<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 811-8322
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State Street Research Securities Trust
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(Exact name of registrant as specified in charter)
One Financial Center, Boston, MA 02111
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(Address of principal executive offices) (Zip code)
Francis J. McNamara, III, Secretary
State Street Research
One Financial Center, Boston, MA 02111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
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Date of fiscal year end: 04/30/04
-----------------
Date of reporting period: 05/01/03 - 10/31/03
----------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
ITEM 1 (REPORT TO SHAREHOLDERS): The Semiannual Report is attached.
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[LOGO] STATE STREET RESEARCH
[BACKGROUND GRAPHIC]
[PHOTO]
Large-Cap Analyst Fund
October 31, 2003
Semiannual Report to Shareholders
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Table of Contents
3 Performance Discussion
4 Portfolio Holdings
6 Financial Statements
10 Financial Highlights
12 Trustees and Officers
FROM THE CHAIRMAN
State Street Research
Optimism in the Economy
Economic news brightened and investors responded with renewed enthusiasm for the
stock market during the six-month period that ended October 31, 2003. Low
short-term interest rates, a significant income tax cut and higher government
spending worked together to boost economic growth to its highest level in four
years. Auto sales slipped late in the period, but housing sales remained strong.
Corporate profits staged a solid rebound. However, a weak labor market
persisted.
Stocks Move Higher on Positive Economic News
Stocks staged an impressive rally in the second quarter of 2003 as investors
responded to improving economic news. Technology stocks were the strongest
performers. Consumer stocks also gained ground as spending remained strong.
In general, small- and mid-cap stocks outperformed large-caps, and growth
stocks significantly outpaced value. Although stocks gave back some of their
gains during the final weeks of September, after news that consumer
confidence had dropped, they rebounded again in October.
Bonds Retreat as Interest Rates Rise
Investor confidence in the economy translated into solid gains for high-yield
bonds, which along with emerging market bonds, were the period's strongest
performers. U.S. Treasury bonds eked out a positive return, but that masked a
sharp decline in the second half of the period, as the yield on the 10-year U.S.
Treasury bond rose to 4.29% by the end of the period. When interest rates rise,
bond prices decline. Mortgage bonds lagged as the result of higher mortgage
prepayment activity in the spring, and municipal bonds were hurt by concerns
over state budget deficits and revenue shortfalls.
Looking Ahead
After three years of disappointing returns, a revival for riskier segments of
both the stock and bond markets took many investors by surprise. Yet, it
provided an excellent reminder that the best way to take advantage of the
market's strongest gains is to own a diversified portfolio of stocks and bonds.
We hope you will take time to talk to your financial advisor about
diversification. As always, we look forward to helping you keep your long-term
financial goals on track with State Street Research Funds.
Sincerely,
/s/ Richard S. Davis
Richard S. Davis
Chairman
October 31, 2003
- --------------------------------------------------------------------------------
A Special Message on Recent News
Recent articles in the press have highlighted investigations into after-hours
trading and frequent-trading practices in the mutual fund industry. These are
serious matters, and we want to assure you that State Street Research is
committed to maintaining full compliance with all legal requirements and ethical
standards regarding these and other mutual fund trading practices. In fact, our
mutual fund trading processes are designed to prevent these types of activities
from taking place, and we are committed to maintaining their integrity. Our
trade-processing procedures carefully track the forward-pricing requirements
contained in federal regulations and in our funds' prospectuses. We closely
monitor trading in our funds and take measures to prevent market timing whenever
it is identified. Furthermore, we do not enter into any special arrangements
that would permit investors to avoid the forward-pricing or market-timing
provisions of our prospectuses.
In recent weeks, we have carefully reviewed our trading policies, procedures and
operations. In addition, our firm recommended early on that the funds' Trustees
engage an independent accounting firm, which has been reviewing trading issues
on behalf of our funds' Audit Committee. While there is always more work that
can be done, I am pleased to report that preliminary findings suggest that our
processes are working effectively. We understand that our relationship with our
shareholders is based on trust, and we are committed to acting in the best
interests of our shareholders at all times.
- --------------------------------------------------------------------------------
2
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- -----------
PERFORMANCE
- -----------
Discussion as of October 31, 2003
How State Street Research Large-Cap Analyst Fund Performed
For the six-month period ended October 31, 2003, State Street Research Large-Cap
Analyst Fund returned 16.16%(1). That was slightly less than the 15.77% return
of the Russell 1000[RegTM] Index over the same period.(2) The fund outperformed
the Lipper Large-Cap Core Funds Average, which returned 14.43% for the six-month
period.(3)
Reasons for the Fund's Performance
Stock selection in the Technology and Consumer Discretionary sectors drove the
fund's returns during a generally favorable period for the stock market. The
fund's investment in Intel was the single best performer as semiconductor
stocks drove returns within the Technology sector. Semiconductors are the main
component in electronic devices, from computers to hand-held games to
automobile guided position response systems. In the Consumer Discretionary
sector, International Game Technology, InterActiveCorp and Cendant all
delivered solid returns.
The fund's Health Care position also made a positive contribution to the fund's
return because we decided to underweight large-cap pharmaceutical companies,
such as Johnson & Johnson and Pfizer, which were weak performers during the
period. Many large pharmaceutical companies have suffered because they lack
promising new drugs in their product pipelines, and the general outlook for the
group remains clouded.
Stock selection among Consumer Staples, Financial Services and certain areas of
the Energy sector hurt performance. In Financial Services, the fund's
investments in First Data and Freddie Mac resulted in negative returns. Freddie
Mac fell because of news that the firm's accounting practices resulted in an
overstatement of earnings. Within the Energy sector, oil and natural gas
commodity prices declined as an unseasonably cool summer and mild fall resulted
in an increase in reserves, which hurt the fund's investments in Patterson UTI
Resources, BJ Services and Burlington Resources. Burlington Resources was hit
particularly hard because its stock price is closely tied to shifts in
commodity prices. However, we remain positive on the Energy sector because we
believe that increased electricity demand and decreasing supply are likely to
raise natural gas prices, and we continue to own these stocks.
Looking Ahead
The past six months have resulted in some of the strongest returns in the
equity markets in several years. We believe that our bottom-up stock selection
process will continue to allow us to build a portfolio of stocks with strong
earnings prospects and solid potential for appreciation in this period of
market prosperity.
Top 10 Holdings
- ------------------------------------------------------------
Issuer/Security % Of fund Net Assets
- ------------------------------------------------------------
1 Citigroup 3.2%
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2 General Electric 2.3%
---------------------------------------------------
3 Microsoft 2.2%
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4 Intel 2.2%
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5 Pfizer 2.1%
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6 Novartis 2.0%
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7 American International Group 1.9%
---------------------------------------------------
8 Morgan Stanley Dean Witter 1.9%
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9 InterActiveCorp 1.7%
---------------------------------------------------
10 Cox Communications 1.7%
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Total 21.2%
Because financial markets and mutual fund strategies are constantly evolving,
it is possible that the fund's holdings, market stance, outlook for various
industries or securities and other matters discussed in this report have
changed since this information was prepared. Portfolio changes should not be
considered recommendations for action by individual investors.
