 1,000.00 $ 1,021.50 $ 3.66
</Table>
* Expenses are equal to the Fund's annualized expense ratio of 0.97% for
Class A shares, 1.73% for Class B shares, 1.73% for Class C shares, and
0.72% for Class I shares multiplied by the average account value over the
period, multiplied by 184/366 (to reflect the one-half year period). The
example assumes that the $1,000 was invested at the net asset value per
share determined at the close of business on June 30, 2004. The Example
reflects the expenses of both the Fund and the Portfolio.
6
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.2 as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 2004
<Table>
ASSETS
Investment in Tax-Managed Growth Portfolio, at value
(identified cost, $1,039,154,079) $ 1,436,069,912
Receivable for Fund shares sold 2,955,695
- -----------------------------------------------------------------------------------------------
TOTAL ASSETS $ 1,439,025,607
- -----------------------------------------------------------------------------------------------
LIABILITIES
Payable for Fund shares redeemed $ 1,984,963
Payable to affiliate for distribution and service fees 70,426
Payable to affiliate for Trustees' fees 663
Accrued expenses 351,037
- -----------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 2,407,089
- -----------------------------------------------------------------------------------------------
NET ASSETS $ 1,436,618,518
- -----------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Paid-in capital $ 1,163,068,782
Accumulated net realized loss from Portfolio (computed on
the basis of identified cost) (123,390,898)
Accumulated undistributed net investment income 24,801
Net unrealized appreciation from Portfolio (computed on the basis of
identified cost) 396,915,833
- -----------------------------------------------------------------------------------------------
TOTAL $ 1,436,618,518
- -----------------------------------------------------------------------------------------------
CLASS A SHARES
NET ASSETS $ 670,319,259
SHARES OUTSTANDING 66,064,224
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 10.15
MAXIMUM OFFERING PRICE PER SHARE
(100 DIVIDED BY 94.25 of $10.15) $ 10.77
CLASS B SHARES
NET ASSETS $ 391,010,125
SHARES OUTSTANDING 39,507,390
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 9.90
CLASS C SHARES
NET ASSETS $ 366,420,786
SHARES OUTSTANDING 36,997,818
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 9.90
CLASS I SHARES
NET ASSETS $ 8,868,348
SHARES OUTSTANDING 872,498
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE
(net assets DIVIDED BY shares of beneficial interest outstanding) $ 10.16
</Table>
On sales of $50,000 or more, the offering price of Class A shares is reduced.
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED
DECEMBER 31, 2004
<Table>
INVESTMENT INCOME
Dividends allocated from Portfolio (net of foreign taxes, $287,425) $ 21,984,592
Interest allocated from Portfolio 87,346
Expenses allocated from Portfolio (6,058,008)
- -----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME FROM PORTFOLIO $ 16,013,930
- -----------------------------------------------------------------------------------------------
EXPENSES
Administration fees $ 2,029,990
Trustees' fees and expenses 2,832
Distribution and service fees
Class A 1,552,593
Class B 3,565,884
Class C 3,459,773
Class D 226,902
Transfer and dividend disbursing agent fees 1,295,583
Printing and postage 188,634
Registration fees 41,851
Legal and accounting services 38,191
Custodian fee 37,739
Miscellaneous 72,574
- -----------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 12,512,546
- -----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 3,501,384
- -----------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) FROM PORTFOLIO
Net realized gain (loss) --
Investment transactions (identified cost basis) $ (52,670,189)
Foreign currency transactions 4,536
- -----------------------------------------------------------------------------------------------
NET REALIZED LOSS $ (52,665,653)
- -----------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 164,455,530
Securities sold short (2,019,150)
Foreign currency 6,361
- -----------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 162,442,741
- -----------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 109,777,088
- -----------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 113,278,472
- -----------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
7
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
INCREASE (DECREASE)
IN NET ASSETS
From operations --
Net investment income $ 3,501,384 $ 836,552
Net realized loss from
investment transactions,
securities sold short and
foreign currency transactions (52,665,653) (76,596,398)
Net change in unrealized
appreciation (depreciation)
of investments, securities sold short
and foreign currency 162,442,741 307,255,679
- -----------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 113,278,472 $ 231,495,833
- -----------------------------------------------------------------------------------
Distributions to shareholders --
From net investment income
Class A $ (3,432,135) $ (813,307)
Class I (64,830) (13,723)
- -----------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS $ (3,496,965) $ (827,030)
- -----------------------------------------------------------------------------------
Transactions in shares of beneficial interest --
Proceeds from sale of shares
Class A $ 176,517,564 $ 211,336,693
Class B 70,949,011 67,496,220
Class C 63,379,387 83,937,749
Class D 2,047,307 4,144,445
Class I 3,424,208 3,149,196
Net asset value of shares issued to
shareholders in payment of
distributions declared
Class A 2,671,766 628,787
Class I 36,742 8,188
Cost of shares redeemed
Class A (145,602,810) (112,149,591)
Class B (52,632,597) (39,082,429)
Class C (58,245,114) (52,556,854)
Class D (35,393,674) (3,676,206)
Class I (903,387) (2,168,507)
Net asset value of shares exchanged
Class A 1,681,946 --
Class B (1,681,946) --
- -----------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
FUND SHARE TRANSACTIONS $ 26,248,403 $ 161,067,691
- -----------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 136,029,910 $ 391,736,494
- -----------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 1,300,588,608 $ 908,852,114
- -----------------------------------------------------------------------------------
AT END OF YEAR $ 1,436,618,518 $ 1,300,588,608
- -----------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED NET INVESTMENT
INCOME INCLUDED IN NET ASSETS
AT END OF YEAR $ 24,801 $ 9,499
- -----------------------------------------------------------------------------------
</Table>
See notes to financial statements
8
<Page>
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
CLASS A
-----------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
---------------------------------------------- PERIOD ENDED
2004 2003 2002 DECEMBER 31, 2001(1)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.350 $ 7.600 $ 9.480 $ 10.000
- -------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income(2) $ 0.063 $ 0.040 $ 0.027 $ 0.005
Net realized and unrealized gain (loss) 0.789 1.723 (1.907) (0.525)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.852 $ 1.763 $ (1.880) $ (0.520)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.052) $ (0.013) $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.052) $ (0.013) $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 10.150 $ 9.350 $ 7.600 $ 9.480
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 9.12% 23.20% (19.83)% (5.20)%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 670,319 $ 583,971 $ 379,172 $ 228,610
Ratios (As a percentage of average daily
net assets):
Expenses(4) 0.97% 1.01% 1.01% 1.03%(5)
Expenses after custodian fee reduction(4) 0.97% -- -- --
Net investment income 0.66% 0.49% 0.32% 0.06%(5)
Portfolio Turnover of the Portfolio 3% 15% 23% 18%
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
income per share would have been as follows: Ratios
(As a percentage of average daily net assets):
Expenses(4) 0.97% -- -- --
Expenses after custodian fee reduction(4) 0.97% -- -- --
Net investment income 0.66% -- -- --
Net investment income per share $ 0.063 -- -- --
</Table>
(1) For the period from the start of business, February 28, 2001 to December
31, 2001.
(2) Net investment income per share was computed using average shares
outstanding.
(3) 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.
(4) Includes the Fund's share of the Portfolio's allocated expenses.
(5) Annualized.
See notes to financial statements
9
<Page>
<Table>
<Caption>
CLASS B
-----------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
---------------------------------------------- PERIOD ENDED
2004 2003 2002 DECEMBER 31, 2001(1)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.140 $ 7.470 $ 9.400 $ 10.000
- -------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment loss(2) $ (0.008) $ (0.021) $ (0.037) $ (0.053)
Net realized and unrealized gain (loss) 0.768 1.691 (1.893) (0.547)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.760 $ 1.670 $ (1.930) $ (0.600)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 9.900 $ 9.140 $ 7.470 $ 9.400
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 8.32% 22.36% (20.53)% (6.00)%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 391,010 $ 344,432 $ 255,721 $ 203,917
Ratios (As a percentage of average daily net assets):
Expenses(4) 1.72% 1.77% 1.76% 1.77%(5)
Expenses after custodian fee reduction(4) 1.72% -- -- --
Net investment loss (0.09)% (0.26)% (0.44)% (0.68)%(5)
Portfolio Turnover of the Portfolio 3% 15% 23% 18%
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
loss per share would have been as follows: Ratios
(As a percentage of average daily net assets):
Expenses(4) 1.72% -- -- --
Expenses after custodian fee reduction(4) 1.72% -- -- --
Net investment loss (0.09)% -- -- --
Net investment loss per share $ (0.008) -- -- --
</Table>
(1) For the period from the start of business, February 28, 2001 to December
31, 2001.
(2) Net investment loss per share was computed using average shares
outstanding.
(3) 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.
(4) Includes the Fund's share of the Portfolio's allocated expenses.
(5) Annualized.
See notes to financial statements
10
<Page>
<Table>
<Caption>
CLASS C
-----------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
---------------------------------------------- PERIOD ENDED
2004 2003 2002 DECEMBER 31, 2001(1)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.150 $ 7.480 $ 9.400 $ 10.000
- -------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment loss(2) $ (0.008) $ (0.020) $ (0.036) $ (0.053)
Net realized and unrealized gain (loss) 0.758 1.690 (1.884) (0.547)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.750 $ 1.670 $ (1.920) $ (0.600)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 9.900 $ 9.150 $ 7.480 $ 9.400
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 8.20% 22.33% (20.43)% (6.00)%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 366,421 $ 333,398 $ 243,633 $ 183,831
Ratios (As a percentage of average daily net assets):
Expenses(4) 1.72% 1.76% 1.76% 1.77%(5)
Expenses after custodian fee reduction(4) 1.72% -- -- --
Net investment loss (0.09)% (0.25)% (0.44)% (0.68)%(5)
Portfolio Turnover of the Portfolio 3% 15% 23% 18%
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
loss per share would have been as follows: Ratios
(As a percentage of average daily net assets):
Expenses(4) 1.72% -- -- --
Expenses after custodian fee reduction(4) 1.72% -- -- --
Net investment loss (0.09)% -- -- --
Net investment loss per share $ (0.008) -- -- --
</Table>
(1) For the period from the start of business, February 28, 2001 to December
31, 2001.
(2) Net investment loss per share was computed using average shares
outstanding.
(3) 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.
(4) Includes the Fund's share of the Portfolio's allocated expenses.
(5) Annualized.
See notes to financial statements
11
<Page>
<Table>
<Caption>
CLASS I
-----------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
---------------------------------------------- PERIOD ENDED
2004 2003 2002 DECEMBER 31, 2001(1)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value -- Beginning of year $ 9.360 $ 7.600 $ 9.460 $ 10.000
- -------------------------------------------------------------------------------------------------------------------------------
INCOME (LOSS) FROM OPERATIONS
Net investment income(2) $ 0.090 $ 0.060 $ 0.052 $ 0.028
Net realized and unrealized gain (loss) 0.785 1.723 (1.912) (0.568)
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM OPERATIONS $ 0.875 $ 1.783 $ (1.860) $ (0.540)
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
From net investment income $ (0.075) $ (0.023) $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS $ (0.075) $ (0.023) $ -- $ --
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE -- END OF YEAR $ 10.160 $ 9.360 $ 7.600 $ 9.460
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(3) 9.35% 23.46% (19.66)% (5.40)%
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Net assets, end of year (000's omitted) $ 8,868 $ 5,664 $ 3,604 $ 661
Ratios (As a percentage of average daily net assets):
Expenses(4) 0.72% 0.77% 0.74% 0.78%(5)
Expenses after custodian fee reduction(4) 0.72% -- -- --
Net investment income 0.94% 0.74% 0.64% 0.37%(5)
Portfolio Turnover of the Portfolio 3% 15% 23% 18%
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios and net investment
income per share would have been as follows: Ratios
(As a percentage of average daily net assets):
Expenses(4) 0.72% -- -- --
Expenses after custodian fee reduction(4) 0.72% -- -- --
Net investment income 0.94% -- -- --
Net investment income per share $ 0.090 -- -- --
</Table>
(1) For the period from the start of business, February 28, 2001 to December
31, 2001.
