<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 811-07538
---------
LORD ABBETT SECURITIES TRUST
----------------------------
(Exact name of registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302-3973
--------------------------------------------
(Address of principal executive offices) (zip code)
Christina T. Simmons, Vice President and Assistant Secretary
90 Hudson Street, Jersey City, New Jersey 07302-3973
----------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 201-6984
--------------
Date of fiscal year end: 10/31
-----
Date of reporting period: 4/30/2003
---------
<Page>
ITEM 1: Report to Shareholders.
<Page>
[LORD ABBETT LOGO]
2003
SEMI-
ANNUAL
REPORT
LORD ABBETT
ALL VALUE FUND
ALPHA FUND
INTERNATIONAL FUND
FOR THE SIX MONTHS ENDED APRIL 30, 2003
<Page>
(Unaudited)
- --------------------------------------------------------------------------------
LORD ABBETT SECURITIES TRUST SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED APRIL 30, 2003
DEAR SHAREHOLDERS: We are pleased to provide you with this six-month overview of
the Lord Abbett Securities Trust's strategies and performance for the period
ended April 30, 2003. On this and the following pages, we discuss the factors
that influenced performance.
Thank you for investing in Lord Abbett Mutual Funds. We value the trust
that you place in us and look forward to serving your investment needs in the
years to come.
BEST REGARDS,
/s/ Robert S. Dow
ROBERT S. DOW
CHAIRMAN
- --------------------------------------------------------------------------------
MARKET REVIEW(1)
War and general geopolitical concerns had an extremely negative effect on the
psyche of businesses and consumers during the first part of the period.
Corporations entered the first quarter of 2003 cautiously and remained wary,
selling existing inventories and implementing layoffs, as the economy continued
to decelerate. The unemployment rate in the U.S. rose in the last six months,
reaching 6.0% by April. Consumers responded to heightened war threats and
treacherous weather conditions on the east coast by reducing real spending. But,
as the coalition's war effort made clear progress in the early spring, the fog
of global uncertainty lifted and broad equity indices experienced meaningful
advances. With a spike in consumer confidence and improving corporate profit
outlooks, we continue to expect adequate consumer spending and a renewed capital
spending cycle.
After a rally in the fourth quarter of 2002, international equity markets
continued to be volatile in early 2003. A global rally at the beginning of the
year stalled, resulting in a new downtrend that brought several equity markets
around the world to new multi-year lows before rallying again in March, as the
U.S. invaded Iraq. Oil and gold prices also rose in anticipation of war and then
fell back as the war was ended swiftly and successfully. Over the six-month
period, Continental Europe was the strongest regional performer, helped by the
sharp appreciation of the Euro versus the U.S. Dollar. Among small-cap markets,
the U.K. and Japan were the weakest, reversing their formerly strong
performance.
LORD ABBETT ALL VALUE FUND
For the six months ended April 30, 2003, Lord Abbett All Value Fund returned
5.8%(2), outperforming the Russell 3000(R)
1
<Page>
(Unaudited)
- --------------------------------------------------------------------------------
Value Index(3), which returned 5.4% over the same period. Standardized Average
Annual Total Returns(4) for 1 year, 5 years and the life of the Fund(5) are
- -24.65%, 0.58% and 8.41%, respectively as of March 31, 2003.
During the period, the Fund gained from stock selection in the consumer
discretionary sector. Specifically, stocks in the retail sector performed well,
as consumer spending forecasts began to increase with the conclusion of the war
in Iraq. With geopolitical concerns waning and a subsequent drop in oil prices,
higher consumer disposable income has provided retail firms with stronger profit
outlooks. In addition, stock selection in the consumer staples sector added to
Fund returns, as Fund holdings continued to report solid profits and strong
earnings visibility.
Stock selection within the auto & transportation sector detracted from
relative performance for the period, as Fund holdings in the airline industry
suffered from increased fears resulting from the war in Iraq and volatile union
negotiations. Additionally, within the energy sector, the Fund was hurt by
investments in the oilfield services sector, which suffered from reduced demand
for drilling services.
LORD ABBETT ALPHA FUND
The Alpha Series uses a "fund of funds" approach, which currently divides assets
among the Lord Abbett Developing Growth Fund, Lord Abbett Securities
Trust--International Series and Lord Abbett Small-Cap Value Fund. For the six
months ended April 30, 2003, Lord Abbett Securities Trust--Alpha Series returned
5.0%(2), underperforming its benchmark, the Citigroup Small Cap World ex-U.S.
Index(6), which returned 8.0% for the same period. Standardized Average Annual
Total Returns(4) for 1 year, 5 years and the life of the Fund(5) are -29.19%,
- -7.26% and -7.00%, respectively as of March 31, 2003.
DEVELOPING GROWTH COMPONENT
During the period, the Fund gained from stock selection in the consumer
discretionary sector, as retail and apparel holdings benefited from renewed
optimism over consumer spending amid a quick conclusion in the war in Iraq. In
addition, the Fund benefited from stock selection in the healthcare sector.
Stock selection within the technology sector was the primary detractor of
performance this quarter. Stock selection within materials and processing also
detracted from performance, as several of these holdings continue to be
adversely affected by a weak manufacturing sector.
INTERNATIONAL COMPONENT
SEE LORD ABBETT INTERNATIONAL FUND.
2
<Page>
(Unaudited)
- --------------------------------------------------------------------------------
SMALL-CAP VALUE COMPONENT
The largest positive contributor to performance during the quarter was stock
selection within the materials & processing sector, where holdings benefited
from increased customer demand, new product introductions and favorable domestic
drilling activities. In addition, the Fund benefited from holdings in the
consumer staple sector, as strong earnings outlooks propelled certain Fund
holdings.
During the period, the Fund was negatively impacted by our stock selection
in the technology sector. Stock selection in the healthcare sector also
contributed negatively to the Fund's performance, as investors moved away from
this defensive sector into more speculative pockets.
LORD ABBETT INTERNATIONAL FUND
For the six months ended April 30, 2003, Lord Abbett International Fund returned
3.0%(2), underperforming the Citigroup Small Cap World ex-U.S. Index(6), which
returned 8.0% over the same period. Standardized Average Annual Total Returns(4)
for 1 year, 5 years and the life of the Fund(5) are -27.70%, -15.39% and -6.74%,
respectively as of March 31, 2003.
The Fund underperformed its benchmark principally due to stock selection in
Japan and Continental Europe. While an underweight in Japan and overweight in
Continental Europe added to performance, our healthcare holdings in each region
did poorly on the back of disappointing new product news. Holdings in retail
stocks across the portfolio also hurt performance, as several faster-growing
chains announced sharply slowing sales.
The strongest performing region in the portfolio was Asia ex-Japan, where
our Australian stocks performed strongly, partly due to the appreciation of the
Australian dollar relative to the U.S. dollar. Holdings in financial stocks also
added to the Fund's return, driven by shares of several general insurers.
3
<Page>
(Unaudited)
- --------------------------------------------------------------------------------
(1) The views of the Trust's management and the portfolio holdings described in
this report are as of April 30, 2003; these views and portfolio holdings may
have changed subsequent to this date. Information provided in this report should
not be considered a recommendation to purchase or sell securities.
(2) Reflects performance at the Net Asset Value (NAV) of Class A shares, with
all distributions reinvested, for the six months ended April 30, 2003.
(3) The Russell 3000(R) Value Index measures the performance of those Russell
3000(R) Index companies with lower price-to-book ratios and lower forecasted
growth values. The stocks in this index are also members of either the Russell
1000(R) Value or the Russell 2000(R) Value indices. Indices are unmanaged, do
not reflect the deduction of fees or expenses and are not available for direct
investment.
(4) Reflects performance at the maximum 5.75% sales charge applicable to Class A
share investments and includes the reinvestment of all distributions.
(5) Inception dates are July 15, 1996 for Lord Abbett All Value Fund, March 18,
1998 for Lord Abbett Alpha Fund and December 13, 1996 for Lord Abbett
International Fund.
(6) The Citigroup Small Cap World ex-U.S. Index is a subset of the Global
Citigroup Broad Market Index (BMI). The World ex-U.S. composite includes all
developed countries except the United States. Indexes are unmanaged, do not
reflect the deduction of fees or expenses and are not available for direct
investment. The Citigroup Global Equity Index System(SM) ("GEIS") and the names
of each of the indexes and subindexes which it comprises (GEIS and such indexes
and subindexes, each an "Index" and collectively, the "Indexes") are service
marks of Citigroup. Although information has been obtained from sources usually
considered reliable. THE DATA AND THE INDEXES ARE PROVIDED "AS IS" AND CITIGROUP
DOES NOT GUARANTEE ITS ACCURACY NOR DOES CITIGROUP ACCEPT ANY RESPONSIBILITY TO
ANY PARTY FOR THE DATA OR THE INDEXES. CITIGROUP IS NOT UNDERTAKING TO MANAGE
MONEY OR ACT AS A FIDUCIARY WITH RESPECT TO ANY ACCOUNT. THE DATA AND THE INDEX
ARE PART OF A GENERAL INFORMATION SERVICE AND ARE NOT INTENDED AS AN OFFER OR
SOLICITATION WITH RESPECT TO THE PURCHASE OR SALE OF ANY SECURITY.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with
the Funds please see each Fund's Prospectus.
PERFORMANCE: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. BECAUSE OF
ONGOING MARKET VOLATILITY, FUND PERFORMANCE MAY BE SUBJECT TO SUBSTANTIAL
FLUCTUATION. The investment return and principal value of an investment in a
Fund will fluctuate so that shares, on any given day or when redeemed, may be
worth more or less than their original cost. Except where noted, comparative
fund performance does not account for the deduction of sales charges and would
be different if sales charges were included. Each Fund offers additional classes
of shares with distinct pricing options. For a full description of the
differences in pricing alternatives, please see the Prospectus.
The Funds are actively managed and, as a result, asset allocations may change.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY BANKS, AND ARE SUBJECT TO INVESTMENT RISKS INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED. FOR MORE COMPETE INFORMATION ABOUT
THIS OR ANY LORD ABBETT MUTUAL FUND, INCLUDING RISKS, CHARGES AND ONGOING
EXPENSES, PLEASE CALL YOUR INVESTMENT PROFESSIONAL OR LORD ABBETT DISTRIBUTOR
LLC AT 888-522-2388 FOR A PROSPECTUS. AN INVESTOR SHOULD READ THE PROSPECTUS
CAREFULLY BEFORE INVESTING.
4
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
ALL VALUE FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCKS 91.49%
AGRICULTURE FISHING &
RANCHING 0.79%
Delta & Pine Land Co. 95,000 $ 2,210
Monsanto Co. 63,900 1,112
------------
TOTAL 3,322
------------
AIR TRANSPORTATION 1.36%
Alaska Air Group, Inc.* 50,000 892
AMR Corp.* 300,000 1,347
Southwest Airlines Co. 220,000 3,511
------------
TOTAL 5,750
------------
ALUMINUM 1.20%
Alcoa, Inc. 220,000 5,045
------------
AUTO PARTS: AFTER MARKET 1.29%
Genuine Parts Co. 102,400 3,273
Superior Industries
Int'l., Inc. 55,000 2,176
------------
TOTAL 5,449
------------
AUTO PARTS: ORIGINAL EQUIPMENT 0.79%
American Axle &
Mfg Holdings* 75,000 1,869
Borg Warner, Inc. 25,000 1,467
------------
TOTAL 3,336
------------
BANKS: OUTSIDE NEW YORK CITY 9.15%
Bank of America Corp. 65,000 4,813
Bank One Corp. 88,800 3,201
Cullen/Frost
Bankers, Inc. 130,000 4,263
Doral Financial Corp. 160,000 6,402
FleetBoston
Financial Corp. 46,000 1,220
Mellon Financial Corp. 205,000 5,422
Wachovia Corp. 189,000 7,222
Wells Fargo & Co. 124,700 6,018
------------
TOTAL 38,561
------------
BEVERAGE: SOFT DRINKS 0.86%
PepsiCo, Inc. 84,000 $ 3,635
------------
CHEMICALS 3.90%
E.I. du Pont de
Nemours & Co. 155,000 6,592
Eastman Chemical Co. 26,600 812
Praxair, Inc. 110,000 6,389
Rohm & Haas Co. 80,000 2,649
------------
TOTAL 16,442
------------
COMMUNICATIONS TECHNOLOGY 2.80%
Motorola, Inc. 525,000 4,153
Symbol
Technologies, Inc. 700,000 7,651
------------
TOTAL 11,804
------------
COMPUTER SERVICES
SOFTWARE & SYSTEMS 0.40%
Reynolds & Reynolds
Co. Class A 58,800 1,694
------------
COMPUTER TECHNOLOGY 2.69%
Apple Computer, Inc.* 405,000 5,751
EMC Corp.* 218,100 1,982
Zebra Technologies
Corp. Class A* 54,100 3,607
------------
TOTAL 11,340
------------
CONSUMER PRODUCTS 0.94%
Gillette Co. 130,000 3,958
------------
CONTAINERS & PACKAGING:
PAPER & PLASTIC 0.60%
Pactiv Corp.* 123,000 2,524
------------
DIVERSIFIED FINANCIAL SERVICES 4.02%
Citigroup, Inc. 248,100 9,738
Merrill Lynch & Co., Inc. 176,000 7,225
------------
TOTAL 16,963
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
DRUGS & PHARMACEUTICALS 4.20%
Merck & Co., Inc. 79,000 $ 4,596
Mylan Laboratories, Inc. 123,000 3,477
Schering-Plough Corp. 380,900 6,894
Wyeth 63,000 2,743
------------
TOTAL 17,710
------------
ENTERTAINMENT 3.96%
The Walt Disney Co. 535,000 9,983
Viacom, Inc. Class B* 155,000 6,729
------------
TOTAL 16,712
------------
FERTILIZERS 0.88%
Potash Corp.
