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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act File Number 811-7538
LORD ABBETT SECURITIES TRUST
(Exact name of Registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302
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(Address of principal executive offices) (zip code)
Christina T. Simmons, Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
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(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 201-6984
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Date of fiscal year end: 10/31
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Date of reporting period: October 31, 2003
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ITEM 1: Report to Shareholders.
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[LORD ABBETT LOGO]
2003
ANNUAL
REPORT
LORD ABBETT
ALL VALUE FUND
ALPHA FUND
INTERNATIONAL OPPORTUNITIES
FUND
LARGE-CAP VALUE FUND
FOR THE YEAR ENDED OCTOBER 31, 2003
<Page>
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LORD ABBETT SECURITIES TRUST ANNUAL REPORT
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2003
DEAR SHAREHOLDERS: We are pleased to provide you with this twelve-month overview
of the Lord Abbett Securities Trust's strategies and performance for the fiscal
year ended October 31, 2003. On this and the following pages, we discuss the
major 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
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Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE REPORTING PERIOD?
A: War and general geopolitical concerns had a 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 rose during the period, reaching 6.4% by June 2003. 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.
In June, the Federal Reserve Board (the "Fed") cut interest rates 25 basis
points to 1%, in a continued attempt to spark the economy. With interest rates
at levels not seen for over 40 years, the Fed is attempting a variety of
measures to promote and sustain growth. Over the past year, the U.S. dollar
weakened versus the euro. A weaker dollar translates into more competitive
pricing for U.S. goods overseas. Additionally, imports became more expensive and
less attractive to the U.S. consumer, resulting in higher sales of American-made
goods within the U.S.-providing further stimulus for economic growth. During the
second quarter of 2003, President Bush signed into law a tax reform/economic
stimulus package with accelerated tax cuts and dividend exclusions.
The U.S. economy continued to show signs of improvement during the third
quarter of 2003, as domestic growth prospects and corporate profits improved.
Further evidence of an economic recovery sparked the equity markets, adding to
the market gains experienced in the second quarter. For the period, major
indices advanced, but concerns over future growth grew as the summer ended.
1
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As the economy entered the final months of 2003, early gross domestic product
(GDP) numbers showed that the U.S. economy expanded by an 8.2% rate in the third
quarter, well ahead of expectations and up from 3.3% growth in the second
quarter. In addition, productivity data, an important gauge for inflation,
remained strong and can be an important signal that interest rates may remain
low in the near-term. As the period came to a close, October's employment report
showed an increase of 126,000 jobs and a lower unemployment rate of 6.0%-an
encouraging sign as the economy enters 2004.
LORD ABBETT
ALL VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2003?
A: For the fiscal year ended October 31, 2003, Lord Abbett All Value Fund
returned 23.5%(1), underperforming the Russell 3000(R) Value Index(2), which
returned 24.1% over the same period. The Fund, however, outperformed the S&P 500
Index(3), which returned 20.8% for the same period. PLEASE REFER TO PAGE 6 FOR
AVERAGE ANNUAL TOTAL RETURNS.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The Fund's underweight in the financial services sector hurt performance
during the last twelve months, as companies within the sector experienced strong
performance as general economic activity increased with an improving economy.
Stock selection, combined with a sector overweight within the materials and
processing sector, aided relative performance for the year. Certain stocks of
mining companies performed well, as the price of gold appreciated during the
period. In addition, stock selection within the healthcare sector helped
performance, as stocks of certain companies engaged in the development and
distribution of generic and brand pharmaceutical products appreciated due to
record earnings.
LORD ABBETT ALPHA FUND
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2003?
A: The Alpha Series uses a "fund of funds" approach, which currently divides
assets among the Lord Abbett Developing Growth Fund, Lord Abbett Securities
Trust-Lord Abbett International Opportunities Fund (formerly International
Series) and Lord Abbett Small-Cap Value Fund. For the fiscal year ended October
31, 2003, Lord Abbett Securities Trust-Alpha Series returned 36.6%,(1)
underperforming its benchmark, the Citigroup Small-Cap World Index(4), which
returned 44.6% for the same period. PLEASE REFER TO PAGE 7 FOR AVERAGE ANNUAL
TOTAL RETURNS.
2
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LORD ABBETT DEVELOPING GROWTH FUND COMPONENT
(APPROXIMATELY 30.0% OF ALPHA SERIES)
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection within the healthcare sector was the primary detractor from
relative performance. Within the sector, certain holdings underperformed after
posting lower revenue and net income. Stock selection within materials and
processing also detracted from performance, as some holdings reported losses
from lower commodity prices. In addition, while absolute performance in the Lord
Abbett Developing Growth Fund was strong, stock selection in the technology
sector hurt relative performance.
During the period, the Lord Abbett Developing Growth Fund gained from stock
selection in the consumer discretionary sector, as certain holdings within the
retail and apparel industry benefited from renewed optimism over consumer
spending and strong earnings. In addition, the Fund benefited from an
underweight in the financial services sector, as the sector failed to keep pace
with the rest of the index.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND COMPONENT
(APPROXIMATELY 40.0% OF ALPHA SERIES)
See discussion below about Lord Abbett International Opportunities Fund.