Performance
- ------------------------------------------------------
Fund average annual total return as of 10/31/03(4,6,7)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years 3/11/98
Class A 23.28% 2.92% 2.18%
- ------------------------------------------------------
Class B(1) 22.34% 2.13% 1.41%
- ------------------------------------------------------
Class B 23.61% 2.36% 1.61%
- ------------------------------------------------------
Class C 22.44% 2.16% 1.44%
- ------------------------------------------------------
Class S 23.36% 3.13% 2.41%
- ------------------------------------------------------
Fund average annual total return as of 9/30/03(4,5,6,7)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years 3/11/98
Class A 19.67% 2.45% 0.13%
- ------------------------------------------------------
Class B(1) 20.99% 2.57% 0.27%
- ------------------------------------------------------
Class B 22.22% 2.80% 0.64%
- ------------------------------------------------------
Class C 25.09% 2.94% 0.47%
- ------------------------------------------------------
Class S 27.05% 3.90% 1.42%
- ------------------------------------------------------
(1) Class A shares; does not reflect sales charge.
(2) The Russell 1000 Index measures the performance of the 1,000 largest
securities in the Russell 3000[RegTM] Index (an unmanaged index of the
3,000 largest publicly traded U.S. companies). The index is unmanaged and
does not take transaction charges into consideration. It is not possible to
invest directly in the index.
(3) The Lipper Large-Cap Core Funds Average shows the performance of a category
of mutual funds with similar goals. The Lipper average shows you how well
the fund has done compared to competing funds.
(4) Keep in mind that past performance is no guarantee of future results. The
fund's share price, yield and return will fluctuate, and you may have a
gain or loss when you sell your shares. All returns assume reinvestment of
capital gains distributions and income dividends at net asset value. The
returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
Performance for Class B(1) shares reflects Class B share performance
through December 31, 1998, and Class B(1) performance thereafter. If the
returns for Class B(1) shares had reflected their current
service/distribution (Rule 12b-1) fees for the entire period, these returns
would have been lower.
(5) Performance reflects a maximum 5.75% Class A share front-end sales charge,
or a 5% Class B or Class B(1), or 1% Class C share contingent deferred
sales charge, where applicable.
(6) Class S shares, offered without sales charge, are available through certain
employee benefit plans and special programs.
(7) Performance results for the fund are increased by the voluntary reduction
of fund fees and expenses; without subsidization, performance would have
been lower.
State Street Research Large-Cap Analyst Fund 3
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- ---------
PORTFOLIO
- ---------
Holdings
October 31, 2003 (unaudited)
<Table>
<Caption>
Issuer Shares Value
- --------------------------------------------------------------------------------------------------------------
Common Stocks 98.5%
Automobiles & Transportation 1.2%
Automotive Parts 0.4%
Navistar International Corp.* ............................................ 5,100 $ 206,193
-----------
Miscellaneous Transportation 0.8%
United Parcel Service Inc. Cl. B ......................................... 4,900 355,348
-----------
Total Automobiles & Transportation ....................................... 561,541
-----------
Consumer Discretionary 14.7%
Casinos/Gambling, Hotel/Motel 1.0%
International Game Technology Inc. ....................................... 14,200 465,050
-----------
Commercial Services 2.8%
Cendant Corp.* ........................................................... 24,700 504,621
InterActiveCorp* ......................................................... 22,100 811,291
-----------
1,315,912
-----------
Communications, Media & Entertainment 2.5%
Univision Communications Inc. Cl. A* ..................................... 12,000 407,400
Walt Disney Co. .......................................................... 32,800 742,592
-----------
1,149,992
-----------
Consumer Products 0.5%
Avon Products Inc. ....................................................... 3,500 237,860
-----------
Leisure Time 0.6%
Carnival Corp. ........................................................... 8,900 310,699
-----------
Printing & Publishing 0.9%
News Corp. Ltd. ADR ...................................................... 11,500 409,975
-----------
Restaurants 0.5%
McDonald's Corp. ......................................................... 9,500 237,595
-----------
Retail 5.3%
Bed Bath & Beyond Inc.* .................................................. 8,100 342,144
Best Buy Company Inc.* ................................................... 4,900 285,719
Federated Department Stores Inc. ......................................... 5,200 247,260
GAP Inc. ................................................................. 12,600 240,408
Home Depot Inc. .......................................................... 9,500 352,165
Lowes Companies Inc. ..................................................... 4,400 259,292
Wal-Mart Stores Inc. ..................................................... 12,400 730,980
-----------
2,457,968
-----------
Shoes 0.6%
Nike Inc. Cl. B .......................................................... 4,200 268,380
-----------
Total Consumer Discretionary ................................................................ 6,853,431
-----------
Consumer Staples 7.1%
Beverages 3.0%
Coca-Cola Co. ............................................................ 15,300 709,920
Coca-Cola Enterprises Inc. ............................................... 11,700 235,872
PepsiCo Inc. ............................................................. 9,600 459,072
-----------
1,404,864
-----------
Foods 0.7%
Dean Foods Co.* .......................................................... 10,900 329,725
-----------
<Caption>
Issuer Shares Value
- --------------------------------------------------------------------------------------------------------------
Household Products 2.4%
Dial Corp. ............................................................... 14,700 $ 352,800
Procter & Gamble Co. ..................................................... 7,700 756,833
-----------
1,109,633
-----------
Tobacco 1.0%
Altria Group Inc. ........................................................ 10,200 474,300
-----------
Total Consumer Staples ...................................................................... 3,318,522
-----------
Financial Services 22.4%
Banks & Savings & Loan 6.7%
Bank of America Corp. .................................................... 6,200 469,526
Bank of New York Co., Inc. ............................................... 9,300 290,067
Bank One Corp. ........................................................... 6,300 267,435
Fifth Third Bancorp ...................................................... 6,600 382,536
J.P. Morgan Chase & Co. .................................................. 10,370 372,283
US Bancorp ............................................................... 9,600 261,312
Wachovia Corp. ........................................................... 8,500 389,895
Wells Fargo & Co. ........................................................ 12,300 692,736
-----------
3,125,790
-----------
Financial Data Processing Services & Systems 1.0%
First Data Corp. ......................................................... 12,300 439,110
-----------
Insurance 4.3%
ACE Ltd. ................................................................. 6,900 248,400
AFLAC Inc. ............................................................... 7,500 273,600
American International Group Inc. ........................................ 14,200 863,786
Hartford Financial Services Group Inc. ................................... 11,100 609,390
-----------
1,995,176
-----------
Miscellaneous Financial 9.9%
American Express Co. ..................................................... 14,200 666,406
Citigroup Inc. ........................................................... 31,400 1,488,360
Federal Home Loan Mortgage Corp. ......................................... 6,500 364,845
Federal National Mortgage Association .................................... 7,200 516,168
MBNA Corp. ............................................................... 10,800 267,300
Morgan Stanley Dean Witter Inc. .......................................... 15,700 861,459
Willis Group Holdings Ltd. ............................................... 14,000 466,200
-----------
4,630,738
-----------
Securities Brokerage & Services 0.5%
Lehman Brothers Holdings Inc. ............................................ 3,300 237,600
-----------
Total Financial Services .................................................................... 10,428,414
-----------
Health Care 13.6%
Drugs & Biotechnology 11.1%
Amgen Inc.* .............................................................. 9,700 599,072
Biogen Inc.* ............................................................. 5,000 202,350
Forest Laboratories Inc.* ................................................ 6,500 325,065
Genentech, Inc.* ......................................................... 3,200 262,304
Gilead Sciences, Inc.* ................................................... 4,400 240,152
Johnson & Johnson Ltd. ................................................... 9,000 452,970
Mylan Laboratories Inc. .................................................. 13,900 335,685
Novartis AG ADR .......................................................... 24,000 920,880
Pfizer Inc. .............................................................. 31,385 991,766
Teva Pharmaceutical Industries Ltd. ADR .................................. 4,800 273,072
Wyeth Inc. ............................................................... 12,700 560,578
-----------
5,163,894
-----------
Health Care Facilities 0.5%
HCA Inc. ................................................................. 6,900 263,925
-----------
Health Care Services 0.5%
WellPoint Health Networks Inc.* .......................................... 2,500 222,250
-----------
Hospital Supply 1.5%
Guidant Corp. ............................................................ 8,600 438,686
Medtronic Inc. ........................................................... 5,400 246,078
-----------
684,764
-----------
Total Health Care ........................................................................... 6,334,833