(2) Net investment loss per share was computed using average shares
outstanding.
(3) 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.
(4) Includes the Fund's share of the Portfolio's allocated expenses.
(5) Annualized.
See notes to financial statements
12
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.2 as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
1 SIGNIFICANT ACCOUNTING POLICIES
Eaton Vance Tax-Managed Growth Fund 1.2 (the Fund) is a diversified series of
Eaton Vance Mutual Funds 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 has four classes of shares. Class A shares are generally sold
subject to a sales charge imposed at the time of purchase. Class B and Class C
shares are sold at net asset value and are subject to a contingent deferred
sales charge (see Note 6). Class I shares are sold at net asset value and are
not subject to a sales charge. Class B shares held for eight years will
automatically convert to Class A shares. The Fund previously offered Class D
shares. Such offerings were discontinued during the year ended December 31,
2004. Each class represents a pro rata interest in the Fund, but votes
separately on class-specific matters and (as noted below) is subject to
different expenses. Realized and unrealized gains and losses and net investment
income and losses, other than class-specific expenses, are allocated daily to
each class of shares based on the relative net assets of each class to the total
net assets of the Fund. Each class of shares differs in its distribution plan
and certain other class-specific expenses. 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 (7.5% at December 31, 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 fund.
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. At
December 31, 2004, the Fund, for federal income tax purposes, had a capital loss
carryover of $65,234,643 which will reduce the taxable income arising from
future net realized gain on investments, if any, to the extent permitted by the
Internal Revenue Code and thus will reduce the amount of distributions to
shareholders which would otherwise be necessary to relieve the Fund of any
liability for federal income or excise tax. Such loss carryover will expire on
December 31, 2011 ($20,145,448), December 31, 2010 ($37,423,338) and December
31, 2009, ($7,665,857).
E EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as a
custodian to the Fund and the Portfolio. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by credits which are determined based on
average daily cash balances the Fund or the Portfolio maintains with IBT. All
credit balances used to reduce the Fund's custodian fees are reported as a
reduction of total expenses in the Statement of Operations.
F 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.
G OTHER -- Investment transactions are accounted for on a trade-date basis.
Dividends to shareholders are recorded on the ex-dividend date.
13
<Page>
H 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.
2 DISTRIBUTIONS TO SHAREHOLDERS
The Fund's policy is to distribute annually (normally in December) substantially
all of the net investment income allocated to the Fund by the Portfolio (less
the Fund's direct expenses) and to distribute annually 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 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 reclassified to paid-in
capital.
During the year ended December 31, 2004, accumulated paid-in capital was
decreased by $84,349,250, net investment income was increased by $10,883, and
accumulated net realized loss was decreased by $84,338,367 primarily due to
differences between book and tax accounting treatment of foreign currency gain
(loss) and redemptions in-kind. This change had no effect on the net assets or
the net asset value per share.
As of December 31, 2004, the components of distributable earnings (accumulated
losses) on a tax basis were as follows:
<Table>
Capital loss carryforwards $ (65,234,643)
Unrealized appreciation $ 338,759,578
Accumulated undistributed net investment income $ 24,801
</Table>
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>
YEAR ENDED DECEMBER 31,
-----------------------------
CLASS A 2004 2003
- --------------------------------------------------------------------
Sales 18,476,917 26,462,676
Issued to shareholders electing to
receive payments of distributions
in Fund shares 265,057 68,124
Redemptions (15,334,050) (13,961,192)
Exchanges from Class B shares 179,465 --
- --------------------------------------------------------------------
NET INCREASE 3,587,389 12,569,608
- --------------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
-----------------------------
CLASS B 2004 2003
- --------------------------------------------------------------------
Sales 7,660,142 8,441,592
Redemptions (5,665,272) (4,967,412)
Exchanges to Class A shares (181,098) --
- --------------------------------------------------------------------
NET INCREASE 1,813,772 3,474,180
- --------------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
-----------------------------
CLASS C 2004 2003
- --------------------------------------------------------------------
Sales 6,815,635 10,497,388
Redemptions (6,274,624) (6,619,062)
- --------------------------------------------------------------------
NET INCREASE 541,011 3,878,326
- --------------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
-----------------------------
CLASS D 2004(1) 2003
- --------------------------------------------------------------------
Sales 220,509 516,522
Redemptions (3,842,248) (467,088)
- --------------------------------------------------------------------
NET INCREASE (DECREASE) (3,621,739) 49,434
- --------------------------------------------------------------------
<Caption>
YEAR ENDED DECEMBER 31,
-----------------------------
CLASS I 2004 2003
- --------------------------------------------------------------------
Sales 357,630 389,626
Issued to shareholders electing to
receive payments of distributions
in Fund shares 3,638 886
Redemptions (93,797) (259,888)
- --------------------------------------------------------------------
NET INCREASE 267,471 130,624
- --------------------------------------------------------------------
</Table>
(1) Offerings of Class D shares were discontinued during the year ended
December 31, 2004 (See Note 1).
14
<Page>
4 TRANSACTIONS WITH AFFILIATES
The administration fee is earned by Eaton Vance Management (EVM) as compensation
for managing and administering the business affairs of the Fund. Under the
administration agreement, EVM earns a fee in the amount of 0.15% per annum of
average daily net assets of the Fund. For the year ended December 31, 2004, the
administration fee amounted to $2,029,990. 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 year ended
December 31, 2004, EVM earned $121,012 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 their annual fees in accordance with the terms of the
Trustees' Deferred Compensation Plan. For the year ended December 31, 2004, no
significant amounts have been deferred.
Eaton Vance Distributors, Inc. (EVD), a subsidiary of EVM and the Fund's
principal underwriter, received $336,083 as its portion of the sales charge on
sales of Class A shares for the year ended December 31, 2004.
Certain officers and Trustees of the Fund and the Portfolio are officers of the
above organizations.
5 DISTRIBUTION AND SERVICE PLAN
The Fund has in effect distribution plans for Class B shares (Class B Plan) and
Class C shares (Class C Plan) pursuant to Rule 12b-1 under the Investment
Company Act of 1940 and a service plan for Class A shares (Class A Plan)
(collectively, the Plans). A similar plan in effect for Class D shares (Class D
Plan) was terminated by the Trustees during the year ended December 31, 2004.
The Plans require the Fund to pay EVD amounts equal to 1/365 of 0.75% of the
Fund's average daily net assets attributable to Class B, Class C and Class D
shares for providing ongoing distribution services and facilities to the Fund.
The Fund will automatically discontinue payments to EVD during any period in
which there are no outstanding Uncovered Distribution Charges, which are
equivalent to the sum of (i) 6.25% of the aggregate amount received by the Fund
for the Class B, Class C and Class D shares sold, respectively, plus (ii)
interest calculated by applying the rate of 1% over the prevailing prime rate to
the outstanding balance of Uncovered Distribution Charges of EVD of each
respective class, reduced by the aggregate amount of contingent deferred sales
charges (see Note 6) and daily amounts theretofore paid to EVD by each
respective class. The Fund paid or accrued $2,674,413, $2,594,830 and $170,176
for Class B, Class C and Class D shares, respectively, to or payable to EVD for
the year ended December 31, 2004, representing 0.75% (annualized) of the average
daily net assets for Class B, Class C and Class D shares. At December 31, 2004,
the amount of Uncovered Distribution Charges EVD calculated under the Plans was
approximately $19,746,000 and $25,156,000 for Class B and Class C shares,
respectively.
The Plans authorize the Fund to make payments of service fees to EVD, investment
dealers and other persons in the amounts of 0.25% of the Fund's average daily
net assets attributable to Class A, Class B, Class C and Class D shares for each
fiscal year. Service fee payments will be made for personal services and/or the
maintenance of shareholder accounts. Service fees are separate and distinct from
the sales commissions and distribution fees payable by the Fund to EVD and, as
such, are not subject to automatic discontinuance when there are no outstanding
Uncovered Distribution Charges of EVD. Service fees paid or accrued for the year
ended December 31, 2004 amounted to $1,552,593, $891,471, $864,943 and $56,726
for Class A, Class B, Class C and Class D shares, respectively.
6 CONTINGENT DEFERRED SALES CHARGE
A contingent deferred sales charge (CDSC) is generally imposed on any redemption
of Class B and Class D shares made within six years of purchase and on
redemptions of Class C shares made within one year of purchase. Generally, the
CDSC is based upon the lower of the net asset value at date of redemption or
date of purchase. No charge is levied on shares acquired by reinvestment of
dividends or capital gains distributions. Class A shares may be subject to a 1%
CDSC if redeemed within one year of purchase (depending upon the circumstances
of the purchase). The Class B and Class D CDSC is imposed at declining rates
that begin at 5% in the case of redemptions in the first and second year after
purchase, declining one percentage point each subsequent year. Class C shares
will be subject to a 1% CDSC if redeemed within one year of purchase.
No CDSC is levied on shares which have been sold to EVM or its affiliates or to
their respective employees or clients
15
<Page>
and may be waived under certain other limited conditions. CDSCs pertaining to
Class B, Class C and Class D shares are paid to EVD to reduce the amount of
Uncovered Distribution Charges calculated under the Plans (see Note 5). CDSCs
assessed on Class B, Class C and Class D shares when no Uncovered Distribution
Charges exist for the respective class will be credited to the Fund. EVD
received approximately $6,000, $1,230,000, $45,000 and $161,000 of CDSC paid by
shareholders for Class A, Class B, Class C, and Class D shares, respectively,
for the year ended December 31, 2004.
7 INVESTMENT TRANSACTIONS
Increases and decreases in the Fund's investment in the Portfolio aggregated
$316,902,156 and $309,637,462, respectively, for the year ended December 31,
2004.
16
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.2 as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES OF EATON VANCE MUTUAL FUNDS
TRUST AND SHAREHOLDERS OF EATON VANCE
TAX-MANAGED GROWTH FUND 1.2:
We have audited the accompanying statement of assets and liabilities of Eaton
Vance Tax-Managed Growth Fund 1.2 (the Fund) (one of the series constituting
Eaton Vance Mutual Funds Trust) as of December 31, 2004, and the related
statement of operations for the year then ended, the statement of changes in net
assets for each of the two years in the period then ended, and the financial
highlights for each of the three years in the period then ended and for the
period from the start of business, February 28, 2001 to December 31, 2001. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the 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 are free of material misstatement. An audit includes consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of Eaton Vance
Tax-Managed Growth Fund 1.2 at December 31, 2004, the results of its operations
for the year then ended, the changes in its net assets for each of the two years
in the period then ended, and its financial highlights for each of the three
years in the period then ended and for the period from the start of business,
February 28, 2001 to December 31, 2001, in conformity with accounting principles
generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 18, 2005
17
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.2 as of December 31, 2004
FEDERAL TAX INFORMATION (UNAUDITED)
The Form 1099-DIV you received in January 2005 showed 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 and the
dividends received deduction for corporations.
QUALIFIED DIVIDEND INCOME. The Fund designates approximately 100%, 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%.
DIVIDENDS RECEIVED DEDUCTION. Corporate shareholders are generally entitled to
take the dividends received deduction on the portion of the Fund's dividend
distribution that qualified under tax law. For the Fund's fiscal 2004 ordinary
income dividends, 100% qualified for the corporate dividends received deduction.