of Saskatchewan(a) 60,000 3,693
------------
FINANCIAL MISCELLANEOUS 0.76%
MBNA Corp. 170,060 3,214
------------
FOODS 1.23%
Smithfield Foods, Inc.* 265,000 5,194
------------
FOREST PRODUCTS 0.43%
Georgia-Pacific Corp. 117,000 1,806
------------
GOLD 0.77%
Newmont Mining Corp. 120,000 3,242
------------
HEALTHCARE FACILITIES 0.46%
Manor Care, Inc.* 100,000 1,945
------------
HEALTHCARE MANAGEMENT SERVICES 1.52%
Caremark Rx, Inc.* 250,000 4,977
Sierra Health
Services, Inc.* 85,000 1,411
------------
TOTAL 6,388
------------
HOTEL/MOTEL 0.72%
Carnival Corp. 110,000 3,035
------------
HOUSEHOLD FURNISHINGS 0.33%
Newell Rubbermaid, Inc. 45,000 $ 1,372
------------
IDENTIFICATION CONTROL &
FILTER DEVICES 1.38%
Hubbell, Inc. Class B 135,000 4,334
IDEX Corp. 46,000 1,465
------------
TOTAL 5,799
------------
INSURANCE: MULTI-LINE 3.16%
American Int'l
Group, Inc. 73,200 4,242
Markel Corp.* 27,100 6,568
SAFECO Corp. 65,000 2,503
------------
TOTAL 13,313
------------
INSURANCE: PROPERTY-CASUALTY 1.77%
Odyssey Re
Holdings Corp. 152,000 3,192
XL Capital Ltd. Class A(a) 52,000 4,280
------------
TOTAL 7,472
------------
INVESTMENT MANAGEMENT
COMPANIES 0.25%
Affiliated Managers
Group, Inc.* 22,800 1,056
------------
MACHINERY: AGRICULTURAL 1.80%
Deere & Co. 172,000 7,573
------------
MACHINERY: ENGINES 0.82%
Briggs & Stratton Corp. 31,000 1,400
Cummins, Inc. 76,400 2,071
------------
TOTAL 3,471
------------
MACHINERY: INDUSTRIAL/SPECIALTY 1.25%
Illinois Tool Works, Inc. 82,000 5,246
------------
MACHINERY: OIL WELL
EQUIPMENT & SERVICES 1.84%
Baker Hughes, Inc. 40,000 1,120
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
Grant Prideco, Inc.* 60,000 $ 684
Grey Wolf, Inc.* 360,000 1,458
Helmerich & Payne, Inc. 75,000 1,930
Pride Int'l., Inc.* 165,000 2,561
------------
TOTAL 7,753
------------
MEDICAL & DENTAL
INSTRUMENTS & SUPPLIES 0.79%
Bausch & Lomb, Inc. 30,000 1,055
Boston Scientific Corp.* 38,400 1,653
ICU Medical, Inc.* 20,000 635
------------
TOTAL 3,343
------------
METAL FRABRICATING 1.51%
Quanex Corp. 80,000 2,301
The Timken Co. 230,000 4,071
------------
TOTAL 6,372
------------
MILLING: FRUIT AND GRAIN
PROCESSING 0.32%
Archer-Daniels-
Midland Co. 120,000 1,330
------------
MISCELLANEOUS EQUIPMENT 1.15%
W.W. Grainger, Inc. 105,000 4,846
------------
MISCELLANEOUS MATERIALS &
PROCESSING 0.20%
Rogers Corp.* 25,000 827
------------
MULTI-SECTOR COMPANIES 2.66%
3M Co. 22,700 2,861
Eaton Corp. 80,000 6,566
Tyco Int'l., Ltd.(a) 115,000 1,794
------------
TOTAL 11,221
------------
OFFICE FURNITURE &
BUSINESS EQUIPMENT 1.44%
Xerox Corp.* 615,000 6,064
------------
OIL: INTEGRATED INTERNATIONAL 3.63%
ChevronTexaco Corp. 24,900 $ 1,564
Exxon Mobil Corp. 390,012 13,728
------------
TOTAL 15,292
------------
PAPER 2.31%
Int'l. Paper Co. 165,064 5,901
Meadwestvaco Corp. 163,000 3,845
------------
TOTAL 9,746
------------
PRODUCTION TECHNOLOGY
EQUIPMENT 0.61%
Dionex Corp.* 46,000 1,583
Teradyne, Inc.* 87,000 1,009
------------
TOTAL 2,592
------------
PUBLISHING: NEWSPAPERS 1.96%
Gannett Co., Inc. 25,000 1,893
Journal Register Co.* 84,000 1,488
Tribune Co. 100,000 4,898
------------
TOTAL 8,279
------------
RADIO & TV BROADCASTERS 1.08%
Clear Channel
Communications, Inc.* 116,800 4,568
------------
RAILROADS 2.93%
CSX Corp. 212,000 6,780
Union Pacific Corp. 93,700 5,577
------------
TOTAL 12,357
------------
RESTAURANTS 0.40%
CBRL Group, Inc. 53,000 1,690
------------
RETAIL 5.46%
Abercrombie & Fitch Co. Class A* 19,000 625
Barnes & Noble, Inc.* 80,000 1,576
Foot Locker, Inc. 86,500 951
Genesco, Inc.* 85,900 1,289
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
ALL VALUE FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
Limited Brands, Inc. 425,000 $ 6,179
Pier 1 Imports, Inc. 50,000 928
Target Corp. 343,300 11,480
------------
TOTAL 23,028
------------
SAVINGS & LOAN 0.19%
Webster Financial Corp. 21,000 788
------------
SHOES 1.35%
NIKE, Inc. Class B 106,000 5,674
------------
TOYS 0.56%
Hasbro, Inc. 147,500 2,360
------------
UTILITIES: CABLE TV & RADIO 1.34%
Comcast Corp. Class A* 188,000 5,651
------------
UTILITIES: ELECTRICAL 0.39%
Ameren Corp. 40,000 1,639
------------
UTILITIES: TELECOMMUNICATIONS 2.44%
SBC
Communications, Inc. 152,000 3,551
Verizon
Communications, Inc. 180,000 6,728
------------
TOTAL 10,279
------------
UTILITIES: WATER 0.45%
Philadelphia
Suburban Corp. 84,000 1,903
------------
TOTAL COMMON STOCKS
(Cost $376,175,536) 385,666
============
<Caption>
PRINCIAPL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT 7.72%
REPURCHASE AGREEMENT 7.72%
Repurchase Agreement
dated 4/30/2003
1.27% due 5/1/2003
from State Street
Bank & Trust Co.
collateralized by
$33,150,000 of
Federal Home
Loan Bank at 1.625%
due 4/15/2005;
value $33,176,818;
proceeds: $32,524,323
(Cost $32,523,176) $ 32,523 $ 32,523
============
TOTAL INVESTMENTS 99.21%
(Cost $408,698,712) $ 418,189
============
</Table>
* Non-Income Producing Security.
(a) Foreign security denominated in U.S. dollars.
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
ALPHA FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
INVESTMENTS IN UNDERLYING FUNDS 98.04%
Lord Abbett Developing
Growth Fund, Inc.-
Class Y*(a) 2,817,688 $ 32,178
Lord Abbett Research
Fund, Inc.-Small-Cap
Value Series-Class Y(b) 1,666,175 32,641
Lord Abbett Securities
Trust-International
Series-Class Y(b) 6,344,970 41,242
------------
TOTAL INVESTMENTS IN
UNDERLYING FUNDS
(Cost $148,818,594) 106,061
============
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT 1.86%
REPURCHASE AGREEMENT 1.86%
Repurchase Agreement
dated 4/30/2003
1.27% due 5/1/2003
from State Street
Bank & Trust Co.
collateralized by
$2,035,000 Federal
Home Loan Mortgage
Corp. at 2.00%
due 1/21/2005;
value $2,056,656;
proceeds: $2,012,191
(Cost $2,012,120) $ 2,012 $ 2,012
============
TOTAL INVESTMENTS 99.90%
(Cost $150,830,714) $ 108,073
============
</Table>
* Non-Income Producing Security.
(a) Fund investment objective is long-term growth of capital through a
diversified and actively managed portfolio consisting of developing
growth companies, many of which are traded over the counter.
(b) Fund investment objective is long-term capital appreciation.
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
INTERNATIONAL FUND APRIL 30, 2003
<Table>
<Caption>
US$
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
COMMON STOCK 90.25%
AUSTRALIA 9.64%
Amcor Ltd. 300,700 $ 1,563
Cochlear Ltd. 84,270 1,785
Newcrest Mining Ltd. 354,900 1,454
QBE Insurance
Group Ltd.^ 407,500 2,177
Santos Ltd. 464,200 1,684
Stockland Trust Group^ 539,600 1,688
------------
TOTAL 10,351
------------
CANADA 4.59%
Cognos, Inc.* 60,500 1,645
Cott Corp.* 77,200 1,410
Jean Coutu Group, Inc.^ 178,000 1,874
------------
TOTAL 4,929
------------
CHINA 1.07%
People's Food
Holdings Ltd.^ 1,294,000 641
United Food
Holdings Ltd. 2,580,531 509
------------
TOTAL 1,150
------------
FRANCE 8.64%
Imerys S.A.^ 11,800 1,566
IPSOS^ 30,100 1,545
Neopost S.A.* 48,550 1,680
Publicis Groupe^ 59,300 1,308
SR Teleperformance^ 74,900 1,145
Zodiac S.A. 90,000 2,031
------------
TOTAL 9,275
------------
GERMANY 3.46%
Eigner US*~(b) 997,900 --(a)
Medion AG^ 52,200 1,928
Puma AG^ 18,650 1,790
------------
TOTAL 3,718
------------
GREECE 2.16%
Opap 138,200 $ 1,262
Vodafone Panafon S.A. 166,460 1,055
------------
TOTAL 2,317
------------
HONG KONG 1.79%
Esprit Holdings Ltd. 508,000 996
Smartone
Telecommunications 811,000 931
------------
TOTAL 1,927
------------
IRELAND 4.70%
Anglo Irish Bank
Corp. plc 262,800 1,977
IAWS Group plc 197,600 1,599
Irish Life &
Permanent plc 127,200 1,476
------------
TOTAL 5,052
------------
ITALY 2.82%
Banco Popolare di
Verona e Novara Scrl^ 116,000 1,575
Davide Campari-
Milano S.P.A.^ 42,300 1,459
------------
TOTAL 3,034
------------
JAPAN 19.93%
Alps Electric Co. Ltd. 135,000 1,457
Cawachi Ltd. 8,400 469
Don Quijote Co. Ltd.^ 17,000 1,544
FamilyMart Co. Ltd. 55,445 1,058
Goodwill Group Inc. 211 766
Japan Medical
Dynamic Mkt., Inc.^ 59,500 809
KOSE Corp. 67,100 2,127
Matsumotokiyoshi
Co. Ltd.^ 28,900 1,284
Nitori Co. Ltd. 24,700 1,075
Nitto Denko Corp. 50,070 1,440
Paramount Bed Co. Ltd. 75,600 1,277
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL FUND APRIL 30, 2003
<Table>
<Caption>
US$
VALUE
INVESTMENTS SHARES (000)
- ---------------------------------------------------------------------------
Park24 Co. Ltd. 85,057 $ 1,373
Q.P. Corp.^ 189,900 1,529
Seino Transportation
Co. Ltd.^ 240,600 1,420
Stanley Electronic
Co Ltd. 118,700 1,493
Sundrug Co. Ltd. 7,300 200
Trend Micro, Inc.* 64,300 782
Yahoo Japan Corp.*^ 116 1,303
------------
TOTAL 21,406
------------
NETHERLANDS 1.48%
Fugro N.V. 39,200 1,590
------------
NEW ZEALAND 1.03%
The Warehouse
Group Ltd.^ 353,000 1,106
------------
SINGAPORE 3.00%
Great Eastern
Holdings, Ltd. 234,000 1,245
SembCorp Logistics Ltd. 584,755 590
Venture Corp. 166,000 1,384
------------
TOTAL 3,219
------------
SOUTH KOREA 1.17%
Shinhan Financial
Group Co. Ltd. 127,100 1,255
------------
SPAIN 8.66%
Acerinox S.A.^ 41,100 1,532
Corporacion Mapfre S.A. 217,600 2,040
Grupo Dragados S.A. 56,205 1,074
Grupo Ferrovial S.A. 55,200 1,465
Iberia Lineas Aereas de
Espana S.A. 903,700 1,583
Prosegur Compania
de Seguridad S.A. 124,202 1,608
------------
TOTAL 9,302
------------
SWITZERLAND 3.93%
Geberit AG 4,815 $ 1,516
Logitech Namen*^ 39,400 1,452
Nobel Biocare
Holdings AG^ 22,600 1,250
------------
TOTAL 4,218
------------
UNITED KINGDOM 12.18%
Aggregate
Industries plc 1,169,200 1,439
Cattles plc 308,100 1,558
Close Brothers
Group plc 175,750 1,482
HIT Entertainment plc 458,900 1,613
J.D. Wetherspoon plc 375,400 1,335
Jardine Lloyd Thompson
Group plc 139,700 1,273
Jarvis plc 323,160 1,640
Next plc 98,500 1,485
William
Morrison Supermarkets 422,000 1,258
------------
TOTAL 13,083
------------
TOTAL COMMON STOCKS
(Cost $99,124,418) 96,932
============
<Caption>
PRINCIPAL
AMOUNT
(000)
-----
SHORT-TERM INVESTMENTS 19.47%
COLLATERAL FOR SECURITIES
ON LOAN 18.38%
State Street Navigator
Securities Lending Prime
Portfolio 1.23%(c) $ 19,738 19,738
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
INTERNATIONAL FUND APRIL 30, 2003
<Table>
<Caption>
PRINCIPAL US$
AMOUNT VALUE
INVESTMENTS (000) (000)
- ---------------------------------------------------------------------------
REPURCHASE AGREEMENT 1.09%
Repurchase Agreement
dated 4/30/2003
1.27% due 5/1/2003
from State Street
Bank & Trust Co.
collateralized by
$1,200,000 of Federal
Home Loan Bank at 1.30%
due 4/7/2004;
value $1,202,080;
proceeds: $1,176,418 $ 1,176 $ 1,176
============
TOTAL SHORT-TERM INVESTMENTS
(Cost $20,914,329) 20,914
============
TOTAL INVESTMENTS 109.72%
(Cost $120,038,747) $ 117,846
============
</Table>
* Non-Income Producing Security.
^ Security (or a portion of security) on loan See Note 5.
~ Fair Valued Security - See Note 2a.
(a) Value is less than $1,000.
(b) Foreign security denominated in U.S. dollars.
(c) Rate shown reflects 7 day yield as of April 30, 2003.