-----------
</Table>
4 The notes are an integral part of the financial statements.
<Page>
<Table>
<Caption>
Issuer Shares Value
- -------------------------------------------------------------------------------------------------------------
Integrated Oils 2.9%
Integrated International 2.9%
BP plc ADR ............................................................... 5,900 $ 250,042
Exxon Mobil Corp. ........................................................ 16,700 610,886
Total Fina SA ADR ........................................................ 6,200 484,034
----------
Total Integrated Oils ....................................................................... 1,344,962
----------
Materials & Processing 3.1%
Chemicals 1.6%
Air Products & Chemicals Inc. ............................................ 4,500 204,345
Dow Chemical Co. ......................................................... 15,000 565,350
----------
769,695
----------
Office Supplies 0.5%
Avery Dennison Corp. ..................................................... 4,600 241,868
----------
Paper & Forest Products 1.0%
International Paper Co. .................................................. 11,600 456,460
----------
Total Materials & Processing ................................................................ 1,468,023
----------
Other 4.5%
Multi-Sector 4.5%
General Electric Co. ..................................................... 36,900 1,070,469
ITT Industries Inc. ...................................................... 6,900 469,131
SPX Corp.* ............................................................... 11,300 543,756
----------
Total Other ................................................................................. 2,083,356
----------
Other Energy 2.4%
Oil & Gas Producers 1.5%
Burlington Resources Inc. ................................................ 14,500 705,280
----------
Oil Well Equipment & Services 0.9%
BJ Services Co.* ......................................................... 6,200 203,422
Patterson UTI Energy Inc.* ............................................... 7,100 202,989
----------
406,411
----------
Total Other Energy .......................................................................... 1,111,691
----------
Producer Durables 5.7%
Aerospace 1.4%
United Technologies Corp. ................................................ 7,700 652,113
----------
Machinery 1.6%
AGCO Corp.* .............................................................. 27,100 487,800
Ingersoll Rand Co. ....................................................... 4,000 241,600
----------
729,400
----------
Miscellaneous Equipment 1.0%
Pentair Inc. ............................................................. 12,000 492,000
----------
Production Technology Equipment 1.7%
Applied Materials Inc.* .................................................. 22,500 525,825
Teradyne Inc.* ........................................................... 11,600 264,248
----------
790,073
----------
Total Producer Durables ..................................................................... 2,663,586
----------
Technology 13.3%
Communications Technology 2.3%
Cisco Systems Inc.* ...................................................... 34,000 713,320
Motorola Inc. ............................................................ 24,200 327,426
----------
1,040,746
----------
Computer Software 2.9%
Microsoft Corp. .......................................................... 39,400 1,030,310
Symantec Corp.* .......................................................... 4,800 319,920
----------
1,350,230
----------
Computer Technology 3.5%
Apple Computer Inc.* ..................................................... 21,000 480,690
Dell Inc.* ............................................................... 10,700 386,484
EMC Corp.* ............................................................... 20,700 286,488
Hewlett-Packard Co. ...................................................... 21,400 477,434
----------
1,631,096
----------
<Caption>
Issuer Shares Value
- -------------------------------------------------------------------------------------------------------------
Electronics 1.3%
Nokia Corp. ADR .......................................................... 15,600 $ 265,044
Sanmina-SCI Corp.* ....................................................... 33,600 354,480
----------
619,524
----------
Electronics: Semiconductors/Components 3.3%
Broadcom Corp. Cl. A* .................................................... 16,300 520,785
Intel Corp. .............................................................. 30,900 1,021,245
----------
1,542,030
----------
Total Technology ............................................................................ 6,183,626
----------
Utilities 7.6%
Cable Television & Radio 3.2%
Comcast Corp. Cl. A* ..................................................... 22,500 733,950
Cox Communications Inc. Cl. A* ........................................... 22,700 773,389
----------
1,507,339
----------
Electrical 0.8%
Exelon Corp. ............................................................. 6,100 387,045
----------
Gas Distribution 0.5%
Williams Companies Inc. .................................................. 23,300 237,660
----------
Telecommunications 3.1%
ALLTEL Corp. ............................................................. 4,700 222,169
BellSouth Corp. .......................................................... 17,400 457,794
SBC Communications Inc. .................................................. 30,800 738,584
----------
1,418,547
----------
Total Utilities ............................................................................. 3,550,591
----------
Total Common Stocks (Cost $40,118,725) ...................................................... 45,902,576
----------
Short-Term Investments 1.4%
State Street Navigator Securities
Lending Prime Portfolio ................................................. 665,641 665,641
----------
Total Short Term Investments (Cost $665,641) ................................................ 665,641
----------
</Table>
<Table>
<Caption>
Amount
Maturity of
Issuer Date Principal
- -------------------------------------------------------------------------------------------------------------
Commercial Paper 1.7%
Morgan Stanley
Dean Witter & Co., 1.02% 11/03/2003 $765,000 764,957
-----------
Total Commercial Paper (Cost $764,957) ......................................................... 764,957
-----------
<Caption>
% of
Net Assets
- -------------------------------------------------------------------------------------------------------------
Summary of Portfolio Assets
Investments (Cost $41,549,322) .................................................. 101.6% 47,333,174
Cash and Other Assets, Less Liabilities.......................................... (1.6%) (740,056)
----- -----------
Net Assets ...................................................................... 100.0% $46,593,118
===== ===========
KEY TO SYMBOLS
* Denotes a security which has not paid a dividend during the last year.
ADR Stands for American Depositary Receipt.
Federal Income Tax Information
At October 31, 2003, the net unrealized appreciation of
investments based on cost for federal income tax purposes
of $42,422,850 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over tax
cost $ 6,072,473
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost over
value (1,162,149)
-----------
$ 4,910,324
===========
</Table>
The notes are an integral part of the financial statements.
State Street Research Large-Cap Analyst Fund 5
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- ---------
FINANCIAL
- ---------
Statements
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
October 31, 2003 (unaudited)
Assets
Investments, at value (Cost 41,459,322) (Note 1) ............. $47,333,174
Cash ......................................................... 826
Receivable for securities sold ............................... 460,230
Receivable for fund shares sold .............................. 57,427
Receivable from distributor .................................. 42,640
Dividends receivable ......................................... 41,016
Other assets ................................................. 19,519
-----------
47,954,832
-----------
Liabilities
Payable for collateral received on securities loaned ......... 665,641
Payable for securities purchased ............................. 470,599
Accrued transfer agent and shareholder services .............. 78,388
Accrued management fee ....................................... 24,958
Accrued distribution and service fees ........................ 13,740
Accrued trustees' fees ....................................... 12,445
Payable for fund shares redeemed ............................. 8,750
Accrued administration fee ................................... 2,328
Other accrued expenses ....................................... 84,865
-----------
1,361,714
-----------
Net Assets ................................................... $46,593,118
===========
Net Assets consist of:
Undistributed net investment income ........................ $ 87,299
Unrealized appreciation of investments ..................... 5,783,852
Accumulated net realized loss .............................. (12,761,627)
Paid-in capital ............................................ 53,483,594
-----------
$46,593,118
===========
Net Asset Value (NAV) of Each Share Class
Except where noted, the NAV is the offering and the redemption price for each
class.