18
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
PORTFOLIO OF INVESTMENTS
COMMON STOCKS -- 99.8%
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
AEROSPACE AND DEFENSE -- 2.8%
Boeing Company (The) 796,801 $ 41,250,388
General Dynamics 735,000 76,881,000
Honeywell International, Inc. 277,798 9,836,827
Northrop Grumman Corp. 3,497,103 190,102,519
Raytheon Company 340,663 13,227,944
Rockwell Collins, Inc. 190,614 7,517,816
Teledyne Technologies Incorporated(1) 6,117 180,023
United Technologies Corp. 1,897,601 196,117,063
- -----------------------------------------------------------------------------------------------------------------
$ 535,113,580
- -----------------------------------------------------------------------------------------------------------------
AIR FREIGHT AND LOGISTICS -- 2.9%
FedEx Corporation 2,106,578 $ 207,476,867
Robinson (C.H.) Worldwide, Inc. 1,098,233 60,973,896
United Parcel Service, Inc. Class B 3,401,734 290,712,188
- -----------------------------------------------------------------------------------------------------------------
$ 559,162,951
- -----------------------------------------------------------------------------------------------------------------
AIRLINES -- 0.0%
Southwest Airlines, Inc. 294,642 $ 4,796,772
- -----------------------------------------------------------------------------------------------------------------
$ 4,796,772
- -----------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS -- 0.2%
ArvinMeritor, Inc. 8,000 $ 178,960
Borg-Warner Automotive, Inc. 381,499 20,665,801
Dana Corp. 25,000 433,250
Delphi Automotive Systems Corp. 6,199 55,915
Johnson Controls, Inc. 234,164 14,855,364
Visteon Corp. 9,828 96,020
- -----------------------------------------------------------------------------------------------------------------
$ 36,285,310
- -----------------------------------------------------------------------------------------------------------------
AUTOMOBILES -- 0.1%
DaimlerChrysler AG 7,000 $ 336,350
Ford Motor Co. 145,050 2,123,532
General Motors Corp. 13,492 540,490
Harley-Davidson, Inc. 140,700 8,547,525
Honda Motor Co. Ltd. ADR 20,000 521,200
- -----------------------------------------------------------------------------------------------------------------
$ 12,069,097
- -----------------------------------------------------------------------------------------------------------------
BEVERAGES -- 4.0%
Anheuser-Busch Companies, Inc. 4,421,625 $ 224,309,036
Brown-Forman Corp. Class A 547,732 27,802,876
Brown-Forman Corp. Class B 45,820 $ 2,230,518
Coca-Cola Company (The) 3,442,924 143,328,926
Coca-Cola Enterprises, Inc. 1,756,930 36,631,991
PepsiCo., Inc. 6,267,913 327,185,059
- -----------------------------------------------------------------------------------------------------------------
$ 761,488,406
- -----------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 1.7%
Amgen, Inc.(1) 4,060,747 $ 260,496,920
Applera Corp. - Celera Genomics Group(1) 26,000 357,500
Biogen Idec Inc.(1) 11,200 746,032
Genzyme Corp. - General Division(1) 564,926 32,805,253
Gilead Sciences, Inc.(1) 115,482 4,040,715
Incyte Pharmaceuticals, Inc.(1) 14,294 142,797
Invitrogen Corp.(1) 429,910 28,859,858
Vertex Pharmaceuticals, Inc.(1) 13,000 137,410
- -----------------------------------------------------------------------------------------------------------------
$ 327,586,485
- -----------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS -- 1.0%
American Standard Companies, Inc.(1) 977,738 $ 40,400,134
Masco Corporation 4,157,854 151,886,407
Water Pik Technologies(1) 2,141 37,960
- -----------------------------------------------------------------------------------------------------------------
$ 192,324,501
- -----------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS -- 4.1%
Affiliated Managers Group(1) 20,520 $ 1,390,025
Bank of New York Co., Inc. (The) 402,028 13,435,776
Bear Stearns Companies, Inc. 88,001 9,003,382
Credit Suisse Group(1) 155,136 6,521,607
Federated Investors, Inc. 1,666,768 50,669,747
Franklin Resources, Inc. 1,462,116 101,836,379
Goldman Sachs Group, Inc. 832,738 86,638,062
Investors Financial Services Corp. 453,428 22,662,331
Knight Trading Group, Inc.(1) 1,750,000 19,162,500
Legg Mason, Inc. 26,461 1,938,533
Lehman Brothers Holdings, Inc. 99,493 8,703,648
Mellon Financial Corporation 221,912 6,903,682
Merrill Lynch & Co., Inc. 2,108,147 126,003,946
Morgan Stanley Dean Witter & Co. 4,737,998 263,053,649
Northern Trust Corp. 368,571 17,905,179
Nuveen Investments Class A 150,000 5,920,500
Piper Jaffray Companies, Inc.(1) 41,059 1,968,779
Price (T. Rowe) Group, Inc. 191,743 11,926,415
</Table>
See notes to financial statements
19
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS (CONTINUED)
Raymond James Financial, Inc. 147,337 $ 4,564,500
Schwab (Charles) & Co. 857,261 10,252,842
State Street Corp. 131,670 6,467,630
UBS AG 63,392 5,314,785
Waddell & Reed Financial, Inc., Class A 340,438 8,133,064
- -----------------------------------------------------------------------------------------------------------------
$ 790,376,961
- -----------------------------------------------------------------------------------------------------------------
CHEMICALS -- 1.0%
Airgas, Inc. 353,715 $ 9,376,985
Arch Chemicals, Inc. 4,950 142,461
Bayer AG ADR 40,000 1,359,200
Dow Chemical Co. (The) 247,183 12,238,030
DuPont (E.I.) de Nemours & Co. 1,328,903 65,182,692
Ecolab, Inc. 258,423 9,078,400
MacDermid, Inc. 61,937 2,235,926
Monsanto Company 19,181 1,065,505
Olin Corp. 9,900 217,998
PPG Industries, Inc. 23,542 1,604,623
Rohm and Haas, Co. 2,601 115,042
RPM, Inc. 70,138 1,378,913
Sigma-Aldrich Corp. 630,897 38,144,033
Solutia Inc.(1) 20,293 23,743
Valspar Corp. 818,316 40,923,983
- -----------------------------------------------------------------------------------------------------------------
$ 183,087,534
- -----------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS -- 8.6%
AmSouth Bancorporation 626,715 $ 16,231,919
Associated Banc-Corp 1,061,378 35,248,363
Bank of America Corporation 4,845,034 227,668,148
Bank of Hawaii Corp. 69,735 3,538,354
Bank of Montreal 267,204 12,863,201
Banknorth Group, Inc. 10,000 366,000
BB&T Corp. 1,826,737 76,814,291
Canadian Imperial Bank of Commerce 100,000 6,026,000
City National Corp. 273,260 19,305,819
Colonial Bancgroup, Inc. (The) 253,936 5,391,061
Comerica, Inc. 331,589 20,233,561
Commerce Bancshares, Inc. 155,154 7,788,731
Compass Bancshares, Inc. 301,339 14,666,169
Fifth Third Bancorp 1,355,381 64,082,414
First Citizens BancShares, Inc. 30,600 4,536,450
First Financial Bancorp 47,933 838,828
First Horizon National Corp. 155,551 $ 6,705,804
First Midwest Bancorp, Inc. 815,329 29,588,289
Hibernia Corp. Class A 187,345 5,528,551
HSBC Holdings PLC ADR 592,965 50,485,040
Huntington Bancshares, Inc. 586,532 14,534,263
Keycorp 625,951 21,219,739
M&T Bank Corp. 47,419 5,113,665
Marshall & Ilsley Corp. 629,932 27,842,994
National City Corp. 1,677,060 62,973,603
North Fork Bancorporation, Inc. 1,785,892 51,522,984
PNC Bank Corp. 156,003 8,960,812
Popular, Inc. 1,432 41,285
Regions Financial Corp. 2,282,030 81,217,448
Royal Bank of Canada 349,353 18,669,424
Royal Bank of Scotland Group PLC 50,837 1,707,348
S&T Bancorp, Inc. 100,000 3,769,000
Societe Generale 809,647 81,960,387
Southwest Bancorporation of Texas, Inc. 1,255,140 29,232,211
SunTrust Banks, Inc. 1,307,505 96,598,469
Synovus Financial Corp. 1,345,581 38,456,705
TCF Financial Corporation 72,500 2,330,150
U.S. Bancorp 5,276,270 165,252,776
Valley National Bancorp 164,652 4,552,628
Wachovia Corp. 2,239,760 117,811,376
Wells Fargo & Company 2,391,184 148,612,086
Westamerica Bancorporation 268,474 15,654,719
Whitney Holding Corp. 347,200 15,620,528
Zions Bancorporation 250,076 17,012,670
- -----------------------------------------------------------------------------------------------------------------
$ 1,638,574,263
- -----------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES -- 2.0%
Allied Waste Industries, Inc.(1) 1,674,390 $ 15,538,339
Apollo Group, Inc. Class A(1) 18,411 1,485,952
Avery Dennison Corp. 1,157,598 69,421,152
Banta Corp. 42,341 1,895,183
Block (H&R), Inc. 732,354 35,885,346
Cendant Corp. 549,359 12,844,013
Century Business Services, Inc.(1) 185,000 806,600
Cintas Corp. 1,399,270 61,371,982
Consolidated Graphics, Inc.(1) 70,215 3,222,869
Deluxe Corporation 32,000 1,194,560
Donnelley (R.R.) & Sons Co. 91,260 3,220,565
Equifax, Inc. 80,000 2,248,000
</Table>
See notes to financial statements
20
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- ----------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES AND SUPPLIES (CONTINUED)
Gevity HR, Inc. 78,125 $ 1,606,250
HNI Corp. 1,470,565 63,307,823
Hudson Highland Group, Inc.(1) 11,581 333,533
Ikon Office Solutions, Inc. 83,040 959,942
Imagistics International Inc.(1) 809 27,231
Laureate Education Inc.(1) 520,213 22,936,191
Manpower, Inc. 2,000 96,600
Miller (Herman) Inc. 541,800 14,969,934
Monster Worldwide Inc.(1) 154,426 5,194,891
Navigant Consulting, Inc.(1) 463,017 12,316,252
Pitney Bowes, Inc. 42,343 1,959,634
School Specialty Corp.(1) 49,197 1,897,036
ServiceMaster Co. 1,224,880 16,891,095
Steelcase Inc. 123,000 1,702,320
Waste Management, Inc. 1,145,998 34,311,180
- ----------------------------------------------------------------------------------------------------------------
$ 387,644,473
- ----------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 1.2%
3Com Corp.(1) 873,949 $ 3,644,367
ADC Telecommunications, Inc.(1) 301,164 807,119
Alcatel S.A. ADR(1) 43,728 683,469
Avaya, Inc.(1) 56,571 973,021
Ciena Corp.(1) 380,378 1,270,463
Cisco Systems, Inc.(1) 4,475,139 86,370,183
Comverse Technology, Inc.(1) 375,922 9,191,293
Corning, Inc.(1) 3,645,380 42,906,123
Enterasys Networks, Inc.(1) 55,945 100,701
JDS Uniphase Corp.(1) 52,451 166,270
Lucent Technologies, Inc.(1) 555,464 2,088,545
Motorola, Inc. 980,426 16,863,327
Nokia Corp., Class A, ADR 2,050,478 32,130,990
Nortel Networks Corp.(1) 1,135,030 3,961,255
Qualcomm, Inc. 758,638 32,166,251
Riverstone Networks, Inc.(1) 28,706 30,572
Tellabs, Inc.(1) 110,405 948,379
- ----------------------------------------------------------------------------------------------------------------
$ 234,302,328
- ----------------------------------------------------------------------------------------------------------------
COMPUTERS AND PERIPHERALS -- 3.4%
Dell Inc.(1) 4,460,429 $ 187,962,478
EMC Corp.(1) 1,388,652 20,649,255
Gateway, Inc.(1) 95,621 574,682
Hewlett-Packard Co. 1,094,183 22,945,018
International Business Machines Corp. 2,426,216 $ 239,176,373
Lexmark International Group, Inc.(1) 1,804,885 153,415,225
McData Corp., Class A(1) 17,982 107,173
Network Appliance, Inc.(1) 488,000 16,211,360
Palmone, Inc.(1) 65,230 2,058,007
Sun Microsystems, Inc.(1) 366,670 1,972,685
- ----------------------------------------------------------------------------------------------------------------
$ 645,072,256
- ----------------------------------------------------------------------------------------------------------------
CONSTRUCTION AND ENGINEERING -- 0.1%
Dycom Industries, Inc.(1) 149,711 $ 4,569,180
Jacobs Engineering Group, Inc.(1) 229,985 10,990,983
- ----------------------------------------------------------------------------------------------------------------
$ 15,560,163
- ----------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS -- 0.1%
CRH plc 329,450 $ 8,812,801
Vulcan Materials Company 184,512 10,076,200
- ----------------------------------------------------------------------------------------------------------------
$ 18,889,001
- ----------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE -- 1.2%
American Express Co. 772,583 $ 43,550,504