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
April 30, 2003
<Table>
<Caption>
ALL VALUE ALPHA INTERNATIONAL
FUND FUND FUND
ASSETS:
Investment in securities, at cost $ 408,698,712 $ 150,830,714 $ 120,038,747
- ---------------------------------------------------------------------------------------------------------------------
Investment in securities, at value $ 418,189,011 $ 108,072,798 $ 117,846,228
Cash, at value (cost $8,093,463) - - 8,285,447
Receivables:
Interest and dividends 376,646 71 290,520
Investment securities sold 33,892,471 2,005,448 3,788,218
Capital shares sold 4,285,815 50,452 880,029
From Lord, Abbett & Co. LLC 208 - 4,218
From Underlying Funds (See Note 3) - 404,228 -
Prepaid expenses and other assets 85,843 3,127 1,292
- ---------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 456,829,994 110,536,124 131,095,952
- ---------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return of securities on loan - - 19,737,952
Payables:
Investment securities purchased 34,023,459 2,012,120 2,811,215
Capital shares reacquired 409,755 143,056 511,425
Management fees 223,712 - 63,721
12b-1 distribution fees 224,080 68,310 220,984
Administration fees 14,369 9,087 9,322
Trustees' fees 168,732 5,810 10,824
To affiliate - - 168,428
Accrued expenses and other liabilities 230,150 120,937 152,566
- ---------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 35,294,257 2,359,320 23,686,437
=====================================================================================================================
NET ASSETS $ 421,535,737 $ 108,176,804 $ 107,409,515
=====================================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 415,564,880 $ 158,961,138 $ 241,924,658
Undistributed (distributions in excess of) net
investment income (141,616) 208,352 8,217
Accumulated net realized loss on investments
and foreign currency related transactions (3,377,826) (8,234,770) (132,540,297)
Net unrealized appreciation (depreciation) on investments
and translation of assets and liabilities denominated in
foreign currencies 9,490,299 (42,757,916) (1,983,063)
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 421,535,737 $ 108,176,804 $ 107,409,515
=====================================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 233,584,093 $ 49,916,603 $ 44,892,334
Class B Shares $ 60,263,309 $ 34,548,941 $ 13,501,779
Class C Shares $ 127,007,440 $ 23,711,260 $ 7,782,328
Class P Shares $ 670,033 - $ 599
Class Y Shares $ 10,862 - $ 41,232,475
OUTSTANDING SHARES BY CLASS:
Class A Shares 27,458,695 4,515,927 7,002,141
Class B Shares 7,241,129 3,194,311 2,151,544
Class C Shares 15,303,311 2,191,964 1,241,314
Class P Shares 79,135 - 92.854
Class Y Shares 1,277.14 - 6,346,206
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 8.51 $ 11.05 $ 6.41
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 9.03 $ 11.72 $ 6.80
Class B Shares-Net asset value $ 8.32 $ 10.82 $ 6.28
Class C Shares-Net asset value $ 8.30 $ 10.82 $ 6.27
Class P Shares-Net asset value $ 8.47 - $ 6.45
Class Y Shares-Net asset value $ 8.50 - $ 6.50
=====================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)
For the Six Months Ended April 30, 2003
<Table>
<Caption>
ALL VALUE ALPHA INTERNATIONAL
FUND FUND FUND
INVESTMENT INCOME:
Dividends $ 3,030,532 $ 572,817 $ 1,051,314
Interest and other 125,837 12,540 526,105
Securities lending - - 107,668
Foreign withholding tax (8,341) - (105,726)
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 3,148,028 585,357 1,579,361
- ---------------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 1,283,293 269,235 393,821
12b-1 distribution plan-Class A 342,890 91,024 83,557
12b-1 distribution plan-Class B 253,353 169,189 64,136
12b-1 distribution plan-Class C 569,720 116,792 37,155
12b-1 distribution plan-Class P 1,083 - 2
Shareholder servicing 382,828 244,134 292,549
Market data 1,221 379 5,390
Professional 42,206 19,415 22,928
Reports to shareholders 44,796 13,500 14,143
Fund accounting 7,644 7,644 7,644
Fund administration 47,501 14,528 14,447
Custody 10,675 1,915 28,828
Trustees' fees 4,793 2,496 2,720
Registration 37,961 34,903 23,589
Organization - 4,329 -
Subsidy (see Note 3) - - 150,453
Other 93,200 24,977 57,312
- ---------------------------------------------------------------------------------------------------------------------
Gross expenses 3,123,164 1,014,460 1,198,674
Expense reductions (3,120) (986) (901)
Management fee waived - (269,235) -
Expenses assumed by Underlying Funds - (367,234) -
- ---------------------------------------------------------------------------------------------------------------------
NET EXPENSES 3,120,044 377,005 1,197,773
- ---------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 27,984 208,352 381,588
- ---------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Capital gains received from Underlying Funds - 2,224,496 -
Net realized loss on investments and foreign
currency related transactions (2,220,009) (10,456,100) (8,164,365)
Net change in unrealized appreciation/depreciation
on investments and translation of assets and
liabilities denominated in foreign currencies 24,225,264 12,807,783 10,679,429
=====================================================================================================================
NET REALIZED AND UNREALIZED GAIN 22,005,255 4,576,179 2,515,064
=====================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 22,033,239 $ 4,784,531 $ 2,896,652
=====================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
Six Months Ended April 30, 2003
<Table>
<Caption>
ALL VALUE ALPHA INTERNATIONAL
INCREASE (DECREASE) IN NET ASSETS FUND FUND FUND
OPERATIONS:
Net investment income $ 27,984 $ 208,352 $ 381,588
Capital gains received from Underlying Funds - 2,224,496 -
Net realized loss on investment and foreign
currency related transactions (2,220,009) (10,456,100) (8,164,365)
Net change in unrealized appreciation/depreciation
on investments and translation of assets and
liabilities denominated in foreign currencies 24,225,264 12,807,783 10,679,429
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 22,033,239 4,784,531 2,896,652
=====================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - - (382,449)
Class B - - (12,252)
Class C - - (48,713)
Class P - - (4)
Class Y - - (572,916)
Net realized gain
Class A (4,249,947) (455,055) -
Class B (1,080,058) (307,754) -
Class C (2,554,556) (213,342) -
Class P (8,336) - -
Class Y - - -
- ---------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (7,892,897) (976,151) (1,016,334)
=====================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 98,613,676 10,460,049 27,660,510
Reinvestment of distributions 6,853,029 793,168 996,745
Cost of shares reacquired (47,612,706) (20,356,669) (34,849,352)
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS 57,853,999 (9,103,452) (6,192,097)
=====================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS 71,994,341 (5,295,072) (4,311,779)
=====================================================================================================================
NET ASSETS:
Beginning of period 349,541,396 113,471,876 111,721,294
- ---------------------------------------------------------------------------------------------------------------------
END OF PERIOD $ 421,535,737 $ 108,176,804 $ 107,409,515
=====================================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME $ (141,616) $ 208,352 $ 8,217
=====================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 2002
<Table>
<Caption>
ALL VALUE ALPHA INTERNATIONAL
INCREASE (DECREASE) IN NET ASSETS FUND FUND FUND
OPERATIONS:
Net investment income (loss) $ (401,829) $ (972,906) $ 659,700
Capital gains received from Underlying Funds - 2,542,308 -
Net realized gain (loss) on investment transactions
and foreign currency related transactions 6,735,080 (1,388,205) (37,731,158)
Net change in unrealized appreciation/depreciation on
investments and translation of assets and liabilities
denominated in foreign currencies (40,555,786) (19,816,047) 10,796,886
- ---------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS (34,222,535) (19,634,850) (26,274,572)
=====================================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (385,009) - -
Class P (4) - -
Net realized gain
Class A (15,776,939) (3,180,149) -
Class B (3,836,088) (2,286,945) -
Class C (10,890,143) (1,598,309) -
Class P (86) - -
- ---------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (30,888,269) (7,065,403) -
=====================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 139,953,179 24,517,901 114,711,502
Reinvestment of distributions 27,031,403 5,468,702 -
Cost of shares reacquired (70,226,400) (46,371,528) (137,676,731)
- ---------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 96,758,182 (16,384,925) (22,965,229)
=====================================================================================================================
NET INCREASE (DECREASE) IN NET ASSETS 31,647,378 (43,085,178) (49,239,801)
=====================================================================================================================
NET ASSETS:
Beginning of year 317,894,018 156,557,054 160,961,095
- ---------------------------------------------------------------------------------------------------------------------
END OF YEAR $ 349,541,396 $ 113,471,876 $ 111,721,294
=====================================================================================================================
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME $ (169,600) - $ 642,963
=====================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
FINANCIAL HIGHLIGHTS
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
PER SHARE OPERATING PERFORMANCE
(CLASS A SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.22 $ 9.83 $ 11.53 $ 10.87 $ 9.15 $ 8.79
========= ========= ========= ========= ========= =========
Investment operations
Net investment income .01(a) .01(a) .04(a) .05(a) .04(a) .06
Net realized and
unrealized gain (loss) .46 (.67) (.83) 1.17 2.06 .93
--------- --------- --------- --------- --------- ---------
Total from investment
operations .47 (.66) (.79) 1.22 2.10 .99
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income - (.02) (.03) - (.05) (.04)
Net realized gain (.18) (.93) (.88) (.56) (.33) (.59)
--------- --------- --------- --------- --------- ---------
Total distributions (.18) (.95) (.91) (.56) (.38) (.63)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.51 $ 8.22 $ 9.83 $ 11.53 $ 10.87 $ 9.15
========= ========= ========= ========= ========= =========
Total Return(b) 5.81%(d) (7.95)% (7.26)% 11.44% 23.77% 11.97%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .70%(d) 1.42% 1.42% 1.35% 1.30% 1.22%
Expenses, excluding expense
reductions .70%(d) 1.42% 1.43% 1.36% 1.30% 1.22%
Net investment income .16%(d) .13% .40% .48% .36% .88%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 1998
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 233,584 $ 189,698 $ 166,406 $ 136,038 $ 102,329 $ 72,863
Portfolio turnover rate 22.95% 79.39% 103.11% 65.06% 37.68% 45.83%
============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
PER SHARE OPERATING PERFORMANCE
(CLASS B SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.07 $ 9.70 $ 11.42 $ 10.85 $ 9.13 $ 8.80
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) (.01)(a) (.04)(a) (.03)(a) (.02)(a) (.04)(a) -(e)
Net realized and
unrealized gain (loss) .44 (.66) (.81) 1.15 2.10 .92
--------- --------- --------- --------- --------- ---------
Total from investment
operations .43 (.70) (.84) 1.13 2.06 .92
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income - - -(e) - (.01) -
Net realized gain (.18) (.93) (.88) (.56) (.33) (.59)
--------- --------- --------- --------- --------- ---------
Total distributions (.18) (.93) (.88) (.56) (.34) (.59)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.32 $ 8.07 $ 9.70 $ 11.42 $ 10.85 $ 9.13
========= ========= ========= ========= ========= =========
Total Return(b) 5.41%(d) (8.51)% (7.86)% 10.80% 23.17% 11.17%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.03%(d) 2.03% 2.03% 2.00% 1.98% 1.98%
Expenses, excluding expense
reductions 1.03%(d) 2.03% 2.04% 2.01% 1.98% 1.98%
Net investment income (loss) (.17)%(d) (.48)% (.27)% (.17)% (.38)% .09%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 1998
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 60,263 $ 47,423 $ 39,188 $ 17,453 $ 9,739 $ 3,404
Portfolio turnover rate 22.95% 79.39% 103.11% 65.06% 37.68% 45.83%
============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
PER SHARE OPERATING PERFORMANCE
(CLASS C SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 8.05 $ 9.67 $ 11.38 $ 10.81 $ 9.11 $ 8.80
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) (.01)(a) (.03)(a) (.01)(a) (.02)(a) (.03)(a) .01
Net realized and
unrealized gain (loss) .44 (.66) (.82) 1.15 2.07 .89
--------- --------- --------- --------- --------- ---------
Total from investment
operations .43 (.69) (.83) 1.13 2.04 .90
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income - - -(e) - (.01) -
Net realized gain (.18) (.93) (.88) (.56) (.33) (.59)
--------- --------- --------- --------- --------- ---------
Total distributions (.18) (.93) (.88) (.56) (.34) (.59)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 8.30 $ 8.05 $ 9.67 $ 11.38 $ 10.81 $ 9.11
========= ========= ========= ========= ========= =========
Total Return(b) 5.43%(d) (8.42)% (7.70)% 10.74% 23.00% 10.94%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.03%(d) 1.89% 1.98% 2.00% 1.98% 1.98%
Expenses, excluding expense
reductions 1.03%(d) 1.89% 1.99% 2.01% 1.98% 1.98%
Net investment income (loss) (.17)%(d) (.34)% (.14)% (.17)% (.31)% .12%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 1998
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 127,008 $ 112,052 $ 112,299 $ 112,776 $ 104,984 $ 89,637
Portfolio turnover rate 22.95% 79.39% 103.11% 65.06% 37.68% 45.83%
============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED 8/15/2001(c)
4/30/2003 YEAR ENDED TO
(UNAUDITED) 10/31/2002 10/31/2001
PER SHARE OPERATING PERFORMANCE
(CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.19 $ 9.83 $ 10.85
=========== =========== ============
Investment operations
Net investment income (loss) .01(a) -(a)(e) -(a)(e)
Net realized and
unrealized gain (loss) .45 (.66) (1.02)
----------- ----------- ------------
Total from investment operations .46 (.66) (1.02)
----------- ----------- ------------
Distributions to shareholders from:
Net investment income - (.05) -
Net realized gain (.18) (.93) -
----------- ----------- ------------
Total distributions (.18) (.98) -
----------- ----------- ------------
NET ASSET VALUE, END OF PERIOD $ 8.47 $ 8.19 $ 9.83
=========== =========== ============
Total Return(b) 5.71%(d) (8.04)% (9.40)%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .75%(d) 1.48% .31%(d)
Expenses, excluding expense reductions .75%(d) 1.48% .31%(d)
Net investment income (loss) .11%(d) .07% (.01)%(d)
<Caption>
SIX MONTHS
ENDED 8/15/2001(c)
4/30/2003 YEAR ENDED TO
SUPPLEMENTAL DATA: (UNAUDITED) 10/31/2002 10/31/2001
- -----------------------------------------------------------------------------------------
Net assets, end of period (000) $ 670 $ 368 $ 1
Portfolio turnover rate 22.95% 79.39% 103.11%
=========================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
3/31/2003(c)
TO
4/30/2003
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE
(CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.83
===========
Investment operations
Net investment income -(a)
Net realized and unrealized gain .67
-----------
Total from investment operations .67
-----------
Distributions to shareholders from:
Net investment income -
Net realized gain -
-----------
Total distributions -
-----------
NET ASSET VALUE, END OF PERIOD $ 8.50
-----------
Total Return(b) 8.56%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions .09%(d)
Expenses, excluding expense reductions .11%(d)
Net investment income .06%(d)
<Caption>
3/31/2003(c)
TO
4/30/2003
SUPPLEMENTAL DATA: (UNAUDITED)
- ----------------------------------------------------------------------------------------
Net assets, end of period (000) $ 11
Portfolio turnover rate 22.95%
========================================================================================
</Table>
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
FINANCIAL HIGHLIGHTS
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
(UNAUDITED) 2002 2001 2000 1999 10/31/1998
PER SHARE OPERATING PERFORMANCE
(CLASS A SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 10.62 $ 12.96 $ 17.46 $ 15.21 $ 12.91 $ 13.52
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) .04(a) (.05)(a) (.05)(a) (.03)(a) .07(a) (.03)(a)