Class Net Assets [divided by] Number of Shares = NAV
A $28,842,963 2,929,494 $9.85*
B(1) $6,432,421 683,048 $9.42**
B $8,721,729 914,990 $9.53**
C $931,955 98,749 $9.44**
S $1,664,050 166,707 $9.98
* Maximum offering price per share = $10.45 ($9.85 [divided by] 0.9425)
** When you sell Class B(1), Class B or Class C shares , you receive the net
asset value minus deferred sales charge, if any.
Statement of Operations
- --------------------------------------------------------------------------------
For the six months ended October 31, 2003 (unaudited)
Investment Income
Dividends, net of foreign taxes of $2,185 (Note 1) ........... $ 281,106
Interest (Note 1) ............................................ 29,505
----------
310,611
----------
Expenses
Management fee (Note 2) ...................................... 132,652
Transfer agent and shareholder services (Note 2) ............. 125,243
Custodian fee ................................................ 45,408
Administration fee (Note 2) .................................. 45,111
Distribution and service fees - Class A (Note 5) ............. 35,801
Distribution and service fees - Class B(1) (Note 5) .......... 29,524
Distribution and service fees - Class C (Note 5) ............. 4,594
Registration fees ............................................ 29,025
Reports to shareholders ...................................... 22,782
Audit fee .................................................... 10,593
Trustees' fees (Note 2) ...................................... 8,772
Legal fees ................................................... 2,193
Miscellaneous ................................................ 7,739
----------
499,437
Expenses borne by the distributor (Note 3) ................... (224,103)
Fees paid indirectly (Note 2) ................................ (1,343)
----------
273,991
----------
Net investment income ........................................ 36,620
----------
Realized and Unrealized Gain on
Investments
Net realized gain on investments (Notes 1 and 4) ............. 2,038,168
Change in unrealized appreciation of investments ............. 3,851,577
----------
Net gain on investments ...................................... 5,889,745
----------
Net increase in net assets resulting from operations ......... $5,926,365
==========
6 The notes are an integral part of the financial statements.
<Page>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Six months ended
October 31, 2003 Year ended
(unaudited) April 30, 2003
---------------- --------------
Increase (Decrease) In Net Assets
Operations:
Net investment income ............... $ 36,620 $ 38,187
Net realized gain (loss) on
investments ....................... 2,038,168 (9,130,490)
Change in unrealized
appreciation (depreciation)
on investments .................... 3,851,577 (462,346)
----------- -----------
Net increase (decrease)
resulting from operations ......... 5,926,365 (9,554,649)
----------- -----------
Net increase (decrease) from
fund share transactions ........... 4,688,146 (13,457,435)
----------- -----------
Total increase (decrease)
in net assets ..................... 10,614,511 (23,012,084)
Net Assets
Beginning of period ................. 35,978,607 58,990,691
----------- -----------
End of period (includes
undistributed net investment
income of $87,299 and
$50,679, respectively) .............. $46,593,118 $35,978,607
=========== ===========
Notes to Unaudited Financial Statements
- --------------------------------------------------------------------------------
October 31, 2003
Note 1
State Street Research Large-Cap Analyst Fund is a series of State Street
Research Securities Trust (the "Trust"), which is organized as a Massachusetts
business trust, and is registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company.
The fund seeks to provide long-term growth of capital. In seeking to achieve
its investment objective, the fund invests at least 80% of net assets in
large-cap stocks and convertible securities of U.S. and foreign companies. The
fund considers large-cap companies to be those with market capitalization
within the range of the Russell 1000 Index (an index of the 1,000 largest
publicly traded U.S. companies) and of other U.S. and foreign companies of
comparable size.
The fund offers five classes of shares. Class A shares are subject to an
initial sales charge of up to 5.75% and pay annual service and distribution
fees equal to 0.30% of average daily net assets. Class B(1) shares pay annual
service and distribution fees of equal to 1.00% of average daily net assets and
automatically convert into Class A shares (which pay lower ongoing expenses) at
the end of eight years. Class B(1) and Class B shares are subject to a
contingent deferred sales charge on certain redemptions made within six years
of purchase and five years of purchase respectively. Class B shares are offered
only to current shareholders through reinvestment of dividends and
distributions or through exchanges from existing Class B accounts of State
Street Research funds and also automatically convert into Class A shares at the
end of eight years. Class B shares may also be subject to annual service and
distribution fees equal to 1.00% of average daily net assets. However, these
fees are currently waived under the terms of the distribution plan. Class C
shares are subject to a contingent deferred sales charge of 1.00% on any shares
redeemed within one year of purchase, and also pay annual service and
distribution fees equal to 1.00% of average daily net assets. Class S shares
are only offered through certain retirement accounts, advisory accounts of
State Street Research & Management Company (the "Adviser"), an investment
management subsidiary of MetLife, Inc. ("MetLife"), and special programs. No
sales charge is imposed at the time of purchase or redemption of Class S
shares. Class S shares do not pay any service or distribution fees. The fund's
expenses are borne prorata by each class, except that each class bears
expenses, and has exclusive voting rights with respect to provisions of the
plans of distribution, related specifically to that class. The Trustees declare
separate dividends on each class of shares.
The following significant accounting policies are consistently followed by the
fund in preparing its financial statements, and such policies are in conformity
with accounting principles generally accepted in the United States of America.
A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Short-term securities maturing within sixty days are valued
at amortized cost. Other securities, if any, are valued at their fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Trustees. If trading or events occurring in
other markets after the close of the principal market in which foreign
securities are traded, and before the close of business of the fund, are
expected to materially affect the value of these securities, then they are
valued at their fair value taking this trading or these events into account.
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
The notes are an integral part of the financial statements.
State Street Research Large-Cap Analyst Fund 7
<Page>
Notes to Unaudited Financial Statements (continued)
C. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of the
fund. Interest income is accrued daily as earned. Dividend income is accrued on
the ex-dividend date. The fund is charged for expenses directly attributable to
it, while indirect expenses are allocated to both funds in the Trust.
D. Dividends
Dividends from net investment income, if any are declared and paid or
reinvested annually. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.
Income dividends and capital gains distributions are determined in accordance
with federal income tax regulations which may differ from accounting principles
generally accepted in the United States of America. The difference is primarily
due to differing treatments for wash sale deferrals.
E. Federal Income Taxes
No provision for federal income taxes is necessary because the fund has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods.
At April 30, 2003, the fund had a capital loss carryforward of $11,288,185
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $2,713,876 and $8,574,309 expire on April 30, 2010 and
2011, respectively.
In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the fund is required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the fund is
permitted to defer into its next fiscal year any net capital losses incurred
between each November 1 and the end of its fiscal year. From November 1, 2002,
through April 30, 2003, the fund incurred net capital losses of approximately
$2,628,000 and intends to defer and treat such losses as arising in the fiscal
year ended April 30, 2004.
F. Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from these
estimates.
G. Securities Lending
The fund may seek additional income by lending portfolio securities to
qualified institutions. The fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the fund will bear the
loss. At October 31, 2003, the value of the securities loaned and the value of
collateral were $650,205 and $665,641 (consisting entirely of cash collateral
invested in State Street Navigator Securities Lending Prime Portfolio),
respectively. During the six months ended October 31, 2003, income from
securities lending amounted to $683 and is included in interest income.