Capital One Financial Corp. 1,411,152 118,833,110
MBNA Corporation 456,002 12,854,696
Providian Financial Corp.(1) 457,296 7,531,665
SLM Corp. 905,499 48,344,592
- ----------------------------------------------------------------------------------------------------------------
$ 231,114,567
- ----------------------------------------------------------------------------------------------------------------
CONTAINERS AND PACKAGING -- 0.1%
Bemis Co. 295,186 $ 8,586,961
Caraustar Industries, Inc.(1) 167,599 2,819,015
Sealed Air Corp.(1) 37,014 1,971,736
Sonoco Products Co. 160,690 4,764,459
Temple-Inland, Inc. 57,962 3,964,601
- ----------------------------------------------------------------------------------------------------------------
$ 22,106,772
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTORS -- 0.1%
Genuine Parts Company 323,060 $ 14,234,024
- ----------------------------------------------------------------------------------------------------------------
$ 14,234,024
- ----------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 1.7%
Citigroup Inc. 4,110,278 $ 198,033,194
Finova Group, Inc.(1) 175,587 28,094
</Table>
See notes to financial statements
21
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
ING groep, N.V. ADR 257,281 $ 7,782,750
Moody's Corp. 67,543 5,866,110
Morgan (J.P.) Chase & Co. 2,952,221 115,166,141
- -----------------------------------------------------------------------------------------------------------------
$ 326,876,289
- -----------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES -- 2.1%
Alltel Corp. 1,632,558 $ 95,929,108
AT&T Corp. 495,955 9,452,902
BCE, Inc. 3,400,000 82,042,000
BellSouth Corp. 455,705 12,664,042
Cincinnati Bell Inc.(1) 169,013 701,404
Citizens Communications Co. 13,568 187,103
Deutsche Telekom AG(1) 2,006,790 45,513,997
McLeodUSA(1) 21,974 15,821
PTEK Holdings, Inc.(1) 28,000 299,880
Qwest Communications International, Inc.(1) 59,924 266,063
RSL Communications Ltd.(1)(2) 247,161 0
SBC Communications, Inc. 1,464,924 37,751,091
Sprint Corp. - FON Group 101,903 2,532,290
Talk America Holdings, Inc.(1) 9,703 64,234
Telefonos de Mexico ADR 2,000,000 76,640,000
Verizon Communications 1,050,565 42,558,388
- -----------------------------------------------------------------------------------------------------------------
$ 406,618,323
- -----------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 0.3%
Ameren Corp. 5,000 $ 250,700
American Electric Power, Inc. 960 32,966
Exelon Corp. 1,002,000 44,158,140
PG&E Corp.(1) 47,705 1,587,622
Southern Co. (The) 65,985 2,211,817
TECO Energy, Inc. 34,145 523,784
TXU Corp. 250,196 16,152,654
Wisconsin Energy Corp. 9,576 322,807
- -----------------------------------------------------------------------------------------------------------------
$ 65,240,490
- -----------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT -- 0.5%
American Power Conversion Corp. 34,704 $ 742,666
Baldor Electric Co. 149,060 4,103,622
Emerson Electric Co. 1,111,539 77,918,884
Rockwell International Corp. 156,699 7,764,435
Roper Industries, Inc. 23,122 1,405,124
Thomas & Betts Corp.(1) 114,600 3,523,950
- -----------------------------------------------------------------------------------------------------------------
$ 95,458,681
- -----------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT AND INSTRUMENTS -- 0.7%
Agilent Technologies, Inc.(1) 569,891 $ 13,734,373
Arrow Electronics, Inc.(1) 8,750 212,625
Dionex Corp.(1) 139,750 7,919,633
Flextronics International Ltd.(1) 293,053 4,049,992
Jabil Circuit, Inc.(1) 2,127,971 54,433,498
Molex, Inc., Class A 65,367 1,742,031
National Instruments Corp. 735,687 20,047,471
PerkinElmer, Inc. 254,526 5,724,290
Plexus Corp.(1) 158,108 2,056,985
Sanmina Corp.(1) 1,140,602 9,660,899
Solectron Corporation(1) 1,752,794 9,342,392
X-Rite Incorporated 288,000 4,610,880
- -----------------------------------------------------------------------------------------------------------------
$ 133,535,069
- -----------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT AND SERVICES -- 0.7%
Baker Hughes, Inc. 457,426 $ 19,518,367
Core Laboratories N.V.(1) 31,290 730,622
Grant Prideco, Inc.(1) 35,444 710,652
Halliburton Company 990,930 38,884,093
National-Oilwell, Inc.(1) 514,062 18,141,248
Schlumberger Ltd. 567,476 37,992,518
Smith International, Inc.(1) 140,000 7,617,400
Transocean Sedco Forex, Inc.(1) 106,247 4,503,810
- -----------------------------------------------------------------------------------------------------------------
$ 128,098,710
- -----------------------------------------------------------------------------------------------------------------
FOOD AND STAPLES RETAILING -- 2.2%
Albertson's, Inc. 1,022,529 $ 24,417,993
Casey's General Stores, Inc. 89,966 1,632,883
Costco Wholesale Corp. 927,132 44,882,460
CVS Corp. 132,268 5,961,319
Kroger Co. (The)(1) 1,357,551 23,811,445
Safeway, Inc.(1) 1,649,342 32,558,011
Sysco Corp.(2)(3) 30,000 1,143,381
Sysco Corp. 1,749,792 66,789,561
Sysco Corp.(2)(3) 25,000 953,892
Walgreen Co. 800,825 30,727,655
Wal-Mart Stores, Inc. 3,481,821 183,909,785
Winn-Dixie Stores, Inc. 204,622 931,030
- -----------------------------------------------------------------------------------------------------------------
$ 417,719,415
- -----------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 2.8%
7Archer-Daniels-Midland Co. 1,143,641 $ 25,514,631
</Table>
See notes to financial statements
22
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS (CONTINUED)
Campbell Soup Co. 1,242,265 $ 37,131,301
Conagra Inc. 1,657,734 48,820,266
Dean Foods Co.(1) 443,988 14,629,405
Del Monte Foods, Co.(1) 99,492 1,096,402
General Mills, Inc. 186,227 9,257,344
Heinz (H.J.) Co. 292,208 11,393,190
Hershey Foods Corp. 507,333 28,177,275
JM Smucker Co. 12,365 582,021
Kellogg Co. 59,640 2,663,522
Kraft Foods, Inc. 465 16,559
McCormick & Co., Inc. 1,624 62,686
Nestle SA 275,000 71,773,953
Sara Lee Corp. 3,789,758 91,484,758
Smithfield Foods, Inc.(1) 4,207,530 124,500,813
Tyson Foods, Inc. 315,272 5,801,005
Wrigley (Wm.) Jr. Company Class A 902,761 62,462,034
- -----------------------------------------------------------------------------------------------------------------
$ 535,367,165
- -----------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT AND SUPPLIES -- 1.4%
Advanced Medical Optics(1) 3,558 $ 146,376
Bausch & Lomb, Inc. 29,250 1,885,455
Baxter International, Inc. 221,749 7,659,210
Becton & Dickinson and Co. 64,173 3,645,026
Biomet, Inc. 419,890 18,219,027
Boston Scientific Corporation(1) 1,110,370 39,473,654
Dentsply International, Inc. 10,928 614,154
Edwards Lifesciences Corp.(1) 10,353 427,165
Guidant Corp. 74,638 5,381,400
Hillenbrand Industries, Inc. 586,943 32,598,814
Hospira, Inc.(1) 246,711 8,264,819
Lumenis Ltd.(1) 100,000 193,500
Medtronic, Inc. 2,312,831 114,878,316
St. Jude Medical, Inc.(1) 48,028 2,013,814
Steris Corp.(1) 8,125 192,725
Stryker Corp. 36,741 1,772,753
VISX, Inc.(1) 50,000 1,293,500
Waters Corp.(1) 165,841 7,759,700
Zimmer Holdings, Inc.(1) 285,489 22,873,379
- -----------------------------------------------------------------------------------------------------------------
$ 269,292,787
- -----------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS AND SERVICES -- 1.9%
AmerisourceBergen Corp. 141,513 $ 8,303,983
Andrx Group(1) 180,170 $ 3,933,111
Beverly Enterprises, Inc.(1) 357,143 3,267,858
Cardinal Health, Inc. 1,840,995 107,053,859
Caremark Rx, Inc.(1) 701,471 27,659,002
Cigna Corp. 11,836 965,463
Express Scripts, Inc.(1) 26,658 2,037,738
HCA Inc. 140 5,594
Health Management Associates, Inc., Class A 856,502 19,459,725
IDX Systems Corp.(1) 60,000 2,067,600
IMS Health, Inc. 280,530 6,511,101
McKesson HBOC, Inc. 2,631 82,771
Medco Health Solutions, Inc.(1) 170,891 7,109,066
Parexel International Corp.(1) 27,837 565,091
Renal Care Group, Inc.(1) 480,046 17,276,856
Schein (Henry), Corp.(1) 1,188,477 82,765,538
Service Corp. International(1) 142,389 1,060,798
Stewart Enterprises, Inc.(1) 114,000 796,860
Sunrise Assisted Living, Inc.(1) 144,000 6,675,840
Tenet Healthcare Corp.(1) 3,961 43,492
UnitedHealth Group, Inc. 201,976 17,779,947
Ventiv Health, Inc.(1) 160,833 3,268,127
WellPoint Inc.(1) 404,000 46,460,000
- -----------------------------------------------------------------------------------------------------------------
$ 365,149,420
- -----------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE -- 1.9%
Brinker International, Inc.(1) 304,144 $ 10,666,330
Carnival Corporation 565,071 32,565,042
CBRL Group, Inc. 62,047 2,596,667
Darden Restaurants Inc. 184,714 5,123,966
Evans (Bob) Farms, Inc. 51,662 1,350,445
Gaylord Entertainment Co.(1) 428,482 17,794,857
International Game Technology 400,000 13,752,000
International Speedway Corporation 118,344 6,248,563
Jack in the Box, Inc.(1) 500,000 18,435,000
Lone Star Steakhouse & Saloon, Inc. 145,981 4,087,468
Marriott International, Inc. 288,169 18,148,884
McDonald's Corp. 690,866 22,149,164
MGM Grand, Inc.(1) 94,445 6,869,929
Navigant International, Inc.(1) 44,278 538,863
Outback Steakhouse, Inc. 1,641,207 75,134,456
Papa John's International, Inc.(1) 195,330 6,727,165
Royal Caribbean Cruises Ltd. 500,000 27,220,000
Sonic Corp.(1) 159,765 4,872,833
</Table>
See notes to financial statements
23
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS AND LEISURE (CONTINUED)
Starbucks Corp.(1) 1,229,375 $ 76,663,825
Yum! Brands, Inc. 236,779 11,171,233
- -----------------------------------------------------------------------------------------------------------------
$ 362,116,690
- -----------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.6%
Blyth Industries, Inc. 708,382 $ 20,939,772
D.R. Horton Inc. 468,942 18,903,052
Department 56, Inc.(1) 255,162 4,248,447
Fortune Brands Inc. 128,148 9,890,463
Helen of Troy Ltd.(1) 20,000 672,200
Interface, Inc. Class A(1) 75,467 752,406
Leggett & Platt, Inc. 1,813,805 51,566,476
Maytag Corp. 27,073 571,240
Newell Rubbermaid, Inc. 374,251 9,053,132
Snap-On, Inc. 42,453 1,458,685
- -----------------------------------------------------------------------------------------------------------------
$ 118,055,873
- -----------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 1.7%
Clorox Co. (The) 53,688 $ 3,163,834
Colgate-Palmolive Co. 699,356 35,779,053
Energizer Holdings(1) 168,981 8,396,666
Kimberly-Clark Corp. 1,476,156 97,145,826
Procter & Gamble Co. 3,229,777 177,896,117
- -----------------------------------------------------------------------------------------------------------------
$ 322,381,496
- -----------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 2.9%
3M Co. 697,787 $ 57,267,379
General Electric Co. 11,805,529 430,901,809
Teleflex, Inc. 33,700 1,750,378
Tyco International Ltd. 2,017,132 72,092,298
- -----------------------------------------------------------------------------------------------------------------
$ 562,011,864
- -----------------------------------------------------------------------------------------------------------------
INSURANCE -- 5.9%
21st Century Insurance Group 70,700 $ 961,520
Aegon N.V. ADR 5,311,829 72,825,176
AFLAC Inc. 2,190,281 87,260,795
Allstate Corp. (The) 199,712 10,329,105
American International Group, Inc. 5,670,853 372,404,917
AON Corp. 824,293 19,667,631
Berkshire Hathaway, Inc., Class A(1) 450 39,555,000
Berkshire Hathaway, Inc., Class B(1) 40,634 119,301,424
Chubb Corporation 7,077 544,221
Commerce Group, Inc. 120,000 $ 7,324,800
Gallagher (Arthur J.) and Co. 821,773 26,707,623
Hartford Financial Services Group, Inc. 13,797 956,270
Jefferson-Pilot Corp. 186,921 9,712,415
Lincoln National Corp. 52,903 2,469,512
Manulife Financial Corp. 74,958 3,463,060
Marsh & McLennan Cos., Inc. 1,080,587 35,551,312
MetLife, Inc. 1,869,700 75,741,547