Net realized and
unrealized gain (loss) .48 (1.70) (3.82) 2.60 2.23 (.58)
--------- --------- --------- --------- --------- ---------
Total from investment
operations .52 (1.75) (3.87) 2.57 2.30 (.61)
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income - - (.30) (.21) - -
Net realized gain (.09) (.59) (.33) (.11) - -
--------- --------- --------- --------- --------- ---------
Total distributions (.09) (.59) (.63) (.32) - -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 11.05 $ 10.62 $ 12.96 $ 17.46 $ 15.21 $ 12.91
========= ========= ========= ========= ========= =========
Total Return(b) 4.96%(d) (14.41)% (22.67)% 17.10% 17.82% (4.51)%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .18%(d) .37% .36% .40% .33% .21%(d)
Expenses, excluding expense
reductions .77%(d) 1.37% 1.34% 1.33% .83% .63%(d)
Net investment income (loss) .36%(d) (.34)% (.32)% (.16)% .15% (.18)%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 10/31/1998
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 49,917 $ 53,121 $ 70,785 $ 96,652 $ 75,136 $ 49,587
Portfolio turnover rate 2.62% 1.75% 15.34% 1.54% 1.67% .01%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
(UNAUDITED) 2002 2001 2000 1999 10/31/1998
PER SHARE OPERATING PERFORMANCE (CLASS
B SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 10.43 $ 12.81 $ 17.27 $ 15.05 $ 12.85 $ 13.52
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) -(a)(e) (.12)(a) (.14)(a) (.13)(a) (.03)(a) (.11)(a)
Net realized and
unrealized gain (loss) .48 (1.67) (3.79) 2.58 2.23 (.56)
--------- --------- --------- --------- --------- ---------
Total from investment
operations .48 (1.79) (3.93) 2.45 2.20 (.67)
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income - - (.20) (.12) - -
Net realized gain (.09) (.59) (.33) (.11) - -
--------- --------- --------- --------- --------- ---------
Total distributions (.09) (.59) (.53) (.23) - -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 10.82 $ 10.43 $ 12.81 $ 17.27 $ 15.05 $ 12.85
========= ========= ========= ========= ========= =========
Total Return(b) 4.66%(d) (14.91)% (23.21)% 16.40% 17.12% (4.96)%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .50%(d) 1.00% 1.00% 1.00% 1.00% .83%(d)
Expenses, excluding expense
reductions 1.09%(d) 2.00% 1.98% 1.93% 1.50% 1.26%(d)
Net investment income (loss) .04%(d) (.97)% (.96)% (.75)% (.83)% (.81)%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 10/31/1998
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 34,549 $ 35,661 $ 50,377 $ 70,300 $ 52,280 $ 36,202
Portfolio turnover rate 2.62% 1.75% 15.34% 1.54% 1.67% .01%
=============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
(UNAUDITED) 2002 2001 2000 1999 10/31/1998
PER SHARE OPERATING PERFORMANCE (CLASS
C SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 10.43 $ 12.80 $ 17.25 $ 15.04 $ 12.86 $ 13.52
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) -(a) (.10)(a) (.14)(a) (.12)(a) (.04)(a) (.11)(a)
Net realized and
unrealized gain (loss) .48 (1.68) (3.78) 2.56 2.22 (.55)
--------- --------- --------- --------- --------- ---------
Total from investment
operations .48 (1.78) (3.92) 2.44 2.18 (.66)
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income - - (.20) (.12) - -
Net realized gain (.09) (.59) (.33) (.11) - -
--------- --------- --------- --------- --------- ---------
Total distributions (.09) (.59) (.53) (.23) - -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 10.82 $ 10.43 $ 12.80 $ 17.25 $ 15.04 $ 12.86
========= ========= ========= ========= ========= =========
Total Return(b) 4.66%(d) (14.77)% (23.25)% 16.34% 16.95% (4.88)%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .50%(d) .89% 1.00% 1.00% 1.00% .82%(d)
Expenses, excluding expense
reductions 1.09%(d) 1.89% 1.98% 1.93% 1.50% 1.24%(d)
Net investment income (loss) .04%(d) (.86)% (.97)% (.70)% (.84)% (.82)%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 10/31/1998
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 23,711 $ 24,690 $ 35,395 $ 44,977 $ 34,667 $ 20,490
Portfolio turnover rate 2.62% 1.75% 15.34% 1.54% 1.67% .01%
=============================================================================================================================
</Table>
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
PER SHARE OPERATING PERFORMANCE (CLASS
A SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 6.29 $ 7.78 $ 14.48 $ 13.90 $ 12.39 $ 10.86
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) .02(a) .03(a) (.06)(a) (.08)(a) .07(a) .11(a)
Net realized and
unrealized gain (loss) .15 (1.52) (6.56) 1.54 1.55 1.45
--------- --------- --------- --------- --------- ---------
Total from investment
operations .17 (1.49) (6.62) 1.46 1.62 1.56
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income (.05) - - (.06) (.09) (.03)
Net realized gain - - (.08) (.82) (.02) -
--------- --------- --------- --------- --------- ---------
Total distributions (.05) - (.08) (.88) (.11) (.03)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 6.41 $ 6.29 $ 7.78 $ 14.48 $ 13.90 $ 12.39
========= ========= ========= ========= ========= =========
Total Return(b) 2.95%(d) (19.16)% (45.92)% 10.97% 13.16% 14.36%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.15%(d) 1.89% 2.07% 1.80% 1.51% 1.31%
Expenses, excluding expense
reductions 1.15%(d) 1.89% 2.08% 1.80% 1.51% 1.31%
Net investment income (loss) .31%(d) .50% (.55)% (.53)% .52% .80%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 1998
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 44,892 $ 44,975 $ 71,591 $ 135,701 $ 104,885 $ 80,606
Portfolio turnover rate 30.52% 82.38% 65.26% 35.14% 75.15% 20.52%
============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
PER SHARE OPERATING PERFORMANCE
(CLASS B SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 6.13 $ 7.65 $ 14.31 $ 13.75 $ 12.28 $ 10.83
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) -(a)(e) (.02)(a) (.11)(a) (.17)(a) (.02)(a) .02(a)
Net realized and
unrealized gain (loss) .16 (1.50) (6.47) 1.55 1.53 1.43
--------- --------- --------- --------- --------- ---------
Total from investment
operations .16 (1.52) (6.58) 1.38 1.51 1.45
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income (.01) - - -(e) (.02) -
Net realized gain - - (.08) (.82) (.02) -
--------- --------- --------- --------- --------- ---------
Total distributions (.01) - (.08) (.82) (.04) -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 6.28 $ 6.13 $ 7.65 $ 14.31 $ 13.75 $ 12.28
========= ========= ========= ========= ========= =========
Total Return(b) 2.54%(d) (19.87)% (46.19)% 10.42% 12.31% 13.39%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.46%(d) 2.69% 2.59% 2.35% 2.19% 2.03%
Expenses, excluding expense
reductions 1.46%(d) 2.69% 2.60% 2.36% 2.19% 2.03%
Net investment income (loss) .00%(d)(f) (.30)% (1.07)% (1.09)% (.16)% .18%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 1998
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 13,502 $ 13,174 $ 17,743 $ 33,124 $ 22,928 $ 15,933
Portfolio turnover rate 30.52% 82.38% 65.26% 35.14% 75.15% 20.52%
============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
(UNAUDITED) 2002 2001 2000 1999 1998
PER SHARE OPERATING PERFORMANCE
(CLASS C SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 6.12 $ 7.61 $ 14.30 $ 13.75 $ 12.28 $ 10.83
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) .03(a) -(a)(e) (.13)(a) (.17)(a) (.02)(a) .02(a)
Net realized and
unrealized gain (loss) .16 (1.49) (6.48) 1.54 1.53 1.43
--------- --------- --------- --------- --------- ---------
Total from investment
operations .19 (1.49) (6.61) 1.37 1.51 1.45
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income (.04) - - -(e) (.02) -
Net realized gain - - (.08) (.82) (.02) -
--------- --------- --------- --------- --------- ---------
Total distributions (.04) - (.08) (.82) (.04) -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 6.27 $ 6.12 $ 7.61 $ 14.30 $ 13.75 $ 12.28
========= ========= ========= ========= ========= =========
Total Return(b) 3.10%(d) (19.58)% (46.43)% 10.35% 12.31% 13.39%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.46%(d) 2.36% 2.83% 2.35% 2.19% 2.05%
Expenses, excluding expense
reductions 1.46%(d) 2.36% 2.84% 2.36% 2.19% 2.05%
Net investment income (loss) .56%(d) .03% (1.32)% (1.10)% (.15)% .12%
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31
4/30/2003 --------------------------------------------------------------------
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 1998
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 7,782 $ 7,823 $ 11,399 $ 25,546 $ 20,111 $ 13,723
Portfolio turnover rate 30.52% 82.38% 65.26% 35.14% 75.15% 20.52%
============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 3/9/1999(c)
4/30/2003 ------------------------------------ TO
(UNAUDITED) 2002 2001 2000 10/31/1999
PER SHARE OPERATING PERFORMANCE
(CLASS P SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 6.31 $ 7.82 $ 14.51 $ 13.91 $ 12.70
======== ======== ======== ======== ========
Investment operations
Net investment income (loss) .03(a) .03(a) (.06)(a) (.08)(a) .08(a)
Net realized and
unrealized gain (loss) .15 (1.54) (6.55) 1.55 1.13
-------- -------- -------- -------- --------
Total from investment
operations .18 (1.51) (6.61) 1.47 1.21
-------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income (.04) - - (.05) -
Net realized gain - - (.08) (.82) -
-------- -------- -------- -------- --------
Total distributions (.04) - (.08) (.87) -
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 6.45 $ 6.31 $ 7.82 $ 14.51 $ 13.91
======== ======== ======== ======== ========
Total Return(b) 2.94%(d) (19.31)% (45.75)% 11.03% 9.53%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.18%(d) 2.14% 2.04% 1.80% .98%(d)
Expenses, excluding expense
reductions 1.18%(d) 2.14% 2.05% 1.80% .98%(d)
Net investment income (loss) .28%(d) .25% (.55)% (.51)% .60%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 3/9/1999(c)
4/30/2003 ------------------------------------ TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 10/31/1999
- ----------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 1 $ 1 $ 1 $ 1 $ 1
Portfolio turnover rate 30.52% 82.38% 65.26% 35.14% 75.15%
================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
(UNAUDITED) 2002 2001 2000 1999 10/31/1998
PER SHARE OPERATING PERFORMANCE
(CLASS Y SHARES)
NET ASSET VALUE,
BEGINNING OF PERIOD $ 6.39 $ 7.90 $ 14.61 $ 14.00 $ 12.41 $ 11.28
========= ========= ========= ========= ========= =========
Investment operations
Net investment income (loss) .03(a) .06(a) (.01)(a) (.01)(a) .12(a) .15(a)
Net realized and
unrealized gain (loss) .16 (1.57) (6.62) 1.54 1.56 .98
--------- --------- --------- --------- --------- ---------
Total from investment
operations .19 (1.51) (6.63) 1.53 1.68 1.13
--------- --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income (.08) - - (.10) (.07) -
Net realized gain - - (.08) (.82) (.02) -
--------- --------- --------- --------- --------- ---------
Total distributions (.08) - (.08) (.92) (.09) -
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $ 6.50 $ 6.39 $ 7.90 $ 14.61 $ 14.00 $ 12.41
========= ========= ========= ========= ========= =========
Total Return(b) 3.04%(d) (19.11)% (45.58)% 11.45% 13.65% 10.02%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .96%(d) 1.69% 1.59% 1.35% 1.20% .84%(d)
Expenses, excluding expense
reductions .96%(d) 1.69% 1.60% 1.37% 1.20% .84%(d)
Net investment income (loss) .50%(d) .70% (.06)% (.09)% .86% 1.11%(d)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/29/1997(c)
4/30/2003 ------------------------------------------------------ TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 1999 10/31/1998
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (000) $ 41,233 $ 45,748 $ 60,227 $ 79,833 $ 64,810 $ 42,770
Portfolio turnover rate 30.52% 82.38% 65.26% 35.14% 75.15% 20.52%
=============================================================================================================================
</Table>
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Not annualized.
(e) Amount is less than $.01.
(f) Amount is less than .01%.
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as a diversified open-end management investment
company organized as a Delaware business trust on February 26, 1993. The Trust
currently consists of five funds. This report covers the following three funds
and their respective classes (separately, a "Fund" and collectively, the
"Funds"): Lord Abbett All Value Fund ("All Value Fund"), Class A, B, C, P and Y
shares; Lord Abbett Alpha Series ("Alpha Fund"), Class A, B and C shares; and
Lord Abbett International Series ("International Fund"), Class A, B, C, P and Y
shares.
All Value Fund's investment objective is long-term growth of capital and income
without excessive fluctuations in market value. Alpha Fund and International
Fund's investment objective is long-term capital appreciation. Alpha Fund
invests in other funds ("Underlying Funds") managed by Lord, Abbett & Co. LLC
("Lord Abbett").
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the NAV for Class A shares. There is no front-end
sales charge in the case of the Class B and C shares, although there may be a
contingent deferred sales charge ("CDSC") as follows: certain redemptions of
Class A shares made within 24 months following any purchases made without a
sales charge; Class B shares redeemed before the sixth anniversary of purchase;
and Class C shares redeemed before the first anniversary of purchase. Class B
shares will convert to Class A shares on the eighth anniversary of original
purchase of Class B shares.
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 and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on national or foreign securities
exchanges are valued at the last quoted sales price, or if no sales price
is available, at the mean between the latest bid and asked prices on such
exchanges, or, in the case of bonds, in the over-the-counter market if, in
the judgment of the Trust's officers, that market more accurately reflects
the market value of the bonds. Securities traded only in the
over-the-counter market are valued at the mean between the latest bid and
asked prices, except that securities admitted to trading on the NASDAQ
National Market System are valued at the last sales price if it is
determined that such price more accurately reflects the value of such
securities. Securities for which market quotations are not readily
available are valued at fair value as determined by management and approved
in good faith by the Board of Trustees. Short-term securities with 60 days
or less remaining to maturity are valued using the amortized cost method,
which approximates current market value. Investments in the Underlying
Funds are valued at the closing net asset value per share of each
Underlying Fund on the day of valuation.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date
that the securities are purchased or sold (trade date). Realized gains and
losses on sales of portfolio securities are calculated using the
identified-cost method. Realized and unrealized gains or losses are
allocated to each class of shares, based upon the relative proportion of
net assets at the beginning of the day.
30
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis and discounts are accreted
and premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all of its taxable net
investment income and capital gains to its shareholders. Therefore, no
federal income tax provision is required.
(e) ORGANIZATION EXPENSES-Organization expenses incurred prior to November 1,
1999 are amortized evenly over a period of five years.
(f) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are allocated to the funds within the Trust on a pro
rata basis. Expenses excluding class specific expenses are allocated to
each class of shares based upon the relative proportion of net assets at
the beginning of the day. Class A, Class B, Class C and Class P shares bear
all expenses and fees relating to their respective 12b-1 Distribution
Plans.
(g) FOREIGN TRANSACTIONS-The books and records of International Fund are
maintained in U.S. dollars and transactions denominated in foreign
currencies are recorded in the Fund's records at the rate prevailing when
earned or recorded. Asset and liability accounts that are denominated in
foreign currencies are adjusted to reflect current exchange rates. The
resultant exchange gains and losses are included as net realized gain
(loss) on investments and foreign currency related transactions on the
Statements of Operations. The Fund does not isolate that portion of the
results of operations arising as a result of changes in the foreign
exchange rates from the changes in market prices of the securities.