Note 2
The Trust and the Adviser have entered into an agreement under which the
Adviser earns monthly fees at an annual rate of 0.65% of fund net assets. In
consideration of these fees, the Adviser furnishes the fund with management,
investment advisory, statistical and research facilities and services. The
Adviser also pays all salaries, rent and certain other expenses of management.
During the six months ended October 31, 2003, the fees pursuant to such
agreement amounted to $132,652.
State Street Research Service Center, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), provides certain shareholder services to the fund such as
responding to inquiries and instructions from investors with respect to the
purchase and redemption of shares of the fund. In addition, MetLife receives a
fee for maintenance of the accounts of certain shareholders who are
participants in sponsored arrangements, such as employee benefit plans, through
or under which shares of the fund may be purchased. Total shareholder service
costs are allocated to each fund in the same ratios as the transfer agent
costs. During the six months ended October 31, 2003, the amount of such
expenses allocated to the Fund was $38,684.
The fund has entered into an arrangement with its transfer agent whereby
credits realized as a result of uninvested cash balances were used to reduce a
portion of the fund's expenses. During the six months ended October 31, 2003,
the fund's transfer agent fees were reduced by $1,343 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$8,772 during the six months ended October 31, 2003.
The fund has agreed to pay the Adviser for certain administrative costs
incurred in providing other assistance and services to the fund. The fee was
based on a fixed amount that has been allocated equally among State Street
Research funds. During the six months ended October 31, 2003, the amount of
such expenses was $45,111.
Note 3
The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees and expenses relating to the fund. For
the six months ended October 31, 2003, the amount of such expenses assumed by
the Distributor and its affiliates was $224,103.
Note 4
For the six months ended October 31, 2003, purchases and sales of securities,
exclusive of short-term obligations, aggregated $21,748,019, and $16,690,603,
respectively.
Note 5
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940. Under the plans, the fund pays annual service
fees to the Distributor at a rate of 0.25% of average daily net assets for
Class A, Class B(1), Class B and Class C shares. In addition, the fund pays
annual distribution fees of 0.05% of average daily net assets for Class A
shares. The fund pays annual distribution fees of 0.75% of average daily net
assets for Class B(1), Class B and Class C shares. Currently, the annual
service and distribution fees paid by Class B shares have been voluntarily
reduced to 0.00%. The fund expects this waiver to continue, although there is
no guarantee that it will. The Distributor uses such payments for personal
services and/or the maintenance of shareholder accounts, to reimburse
securities dealers for distribution and marketing services, to furnish ongoing
assistance to investors and to defray a portion of its distribution and
marketing expenses. For the six months ended October 31, 2003, fees pursuant to
such plans amounted to $35,801, $29,524 and $4,594 for Class A, Class B(1) and
Class C shares, respectively. For Class A, Class B and Class C shares, the
payments are intended to reimburse the distributor for expenditures incurred
under the plan, and any unused payments are returnable to the fund. As of
October 31, 2003, there were $572,709 and $450,264 for Class A and Class C,
respectively, of unreimbursed distribution and shareholder servicing related
expenses to be carried forward to future plan years. For Class B(1) shares, the
payments compensate the distributor for services and expenditures incurred
under the plan, and none of the payments are returnable to the fund.
The fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of MetLife, earned initial sales charges aggregating
$3,684 and $14,392, respectively, on sales of Class A shares of the fund during
the six months ended October 31, 2003, and that MetLife Securities, Inc.,
earned commissions aggregating $18,784 and $142 on sales of Class B(1) and
Class C shares, respectively, and the Distributor collected contingent deferred
sales charges aggregating $6,567, $2,342 on redemptions of Class B(1) and Class
B shares, respectively, during the same period.
8
<Page>
Note 6
PricewaterhouseCoopers LLP resigned as the fund's independent accountants as of
April 25, 2003. The Trustees voted to appoint Deloitte & Touche LLP as the
fund's independent accountants for the fund's fiscal year ended April 30, 2004.
During the previous two years, PricewaterhouseCoopers LLP's audit reports
contained no adverse opinion or disclaimer of opinion; nor were its reports
qualified or modified as to uncertainty, audit scope, or accounting principle.
Further, in connection with its audits for the two previous fiscal years and
through April 25, 2003, there were no disagreements between the fund and
PricewaterhouseCoopers LLP on any matter of accounting principles or practices,
financial statement disclosure or auditing scope or procedure, which if not
resolved to the satisfaction of PricewaterhouseCoopers LLP would have caused it
to make reference to the disagreements in its report on the financial
statements for such years.
Note 7
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest at $0.001 per value per share.
These transactions break down by share class as follows:
<Table>
<Caption>
Six months ended
October 31, 2003 Year ended
(unaudited) April 30, 2003
-------------------------------------------------------------------
Class A Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------
Shares sold 1,006,081 $ 9,623,617 942,130 $ 7,966,395
Shares redeemed (519,874) (4,962,092) (1,591,554) (13,018,192)
--------- ------------ ---------- -------------
Net increase (decrease) 486,207 $ 4,661,525 (649,424) $ (5,051,797)
========= ============ ========== =============
<Caption>
Class B(1) Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------
Shares sold 94,268 $ 839,733 194,805 $ 1,557,170
Shares redeemed (41,259) (364,940) (349,924) (2,709,281)
--------- ------------ ---------- -------------
Net increase (decrease) 53,009 $ 474,793 (155,119) $ (1,152,111)
========= ============ ========== =============
<Caption>
Class B Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------
Shares sold 24,044 $ 212,982 65,423 $ 518,080
Shares redeemed (96,414) (854,370) (399,002) (3,127,283)
--------- ------------ ---------- -------------
Net decrease (72,370) $ (641,388) (333,579) $ (2,609,203)
========= ============ ========== =============
<Caption>
Class C Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------
Shares sold 4,973 $ 45,045 61,660 $ 485,458
Shares redeemed (11,462) (103,088) (173,362) (1,317,372)
--------- ------------ ---------- -------------
Net decrease (6,489) $ (58,043) (111,702) $ (831,914)
========= ============ ========== =============
<Caption>
Class S Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------
Shares sold 99,852 $ 934,024 134,514 $ 1,117,726
Shares redeemed (72,366) (682,765) (646,384) (4,930,136)
--------- ------------ ---------- -------------
Net increase (decrease) 27,486 $ 251,259 (511,870) $ (3,812,410)
========= ============ ========== =============
- ---------------------------------------------------------------------------------------------
</Table>
State Street Research Large-Cap Analyst Fund 9
<Page>
- ---------
FINANCIAL
- ---------
Highlights
For a share outstanding throughout each period:
<Table>
<Caption>
Class A
-----------------------------
Years ended
Six months ended April 30
October 31, 2003 ------------
(unaudited)(a) 2003(a)
- -------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 8.48 9.83
----- ------
Net investment income (loss) ($)* 0.01 0.02
Net realized and unrealized gain (loss) on investments ($) 1.36 (1.37)
----- ------