Old Republic International Corp. 240,548 6,085,864
Progressive Corp.(2)(3) 10,900 923,369
Progressive Corp. 1,991,008 168,917,119
Safeco Corp. 173,122 9,043,893
St. Paul Companies, Inc. (The) 311,524 11,548,195
Torchmark Corp. 417,159 23,836,465
UICI 43,597 1,477,938
UnumProvident Corp. 53,710 963,557
XL Capital Ltd., Class A 187,100 14,528,315
- -----------------------------------------------------------------------------------------------------------------
$ 1,122,101,043
- -----------------------------------------------------------------------------------------------------------------
INTERNET AND CATALOG RETAIL -- 0.5%
Amazon.com Inc.(1) 23,500 $ 1,040,815
eBay, Inc.(1) 619,501 72,035,576
IAC/InterActivecorp(1) 806,192 22,267,023
- -----------------------------------------------------------------------------------------------------------------
$ 95,343,414
- -----------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE AND SERVICES -- 0.0%
Retek, Inc.(1) 110,742 $ 681,063
- -----------------------------------------------------------------------------------------------------------------
$ 681,063
- -----------------------------------------------------------------------------------------------------------------
IT SERVICES -- 2.8%
Accenture Ltd.(1) 4,838,000 $ 130,626,000
Acxiom Corp. 647,804 17,037,245
Affiliated Computer Services(1) 183,730 11,058,709
Automatic Data Processing, Inc. 1,553,046 68,877,590
BISYS Group, Inc. (The)(1) 280,492 4,614,093
Ceridian Corp.(1) 27,490 502,517
Certegy, Inc. 42,862 1,522,887
Computer Sciences Corp.(1) 362,598 20,439,649
CSG Systems International, Inc.(1) 25,200 471,240
DST Systems, Inc.(1) 391,634 20,411,964
eFunds Corp.(1) 17,645 423,656
Electronic Data Systems Corp. 77,336 1,786,462
</Table>
See notes to financial statements
24
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
IT SERVICES (CONTINUED)
First Data Corp. 3,776,540 $ 160,654,012
Fiserv, Inc.(1) 300,000 12,057,000
Gartner Group, Inc., Class A(1) 4,811 59,945
Gartner Group, Inc., Class B(1) 27,576 338,909
Keane, Inc.(1) 50,295 739,337
Paychex, Inc. 1,398,101 47,647,282
Perot Systems Corp.(1) 725,507 11,629,877
Safeguard Scientifics, Inc.(1) 26,579 56,347
SunGard Data Systems, Inc.(1) 773,601 21,916,116
- -----------------------------------------------------------------------------------------------------------------
$ 532,870,837
- -----------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT AND PRODUCTS -- 0.0%
Eastman Kodak Co. 113,722 $ 3,667,535
Mattel, Inc. 1,096 21,361
- -----------------------------------------------------------------------------------------------------------------
$ 3,688,896
- -----------------------------------------------------------------------------------------------------------------
MACHINERY -- 3.1%
Caterpillar, Inc. 53,830 $ 5,248,963
Danaher Corporation 4,031,970 231,475,398
Deere & Co. 3,350,000 249,240,000
Donaldson Company, Inc. 80,440 2,620,735
Dover Corp. 165,567 6,943,880
Federal Signal Corp. 283,471 5,006,098
Illinois Tool Works, Inc. 809,040 74,981,827
ITT Industries, Inc. 4,214 355,872
Nordson Corporation 163,978 6,570,598
Parker-Hannifin Corporation 30,653 2,321,658
Tecumseh Products Co., Class A 125,700 6,008,460
Wabtec 94,504 2,014,825
- -----------------------------------------------------------------------------------------------------------------
$ 592,788,314
- -----------------------------------------------------------------------------------------------------------------
MEDIA -- 5.3%
ADVO, Inc. 750,000 $ 26,737,500
Arbitron, Inc.(1) 11,555 452,725
Belo (A.H.) Corp. 542,924 14,246,326
Cablevision Systems Corp.(1) 207,410 5,165,546
Catalina Marketing Corp. 88,490 2,621,959
Clear Channel Communications, Inc. 145,017 4,856,619
Comcast Corp. Class A(1) 1,968,785 65,521,165
Comcast Corp. Class A Special(1) 1,280,622 42,055,626
Disney (Walt) Company 4,834,833 134,408,357
EchoStar Communications, Class A 35,150 1,168,386
Entercom Communications Corp.(1) 220,000 $ 7,895,800
Gannett Co., Inc. 1,562,342 127,643,341
Havas Advertising, S.A. ADR 3,142,938 17,565,880
Interpublic Group of Companies, Inc.(1) 1,134,505 15,202,367
Knight Ridder, Inc. 18,123 1,213,154
Lamar Advertising Co.(1) 241,409 10,327,477
Liberty Media Corp. Class A(1) 1,013,104 11,123,882
Liberty Media Corp. Class B(1) 32,876 381,362
Liberty Media International Inc. Class A(1) 50,655 2,341,781
Liberty Media International Inc. Class B(1) 1,643 80,408
McClatchy Co. (The) 48,066 3,451,619
McGraw-Hill Companies, Inc. (The) 446,964 40,915,085
Meredith Corp. 190,000 10,298,000
New York Times Co. (The), Class A 303,168 12,369,254
News Corp. Inc. - Class A 187,934 3,506,848
Omnicom Group, Inc. 2,318,719 195,514,386
Proquest Company(1) 115,000 3,415,500
Publicis Groupe SA 360,784 11,681,944
Reuters Holdings plc ADR 1,431 61,461
Scripps (The E.W) Company 51,066 2,465,466
Time Warner Inc.(1) 4,102,164 79,746,068
Tribune Co. 1,428,878 60,212,919
Univision Communications, Inc.(1) 401,298 11,745,992
Viacom, Inc., Class A 29,774 1,104,020
Viacom, Inc., Class B 971,451 35,351,102
Vivendi Universal S.A. ADR(1) 490,725 15,737,551
Washington Post Co. (The) 14,970 14,715,809
Westwood One, Inc.(1) 122,400 3,296,232
WPP Group plc 139,450 1,529,144
WPP Group plc ADR 256,051 13,993,187
- -----------------------------------------------------------------------------------------------------------------
$ 1,012,121,248
- -----------------------------------------------------------------------------------------------------------------
METALS AND MINING -- 0.4%
Alcoa, Inc. 797,947 $ 25,071,495
Allegheny Technologies, Inc. 21,408 463,911
Inco, Ltd.(1) 200,000 7,356,000
Nucor Corp. 442,924 23,182,642
Phelps Dodge Corp. 14,862 1,470,149
Steel Dynamics, Inc. 311,800 11,810,984
Worthington Industries, Inc. 75,160 1,471,633
- -----------------------------------------------------------------------------------------------------------------
$ 70,826,814
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
25
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL -- 1.8%
99 Cents Only Stores(1) 1,142,232 $ 18,458,469
Dollar General Corp. 101,456 2,107,241
Dollar Tree Stores, Inc.(1) 813,306 23,325,616
Family Dollar Stores, Inc. 2,618,411 81,772,976
Kohls Corp.(1) 55 2,704
May Department Stores Co. (The) 607,760 17,868,144
Neiman Marcus Group, Inc. (The) 6 401
Nordstrom, Inc. 65,692 3,069,787
Penney (J.C.) Company, Inc. 223,408 9,249,091
Sears, Roebuck & Co. 23,074 1,177,466
Target Corp. 3,547,475 184,220,377
- -----------------------------------------------------------------------------------------------------------------
$ 341,252,272
- -----------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES AND UNREGULATED POWER -- 0.1%
AES Corporation(1) 49,542 $ 677,239
Dominion Resources, Inc. 10,464 708,831
Duke Energy Corp. 417,416 10,573,147
Dynegy, Inc.(1) 63,525 293,486
National Fuel Gas Co. 4,000 113,360
- -----------------------------------------------------------------------------------------------------------------
$ 12,366,063
- -----------------------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.0%
Xerox Corp.(1) 42,878 $ 729,355
Zebra Technologies Corp., Class A(1) 13,500 759,780
- -----------------------------------------------------------------------------------------------------------------
$ 1,489,135
- -----------------------------------------------------------------------------------------------------------------
OIL AND GAS -- 7.8%
Amerada Hess Corp. 18,947 $ 1,560,854
Anadarko Petroleum Corp. 2,557,003 165,719,364
Apache Corporation 2,075,352 104,950,551
Ashland, Inc. 85,716 5,004,100
BP plc ADR 5,081,540 296,761,936
Burlington Resources, Inc. 4,259,405 185,284,118
ChevronTexaco Corporation 311,976 16,381,860
ConocoPhillips 1,675,581 145,490,698
Devon Energy Corp. 1,015,400 39,519,368
El Paso Corp. 148,709 1,546,574
Exxon Mobil Corp. 6,231,588 319,431,201
Kerr - McGee Corp. 267,327 15,448,827
Kinder Morgan, Inc. 1,781,672 130,293,673
Marathon Oil Corp. 1,450 54,535
Murphy Oil Corporation 19,518 1,570,223
Newfield Exploration Company(1) 60,000 $ 3,543,000
Royal Dutch Petroleum Co. 83,074 4,766,786
Total Fina Elf SA ADR 400,000 43,936,000
Valero Energy Corp. 103,020 4,677,108
Williams Companies Inc (The) 219,065 3,568,569
- -----------------------------------------------------------------------------------------------------------------
$ 1,489,509,345
- -----------------------------------------------------------------------------------------------------------------
PAPER AND FOREST PRODUCTS -- 0.2%
Georgia-Pacific Corp. 598,732 $ 22,440,475
International Paper Co. 112,154 4,710,468
Louisiana-Pacific Corp. 70,750 1,891,855
MeadWestvaco Corp. 84,358 2,858,893
Neenah Paper Inc.(1) 44,890 1,463,414
Weyerhaeuser Co. 89,778 6,034,877
- -----------------------------------------------------------------------------------------------------------------
$ 39,399,982
- -----------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS -- 1.5%
Avon Products, Inc. 173,400 $ 6,710,580
Gillette Company 3,950,586 176,907,241
Lauder (Estee) Companies, Inc. 2,092,312 95,765,120
- -----------------------------------------------------------------------------------------------------------------
$ 279,382,941
- -----------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 6.2%
Abbott Laboratories 2,821,474 $ 131,621,762
Allergan, Inc. 38,300 3,104,981
Bristol-Myers Squibb Company 4,566,981 117,006,053
Elan Corp., PLC ADR(1) 31,838 867,586
Forest Laboratories, Inc.(1) 56,800 2,548,048
GlaxoSmithKline plc 430,517 20,402,201
Johnson & Johnson 3,181,341 201,760,646
King Pharmaceuticals, Inc.(1) 505,637 6,269,899
Lilly (Eli) & Co. 3,412,870 193,680,373
Merck & Co., Inc. 2,317,124 74,472,365
Mylan Laboratories, Inc. 27,992 494,899
Novo Nordisk ADR 292,277 15,858,950
Pfizer, Inc. 8,662,582 232,936,830
Schering AG ADR 25,000 1,856,250
Schering-Plough Corp. 2,515,998 52,534,038
Sepracor, Inc.(1) 4,000 237,480
Teva Pharmaceutical Industries Ltd. ADR 2,282,011 68,140,848
Watson Pharmaceuticals, Inc.(1) 865,911 28,410,540
Wyeth Corp. 790,783 33,679,448
- -----------------------------------------------------------------------------------------------------------------
$ 1,185,883,197
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
26
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
REAL ESTATE -- 0.2%
AvalonBay Communities, Inc. 28,867 $ 2,173,685
Catellus Development Corp. 419,601 12,839,791
Forest City Enterprises - Class A 38,663 2,225,056
Jones Lang Lasalle, Inc.(1) 154,567 5,782,351
Plum Creek Timber Co., Inc. 198,791 7,641,526
Trammell Crow Co.(1) 764,200 13,839,662
- -----------------------------------------------------------------------------------------------------------------
$ 44,502,071
- -----------------------------------------------------------------------------------------------------------------
ROAD AND RAIL -- 0.2%
ANC Rental Corporation(1) 459,525 $ 46
Burlington Northern Santa Fe Corp. 207,932 9,837,263
CSX Corporation 38,134 1,528,411
Florida East Coast Industries, Inc. 121,978 5,501,208
Heartland Express, Inc. 653,154 14,676,370
Kansas City Southern Industries, Inc.(1) 15,215 269,762
Norfolk Southern Corp. 3,990 144,398
Union Pacific Corp. 7,811 525,290
- -----------------------------------------------------------------------------------------------------------------
$ 32,482,748
- -----------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS AND SEMICONDUCTOR EQUIPMENT -- 2.0%
Agere Systems, Inc.(1) 6,495 $ 8,898
Agere Systems, Inc., Class B(1) 159,398 215,187
Altera Corp.(1) 66,116 1,368,601
Analog Devices, Inc. 778,870 28,755,880
Applied Materials, Inc.(1) 1,741,642 29,782,078
Broadcom Corp. - Class A(1) 530,892 17,137,194
Broadcom Corp. - Class A(1)(2)(3) 35,000 1,128,105