(h) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS-International Fund may enter
into forward foreign currency exchange contracts in order to reduce its
exposure to changes in foreign currency exchange rates on its foreign
portfolio holdings and to lock in the U.S. dollar cost of firm purchase and
sale commitments for securities denominated in foreign currencies. A
forward foreign currency exchange contract is a commitment to purchase or
sell a foreign currency at a future date at a negotiated rate. The
contracts are valued daily at forward exchange rates and any unrealized
gain or loss is included in net unrealized appreciation/depreciation on
investments and translation of assets and liabilities denominated in
foreign currencies. The gain or loss arising from the difference between
the U.S. dollar cost of the original contract and the value of the foreign
currency in U.S. dollars upon closing of such contracts is included in net
realized gain or loss on investments and foreign currency related
transactions. At April 30, 2003, there are no forward foreign currency
exchange contracts outstanding.
(i) REPURCHASE AGREEMENT-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which a
Fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash or U.S. Government securities having a
value equal to, or in excess of, the value of the repurchase agreement. If
the seller of the agreement defaults on its obligation to repurchase the
underlying securities at a time when the value of these securities has
declined, the Fund may incur a loss upon disposition of them.
31
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord Abbett pursuant to which Lord
Abbett supplies the Trust with investment management services and executive and
other personnel, pays the remuneration of officers, provides office space and
pays for ordinary and necessary office and clerical expenses relating to
research and statistical work and supervision of the Trust's investment
portfolios. The management fee is based on average daily net assets at the
following annual rates:
<Table>
<Caption>
MANAGEMENT VOLUNTARY
FEES WAIVER
- --------------------------------------------------------------------------------
All Value Fund .70%(1) -
Alpha Fund .50% .50%
International Fund .75% -
</Table>
(1) The management fee for All Value Fund is based on average daily net assets
at the following annual rates:
- ----------------------------------
First $200 million .75%
Next $300 million .65%
Over $500 million .50%
For the six months ended April 30, 2003, Lord Abbett voluntarily waived its
management fees for Alpha Fund.
Alpha Fund has entered into a Servicing Agreement with the Underlying Funds
pursuant to which each Underlying Fund will pay a portion of the expenses
(excluding management, distribution and service fees) of Alpha Fund in
proportion to the average daily value of total Underlying Fund shares owned by
Alpha Fund.
Lord Abbett may stop waiving all or a portion of its management fee at any time.
In addition, effective January 1, 2003, Lord Abbett began providing certain
administrative services to each Fund pursuant to an Administrative Services
Agreement at an annual rate of .04% of the Fund's average daily net assets. This
will result in Lord Abbett paying Fund Accounting expenses that were previously
charged to the Funds.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan (the "Plan") with respect to one or
more classes of shares pursuant to Rule 12b-1 of the Act, which provides for the
payment of ongoing distribution and service fees to Lord Abbett Distributor LLC
("Distributor"), an affiliate of Lord Abbett. The fees are accrued daily at
annual rates based upon average daily net assets as follows:
<Table>
<Caption>
FEE CLASS A CLASS B CLASS C CLASS P(3)
- --------------------------------------------------------------------------------
Service .25% .25% .25% .20%
Distribution .10%(1)(2) .75% .75% .25%
</Table>
(1) In addition, each Fund pays a one-time distribution fee of up to 1% on
certain qualifying purchases, which is generally amortized over a two-year
period.
(2) In addition, until January 1, 2003, each Fund paid an incremental marketing
expense of approximately .03% of the average daily net assets of Class A.
(3) All Value Fund and International Fund only.
Class Y does not have a distribution plan.
32
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
COMMISSIONS
Distributor received the following commissions on sales of Class A shares of the
Funds after concessions were paid to authorized dealers for the six months ended
April 30, 2003:
<Table>
<Caption>
DISTRIBUTOR DEALERS'
COMMISSIONS CONCESSIONS
- --------------------------------------------------------------------------------
All Value Fund $ 193,066 $ 1,071,564
Alpha Fund 33,090 187,303
International Fund 9,933 54,408
</Table>
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARD
Dividends from net investment income, if any, are declared and paid
semi-annually for All Value Fund, and annually for Alpha Fund and International
Fund. Taxable net realized gains from investment transactions, reduced by
capital loss carryforwards, if any, are declared and distributed to shareholders
at least annually. The capital loss carryforward amount is available to offset
future net capital gains. Dividends and distributions to shareholders are
recorded on the ex-dividend date. The amount of dividends and distributions from
net investment income and net realized capital gains are determined in
accordance with federal income tax regulations which may differ from accounting
principles generally accepted in the United States of America. These book/tax
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the components of net assets based on their federal tax basis treatment;
temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for tax purposes are reported as distributions of paid-in capital.
The tax character of distributions paid during the six months ended April 30,
2003 and the fiscal year ended October 31, 2002 are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- --------------------------------------------------------------------------------
4/30/2003 10/31/2002 4/30/2003 10/31/2002
- --------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ - $ 385,013 $ - $ 95,687
Net long-term capital gains 7,892,897 30,503,256 976,151 6,969,716
- --------------------------------------------------------------------------------
Total distributions paid $ 7,892,897 $ 30,888,269 $ 976,151 $ 7,065,403
- --------------------------------------------------------------------------------
<Caption>
INTERNATIONAL FUND
- -------------------------------------------------------
4/30/2003 10/31/2002
- -------------------------------------------------------
Distributions paid from:
Ordinary income $ 1,016,334 $ -
Net long-term capital gains - -
- -------------------------------------------------------
Total distributions paid $ 1,016,334 $ -
- -------------------------------------------------------
</Table>
33
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At fiscal year end October 31, 2002, the capital loss carryforwards along with
the related expiration dates were as follows:
<Table>
<Caption>
YEARS OF
AMOUNT EXPIRATION
- --------------------------------------------------------------------------------
All Value Fund - -
Alpha Fund - -
International Fund $ 124,372,656 2009-2010
</Table>
As of April 30, 2003, the aggregate security unrealized gains and losses based
on cost for U.S. Federal income tax purposes are as follows:
<Table>
<Caption>
GROSS GROSS NET
UNREALIZED UNREALIZED UNREALIZED
TAX COST GAIN LOSS GAIN (LOSS)
- --------------------------------------------------------------------------------
All Value Fund $ 409,852,694 $ 29,550,418 $ (21,214,101) $ 8,336,317
Alpha Fund 150,833,792 6,665,139 (49,426,133) (42,760,994)
International Fund 100,542,717 9,720,764 (11,945,749) (2,224,985)
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
5. PORTFOLIO SECURITIES TRANSACTIONS
Each Fund may lend its securities to member banks of the Federal Reserve System
and to registered broker-dealers approved by the Trust. The loans are
collateralized at all times by cash and/or U.S. Treasury securities in an amount
at least equal to the market value of the securities loaned. As of April 30,
2003, the value of securities loaned for International Fund was $18,867,822.
These loans were collateralized by cash of $19,737,952, which was invested in a
restricted money market account. Expenses related to securities lending of
$38,909 for International Fund are included in other expenses on the Statements
of Operations. The dividend and interest income earned on the securities loaned
is accounted for in the same manner as other dividend and interest income.
Lending portfolio securities could result in a loss or delay in recovering the
Trust's securities if the borrower defaults.
Purchases and sales of investment securities (other than short-term investments)
for the six months ended April 30, 2003 are as follows:
<Table>
<Caption>
PURCHASES SALES
- --------------------------------------------------------------------------------
All Value Fund $ 119,912,385 $ 80,027,802
Alpha Fund 2,797,313 11,000,000
International Fund 29,730,487 36,634,744
</Table>
6. TRUSTEES' REMUNERATION
The Trust's officers and the one trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities.
Outside Trustees' fees are allocated among all Lord Abbett-sponsored funds based
on the net assets of each fund. There is an equity based plan available to all
outside Trustees under which outside Trustees must defer receipt of a portion
of, and may elect to defer receipt of an additional portion of Trustees' fees.
The deferred amounts are treated as though equivalent dollar amounts have been
invested proportionately in
34
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
the Trust. Such amounts and earnings accrued thereon are included in Trustees'
fees on the Statements of Operations and in Trustees' fees payable on the
Statements of Assets and Liabilities and are not deductible for federal income
tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of the Funds' expenses.
8. LINE OF CREDIT
All Value Fund and International Fund, along with certain other funds managed by
Lord Abbett, have available a $200,000,000 unsecured revolving credit facility
("Facility"), from a consortium of banks, to be used for temporary or emergency
purposes as an additional source of liquidity to fund redemptions of investor
shares. Any borrowings under this Facility will bear interest at current market
rates as defined in the agreement. The fee for this Facility is an annual rate
of 0.09%. At April 30, 2003, there are no loans outstanding pursuant to this
Facility nor was the Facility utilized at any time during the six month period.
9. CUSTODIAN AND ACCOUNTING AGENT
State Street Bank and Trust Company ("SSB") is the Trust's custodian and
accounting agent. SSB performs custodian functions and accounting and
recordkeeping functions relating to portfolio transactions and calculating the
Funds' net asset values.
10. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
investing in equity securities. The value of an investment will fluctuate in
response to movements in the stock market in general and to the changing
prospects of individual companies in which the Funds invest.
In addition, although All Value Fund invests a significant portion of its assets
in large-cap company stocks, it also invests in mid-cap and small-cap company
stocks which may be more volatile and less liquid than large-cap stocks.
International Fund is subject to the risks of investing in foreign securities
and in the securities of small-cap companies. Foreign securities may pose
greater risks than domestic securities, including greater price fluctuations and
higher transaction costs. Foreign investments also may be affected by changes in
currency rates or currency controls. Investing in small-cap companies generally
involves greater risks than investing in the stocks of large-cap companies,
including more volatility and less liquidity.
Alpha Fund's investments are concentrated in the Underlying Funds and, as a
result, the Fund's performance is directly related to their performance and
subject to their risks, including those associated with foreign investments and
small-cap companies.
These factors can affect the Funds' performance. For a more complete discussion
of the risks associated with the Funds, please see the Funds' prospectus.
35
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
11. SUMMARY OF CAPITAL TRANSACTIONS
The Trust has an unlimited number of authorized shares of beneficial interest.
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
ALL VALUE FUND APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
- ------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------
Shares sold 7,472,447 $ 60,499,545 9,028,388 $ 82,077,095
Reinvestment of distributions 479,325 3,949,635 1,585,734 14,985,188
Shares reacquired (3,577,502) (28,826,477) (4,449,635) (39,993,514)
- ------------------------------------------------------------------------------------------------
Increase 4,374,270 $ 35,622,703 6,164,487 $ 57,068,769
- ------------------------------------------------------------------------------------------------
CLASS B SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 1,930,507 $ 15,300,822 2,524,101 $ 22,912,055
Reinvestment of distributions 111,869 903,903 339,730 3,169,677
Shares reacquired (678,630) (5,344,374) (1,024,461) (8,863,956)
- ------------------------------------------------------------------------------------------------
Increase 1,363,746 $ 10,860,351 1,839,370 $ 17,217,776
- ------------------------------------------------------------------------------------------------
CLASS C SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 2,835,475 $ 22,489,139 3,775,176 $ 34,514,834
Reinvestment of distributions 246,867 1,991,155 955,484 8,876,448
Shares reacquired (1,704,453) (13,393,322) (2,420,871) (21,316,561)
- ------------------------------------------------------------------------------------------------
Increase 1,377,889 $ 11,086,972 2,309,789 $ 22,074,721
- ------------------------------------------------------------------------------------------------
CLASS P SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 39,383 $ 314,170 50,921 $ 449,195
Reinvestment of distributions 1,016 8,336 10 90
Shares reacquired (6,210) (48,533) (6,077) (52,369)
- ------------------------------------------------------------------------------------------------
Increase 34,189 $ 273,973 44,854 $ 396,916
- ------------------------------------------------------------------------------------------------
<Caption>
SIX MONTHS ENDED
CLASS Y SHARES APRIL 30, 2003 (UNAUDITED)*
- ------------------------------------------------------------------------------------------------
Shares sold 1,277.14 $ 10,000
- ------------------------------------------------------------------------------------------------
Increase 1,277.14 $ 10,000
- ------------------------------------------------------------------------------------------------
</Table>
* For the period March 31, 2003 to April 30, 2003.
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
ALPHA FUND APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
- ------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------
Shares sold 755,506 $ 7,917,173 1,259,523 $ 16,229,854
Reinvestment of distributions 40,092 423,777 217,763 2,887,537
Shares reacquired (1,281,584) (13,330,912) (1,937,993) (24,663,884)
- ------------------------------------------------------------------------------------------------
Decrease (485,986) $ (4,989,962) (460,707) $ (5,546,493)
- ------------------------------------------------------------------------------------------------
CLASS B SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 141,572 $ 1,472,727 338,313 $ 4,292,317
Reinvestment of distributions 21,207 219,918 116,826 1,529,252
Shares reacquired (389,000) (4,010,009) (967,442) (11,847,822)
- ------------------------------------------------------------------------------------------------
Decrease (226,221) $ (2,317,364) (512,303) $ (6,026,253)
- ------------------------------------------------------------------------------------------------
CLASS C SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 102,884 $ 1,070,149 313,141 $ 3,995,730
Reinvestment of distributions 14,414 149,473 80,483 1,051,913
Shares reacquired (293,041) (3,015,748) (791,152) (9,859,822)
- ------------------------------------------------------------------------------------------------
Decrease (175,743) $ (1,796,126) (397,528) $ (4,812,179)
- ------------------------------------------------------------------------------------------------
</Table>
36
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
INTERNATIONAL FUND APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
- ------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ------------------------------------------------------------------------------------------------
Shares sold 3,422,393 $ 20,908,846 13,459,848 $ 100,658,102
Reinvestment of distributions 58,932 367,146 - -
Shares reacquired (3,625,580) (22,206,381) (15,511,892) (117,292,594)
- ------------------------------------------------------------------------------------------------
Decrease (144,255) $ (930,389) (2,052,044) $ (16,634,492)
- ------------------------------------------------------------------------------------------------
CLASS B SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 298,249 $ 1,785,373 564,618 $ 4,098,278
Reinvestment of distributions 1,854 11,365 - -
Shares reacquired (298,087) (1,782,406) (734,680) (5,319,485)
- ------------------------------------------------------------------------------------------------
Increase (decrease) 2,016 $ 14,332 (170,062) $ (1,221,207)
- ------------------------------------------------------------------------------------------------
CLASS C SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 619,231 $ 3,743,614 1,392,701 $ 9,955,122
Reinvestment of distributions 7,440 45,314 - -
Shares reacquired (662,974) (4,030,230) (1,611,969) (11,645,242)
- ------------------------------------------------------------------------------------------------
Decrease (36,303) $ (241,302) (219,268) $ (1,690,120)
- ------------------------------------------------------------------------------------------------
CLASS P SHARES
- ------------------------------------------------------------------------------------------------
Reinvestment of distributions .625 $ 4 - $ -
- ------------------------------------------------------------------------------------------------
Increase .625 $ 4 - $ -
- ------------------------------------------------------------------------------------------------
CLASS Y SHARES
- ------------------------------------------------------------------------------------------------
Shares sold 197,925 $ 1,222,677 - $ -
Reinvestment of distributions 90,651 572,916 - -
Shares reacquired (1,101,009) (6,830,335) (469,370) (3,419,410)
- ------------------------------------------------------------------------------------------------
Decrease (812,433) $ (5,034,742) (469,370) $ (3,419,410)
- ------------------------------------------------------------------------------------------------
</Table>
37
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows them to send only one copy of the
Funds' prospectus, proxy material, annual report and semi-annual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219100, Kansas City MO 64121.