Total from investment operations ($) 1.37 (1.35)
----- ------
Dividend from net investment income ($) -- --
Distributions from capital gains ($) -- --
----- ------
Total distributions ($) -- --
----- -------
Net asset value, end of period ($) 9.85 8.48
===== ======
Total return (%)(b) 16.16(d) (13.73)
Ratios/Supplemental Data:
- -------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 28,843 20,711
Expense ratio (%)* 1.30(e) 1.30
Expense ratio after expense reductions (%)* 1.30(e) 1.30
Ratio of net investment income (loss) to average net assets (%)* 0.22(e) 0.18
Portfolio turnover rate (%) 42.74 101.21
*Reflects voluntary reduction of expenses of these amounts (%) 1.10(e) 1.02
<Caption>
Class A
-------------------------------------------------------
Years ended April 30
-------------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.48 13.70 11.73 9.92
------ ------ ------ ------
Net investment income (loss) ($)* (0.01) (0.04) (0.04) (0.01)
Net realized and unrealized gain (loss) on investments ($) (1.64) (1.22) 2.20 1.82
------ ------ ------ ------
Total from investment operations ($) (1.65) (1.26) 2.16 1.81
------ ------ ------ ------
Dividend from net investment income ($) -- -- -- (0.00)
Distributions from capital gains ($) -- (0.96) (0.19) --
------ ------ ------ ------
Total distributions ($) -- (0.96) (0.19) (0.00)
------ ------ ------ ------
Net asset value, end of period ($) 9.83 11.48 13.70 11.73
====== ====== ====== ======
Total return (%)(b) (14.37) (9.65) 18.57 18.28
Ratios/Supplemental Data:
- --------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 30,401 24,452 26,704 16,220
Expense ratio (%)* 1.32 1.34 1.27 1.27
Expense ratio after expense reductions (%)* 1.30 1.30 1.25 1.25
Ratio of net investment income (loss) to average net assets (%)* (0.11) (0.29) (0.29) (0.09)
Portfolio turnover rate (%) 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 0.84 0.67 0.61 0.75
</Table>
<Table>
<Caption>
Class B(1)
-------------------------------------------
Six months ended Years ended April 30
October 31, 2003 --------------------------
(unaudited)(a) 2003(a) 2002(a)(f)
- -------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 8.14 9.52 11.19
----- ------ ------
Net investment loss ($)* (0.02) (0.04) (0.08)
Net realized and unrealized gain (loss) on investments ($) 1.30 (1.34) (1.59)
----- ------ ------
Total from investment operations ($) 1.28 (1.38) (1.67)
----- ------ ------
Dividend from net investment income ($) -- -- --
Distributions from capital gains ($) -- -- --
----- ------ ------
Total distributions ($) -- -- --
----- ------ ------
Net asset value, end of period ($) 9.42 8.14 9.52
===== ====== ======
Total return (%)(b) 15.72(d) (14.50) (14.92)
Ratios/Supplemental Data
- -------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 6,432 5,126 7,471
Expense ratio (%)* 2.00(e) 2.00 2.02
Expense ratio after expense reductions (%)* 2.00(e) 2.00 2.00
Ratio of net investment loss to average net assets (%)* (0.48)(e) (0.52) (0.80)
Portfolio turnover rate (%) 42.74 101.21 87.28
*Reflects voluntary reduction of expenses of these amounts (%) 1.10(e) 1.03 0.87
<Caption>
Class B(1)
---------------------------------------------
Years ended April 30
---------------------------------------------
2001(a)(f) 2000(a)(f) 1999(a)(c)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 13.46 11.63 10.63
------ ------ ------
Net investment loss ($)* (0.12) (0.13) (0.03)
Net realized and unrealized gain (loss) on investments ($) (1.19) 2.15 1.03
------ ------ ------
Total from investment operations ($) (1.31) 2.02 1.00
------ ------ ------
Dividend from net investment income ($) -- -- (0.00)
Distributions from capital gains ($) (0.96) (0.19) --
------ ------ -------
Total distributions ($) (0.96) (0.19) (0.00)
------ ------ ------
Net asset value, end of period ($) 11.19 13.46 11.63
====== ====== ======
Total return (%)(b) (10.23) 17.52 9.44(d)
Ratios/Supplemental Data:
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 8,113 6,847 1,776
Expense ratio (%)* 2.04 2.02 2.02(e)
Expense ratio after expense reductions (%)* 2.00 2.00 2.00(e)
Ratio of net investment loss to average net assets (%)* (0.99) (1.05) (1.01)(e)
Portfolio turnover rate (%) 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 0.67 0.61 0.75(e)
</Table>
<Table>
<Caption>
Class B
-----------------------------
Years ended
Six months ended April 30
October 31, 2003 ------------
(unaudited)(a) 2003(a)
- -------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 8.19 9.52
----- ------
Net investment income (loss) ($)* 0.02 0.01
Net realized and unrealized gain (loss) on investments ($) 1.32 (1.34)
----- ------
Total from investment operations ($) 1.34 (1.33)
----- ------
Dividend from net investment income ($) -- --
Distributions from capital gains ($) -- --
----- ------
Total distributions ($) -- --
----- ------
Net asset value, end of period ($) 9.53 8.19
===== ======
Total return (%)(b) 16.36(d) (13.97)
Ratios/Supplemental Data:
- -------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 8,722 8,089
Expense ratio (%)* 1.00(e) 1.33
Expense ratio after expense reductions (%)* 1.00(e) 1.33
Ratio of net investment income (loss) to average net assets (%)* 0.53(e) 0.08
Portfolio turnover rate (%) 42.74 101.21
*Reflects voluntary reduction of expenses of these amounts (%) 1.10(e) 1.02
<Caption>
Class B
------------------------------------------------------
Years ended April 30
------------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.19 13.47 11.63 9.90
------ ------ ------ ------
Net investment income (loss) ($)* (0.08) (0.12) (0.13) (0.09)
Net realized and unrealized gain (loss) on investments ($) (1.59) (1.20) 2.16 1.82
------ ------ ------ ------
Total from investment operations ($) (1.67) (1.32) 2.03 1.73
------ ------ ------ ------
Dividend from net investment income ($) -- -- -- (0.00)
Distributions from capital gains ($) -- (0.96) (0.19) --
------ ------ ------ -------
Total distributions ($) -- (0.96) (0.19) (0.00)
------ ------ ------ ------
Net asset value, end of period ($) 9.52 11.19 13.47 11.63
====== ====== ====== ======
Total return (%)(b) (14.92) (10.30) 17.61 17.50
Ratios/Supplemental Data:
- --------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 12,576 17,054 21,267 19,300
Expense ratio (%)* 2.02 2.04 2.02 2.02
Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00
Ratio of net investment income (loss) to average net assets (%)* (0.79) (1.00) (1.04) (0.84)
Portfolio turnover rate (%) 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 0.89 0.67 0.61 0.75
</Table>
10
<Page>
<Table>
<Caption>
Class C
-----------------------------
Years ended
Six months ended April 30
October 31, 2003 ------------
(unaudited)(a) 2003(a)
- -----------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 8.15 9.53
----- ------
Net investment loss ($)* (0.02) (0.04)
Net realized and unrealized gain (loss) on investments ($) 1.31 (1.34)
----- ------
Total from investment operations ($) 1.29 (1.38)
----- ------
Dividend from net investment income ($) -- --
Distributions from capital gains -- --
----- ------
Total distributions ($) -- --
----- ------
Net asset value, end of period ($) 9.44 8.15
===== ======
Total return (%)(b) 15.83(d) (14.48)
Ratios/Supplemental Data:
- -----------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 932 858
Expense ratio (%)* 2.00(e) 2.00
Expense ratio after expense reductions (%)* 2.00(e) 2.00
Ratio of net investment loss to average net assets (%)* (0.47)(e) (0.51)
Portfolio turnover rate (%) 42.74 101.21
*Reflects voluntary reduction of expenses of these amounts (%) 1.10(e) 1.00
<Caption>
Class C
------------------------------------------------------
Years ended April 30
------------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.20 13.48 11.63 9.91
------ ------ ------ ------
Net investment loss ($)* (0.08) (0.12) (0.13) (0.09)
Net realized and unrealized gain (loss) on investments ($) (1.59) (1.20) 2.17 1.81
------ ------ ------ ------
Total from investment operations ($) (1.67) (1.32) 2.04 1.72
------ ------ ------ ------
Dividend from net investment income ($) -- -- -- (0.00)
Distributions from capital gains -- (0.96) (0.19) --