Conexant Systems, Inc.(1) 134,174 267,006
Cypress Semiconductor Corporation(1) 152,742 1,791,664
Freescale Semiconductor-B(1) 101,704 1,867,286
Intel Corp. 9,580,974 224,098,982
KLA-Tencor Corp.(1) 148,373 6,911,214
Linear Technologies Corp. 187,760 7,277,578
LSI Logic Corporation(1) 132,810 727,799
Maxim Integrated Products Co. 374,351 15,868,739
Mindspeed Technologies Inc.(1) 44,724 124,333
Skyworks Solutions, Inc.(1) 98,685 930,600
Taiwan Semiconductor ADR 866 7,352
Teradyne, Inc.(1) 27,996 477,892
Texas Instruments, Inc. 1,912,604 47,088,310
Xilinx, Inc. 59,554 1,765,776
- -----------------------------------------------------------------------------------------------------------------
$ 387,600,474
- -----------------------------------------------------------------------------------------------------------------
SOFTWARE -- 2.1%
Adobe Systems, Inc. 258,794 $ 16,236,736
Cadence Design Systems, Inc.(1) 900,000 12,429,000
Cognos, Inc.(1) 77,000 3,392,620
Computer Associates International, Inc. 33,070 1,027,154
Compuware Corp.(1) 150,944 976,608
Electronic Arts Inc.(1) 21,405 1,320,260
Fair, Isaac and Co., Inc. 997,172 36,576,269
Henry (Jack) & Associates 201,006 4,002,029
Intuit, Inc.(1) 921,314 40,547,029
Microsoft Corp. 7,312,311 195,311,827
Oracle Corp.(1) 817,568 11,217,033
PalmSource, Inc.(1) 20,208 257,450
Parametric Technology Corp.(1) 94,600 557,194
Reynolds & Reynolds, Co. 216,412 5,737,082
Sap AG ADR 600,000 26,526,000
Siebel Systems, Inc.(1) 179,184 1,881,432
Symantec Corporation(1) 1,499,722 38,632,839
VERITAS Software Corp.(1) 243,942 6,964,544
Wind River Systems, Inc.(1) 91,910 1,245,381
- -----------------------------------------------------------------------------------------------------------------
$ 404,838,487
- -----------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 2.0%
Abercrombie & Fitch Co. 11,225 $ 527,014
AutoNation, Inc.(1) 1,493,099 28,682,432
Best Buy Co., Inc. 113,610 6,750,706
Burlington Coat Factory Warehouse Corp. 238,448 5,412,770
CarMax, Inc.(1) 67,797 2,105,097
Circuit City Stores, Inc. 216,000 3,378,240
Gap, Inc. (The) 541,012 11,426,173
Home Depot, Inc. (The) 4,281,726 183,000,969
Limited Brands, Inc. 762,510 17,552,980
Lowe's Companies 875,941 50,445,442
Office Depot, Inc.(1) 205,276 3,563,591
Officemax Inc. 2,192 68,785
Payless Shoesource, Inc.(1) 23,100 284,130
Pep Boys - Manny, Moe & Jack (The) 83,415 1,423,894
Radioshack Corp. 631,599 20,766,975
Sherwin-Williams Co. (The) 80,569 3,595,794
Staples, Inc. 158,266 5,335,147
Tiffany & Co. 57,286 1,831,433
TJX Companies, Inc. (The) 1,716,834 43,144,038
Too, Inc.(1) 38,284 936,427
- -----------------------------------------------------------------------------------------------------------------
$ 390,232,037
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
27
<Page>
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL AND LUXURY GOODS -- 0.7%
Coach, Inc.(1) 365,720 $ 20,626,608
Nike Inc., Class B 1,329,222 120,547,143
Unifi, Inc.(1) 1,208 4,627
- -----------------------------------------------------------------------------------------------------------------
$ 141,178,378
- -----------------------------------------------------------------------------------------------------------------
THRIFTS AND MORTGAGE FINANCE -- 0.7%
Countrywide Financial Corp. 1,499,998 $ 55,514,926
Fannie Mae 345,171 24,579,627
Freddie Mac 135,586 9,992,688
Golden West Financial Corporation 74,590 4,581,318
MGIC Investment Corp. 85,000 5,857,350
Radian Group, Inc. 30,800 1,639,792
Washington Mutual, Inc. 927,674 39,222,057
- -----------------------------------------------------------------------------------------------------------------
$ 141,387,758
- -----------------------------------------------------------------------------------------------------------------
TOBACCO -- 0.2%
Altria Group Inc. 763,945 $ 46,677,040
UST, Inc. 439 21,120
- -----------------------------------------------------------------------------------------------------------------
$ 46,698,160
- -----------------------------------------------------------------------------------------------------------------
TRADING COMPANIES AND DISTRIBUTORS -- 0.0%
United Rentals, Inc.(1) 401,179 $ 7,582,283
- -----------------------------------------------------------------------------------------------------------------
$ 7,582,283
- -----------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.1%
Nextel Communications, Inc., Class A(1) 134,072 $ 4,022,160
Telephone and Data Systems, Inc. 70,844 5,451,446
Vodafone Group plc ADR 213,962 5,858,280
- -----------------------------------------------------------------------------------------------------------------
$ 15,331,886
- -----------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $14,860,534,853) $ 19,109,250,562
- -----------------------------------------------------------------------------------------------------------------
</Table>
CONVERTIBLE PREFERRED STOCKS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES AND UNREGULATED POWER -- 0.0%
Enron Corp.(1)(2) 11,050 $ 0
- -----------------------------------------------------------------------------------------------------------------
$ 0
- -----------------------------------------------------------------------------------------------------------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(IDENTIFIED COST $4,500,777) $ 0
- -----------------------------------------------------------------------------------------------------------------
</Table>
PREFERRED STOCKS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS -- 0.0%
Wachovia Corp. (Dividend Equalization Preferred Shares)(1) 166,518 $ 167
- -----------------------------------------------------------------------------------------------------------------
$ 167
- -----------------------------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $39,407) $ 167
- -----------------------------------------------------------------------------------------------------------------
</Table>
WARRANTS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 0.0%
Lucent Technologies, Inc. 18,106 $ 28,607
- -----------------------------------------------------------------------------------------------------------------
$ 28,607
- -----------------------------------------------------------------------------------------------------------------
TOTAL WARRANTS
(IDENTIFIED COST $0) $ 28,607
- -----------------------------------------------------------------------------------------------------------------
</Table>
RIGHTS -- 0.0%
<Table>
<Caption>
SECURITY SHARES VALUE
- -----------------------------------------------------------------------------------------------------------------
BANKS -- 0.0%
Bank United Corp. (Litigation Contingent Payment Rights)(1)(2) 102,072 $ 6,124
- -----------------------------------------------------------------------------------------------------------------
$ 6,124
- -----------------------------------------------------------------------------------------------------------------
COMPUTERS AND BUSINESS EQUIPMENT -- 0.0%
Seagate Technology, Inc. (Tax Refund Rights)(1)(2) 197,392 $ 0
- -----------------------------------------------------------------------------------------------------------------
$ 0
- -----------------------------------------------------------------------------------------------------------------
INTEGRATED TELECOMMUNICATION SERVICES -- 0.0%
McLeodUSA (Escrow Rights)(1)(2) 1,592,200 $ 0
- -----------------------------------------------------------------------------------------------------------------
$ 0
- -----------------------------------------------------------------------------------------------------------------
TOTAL RIGHTS
(IDENTIFIED COST $50,596) $ 6,124
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
28
<Page>
SHORT-TERM INVESTMENTS -- 0.1%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- -----------------------------------------------------------------------------------------------------------------
Investors Bank & Trust Company --
Time Deposit, 2.25%, 1/3/05 $ 7,668 $ 7,668,000
- -----------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(AT AMORTIZED COST, $7,668,000) $ 7,668,000
- -----------------------------------------------------------------------------------------------------------------
</Table>
COMMERCIAL PAPER -- 0.1%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- -----------------------------------------------------------------------------------------------------------------
Societe Generale North America, 2.32%, 1/5/05 $ 22,295 $ 22,289,253
- -----------------------------------------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER
(AT AMORTIZED COST, $22,289,253) $ 22,289,253
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.0%
(IDENTIFIED COST $14,895,082,886) $ 19,139,242,713
- -----------------------------------------------------------------------------------------------------------------
</Table>
SECURITIES SOLD SHORT -- -1.0%
<Table>
<Caption>
PRINCIPAL
AMOUNT
SECURITY (000'S OMITTED) VALUE
- -----------------------------------------------------------------------------------------------------------------
American International Group, Inc. 3,000,000 $ (197,010,000)
- -----------------------------------------------------------------------------------------------------------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $169,710,627) $ (197,010,000)
- -----------------------------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES
EXCLUDING SECURITIES SOLD SHORT -- 1.0% $ 198,909,689
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 19,141,142,402
- -----------------------------------------------------------------------------------------------------------------
</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
29
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<Table>
<Caption>
AS OF DECEMBER 31, 2004
ASSETS
Investments, at value (identified cost, $14,895,082,886) $ 19,139,242,713
Cash 2,563
Deposits with brokers for securities sold short 169,710,627
Dividends and interest receivable 24,103,436
Receivable for investments sold 4,256,707
Tax reclaim receivable 1,180,262
- -----------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 19,338,496,308
- -----------------------------------------------------------------------------------------------------------------
LIABILITIES
Securities sold short, at value (proceeds received of $169,710,627) $ 197,010,000
Payable for dividends on securities sold short 225,000
Payable to affiliate for Trustees' fees 6,053
Accrued expenses 112,853
- -----------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 197,353,906
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS' INTEREST IN PORTFOLIO $ 19,141,142,402
- -----------------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital contributions and withdrawals $ 14,924,128,572
Net unrealized appreciation (computed on the basis of identified cost) 4,217,013,830
- -----------------------------------------------------------------------------------------------------------------
TOTAL $ 19,141,142,402
- -----------------------------------------------------------------------------------------------------------------
</Table>
STATEMENT OF OPERATIONS
<Table>
<Caption>
FOR THE YEAR ENDED
DECEMBER 31, 2004
INVESTMENT INCOME
Dividends (net of foreign taxes, $3,794,755) $ 291,107,513
Interest 1,157,693
- -----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 292,265,206
- -----------------------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 77,609,178
Trustees' fees and expenses 25,376
Custodian fee 1,999,827
Dividends on securities sold short 225,000
Legal and accounting services 94,573
Miscellaneous 304,587
- -----------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 80,258,541