38
<Page>
[LORD ABBETT(R) LOGO]
This report when not used for the general
information of shareholders of the Fund, is to
be distributed only if preceded or accompanied
by a current Fund Prospectus.
Lord Abbett Mutual Fund shares are distributed by:
LORD ABBETT DISTRIBUTOR LLC
90 Hudson Street - Jersey City, New Jersey 07302-3973
Lord Abbett Securities Trust
Lord Abbett All Value Fund
International Series
Alpha Series LST-3-403
(6/03)
<Page>
[LORD ABBETT LOGO]
2003
SEMI-
ANNUAL
REPORT
LORD ABBETT
MICRO-CAP GROWTH FUND
MICRO-CAP VALUE FUND
FOR THE SIX MONTHS ENDED APRIL 30, 2003
<Page>
(Unaudited)
- --------------------------------------------------------------------------------
LORD ABBETT MICRO-CAP GROWTH AND MICRO-CAP VALUE
SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED APRIL 30, 2003
DEAR SHAREHOLDERS: We are pleased to provide you with this six-month overview of
the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund's
strategies and performance for the period ended April 30, 2003. On this and the
following page, we discuss the factors that influenced performance.
Thank you for investing in Lord Abbett Mutual Funds. We value the trust
that you place in us and look forward to serving your investment needs in the
years to come.
BEST REGARDS,
/s/ Robert S. Dow
ROBERT S. DOW
CHAIRMAN
- --------------------------------------------------------------------------------
MARKET REVIEW(1)
War and general geopolitical concerns had an extremely negative effect on the
psyche of businesses and consumers during the first part of the period.
Corporations entered the first quarter of 2003 cautiously and remained wary,
selling existing inventories and implementing layoffs, as the economy continued
to decelerate. The unemployment rate in the U.S. rose in the last six months,
reaching 6.0% by April. Consumers responded to heightened war threats and
treacherous weather conditions on the east coast by reducing real spending. But,
as the coalition's war effort made clear progress in the early spring, the fog
of global uncertainty lifted, and broad equity indices experienced meaningful
advances. With a spike in consumer confidence and improving corporate profit
outlooks, we continue to expect adequate consumer spending and a renewed capital
spending cycle.
LORD ABBETT MICRO-CAP GROWTH FUND
For the six months ended April 30, 2003, Lord Abbett Micro-Cap Growth Fund
returned 6.9%(2), underperforming the Russell 2000(R) Growth Index(3), which
returned 7.7% over the same period. Standardized Average Annual Total Returns(4)
for 1 year and the life of the Fund(5) are -37.14% and -20.72%, respectively as
of March 31, 2003.
Stock selection within the financial sector boosted returns for the period,
as the Fund's holdings benefited from strong net income and revenue growth. In
addition, positions in the information technology sector added to Fund returns,
from strong sales growth in makers of supercomputers.
The largest detractor from performance was stock selection in the
healthcare sector where companies in the
1
<Page>
(Unaudited)
- --------------------------------------------------------------------------------
laboratory testing services sector performed poorly as the company wrestled with
a slower growing sales and lower profits. Stock selection in the telecom
industry also hurt the Fund's performance for the quarter.
LORD ABBETT MICRO-CAP VALUE FUND
For the six months ended April 30, 2003, Lord Abbett Micro-Cap Value Fund
returned 4.3%(2), underperforming the Russell 2000(R) Value Index(6), which
returned 7.4% over the same period. Standardized Average Annual Total Returns(4)
for 1 year and the life of the Fund(5) are -26.88% and 10.45%, respectively as
of March 31, 2003.
Stock selection in the information technology sector was the largest
positive contributor to the Fund for the period. Specifically, companies that
provide information management technology management in the dental industry
performed well. In addition, in the materials sector, stock selection added to
performance.
Detracting from the Fund's performance for the period was stock selection
in the consumer discretionary and energy sector.
(1) The views of the Trust's management and the portfolio holdings described in
this report are as of April 30, 2003; these views and portfolio holdings may
have changed subsequent to this date. Information provided in this report should
not be considered a recommendation to purchase or sell securities.
(2) Reflects performance at the Net Asset Value (NAV) of Class A shares, with
all distributions reinvested, for the six months ended April 30, 2003.
(3) The Russell 2000(R) Growth Index measures the performance of those Russell
2000 companies with higher price-to-book ratios and higher forecasted growth
values. Indices are unmanaged, do not reflect the deduction of fees or expenses
and are not available for direct investment.
(4) Reflects performance at the maximum 5.75% sales charge applicable to Class A
share investments and includes the reinvestment of all distributions.
(5) Inception date for Lord Abbett Micro-Cap Growth Fund and Lord Abbett
Micro-Cap Value Fund is May 1, 2000.
(6) Russell 2000(R) Value Index measures the performance of those Russell 2000
companies with lower price-to-book ratios and lower forecasted growth values.
Indices are unmanaged, do not reflect the deduction of fees or expenses and are
not available for direct investment.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
A NOTE ABOUT RISK: See Notes to Financial Statements for a discussion of
investment risks. For a more detailed discussion of the risks associated with
the Funds please see the Funds' Prospectus.
PERFORMANCE: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. BECAUSE OF
ONGOING MARKET VOLATILITY, FUND PERFORMANCE MAY BE SUBJECT TO SUBSTANTIAL
FLUCTUATION. The investment return and principal value of an investment in the
Fund will fluctuate so that shares, on any given day or when redeemed, may be
worth more or less than their original cost. Except where noted, comparative
fund performance does not account for the deduction of sales charges and would
be different if sales charges were included. Each Fund offers additional classes
of shares with distinct pricing options. For a full description of the
differences in pricing alternatives, please see the Prospectus.
The Funds are actively managed and, as a result, asset allocation may change.
MUTUAL FUNDS ARE NOT INSURED BY THE FDIC, ARE NOT DEPOSITS OR OTHER OBLIGATIONS
OF, OR GUARANTEED BY BANKS, AND ARE SUBJECT TO INVESTMENT RISKS INCLUDING
POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED. FOR MORE COMPETE INFORMATION ABOUT
THIS OR ANY LORD ABBETT MUTUAL FUND, INCLUDING RISKS, CHARGES AND ONGOING
EXPENSES, PLEASE CALL YOUR INVESTMENT PROFESSIONAL OR LORD ABBETT DISTRIBUTOR
LLC AT 888-522-2388 FOR A PROSPECTUS. AN INVESTOR SHOULD READ THE PROSPECTUS
CAREFULLY BEFORE INVESTING.
2
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
MICRO-CAP GROWTH FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS 90.68%
BANKS 1.44%
Online Resources Corp.* 13,500 $ 44
----------
BIOTECHNOLOGY RESEARCH & PRODUCTION 2.12%
Regeneration Technologies, Inc.* 6,500 65
----------
CASINOS & GAMBLING 4.96%
Multimedia Games, Inc.* 3,300 83
Shuffle Master, Inc.* 3,000 69
----------
TOTAL 152
----------
COMMERCIAL INFORMATION SERVICES 2.51%
Looksmart, Ltd.* 22,900 77
----------
COMMUNICATIONS TECHNOLOGY 3.00%
Integral Technologies, Inc.* 104,000 92
----------
COMPUTER SERVICES SOFTWARE & SYSTEMS 3.75%
Digitas, Inc.* 11,200 45
eCollege.com, Inc.* 12,000 70
----------
TOTAL 115
----------
COMPUTER TECHNOLOGY 1.50%
Cray, Inc.* 6,100 46
----------
CONSUMER ELECTRONICS 3.10%
Concur Technologies, Inc.* 8,600 52
Euniverse, Inc.* 11,300 43
----------
TOTAL 95
----------
DIVERSIFIED MANUFACTURING 1.70%
Armor Holdings, Inc.* 4,300 52
----------
DRUGS & PHARMACEUTICALS 8.12%
Bradley Pharm, Inc.* 4,200 $ 60
D&K Healthcare Resources 8,200 108
SFBC Int'l., Inc.* 5,200 81
----------
TOTAL 249
----------
ELECTRONICS 3.23%
CompuDyne Corp.* 6,200 43
Drexler Tech Corp.* 3,500 56
----------
TOTAL 99
----------
ELECTRONICS: MEDICAL SYSTEMS 5.74%
eResearch Technology Inc* 2,700 81
PracticeWorks, Inc.* 8,100 95
----------
TOTAL 176
----------
ELECTRONICS: SEMI-CONDUCTORS/COMPONENTS 2.51%
Microsemi Corp.* 6,600 77
----------
ELECTRONICS: TECHNOLOGY 1.30%
Identix, Inc* 8,218 40
----------
ENGINEERING & CONTRACTING SERVICES 1.73%
The Keith Cos., Inc.* 4,800 53
----------
HEALTH & PERSONAL CARE 3.10%
Bio-Reference Labs, Inc.* 10,800 51
Matria Healthcare, Inc.* 3,525 44
----------
TOTAL 95
----------
HEALTHCARE MANAGEMENT SERVICES 3.07%
MIM Corp.* 7,400 54
Vitalworks, Inc.* 11,300 40
----------
TOTAL 94
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
3
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
MICRO-CAP GROWTH FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
HOUSEHOLD FURNISHINGS 3.00%
Select Comfort Corp.* 6,800 $ 92
----------
LEISURE TIME 2.77%
Action Performance Co., Inc. 4,600 85
----------
MEDICAL & DENTAL INSTRUMENTS & SUPPLIES 8.45%
BioSource Int'l., Inc.* 15,500 89
Conceptus, Inc.* 4,700 49
Neogen Corp.* 3,000 49
Novoste Corp.* 9,400 72
----------
TOTAL 259
----------
MEDICAL SERVICES 1.21%
Pediatric Services of America* 7,700 37
----------
MISCELLANEOUS BUSINESS & CONSUMER DISCRETIONARY 1.76%
Danka Business Systems plc ADR*(a) 13,800 54
----------
OFFICE FURNITURE & BUSINESS EQUIPMENT 1.24%
Insignia Systems, Inc.* 6,300 38
----------
RESTAURANTS 0.46%
Champps Entertainment, Inc.* 2,700 14
----------
RETAIL 9.62%
A.C. Moore Arts & Crafts, Inc.* 7,800 134
Sonic Automotive, Inc.* 4,000 69
The Gymboree Corp.* 5,500 92
----------
TOTAL 295
----------
SERVICES: COMMERCIAL 7.76%
Exponent, Inc.* 4,200 $ 58
FirstService Corp.*(a) 2,200 27
Opinion Research Corp.* 8,100 41
Raindance Comm, Inc.* 17,100 51
Startek, Inc.* 2,200 61
----------
TOTAL 238
----------
TELECOMMUNICATIONS EQUIPMENT 1.53%
CellStar Corp.* 8,200 47
----------
TOTAL COMMON STOCKS
(Cost $2,906,338) 2,780
==========
<Caption>
PRINCIPAL
AMOUNT
(000)
---------
SHORT-TERM INVESTMENT 8.41%
REPURCHASE AGREEMENT 8.41%
Repurchase Agreement dated 4/30/2003 1.27% due
5/1/2003 from State Street Bank & Trust Co.
collateralized by $265,000 of Federal Home Loan
Mortgage Corp. at 1.37% due 5/3/2004; value
$265,151; proceeds: $257,722
(Cost $257,713) $ 258 258
==========
TOTAL INVESTMENTS 99.09%
(Cost $3,164,051) $ 3,038
==========
</Table>
* Non-Income Producing Security.
(a) Foreign security denominated in U.S. dollars.
ADR-American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS.