------ ------ ------ -------
Total distributions ($) -- (0.96) (0.19) (0.00)
------ ------ ------ ------
Net asset value, end of period ($) 9.53 11.20 13.48 11.63
====== ====== ====== ======
Total return (%)(b) (14.91) (10.28) 17.70 17.36
Ratios/Supplemental Data:
- -----------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 2,068 2,576 5,393 3,667
Expense ratio (%)* 2.02 2.04 2.02 2.02
Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00
Ratio of net investment loss to average net assets (%)* (0.79) (1.00) (1.08) (0.85)
Portfolio turnover rate (%) 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 0.88 0.67 0.61 0.75
</Table>
<Table>
<Caption>
Class S
-----------------------------
Years ended
Six months ended April 30
October 31, 2003 ------------
(unaudited)(a) 2003(a)
- -------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 8.58 9.95
----- ------
Net investment income (loss) ($)* 0.03 0.04
Net realized and unrealized gain (loss) on investments ($) 1.37 (1.41)
----- ------
Total from investment operations ($) 1.40 (1.37)
----- ------
Dividend from net investment income ($) -- --
Distributions from capital gains ($) -- --
----- ------
Total distributions ($) -- --
----- ------
Net asset value, end of period ($) 9.98 8.58
===== ======
Total return (%)(b) 16.32(d) (13.77)
Ratios/Supplemental Data:
- -------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 1,664 1,195
Expense ratio (%)* 1.00(e) 1.00
Expense ratio after expense reductions (%)* 1.00(e) 1.00
Ratio of net investment income (loss) to average net assets (%)* 0.53(e) 0.52
Portfolio turnover rate (%) 42.74 101.21
*Reflects voluntary reduction of expenses of these amounts (%) 1.10(e) 0.99
<Caption>
Class S
------------------------------------------------------
Years ended April 30
------------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
- -------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.58 13.77 11.76 9.92
------ ----- ------ ------
Net investment income (loss) ($)* 0.02 0.00 (0.00) 0.02
Net realized and unrealized gain (loss) on investments ($) (1.65) (1.23) 2.20 1.82
------ ----- ------ ------
Total from investment operations ($) (1.63) (1.23) 2.20 1.84
------ ----- ------ ------
Dividend from net investment income ($) -- -- -- (0.00)
Distributions from capital gains ($) -- (0.96) (0.19) --
------ ----- ------ ------
Total distributions ($) -- (0.96) (0.19) (0.00)
------ ----- ------ ------
Net asset value, end of period ($) 9.95 11.58 13.77 11.76
====== ===== ====== ======
Total return (%)(b) (14.08) (9.38) 18.87 18.59
Ratios/Supplemental Data:
- -------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 6,476 6,980 6,895 5,806
Expense ratio (%)* 1.02 1.04 1.02 1.02
Expense ratio after expense reductions (%)* 1.00 1.00 1.00 1.00
Ratio of net investment income (loss) to average net assets (%)* 0.20 0.01 (0.04) 0.18
Portfolio turnover rate (%) 87.28 84.75 106.12 134.16
*Reflects voluntary reduction of expenses of these amounts (%) 0.87 0.67 0.61 0.75
</Table>
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the distributor and its affiliates had not
voluntarily assumed a portion of the fund's expenses.
(c) January 1, 1999 (commencement of share class) to April 30, 1999
(d) Not annualized
(e) Annualized
(f) Audited by other auditors
State Street Research Large-Cap Analyst Fund 11
<Page>
- ---------------------
TRUSTEES AND OFFICERS
- ---------------------
State Street Research Securities Trust
<Table>
<Caption>
Number of Funds
Name, Position(s) Term of Office in Fund Complex Other
Address Held with and Length of Principal Occupations Overseen by Directorships Held
and Age(a) Fund Time Served(b) During Past 5 Years Trustee/Officer(c) by Trustee/Officer
====================================================================================================================================
Independent Trustees
Bruce R. Bond Trustee Since Retired; formerly Chairman of 19 Avaya Corp.
(57) 1999 the Board, Chief Executive
Officer and President,
PictureTel Corporation (video
conferencing systems)
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Garban Trustee Since Retired; formerly Senior Vice 55 Metropolitan Series Fund,
(65) 1997 President for Finance and Inc.(d)
Operations and Treasurer, The
Pennsylvania State University
- ------------------------------------------------------------------------------------------------------------------------------------
Dean O. Morton Trustee Since Retired; formerly Executive 55 The Clorox Company;
(71) 1994 Vice President, Chief KLA-Tencor Corporation;
Operating Officer and BEA Systems, Inc.;
Director, Hewlett-Packard Cepheid; Pharsight
Company (computer Corporation; and
manufacturer) Metropolitan Series Fund,
Inc.(d)
- ------------------------------------------------------------------------------------------------------------------------------------
Susan M. Phillips Trustee Since Dean, School of Business and 19 The Kroger Co.
(58) 1999 Public Management, George
Washington University;
formerly a member of the Board
of Governors of the Federal
Reserve System; and Chairman
and Commissioner of the
Commodity Futures Trading
Commission
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Rosenblatt Trustee Since President, Founders 55 A.P. Pharma, Inc.; and
(65) 1994 Investments Ltd. Metropolitan Series Fund,
(investments); formerly Inc.(d)
President, The Glen Ellen
Company (private investment
firm)
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Trustee Since Jay W. Forrester Professor of 55 Metropolitan Series Fund,
Scott Morton (66) 1994 Management, Sloan School of Inc.(d)
Management, Massachusetts
Institute of Technology
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee Since Attorney; formerly Partner, 19 SEI Investments Funds
(72) 2002 Dechert (law firm) (consisting of 104
portfolios); and The
Massachusetts Health &
Education Tax-Exempt
Trust
====================================================================================================================================
Interested Trustees
Richard S. Davis(+) Trustee Since Chairman of the Board, 19 None
(58) 2000 President and Chief Executive
Officer of State Street
Research & Management Company;
formerly Senior Vice
President, Fixed Income
Investments, Metropolitan Life
Insurance Company
====================================================================================================================================
Officers
Maureen G. Depp Vice Since Managing Director of State 6 None
(49) President 2000 Street Research & Management
Company; formerly Senior Vice
President and Vice President,
State Street Research &
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Edward Dowd Vice Since Vice President of State Street 3 None
(36) President 2003 Research & Management Company;
formerly Vice President,
Independence Investment LLC
and equity research associate,
Donaldson, Lufkin and Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Goodwin Vice Since Managing Director and Chief 18 None
(44) President 2002 Investment Officer - Equities
of State Street Research &
Management Company; formerly
Chief Investment Officer -
U.S. Growth Equities, American
Century
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey Lindsey Vice Since Managing Director of State 3 None
(41) President 2003 Street Research & Management
Company; formerly Managing
Direct and Senior Vice
President, Putnam Investments
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Vice Since Managing Director, Chief 19 None
(49) President 2001 Financial Officer and Director
of State Street Research &
Management Company; formerly
Executive Vice President,
State Street Research &
Management Company; and Senior
Vice President, Product and
Financial Management, MetLife
Auto & Home
- ------------------------------------------------------------------------------------------------------------------------------------
Ajay Mehra Vice Since Managing Director - Equities 2 None
(39) President 2003 Research of Street Research &
Management Company; formerly
Senior Vice President and
Portfolio Manager, Columbia
Management Group, and Equity
Research Analyst, Morgan
Stanley & Co.