- -----------------------------------------------------------------------------------------------------------------
Deduct --
Reduction of custodian fee $ 39
Reduction of investment adviser fee 26,667
- -----------------------------------------------------------------------------------------------------------------
TOTAL EXPENSE REDUCTIONS $ 26,706
- -----------------------------------------------------------------------------------------------------------------
NET EXPENSES $ 80,231,835
- -----------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 212,033,371
- -----------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 152,362,325
Foreign currency transactions 60,515
- -----------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN $ 152,422,840
- -----------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ 1,345,093,649
Securities sold short (27,299,373)
Foreign currency 84,431
- -----------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) $ 1,317,878,707
- -----------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 1,470,301,547
- -----------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,682,334,918
- -----------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
30
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
YEAR ENDED YEAR ENDED
DECEMBER 31, 2004 DECEMBER 31, 2003
- ---------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
From operations --
Net investment income
Net realized gain from investment
transactions, securities sold short and foreign currency transactions 152,422,840 70,909,770
Net change in unrealized appreciation
(depreciation) of investments, securities sold short and foreign currency 1,317,878,707 3,174,709,110
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,682,334,918 $ 3,408,664,596
- ---------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions
Withdrawals (1,925,879,872) (1,722,081,135)
- ---------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM CAPITAL TRANSACTIONS $ (150,781,521) $ (370,597,179)
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 1,531,553,397 $ 3,038,067,417
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 17,609,589,005 $ 14,571,521,588
- ---------------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $ 19,141,142,402 $ 17,609,589,005
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
31
<Page>
SUPPLEMENTARY DATA
<Table>
<Caption>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
2004 2003 2002 2001 2000
- --------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA+
Ratios (As a percentage of average daily net assets):
Net expenses 0.45% 0.45% 0.45% 0.45% 0.45%
Net expenses after custodian fee reduction 0.45% -- -- -- --
Net investment income 1.18% 1.05% 0.85% 0.64% 0.67%
Portfolio Turnover 3% 15% 23% 18% 13%
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN(1) 9.67% 23.88% (19.52)% (9.67)% --
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF YEAR (000'S OMITTED) $ 19,141,142 $ 17,609,589 $ 14,571,522 $ 18,335,865 $ 18,385,069
- --------------------------------------------------------------------------------------------------------------------------------
+ The operating expenses of the Portfolio reflect a
reduction of the investment adviser fee. Had such
action not been taken, the ratios would have been
as follows:
Ratios (As a percentage of average daily net assets):
Expenses 0.45% -- -- -- --
Expenses after custodian fee reduction 0.45% -- -- -- --
Net investment income 1.18% -- -- -- --
</Table>
(1) TOTAL RETURN IS REQUIRED TO BE DISCLOSED FOR FISCAL YEARS BEGINNING AFTER
DECEMBER 15, 2000.
See notes to financial statements
32
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
NOTES TO FINANCIAL STATEMENTS
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 the 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. Foreign securities
and currencies are valued in U.S. dollars, based on foreign currency exchange
rate quotations supplied by an independent quotation 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. When valuing foreign equity securities that meet certain criteria, the
Trustees have approved the use of a fair value service that values such
securities to reflect market trading that occurs after the close of the
applicable foreign markets of comparable securities or other instruments that
have a strong correlation to the securities held by the Portfolio. 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
33
<Page>
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 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. 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 recognized 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 credit balances used to reduce the
Portfolio's custodian fees are reported as a reduction of expenses on the
Statement of Operations.
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.
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 Portfolio's Board of
Trustees and BMR. Those reductions may not be changed without Trustee and
interestholder approval. For the year ended December 31, 2004, the advisory fee
was 0.43% of the Portfolio's average daily net assets. BMR has also agreed to
reduce the investment adviser fee by an amount equal to that portion
34
<Page>
of commissions paid to broker dealers in execution of Portfolio security
transactions that is consideration for third-party research services. For the
year ended December 31, 2004, BMR waived $26,667 of its advisory fee. 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 year ended December 31, 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 year ended December 31, 2004, purchases and sales of investments, other
than short-term obligations, aggregated $534,673,041 and $946,726,635,
respectively. In addition, investments having an aggregate market value of
$808,158,950 at dates of withdrawal were distributed in payment for capital
withdrawals. During the year ended December 31, 2004, investors contributed
securities with a value of $1,370,704,943.
4 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of the investments
owned at December 31, 2004 as computed on a federal income tax basis, were as
follows:
<Table>
AGGREGATE COST $ 4,833,216,291
- ---------------------------------------------------------------------------
Gross unrealized appreciation $ 14,307,238,475
Gross unrealized depreciation (1,212,053)
- ---------------------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 14,306,026,422
- ---------------------------------------------------------------------------
</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 December 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 0.1% 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 year ended December 31, 2004.
7 RESTRICTED SECURITIES
At December 31, 2004, the Portfolio owned the following securities (representing
0.02% 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 15, 2005, except for the 25,000 shares of Sysco Corp.
which are eligible for resale after March 3, 2005. 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
COMMON STOCKS ACQUISITION SHARES COST FAIR VALUE
- ------------------------------------------------------------------------------------
Broadcom Corp. - Class A 12/15/04 35,000 $ 1,121,815 $ 1,128,105
Progressive Corp. 12/15/04 10,900 943,939 923,369
Sysco Corp. 3/3/04 25,000 994,756 953,892
Sysco Corp. 12/15/04 30,000 1,115,824 1,143,381
- ------------------------------------------------------------------------------------
$ 4,176,334 $ 4,148,747
- ------------------------------------------------------------------------------------
</Table>
35
<Page>
TAX-MANAGED GROWTH PORTFOLIO as of December 31, 2004
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
TO THE TRUSTEES AND INVESTORS OF TAX-MANAGED GROWTH PORTFOLIO:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Tax-Managed Growth Portfolio (the Portfolio) as
of December 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 five years in the
period then ended. 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
audits.
We conducted our audits in accordance with the 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 are free of material misstatement. An audit includes consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Portfolio's internal control
over financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2004, by correspondence with the
custodian. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and supplementary data present fairly,
in all material respects, the financial position of Tax-Managed Growth Portfolio
at December 31, 2004, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
its supplementary data for each of the five years in the period then ended in
conformity with accounting principles generally accepted in the United States of
America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 18, 2005
36
<Page>
EATON VANCE TAX-MANAGED GROWTH FUND 1.2
MANAGEMENT AND ORGANIZATION
FUND MANAGEMENT. The Trustees of Eaton Vance Mutual Funds Trust (the Trust) and
Tax-Managed Growth 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 LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY
DATE OF BIRTH THE PORTFOLIO SERVICE DURING PAST FIVE YEARS TRUSTEE(1) OTHER DIRECTORSHIPS HELD
- ------------------------------------------------------------------------------------------------------------------------------------
INTERESTED TRUSTEE
James B. Hawkes Trustee Trustee of the Chairman, 1991; 195 Director of EVC
11/9/41 Trust since of President and Chief
the Portfolio Executive Officer of
since 1997 BMR, EVC, EVM and EV;
Director of EV; Vice
President and Director
of EVD. Trustee and/or
officer of 195
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 Chairman of Trustee of the Jacob H. Schiff 195 Director of Tiffany &
2/23/35 the Board and Trust since 1986 Professor of Investment Co. (specialty retailer)
Trustee and Chairman of Banking Emeritus, and Telect, Inc.
the Board since Harvard University (telecommunication
2005; of the Graduate School of services company)
Portfolio since Business
1995 Administration.
William H. Park Trustee Since 2003 President and Chief 195 None
9/19/47 Executive 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, 195 None
7/10/40 Georgetown University
Law Center (since
1999). Tax Partner,
Covington & Burling,
Washington, DC
(1991-2000).
Norton H. Reamer Trustee Trustee of the President, Chief 195 None
9/21/35 Trust since 1986; Executive Officer and a
of the Portfolio Director of Asset
since 1995 Management Finance
Corp. (a specialty
finance company serving
the investment
management industry)
(since October 2003).
President, Unicorn
Corporation (an
investment and
financial advisory
services company)
(since September 2000).
Formerly, Chairman and
Chief Operating
Officer, 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, 195 None
9/14/57 Trust since 1998; University of
of the Portfolio California at Los
since 2003 Angeles School of Law
(since July 2001).
Formerly, Professor of
Law, Georgetown
University Law Center.
</Table>
37
<Page>
PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES
<Table>
<Caption>
POSITION(S) TERM OF
WITH THE OFFICE AND
NAME AND TRUST AND LENGTH OF PRINCIPAL OCCUPATION(S)
DATE OF BIRTH THE PORTFOLIO SERVICE DURING PAST FIVE YEARS
- ------------------------------------------------------------------------------------------------------
Thomas E. Faust Jr. President of the Since 2002 Executive Vice President of EVM,
5/31/58 Trust and Vice BMR, EVC and EV; Chief Investment
President of the Officer of EVM and BMR and
Portfolio 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 59 registered
investment companies managed by
EVM or BMR.