4
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)
MICRO-CAP VALUE FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS 93.69%
AIR TRANSPORTATION 2.17%
Frontier Airlines, Inc.* 10,500 $ 64
Offshore Logistics, Inc.* 3,500 66
----------
TOTAL 130
----------
AUTO COMPONENTS 6.13%
Wabash National Corp.* 39,200 368
----------
AUTO PARTS: AFTER MARKET 2.50%
Keystone Automotive Industries, Inc.* 8,200 150
----------
BANKS 1.72%
Hanmi Financial Corp. 6,158 103
----------
CHEMICALS 1.30%
Quaker Chemical Corp. 3,500 78
----------
COMMUNICATIONS TECHNOLOGY 0.85%
Bel Fuse, Inc. Class A* 3,000 51
----------
COMPUTER SERVICES SOFTWARE & SYSTEMS 3.52%
Datastream Systems, Inc.* 7,000 61
MICROS Systems, Inc.* 6,000 150
OpticNet, Inc.* 300 --(a)
----------
TOTAL 211
----------
COMPUTER TECHNOLOGY 2.88%
Concurrent Computer Corp* 27,000 55
Fargo Electronics* 12,000 118
----------
TOTAL 173
----------
CONSTRUCTION 1.71%
Modtech Holdings, Inc.* 12,700 103
----------
CONTAINERS & PACKAGING: METAL & GLASS 0.78%
Mobile Mini, Inc.* 3,000 $ 47
----------
CONTAINERS & PACKAGING: PAPER & PLASTIC 0.25%
AEP Industries, Inc.* 2,100 15
----------
DRUGS & PHARMACEUTICALS 2.08%
SFBC Int'l., Inc.* 8,000 125
----------
ELECTRICAL EQUIPMENT & COMPONENTS 1.17%
Powell Industries, Inc.* 5,000 70
----------
ELECTRONICS 1.22%
BEI Technologies, Inc. 8,500 73
----------
ELECTRONICS: MEDICAL SYSTEMS 3.53%
PracticeWorks, Inc.* 18,000 212
----------
ENGINEERING & CONTRACTING SERVICES 1.23%
Michael Baker Corp.* 8,400 74
----------
FERTILIZERS 0.78%
Lesco, Inc.* 4,500 47
----------
FINANCIAL MISCELLANEOUS 1.23%
Financial Federal Corp.* 3,300 74
----------
FUNERAL PARLORS & CEMETERY 2.42%
Carriage Services, Inc.* 19,000 70
Rock of Ages Corp. 12,500 75
----------
TOTAL 145
----------
HEALTHCARE MANAGEMENT SERVICES 3.97%
American Dental Partners, Inc.* 12,000 105
Sierra Health Services, Inc.* 8,000 133
----------
TOTAL 238
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
MICRO-CAP VALUE FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
HOTEL/MOTEL 2.13%
The Marcus Corp. 9,000 $ 128
----------
HOUSEHOLD EQUIPMENT & PRODUCTS 1.47%
Craftmade Int'l., Inc. 6,000 88
----------
HOUSEHOLD FURNISHINGS 0.93%
Haverty Furniture Cos., Inc. 4,000 56
----------
IDENTIFICATION CONTROL & FILTER DEVICES 1.78%
ESCO Technologies, Inc.* 1,800 71
Robbins & Myers, Inc. 2,100 36
----------
TOTAL 107
----------
INSURANCE: PROPERTY-CASUALTY 1.78%
The Navigators Group, Inc.* 4,000 107
----------
MACHINERY: INDUSTRIAL/SPECIALTY 2.92%
Summa Industries, Inc.* 11,000 84
Tennant Co. 600 20
Twin Disc, Inc. 6,000 71
----------
TOTAL 175
----------
MACHINERY: OIL WELL EQUIPMENT & SERVICES 1.02%
Lufkin Industries, Inc. 1,100 25
Universal Compression Hldgs., Inc.* 2,000 36
----------
TOTAL 61
----------
MACHINERY: SPECIALTY 1.23%
Quipp, Inc.* 7,500 74
----------
METAL FRABRICATING 1.25%
NN, Inc. 7,000 75
----------
MISCELLANEOUS MATERIALS & PROCESSING 0.83%
Rogers Corp.* 1,500 $ 50
----------
OFFSHORE DRILLING 1.92%
TMBR/Sharp Drilling, Inc.* 6,000 115
----------
OIL: CRUDE PRODUCERS 0.52%
Stone Energy Corp.* 874 31
----------
OIL: INTEGRATED DOMESTIC 1.35%
Pioneer Drilling Co.* 21,000 81
----------
POLLUTION CONTROL AND ENVIRONMENTAL SERVICES 3.25%
Headwaters, Inc.* 6,000 98
Team, Inc.* 14,000 97
----------
TOTAL 195
----------
RAILROADS 1.27%
Genesee & Wyoming, Inc. Class A* 4,425 76
----------
REAL ESTATE INVESTMENT TRUSTS 3.22%
Agree Realty Corp. 3,900 81
Lasalle Hotel Properties 8,000 112
----------
TOTAL 193
----------
RENTAL & LEASING SERVICES: COMMERCIAL 1.13%
Interpool, Inc. 4,500 68
----------
RETAIL 7.58%
Hibbett Sporting Goods, Inc.* 3,000 82
Mothers Work, Inc.* 4,400 110
Sharper Image Corp.* 3,500 69
The Gymboree Corp.* 5,800 97
Ultimate Electronics Inc* 7,500 63
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
SCHEDULE OF INVESTMENTS (UNAUDITED)(CONTINUED)
MICRO-CAP VALUE FUND APRIL 30, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------
United Retail Group Inc.* 23,000 $ 34
----------
TOTAL 455
----------
SERVICES: COMMERCIAL 3.77%
Ambassadors Int'l., Inc.* 3,000 38
Exponent, Inc.* 5,500 76
Monro Muffler Brake, Inc.* 5,000 112
----------
TOTAL 226
----------
SHOES 0.78%
Vans, Inc.* 10,000 47
----------
TELECOMMUNICATIONS EQUIPMENT 2.50%
Arris Group Inc* 18,500 72
C-Cor.Net Corp.* 22,900 78
----------
TOTAL 150
----------
TEXTILE PRODUCTS 0.42%
Quaker Fabric Corp. 4,000 25
----------
TEXTILES APPAREL MANUFACTURERS 1.62%
Phillips-Van Heusen Corp. 7,300 97
----------
TOBACCO 1.57%
Dimon, Inc. 14,300 94
----------
TRUCKERS 3.13%
Covenant Transport, Inc.* 6,600 120
Heartland Express, Inc.* 2,956 68
----------
TOTAL 188
----------
UTILITIES: GAS DISTRIBUTORS 1.65%
Chesapeake Utilities Corp. 5,000 99
----------
UTILITIES: MISCELLANEOUS 1.23%
Waste Industries USA, Inc.* 11,000 74
----------
TOTAL COMMON STOCKS
(Cost $5,021,538) 5,622
==========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 7.04%
REPURCHASE AGREEMENT 7.04%
Repurchase Agreement dated 4/30/2003 1.27% due
5/1/2003 from State Street Bank & Trust Co.
collateralized by $425,000 of Federal Home Loan
Mortgage Corp. at 3.50% due 2/20/2004; value
$435,571; proceeds: $422,381.
(Cost $422,367) $ 422 $ 422
==========
TOTAL INVESTMENTS 100.73%
(Cost $5,443,905) $ 6,044
==========
</Table>
* Non-Income Producing Security.
(a) Value is less than $1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
April 30, 2003
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 3,164,051 $ 5,443,905
- --------------------------------------------------------------------------------------------------
Investment in securities, at value $ 3,037,955 $ 6,043,963
Receivables:
Interest and dividends 9 1,920
Investment securities sold 363,681 425,226
From Lord, Abbett & Co. LLC 9,544 -
Prepaid expenses and other assets 15 63
- --------------------------------------------------------------------------------------------------
TOTAL ASSETS 3,411,204 6,471,172
- --------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 323,645 422,366
Capital shares reacquired - 3,710
Management fees 3,619 7,108
12b-1 distribution fees 3,410 6,457
Administration fees 317 6,367
Trustees' fees 90 92
To Lord, Abbett & Co. LLC - 6,007
Accrued expenses and other liabilities 13,748 18,901
- --------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 344,829 471,008
==================================================================================================
NET ASSETS $ 3,066,375 $ 6,000,164
==================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 4,130,153 $ 5,341,459
Distributions in excess of net investment income (14,887) (7,684)
Accumulated net realized gain (loss) on investments (922,795) 66,331
Net unrealized appreciation (depreciation) on investments (126,096) 600,058
- --------------------------------------------------------------------------------------------------
NET ASSETS $ 3,066,375 $ 6,000,164
==================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 3,060,396 $ 5,984,593
Class Y Shares $ 5,979 $ 15,571
OUTSTANDING SHARES BY CLASS:
Class A Shares 380,897 385,033
Class Y Shares 739 999
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 8.03 $ 15.54
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 8.52 $ 16.49
Class Y Shares-Net asset value $ 8.09 $ 15.59
==================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
STATEMENTS OF OPERATIONS (UNAUDITED)
For the Six Months Ended April 30, 2003
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 1,062 $ 23,353
Interest 1,275 1,972
- --------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 2,337 25,325
- --------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 21,453 42,908
12b-1 distribution plan-Class A 4,995 9,987
Shareholder servicing 1,819 2,596
Market Data 19 36
Professional 4,698 2,950
Reports to shareholders 1,979 4,182
Fund accounting 7,644 2,656
Fund administration 381 759
Custody 1,617 2,762
Trustees' fees 34 65
Registration 2,202 1,021
Other 2,460 -
- --------------------------------------------------------------------------------------------------
Gross expenses 49,301 69,922
Expense reductions (38) (50)
Management fee waived (11,625) (23,270)
Expenses assumed by Lord, Abbett & Co. LLC (20,414) (12,181)
- --------------------------------------------------------------------------------------------------
NET EXPENSES 17,224 34,421
- --------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (14,887) (9,096)
- --------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments (325,954) 66,360
Net change in unrealized appreciation/depreciation on investments 528,968 176,851
==================================================================================================
NET REALIZED AND UNREALIZED GAIN 203,014 243,211
==================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 188,127 $ 234,115
==================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
Six Months Ended April 30, 2003
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (14,887) $ (9,096)
Net realized gain (loss) on investments (325,954) 66,360
Net change in unrealized appreciation/depreciation on investments 528,968 176,851
- --------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 188,127 234,115
==================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A - (18,897)
Class Y - (107)
Net realized gain
Class A - (222,077)
Class Y - (596)
- --------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS - (241,677)
==================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 280,193 400,308
Reinvestment of distributions - 239,810
Cost of shares reacquired (105,896) (89,139)
- --------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 174,297 550,979
- --------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 362,424 543,417
==================================================================================================
NET ASSETS:
Beginning of period 2,703,951 5,456,747
- --------------------------------------------------------------------------------------------------
END OF PERIOD $ 3,066,375 $ 6,000,164
- --------------------------------------------------------------------------------------------------
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME $ (14,887) $ (7,684)
==================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 2002
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment income (loss) $ (7,717) $ 19,032
Net realized gain (loss) on investments (469,113) 222,672
Net change in unrealized appreciation/depreciation on investments (320,647) (60,598)
- --------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS (797,477) 181,106
==================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (1,960) (14,974)
Class Y (25) (71)
Net realized gain
Class A - (223,636)
Class Y - (650)
- --------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,985) (239,331)
==================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,617,928 1,842,286
Reinvestment of distributions 1,547 237,716
Cost of shares reacquired (388,684) (1,468,390)
- --------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 1,230,791 611,612
==================================================================================================
NET INCREASE IN NET ASSETS 431,329 553,387
==================================================================================================
NET ASSETS:
Beginning of year 2,272,622 4,903,360
- --------------------------------------------------------------------------------------------------
END OF YEAR $ 2,703,951 $ 5,456,747
==================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ - $ 20,416
==================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP GROWTH FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2003 -------------------------- TO
(UNAUDITED) 2002 2001 10/31/2000
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.51 $ 9.49 $ 13.18 $ 16.76
=========== ========= ========= ===========
Investment operations
Net investment income (loss) (.04)(a) (.02)(a) -(a)(f) (.01)(a)
Net realized and unrealized gain (loss) .56 (1.95) (1.34) (3.57)
----------- --------- --------- -----------
Total from investment operations .52 (1.97) (1.34) (3.58)
----------- --------- --------- -----------
Distributions to shareholders from:
Net investment income - (.01) (.01) -
Net realized gain - - (2.34) -
----------- --------- --------- -----------
Total distributions - (.01) (2.35) -
----------- --------- --------- -----------
NET ASSET VALUE, END OF PERIOD $ 8.03 $ 7.51 $ 9.49 $ 13.18
=========== ========= ========= ===========
Total Return(b) 6.92%(e) (20.81)% (11.30)% (21.36)%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and expense reductions .60%(e) .38% .38% .18%(e)
Expenses, excluding waiver and expense reductions 1.71%(e) 2.99% 4.02% 1.36%(e)
Net investment income (loss) (.52)%(e) (.24)% .04% (.04)%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2003 -------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 10/31/2000
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 3,060 $ 2,698 $ 2,266 $ 2,160
Portfolio turnover rate 47.31% 34.08% 80.17% 103.33%
=============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
MICRO-CAP GROWTH FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2003 ---------------------------------------- TO
(UNAUDITED) 2002 2001 2000 10/31/1999
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.55 $ 9.52 $ 13.21 $ 12.57 $ 10.00
=========== ======== ======== ======== =============
Investment operations
Net investment income (loss) (.03)(a) .01(a) .04(a) .04(a) .02(a)
Net realized and unrealized gain (loss) .57 (1.95) (1.35) 1.73 2.55
----------- -------- -------- -------- -------------
Total from investment operations .54 (1.94) (1.31) 1.77 2.57
----------- -------- -------- -------- -------------
Distributions to shareholders from:
Net investment income - (.03) (.04) (.02) -
Net realized gain - - (2.34) (1.11) -
----------- -------- -------- -------- -------------
Total distributions - (.03) (2.38) (1.13) -
----------- -------- -------- -------- -------------
NET ASSET VALUE, END OF PERIOD $ 8.09 $ 7.55 $ 9.52 $ 13.21 $ 12.57
=========== ======== ======== ======== =============
Total Return(b) 7.15%(e) (20.42)% (11.00)% 14.48% 25.70%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and expense
reductions .43%(e) .00% .00% .00% .00%(e)
Expenses, excluding waiver and expense
reductions 1.54%(e) 2.61% 3.64% 2.33% 1.71%(e)
Net investment income (loss) (.35)%(e) .14% .42% .22% .19%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2003 ---------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 10/31/1999
- -------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 6 $ 6 $ 7 $ 8 $ 1,404
Portfolio turnover rate 47.31% 34.08% 80.17% 103.33% 41.18%
===============================================================================================================================
</Table>
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Commencement of investment operations.
(e) Not annualized.
(f) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2003 -------------------------- TO
(UNAUDITED) 2002 2001 10/31/2000
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.56 $ 15.68 $ 15.90 $ 13.13
=========== ========= ========= ===========
Investment operations
Net investment income (loss) (.02)(a) .05(a) .10(a) .07(a)
Net realized and unrealized gain .68 .60 2.20 2.70
----------- --------- --------- -----------
Total from investment operations .66 .65 2.30 2.77
----------- --------- --------- -----------
Distributions to shareholders from:
Net investment income (.05) (.05) (.14) -
Net realized gain (.63) (.72) (2.38) -
----------- --------- --------- -----------
Total distributions (.68) (.77) (2.52) -
----------- --------- --------- -----------
NET ASSET VALUE, END OF PERIOD $ 15.54 $ 15.56 $ 15.68 $ 15.90
=========== ========= ========= ===========
Total Return(b) 4.28%(e) 4.12% 17.16% 21.10%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and expense reductions .61%(e) .38% .38% .17%(e)
Expenses, excluding waiver and expense reductions 1.22%(e) 2.76% 3.08% 1.50%(e)
Net investment income (loss) (.17)%(e) .31% .64% .49%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 5/1/2000(c)
4/30/2003 -------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 10/31/2000
- -----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 5,985 $ 5,442 $ 4,889 $ 2,032
Portfolio turnover rate 21.48% 36.02% 52.63% 82.02%
=============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
MICRO-CAP VALUE FUND
<Table>
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2003 -------------------------------------- TO
(UNAUDITED) 2002 2001 2000 10/31/1999
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.63 $ 15.72 $ 15.92 $ 10.75 $ 10.00
=========== ========= ======== ======== =============
Investment operations
Net investment income -(a)(f) .12(a) .16(a) .14(a) .12(a)
Net realized and unrealized gain .70 .59 2.19 5.19 .63
----------- --------- -------- -------- -------------
Total from investment operations .70 .71 2.35 5.33 .75
----------- --------- -------- -------- -------------
Distributions to shareholders from:
Net investment income (.11) (.08) (.17) (.09) -
Net realized gain (.63) (.72) (2.38) (.07) -
----------- --------- -------- -------- -------------
Total distributions (.74) (.80) (2.55) (.16) -
----------- --------- -------- -------- -------------
NET ASSET VALUE, END OF PERIOD $ 15.59 $ 15.63 $ 15.72 $ 15.92 $ 10.75
=========== ========= ======== ======== =============
Total Return(b) 4.53%(e) 4.51% 17.48% 50.12% 7.60%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and expense
reductions .44%(e) .00% .00% .00% .00%(e)
Expenses, excluding waiver and expense
reductions 1.05%(e) 2.38% 2.70% 2.50% 1.80%(e)
Net investment income .00%(e)(g) .69% 1.02% 1.15% 1.08%(e)
<Caption>
SIX MONTHS
ENDED YEAR ENDED 10/31 12/15/1998(d)
4/30/2003 -------------------------------------- TO
SUPPLEMENTAL DATA: (UNAUDITED) 2002 2001 2000 10/31/1999
- -------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 15 $ 15 $ 14 $ 12 $ 1,152
Portfolio turnover rate 21.48% 36.02% 52.63% 82.02% 30.38%
===============================================================================================================================
</Table>
(a) Calculated using average shares outstanding during the period.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(c) Commencement of offering of class shares.