- ------------------------------------------------------------------------------------------------------------------------------------
Denis J. Walsh, III Vice Since Managing Director of State 2 None
(43) President 2003 Street Research & Management
Company; formerly Senior Equity
Research Analyst, Fleet
Investment Advisors.
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since Senior Vice President and 19 None
(46) 2001 Treasurer of State Street
Research & Management Company;
formerly Vice President and
Assistant Treasurer, State
Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Francis J. Secretary Since Managing Director, General 19 None
McNamara, III (48) 1995 Counsel and Secretary of State
Street Research & Management
Company; formerly Executive
Vice President, State Street
Research & Management Company
</Table>
The fund's Statement of Additional Information includes additional information
about the fund's trustees, and is available without charge, by contacting State
Street Research, One Financial Center, Boston, Massachusetts 02111-2690, or by
calling toll-free 1-87-SSR-FUNDS (1-877-773-8637).
(a) The address of each person is c/o State Street Research & Management
Company, One Financial Center, Boston, MA 02111-2690.
(b) A Trustee serves until he or she retires, resigns or is removed as provided
in the master trust agreement of the respective Trust. Each Trust has
adopted a mandatory retirement age of 72. Each officer holds office until
he or she resigns, is removed or a successor is elected.
(c) Includes all series of 9 investment companies for which State Street
Research & Management Company serves as sole investment adviser and all
series of Metropolitan Series Fund, Inc. The primary adviser to
Metropolitan Series Fund, Inc., is MetLife Advisers, LLC, which has
retained State Street Research & Management Company as sub-adviser to
certain series of Metropolitan Series Fund, Inc.
(d) Serves as Director of Metropolitan Series Fund, Inc., an investment company
comprising 36 separate portfolios.
(+) Mr. Davis is an "interested person" of the Trust under the Investment
Company Act of 1940 by reason of his affiliation with the Trust's
Investment Manager, State Street Research & Management Company, as noted.
12
<Page>
[LOGO] STATE STREET RESEARCH
One Financial Center
Boston, MA 02111-2690
----------------
PRSRT STD
U.S. POSTAGE
PAID
PERMIT #6
HUDSON, MA
----------------
- --------------------------------------------------------------------------------
New accounts, mutual fund purchases, exchanges and account information
Internet www.ssrfunds.com
E-mail info@ssrfunds.com
Phone 1-87-SSR-FUNDS (1-877-773-8637),
toll-free, 7 days a week, 24 hours a day
Hearing-impaired: 1-800-676-7876
Chinese- and Spanish-speaking: 1-888-638-3193
Fax 1-617-737-9722 (request confirmation number
first from the Service Center by calling 1-877-773-8637)
Mail State Street Research Service Center
P.O. Box 8408, Boston, MA 02266-8408
Did You Know?
State Street Research offers electronic delivery of quarterly statements,
shareholder reports and fund prospectuses. If you elect this option, we will
send these materials to you via e-mail. To learn more, visit us on the Web at
www.ssrfunds.com and click on "Go to Your Account" or call us at 1-87-SSR-FUNDS
(1-877-773-8637).
Did you know that you can give a State Street Research mutual fund as a gift?
Call a service center representative at 1-87-SSR-FUNDS (1-877-773-8637), Monday
through Friday, 8am-6pm eastern time, to learn more.
- --------------------------------------------------------------------------------
OverView
For more information on the products and services we offer, refer to OverView,
our quarterly shareholder newsletter.
Webcasts
For a professional perspective on the markets, the economy and timely investment
topics, tune in to a State Street Research webcast by visiting our web site at
www.ssrfunds.com.
Complete Fund Listing
For a list of our funds, visit our website at www.ssrfunds.com under Research
Our Funds.
[GRAPHIC]
for Excellence in Shareholder Communications
[GRAPHIC]
for Excellence in Service
This report must be accompanied or preceded by a current prospectus. When used
as sales material after December 31, 2003, this report must be accompanied by a
current Quarterly Performance Update.
To obtain a prospectus for any State Street Research fund call 1-87-SSR-FUNDS
(1-877-773-8637) or by visiting our website at www.ssrfunds.com. The prospectus
contains more complete information, including sales charges and expenses. Please
read the prospectus carefully before investing or sending money.
The DALBAR awards recognize quality shareholder service and quality shareholder
communications, and should not be considered a rating of fund performance. The
survey included mutual fund complexes that volunteered or were otherwise
selected to participate and was not industrywide.
Member NASD, SIPC
(C)2003 State Street Research Investment Services, Inc.
One Financial Center
Boston, MA 02111-2690
www.ssrfunds.com
CONTROL NUMBER:(exp1204)SSR-LD
LCA-2885-1203
<Page>
FORM N-CSR(2 OF 3)
ITEM 2:
(a) The Registrant has, as of the end of the period covered by this
report, adopted a code of ethics pursuant to Section 406 of the
Sarbanes-Oxley Act and as defined in the instructions to Form N-CSR
that applies to the Registrant's principal executive officer,
principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of
whether these individuals are employed by the Registrant or a third
party.
(b) During the period covered by this report, there were not any amendments
to the provisions of the code of ethics adopted in 2(a) above.
(c) During the period covered by this report, there were not any waivers or
implicit waivers to a provision of the code of ethics adopted in 2(a)
above.
ITEM 3:
The Registrant's Board of Directors has determined that Steve A. Garban,
a member of the Registrant's Board of Directors and Audit Committee,
qualifies as the "audit committee financial expert" as such term is
defined in the instructions to Form N-CSR. Mr. Garban is "independent,"
as defined in the instructions to Form N-CSR.
ITEM 4 (PRINCIPAL ACCOUNTANT FEES AND SERVICES): Not applicable to this filing.
ITEM 5 (RESERVED)
ITEM 6 (RESERVED)
ITEM 7 (DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES): Not applicable to this filing.
ITEM 8 (RESERVED)
ITEM 9 (CONTROLS AND PROCEDURES):
SUB-ITEM 9a - The Principal Executive Officer and the Principal
Financial Officer have concluded that the State Street Research
Securities Trust disclosure controls and procedures (as defined in
Rule 30-a2(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the State Street
Research Securities Trust is made known to them by the appropriate
persons, based on their evaluation of these controls and procedures as
of a date within 90 days of the filing date of this report.
SUB-ITEM 9b - 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 referenced in
(a)(i) above.
ITEM 10 (EXHIBITS):
(a)(1) Code of Ethics required to be disclosed under Item 2 of Form
N-CSR attached hereto as Exhibit 99.CODE ETH
(a)(2) Certification for each principal executive and principal
financial officer of the Registrant required by Rule 30a-2(a)
under the Investment Company Act of 1940, as amended
(17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.302CERT
(b) Certification required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) attached
hereto as Exhibit 99.906CERT
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
State Street Research Securities Trust
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date December 31, 2003
------------------------------------------------------
<Page>
FORM N-CSR(3 OF 3)
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities, and on the
dates indicated.
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date December 31, 2003
------------------------
By: /s/ Douglas A. Romich
------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer
Date December 31, 2003
------------------------