William H. Ahern, Jr. Vice President of Since 1995 Vice President of EVM and BMR.
7/28/59 the Trust Officer of 78 registered
investment companies managed by
EVM or BMR.
Thomas J. Fetter Vice President of Since 1997 Vice President of EVM and BMR.
8/20/43 the Trust Officer of 124 registered
investment companies managed by
EVM or BMR.
Michael R. Mach Vice President of Since 1999 Vice President of EVM and BMR.
7/15/47 the Trust Officer of 29 registered
investment companies managed by
EVM or BMR.
Robert B. MacIntosh Vice President of Since 1998 Vice President of EVM and BMR.
1/22/57 the Trust Officer of 124 registered
investment companies managed by
EVM or BMR.
Duncan W. Richardson Vice President of Vice President of Senior Vice President and Chief
10/26/57 the Trust and the Trust since Equity Investment Officer of EVM
President of the 2001; President of and BMR. Officer of 46 registered
Portfolio the Portfolio since investment companies managed by
2002(2) EVM or BMR.
Walter A. Row, III Vice President of Since 2001 Director of Equity Research and a
7/20/57 the Trust Vice President of EVM and BMR.
Officer of 26 registered
investment companies managed by
EVM or BMR.
Judith A. Saryan Vice President of Since 2003 Vice President of EVM and BMR.
8/21/54 the Trust Officer of 28 registered
investment companies managed by
EVM or BMR.
Susan Schiff Vice President of Since 2002 Vice President of EVM and BMR.
3/13/61 the Trust Officer of 28 registered
investment companies managed by
EVM or BMR.
Alan R. Dynner Secretary Since 1997 Vice President, Secretary and
10/10/40 Chief Legal Officer of BMR, EVM,
EVD, EV and EVC. Officer of 195
registered investment companies
managed by EVM or BMR.
Michelle A. Green Treasurer of the Since 2002(2) Vice President of EVM and BMR.
8/25/69 Portfolio Chief Financial 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 82 registered
investment companies managed by
EVM or BMR.
James L. O'Connor Treasurer of the Since 1989 Vice President of BMR, EVM and
4/1/45 Trust EVD. Officer of 117 registered
investment companies managed by
EVM or BMR.
Paul M. O'Neil Chief Compliance Since 2004 Vice President of EVM and BMR.
7/11/53 Officer Officer of 195 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. Green served as Assistant Treasurer of the Portfolio
since 1998 and Mr. Richardson served as Vice President of the Portfolio
since 1995.
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.
38
<Page>
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<Page>
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<Page>
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<Page>
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 1.2
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
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
DELOITTE & TOUCHE LLP
200 Berkeley Street
Boston, MA 02116-5022
EATON VANCE TAX-MANAGED GROWTH FUND 1.2
THE EATON VANCE BUILDING
255 STATE STREET
BOSTON, MA 02109
This report must be preceded or accompanied by a current prospectus. Before
investing, investors should consider carefully the Fund's investment
objective(s), risks, and charges and expenses. The Fund's current prospectus
contains this and other information about the Fund and is available through your
financial advisor. Please read the prospectus carefully before you invest or
send money. For further information please call 1-800-225-6265.
<Page>
1088-2/05 TGSRC1.2
<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 (a fixed income
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)
Each of Eaton Vance Cash Management Fund, Money Market Fund, Municipal Bond
Fund, Tax Free Reserves, Tax Managed Growth Fund 1.1, Tax Managed Growth Fund
1.2,(the "Fund(s)") is a series of Eaton Vance Mutual Funds Trust (the "Trust"),
a Massachusetts business trust. The Trust is registered under the Investment
Company Act of 1940 as an open-end management investment company. Including the
Funds, the Trust contains a total of 23 series (collectively, the "Series").
This Form N-CSR relates to the Fund's annual reports.
The following tables present the aggregate fees billed to each Fund for the
Fund's respective fiscal years ended December 31, 2003 and December 31, 2004 by
the Fund's principal accountant for professional services rendered for the audit
of the Fund's annual financial statements and fees billed for other services
rendered by the principal accountant during those periods.
EATON VANCE CASH MANAGEMENT FUND
<Table>
<Caption>
FISCAL YEARS ENDED 12/31/03 12/31/04
- --------------------------------------------------------------------------------
Audit Fees $ 10,125 $ 10,325
</Table>
<Page>
<Table>
Audit-Related Fees(1) 0 0
Tax Fees(2) 2,975 3,050
All Other Fees(3) 2,150 2,200
------------------------------------------
Total $ 15,250 $ 15,575
==========================================
</Table>
EATON VANCE MONEY MARKET FUND
<Table>
<Caption>
FISCAL YEARS ENDED 12/31/03 12/31/04
- --------------------------------------------------------------------------------
Audit Fees $ 10,125 $ 10,325
Audit-Related Fees(1) 0 0
Tax Fees(2) 2,950 3,025
All Other Fees(3) 2,150 2,200
------------------------------------------
Total $ 15,225 $ 15,550
==========================================
</Table>
EATON VANCE MUNICIPAL BOND FUND
<Table>
<Caption>
FISCAL YEARS ENDED 12/31/03 12/31/04
- --------------------------------------------------------------------------------
Audit Fees $ 35,766 $ 16,146
Audit-Related Fees(1) 0 0
Tax Fees(2) 5,400 5,600
All Other Fees(3) 0 0
------------------------------------------
Total $ 41,166 $ 21,746
==========================================
</Table>
EATON VANCE TAX FREE RESERVES FUND
<Table>
<Caption>
FISCAL YEARS ENDED 12/31/03 12/31/04
- --------------------------------------------------------------------------------
Audit Fees $ 22,975 $ 22,750
Audit-Related Fees(1) 0 0
Tax Fees(2) 3,000 3,075
All Other Fees(3) 2,100 2,150
------------------------------------------
Total $ 28,075 $ 27,975
==========================================
</Table>
EATON VANCE TAX MANAGED GROWTH FUND 1.1
<Table>
<Caption>
FISCAL YEARS ENDED 12/31/03 12/31/04
- --------------------------------------------------------------------------------
Audit Fees $ 11,845 $ 12,258
</Table>
<Page>
<Table>
Audit-Related Fees(1) 0 0
Tax Fees(2) 5,200 5,300
All Other Fees(3) 0 0
------------------------------------------
Total $ 17,045 $ 17,558
==========================================
</Table>
EATON VANCE TAX MANAGED GROWTH FUND 1.2
<Table>
<Caption>
FISCAL YEARS ENDED 12/31/03 12/31/04
- --------------------------------------------------------------------------------
Audit Fees $ 11,845 $ 12,258
Audit-Related Fees(1) 0 0
Tax Fees(2) 5,200 5,300
All Other Fees(3) 0 0
------------------------------------------
Total $ 17,045 $ 17,558
==========================================
</Table>
(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 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 principal accountant other than audit,
audit-related, and tax services.
The various Series comprising the Trust have or have had differing fiscal year
ends (April 30, October 31, or December 31). In addition, the Series differ as
to principal accountant; i.e., certain Series have PricewaterhouseCoopers LLP
("PWC") as a principal accountant and other Series have Deloitte & Touche LLP
("D&T") as a principal accountant. The following table presents the aggregate
audit, audit-related, tax, and other fees billed to all of the Series in the
Trust by the respective principal accountant of each Series for the last two
fiscal years of each Series.
<Table>
<Caption>
FISCAL YEARS 12/31/03 4/30/03 10/31/03 12/31/04
ENDED PWC D&T PWC D&T PWC D&T PWC D&T
- -------------------------------------------------------------------------------------------------------------
AUDIT FEES $ 43,225 $ 59,456 $ 0 $ 16,871 $ 74,350 $ 133,538 $ 43,400 $ 40,662
<Caption>
FISCAL YEARS 4/30/04 10/31/04
ENDED PWC D&T PWC D&T
- -------------------------------------------------------------
AUDIT FEES $ 0 $ 16,871 $ 93,650 $ 157,511
</Table>
<Page>
<Table>
AUDIT-RELATED
FEES(1) 0 0 0 0 0 0 0 0
TAX
FEES(2) 8,925 15,800 0 5,800 23,504 72,700 9,150 16,200
ALL OTHER
FEES(3) 6,400 0 0 0 0 0 6,550 0
---------------------------------------------------------------------------------------------
TOTAL $ 58,550 $ 75,256 $ 0 $ 22,671 $ 97,854 $ 206,238 $ 59,100 $ 56,862
=============================================================================================
<Caption>
AUDIT-RELATED 0 0 0
FEES(1)
TAX
FEES(2) 0 5,800 50,175 75,300
ALL OTHER 0 0 0 0
FEES(3)
---------------------------------------------
TOTAL $ 0 $ 22,671 $ 143,825 $ 232,811
=============================================
</Table>
(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 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 principal accountant other than audit,
audit-related, and tax services.
(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 for services rendered to all
of the Series in the Trust by each Series's respective principal accountant
(either PWC or D&T) for the last two fiscal years of each Series; and (ii) the
<Page>
aggregate non-audit fees (i.e., fees for audit-related, tax, and other services)
billed for services rendered to the Eaton Vance organization by PWC and D&T for
the last two fiscal years of each Series.
<Table>
<Caption>
FISCAL YEARS 12/31/03 4/30/03 10/31/03 12/31/04
ENDED PWC D&T PWC D&T PWC D&T PWC D&T
- --------------------------------------------------------------------------------------------------
REGISTRANT(1) $ 15,325 $ 15,800 $ 0 $ 5,800 $ 23,504 $ 72,700 $ 15,700 $ 16,200
EATON VANCE
CORP.(2) $ 0 $ 479,858 $ 0 $ 198,709 $ 0 $ 467,489 $ 84,490 $ 334,713
<Caption>
FISCAL YEARS 4/30/04 10/31/04
ENDED PWC D&T PWC D&T
- ---------------------------------------------------------
REGISTRANT(1) $ 0 $ 5,800 $ 50,175 $ 75,300
EATON VANCE
CORP.(2) $ 4,490 $ 479,012 $ 84,490 $ 340,730
</Table>
(1) Includes all of the Series in the Trust.
(2) During the fiscal years reported above, all but four of the Series were
feeder funds in a master feeder structure. Various subsidiaries of Eaton
Vance Corp. act in either an investment advisory and/or service provider
capacity with respect to the Series or their respective master funds.
(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.
<Page>
Effective February 7, 2005, the Governance Committee of the Board of Trustees
revised the procedures by which a Fund's shareholders may recommend nominees to
the registrant's Board of Trustees to add the following (highlighted):
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 (i)sufficient background information
concerning the candidate, INCLUDING EVIDENCE THE CANDIDATE IS WILLING TO SERVE
AS AN INDEPENDENT TRUSTEE IF SELECTED FOR THE POSITION; AND (ii) 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 IN WRITING to the attention of the Governance Committee, c/o the
Secretary of the Fund. THE SECRETARY SHALL RETAIN COPIES OF ANY SHAREHOLDER
RECOMMENDATIONS WHICH MEET THE FOREGOING REQUIREMENTS FOR A PERIOD OF NOT MORE
THAN 12 MONTHS FOLLOWING RECEIPT. THE SECRETARY SHALL HAVE NO OBLIGATION TO
ACKNOWLEDGE RECEIPT OF ANY SHAREHOLDER RECOMMENDATIONS.
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 second fiscal quarter of the period covered by
this report 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 MUTUAL FUNDS TRUST
By: /s/ Thomas E. Faust Jr.
-----------------------
Thomas E. Faust Jr.
President
Date: February 16, 2005
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/ James L. O'Connor
---------------------
James L. O'Connor
Treasurer
Date: February 16, 2005
By: /s/ Thomas E. Faust Jr.
Thomas E. Faust Jr.
President
Date: February 16, 2005