(d) Commencement of investment operations.
(e) Not annualized.
(f) Amount is less than $.01.
(g) Amount is less than .01%.
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as a diversified open-end management investment
company organized as a Delaware business trust on February 26, 1993. The Trust
currently consists of five funds. This report covers the following two Funds and
their respective classes (separately, a "Fund" and collectively, the "Funds"):
Lord Abbett Micro-Cap Growth Fund ("Micro-Cap Growth Fund"), Class A and Y
shares and Lord Abbett Micro-Cap Value Fund ("Micro-Cap Value Fund"), Class A
and Y shares.
The investment objective of both Micro-Cap Growth Fund and Micro-Cap Value Fund
is long-term capital appreciation.
Each class of shares has different expenses and dividends. A front-end sales
charge is normally added to the NAV for Class A shares. There is no front-end
sales charge in the case of Class Y shares, although there may be a contingent
deferred sales charge ("CDSC") for certain redemptions of Class A shares made
with in 24 months following any purchases made without a sales charge.
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 and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period. Actual results could
differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) INVESTMENT VALUATION-Securities traded on national or foreign securities
exchanges are valued at the last quoted sales price, or if no sales price is
available, at the mean between the latest bid and asked prices on such
exchanges. Securities traded only in the over-the-counter market are valued
at the mean between the latest bid and asked prices, except that securities
admitted to trading on the NASDAQ National Market System are valued at the
last sales price if it is determined that such price more accurately
reflects the value of such securities. Securities for which market
quotations are not readily available are valued at fair value as determined
by management and approved in good faith by the Board of Trustees.
Short-term securities with 60 days or less remaining to maturity are valued
using the amortized cost method, which approximates current market value.
(b) SECURITY TRANSACTIONS-Security transactions are recorded as of the date that
the securities are purchased or sold (trade date). Realized gains and losses
on sales of portfolio securities are calculated using the identified-cost
method. Realized and unrealized gains or losses are allocated to each class
of shares based upon the relative proportion of net assets at the beginning
of the day.
(c) INVESTMENT INCOME-Dividend income is recorded on the ex-dividend date.
Interest income is recorded on the accrual basis. Discounts are accreted and
premiums are amortized using the effective interest method. Investment
income is allocated to each class of shares based upon the relative
proportion of net assets at the beginning of the day.
16
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
(d) FEDERAL TAXES-It is the policy of each Fund to meet the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies and to distribute substantially all of its taxable net investment
income and capital gains to its shareholders. Therefore, no federal income
tax provision is required.
(e) EXPENSES-Expenses incurred by the Trust that do not specifically relate to
an individual fund are allocated to the funds within the Trust on a pro rata
basis. Expenses excluding class specific expenses are allocated to each
class of shares based upon the relative proportion of net assets at the
beginning of the day. Class A shares bear all expenses and fees relating to
its 12b-1 Distribution Plan.
(f) REPURCHASE AGREEMENT-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which a
fund acquires a security and simultaneously commits to resell that security
to the seller (a bank or securities dealer) at an agreed upon price on an
agreed-upon date. Each Fund requires at all times that the repurchase
agreement be collateralized by cash or U.S. Government securities having a
value equal to, or in excess of, the value of the repurchase agreement. If
the seller of the agreement defaults on its obligation to repurchase the
underlying securities at a time when the value of these securities has
declined, the Fund may incur a loss upon disposition of them.
3. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES
The Trust has a management agreement with Lord, Abbett & Co. LLC ("Lord Abbett")
pursuant to which Lord Abbett supplies the Trust with investment management
services and executive and other personnel, pays the remuneration of officers,
provides office space and pays for ordinary and necessary office and clerical
expenses relating to research and statistical work and supervision of the
Trust's investment portfolios. The management fee is based on average daily net
assets at an annual rate of 1.50%.
For the six months ended April 30, 2003, Lord Abbett voluntarily waived its
management fees and assumed other expenses as follows:
<Table>
<Caption>
VOLUNTARY
MANAGEMENT OTHER
FEE WAIVER EXPENSES
- --------------------------------------------------------------------------------
Micro-Cap Growth Fund .40% .89%
Micro-Cap Value Fund .40% .21%
</Table>
Lord Abbett may stop waiving its management fee and assuming other expenses at
any time.
In addition, effective January 1, 2003, Lord Abbett began providing certain
administrative services to each Fund pursuant to an Administrative Services
Agreement at an annual rate of .04% of each Fund's average daily net assets.
This will result in Lord Abbett paying Fund Accounting expenses that were
previously charged to the Funds.
17
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution plan (the "Plan") with respect to the Class
A shares of the Micro-Cap Growth Fund and Micro-Cap Value Fund pursuant to Rule
12b-1 of the Act, which provides for the payment of ongoing distribution and
service fees to Lord Abbett Distributor LLC ("Distributor"), an affiliate of
Lord Abbett. The fees are accrued daily based upon the average daily net assets
of Class A at an annual rate of .25% and .10%, respectively.
Class Y does not have a distribution plan.
One Trustee and certain of the Trust's officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS
Dividends from net investment income, if any, are declared and paid at least
annually. Taxable net realized gains from investment transactions, reduced by
capital loss carryforwards, if any, are distributed to shareholders at least
annually. The capital loss carryforward amount is available to offset future net
capital gains. Dividends and distributions to shareholders are recorded on the
ex-dividend date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined in accordance with federal
income tax regulations which may differ from accounting principles generally
accepted in the United States of America. These book/tax differences are either
considered temporary or permanent in nature. To the extent these differences are
permanent in nature, such amounts are reclassified within the components of net
assets based on their federal tax basis treatment; temporary differences do not
require reclassification. Dividends and distributions, which exceed net
investment income and net, realized capital gains for tax purposes are reported
as distributions of paid-in capital.
The tax character of distributions paid during the six months ended April 30,
2003, and the fiscal year ended October 31, 2002 are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- ----------------------------------------------------------------------------------
4/30/2003 10/31/2002 4/30/2003 10/31/2002
- ----------------------------------------------------------------------------------
Distributions paid from:
Ordinary income -- $ 1,985 $ 19,004 $ 165,092
Net long term capital gains -- - 222,673 74,239
- ----------------------------------------------------------------------------------
Total distributions -- 1,985 241,677 239,331
- ----------------------------------------------------------------------------------
Total distributions paid -- $ 1,985 $ 241,677 $ 239,331
- ----------------------------------------------------------------------------------
</Table>
At fiscal year end October 31, 2002, the capital loss carryforwards along with
the related expiration dates were as follows:
<Table>
<Caption>
YEARS OF
AMOUNT EXPIRATION
- --------------------------------------------------------------------------------
Micro-Cap Growth $ 596,841 2009 to 2010
Micro-Cap Value -- --
</Table>
18
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
As of April 30, 2003, each Fund's aggregate security unrealized gains and losses
based on cost for U.S. federal income tax purposes are as follows:
<Table>
<Caption>
GROSS GROSS NET
UNREALIZED UNREALIZED UNREALIZED
TAX COST GAIN LOSS GAIN (LOSS)
- --------------------------------------------------------------------------------
Micro-Cap Growth $ 3,164,051 $ 342,678 $ (468,774) $ (126,096)
Micro-Cap Value 5,442,465 1,017,825 (416,327) 601,498
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (other than short-term investments)
are as follows for the six months ended April 30, 2003:
<Table>
<Caption>
PURCHASES SALES
- --------------------------------------------------------------------------------
Micro-Cap Growth $ 1,321,508 $ 1,273,906
Micro-Cap Value 1,485,099 1,172,466
</Table>
6. TRUSTEES' REMUNERATION
The Trust's officers and the one Trustee who are associated with Lord Abbett do
not receive any compensation from the Trust for serving in such capacities.
Outside Trustees' fees are allocated among all Lord Abbett-sponsored funds based
on the net assets of each fund. There is an equity based plan available to all
outside Trustees under which outside Trustees must defer receipt of a portion
of, and may elect to defer receipt of an additional portion of Trustees' fees.
The deferred amounts are treated as though equivalent dollar amounts have been
invested proportionately in the Funds. Such amounts and earnings accrued thereon
are included in Trustees' fees on the Statement of Operations and in Trustees'
fees payable on the Statement of Assets and Liabilities and are not deductible
for federal income tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into arrangements with its transfer agent and custodian
whereby credits realized as a result of uninvested cash balances are used to
reduce a portion of the Funds' expenses.
8. CUSTODIAN AND ACCOUNTING AGENT
State Street Bank and Trust Company ("SSB") is the Trust's custodian and
accounting agent. SSB performs custodian functions and the accounting and
recordkeeping functions relating to portfolio transactions and calculating the
Trusts' net asset values.
9. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with
equity investing, and the particular risks associated with micro-cap and growth
or value stocks. The value of your investment will fluctuate in response to
movements in the stock market in general and to the
19
<Page>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
changing prospects of individual companies in which the Funds invest. Micro-cap
companies may be subject to greater risks and may be more sensitive to changes
in economic conditions than larger, more established companies. There may be
less liquidity in micro-cap company stocks, subjecting them to greater price
fluctuations than larger company stocks. In the case of Micro-Cap Growth Fund,
the growth stocks in which it generally invests may add to the Fund's
volatility. In the case of the Micro-Cap Value Fund, the intrinsic value of
particular value stocks may not be recognized for a long time. These factors can
affect the Funds' performance.
For a more complete discussion of the risks associated with the Funds, please
see the Funds' prospectus.
10. SUMMARY OF CAPITAL TRANSACTIONS
The Trust has an unlimited number of authorized shares of beneficial interest.
<Table>
<Caption>
SIX MONTHS ENDED YEAR ENDED
MICRO-CAP GROWTH APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
- ---------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------
SHARES SOLD 36,494 $ 280,193 160,649 $ 1,617,928
REINVESTMENT OF DISTRIBUTIONS - - 151 1,522
SHARES REACQUIRED (14,781) (105,896) (40,426) (388,684)
- ---------------------------------------------------------------------------------------
INCREASE 21,713 $ 174,297 120,374 $ 1,230,766
- ---------------------------------------------------------------------------------------
CLASS Y SHARES
- ---------------------------------------------------------------------------------------
REINVESTMENT OF DISTRIBUTIONS - - 2.510 $ 25
- ---------------------------------------------------------------------------------------
INCREASE - - 2.510 $ 25
- ---------------------------------------------------------------------------------------
<Caption>
SIX MONTHS ENDED YEAR ENDED
MICRO-CAP VALUE APRIL 30, 2003 (UNAUDITED) OCTOBER 31, 2002
- ---------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------
SHARES SOLD 25,535 $ 400,308 111,635 $ 1,842,286
REINVESTMENT OF DISTRIBUTIONS 15,557 239,107 15,261 237,001
SHARES REACQUIRED (5,874) (89,139) (88,986) (1,468,390)
- ---------------------------------------------------------------------------------------
INCREASE 35,218 $ 550,276 37,910 $ 610,897
- ---------------------------------------------------------------------------------------
CLASS Y SHARES
- ---------------------------------------------------------------------------------------
REINVESTMENT OF DISTRIBUTIONS 46 $ 703 46 $ 715
- ---------------------------------------------------------------------------------------
INCREASE 46 $ 703 46 $ 715
- ---------------------------------------------------------------------------------------
</Table>
All of the outstanding capital shares of Micro-Cap Growth Fund and Micro-Cap
Value Fund are held by Lord Abbett and partners and employees of Lord Abbett.
20
<Page>
HOUSEHOLDING
The Trust has adopted a policy that allows it to send only one copy of the
Funds' prospectus, proxy material, annual report and semi-annual report to
certain shareholders residing at the same "household." This reduces Trust
expenses, which benefits you and other shareholders. If you need additional
copies or do not want your mailings to be "householded," please call Lord Abbett
at 800-821-5129 or send a written request with your name, the name of your fund
or funds and your account number or numbers to Lord Abbett Family of Funds, P.O.
Box 219100, Kansas City, MO 64121.
21
<Page>
[LORD ABBETT LOGO]
This report when not used for the general
information of shareholders of the Fund, is to
be distributed only if preceded or accompanied
by a current Fund prospectus.
Lord Abbett Mutual Fund shares are distributed by:
LORD ABBETT DISTRIBUTOR LLC
90 Hudson Street - Jersey City, New Jersey 07302-3973
Lord Abbett Securities Trust
Lord Abbett Micro-Cap Growth Fund
Lord Abbett Micro-Cap Value Fund LAMC-3-403
6/03
<Page>
ITEM 2: Code of Ethics.
Not applicable
ITEM 3: Audit Committee Financial Expert.
Not applicable.
ITEM 4-8: [Reserved]
ITEM 9: Controls and Procedures.
(a) Based on their evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-2(c) under the Investment Company
Act of 1940) as of June 18, 2003, the Chief Executive Officer and
Chief Financial Officer of the registrant have concluded that such
disclosure controls and procedures are reasonably designed and
effective to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
them by others within those entities.
(b) There were no significant changes in the registrant's internal
controls or in other factors that could significantly affect these
controls subsequent to the date of their evaluation, including any
corrective actions with regard to significant deficiencies and
material weaknesses.
ITEM 10: Exhibits.
ITEM 10(a): Not applicable.
ITEM 10(b):
(i) Certification of each principal executive officer and principal
financial officer of the Registrant as required by Rule 30a-2 under the Act
(17 CFR 270.30a-2) is attached hereto as a part of EX-99.CERT.
(ii) Certification of each principal executive officer and principal
financial officer of the Registrant as required by Section 906 of the
Sarbanes-Oxley Act of 2002 is attached hereto as a part of EX-99.906CERT.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities and 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.
LORD ABBETT SECURITIES TRUST
/s/ ROBERT S. DOW
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ JOAN A. BINSTOCK
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: June 18, 2003
<Page>
Pursuant to the requirements of the Securities and 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.
LORD ABBETT SECURITIES TRUST
/s/ ROBERT S. DOW
-----------------
Robert S. Dow
Chief Executive Officer,
Chairman and President
/s/ JOAN A. BINSTOCK
--------------------
Joan A. Binstock
Chief Financial Officer and Vice President
Date: June 18, 2003