LORD ABBETT SMALL-CAP VALUE FUND COMPONENT
(APPROXIMATELY 30.0% OF ALPHA SERIES)
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: During the period, the Lord Abbett Small-Cap Value Fund was negatively
impacted by stock selection in the consumer discretionary sector. While the
Fund's absolute return in this sector was strong, the performance lagged the
Fund's benchmark, the Russell 2000(R) Value Index.(5) Stock selection in the
energy sector also contributed negatively to the Fund's performance, as certain
holdings experienced greater-than-expected losses.
The largest positive contributor to performance during the fiscal year was
stock selection within the materials & processing sector, where certain holdings
benefited from lower expenses and improving margins. In addition, the Fund
benefited from holdings in the auto and transportation sector, as strong
earnings outlooks propelled certain Fund holdings. An underweight and stock
selection in the financial services sector also helped the Fund's performance.
LORD ABBETT INTERNATIONAL OPPORTUNITIES FUND (FORMERLY INTERNATIONAL SERIES)
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2003?
A: For the fiscal year ended October 31, 2003, Lord Abbett International
3
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Opportunities Fund returned 35.1%(1), outperforming the MSCI-EAFE Index(6),
which returned 27.6% over the same period. Please refer to page 8 for Average
Annual Total Returns.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection in the financial sector benefited Fund performance, as stocks
of companies in Australian and European insurers and banks outperformed. Stock
selection in the materials sector was also a positive, as higher gold prices
drove certain holdings.
The Fund's performance was hurt from poor stock selection in the information
technology and consumer discretionary sectors. While certain of the Fund's
technology holdings performed well in absolute terms, the Fund held higher
quality names that rallied less than the sector. In the consumer discretionary
sector, the Fund's performance was hurt by holdings in European retailers whose
growth prospects disappointed investors.
LORD ABBETT LARGE-CAP VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2003?
A: The Fund became available to the public on June 30, 2003. For the period from
June 30, 2003 to October 31, 2003, Lord Abbett Large-Cap Value Fund returned
8.4%(1), underperforming the S&P 500/Barra Value Index (7), which returned 9.6%
over the same period. The Fund, however, outperformed the Lipper Large-Cap Value
Average(8), which returned 7.6% for the period. Standardized Average Annual
Total Return for the period ended October 31, 2003 is 2.19% (since June 30,
2003). This reflects performance of Class A shares at the maximum sales charge
of 5.75% with all distributions reinvested.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection in the healthcare sector detracted from performance, as lower
earnings and sales guidance negatively impacted Fund holdings. In addition,
stock selection in the consumer staples sector hurt the Fund's performance.
Certain stocks in the sector declined as popular culture moved away from some
food products into healthier snack alternatives. Stock selection in the energy
sector also detracted from performance.
For the period, the Fund's overweight exposure to the materials sector added
to performance, as rising gold prices and a better economic environment created
optimism in the stocks of materials companies. The Fund's stock selection in the
industrial sector also benefited performance for the period, as certain holdings
experienced stronger earnings in an improving economy. In addition, stock
selection in the financial section added to performance.
4
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(1) Reflects performance at the Net Asset Value (NAV) of Class A shares, with
all distributions reinvested, for the fiscal year ended October 31, 2003.
(2) 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.
(3) The S&P 500 Index is widely regarded as the standard for measuring large-cap
U.S. stock market performance and includes a representative sample of leading
companies in leading industries. Indices are unmanaged, do not reflect the
deduction of fees or expenses and are not available for direct investment.
(4) The Citigroup Small-Cap World Index is a subset of the Global Citigroup
Broad Market Index (BMI).
(5) The 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.
(6) The Morgan Stanley Capital International (MSCI) - Europe, Australasia and
Far East (EAFE) Index is an unmanaged capitalization index representing the
industry composition and a sampling of small, medium and large capitalization
companies from the aforementioned global markets. It is a Morgan Stanley
International Index that includes stocks traded on 21 exchanges in Europe,
Australasia and the Far East. Indices are unmanaged, do not reflect the
deduction of fees or expenses and are not available for direct investment.
(7) The S&P 500/Barra Growth and Value Indices are constructed by dividing the
stocks in an index according to a single attribute: price-to-book ratios. This
splits the S&P 500 Index into two mutually exclusive indices designed to track
two of the predominant investment styles in the U.S. equity market. The Value
Index contains companies with lower price-to-book ratios; conversely, the Growth
Index containing firms with higher price-to-book ratios. Indices are unmanaged,
do not reflect the deduction of fees or expenses and are not available for
direct investment.
(8) Lipper Inc. is a nationally recognized organization that reports on mutual
fund total return performance and calculates fund rankings. Peer averages are
based on universes of funds with similar investment objectives. Peer group
averages include reinvested dividends and capital gains, if any, and exclude
sales charges.
IMPORTANT PERFORMANCE AND OTHER INFORMATION
The views of each Fund's management and the portfolio holdings described in this
report are as of October 31, 2003; these views and portfolio holdings may have
changed subsequent to this date and they do not guarantee the future performance
of the markets or the Funds. Information provided in this report should not be
considered a recommendation to purchase or sell securities.
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 a
Fund, 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 each
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.
Each Fund is actively managed and, as a result, asset allocation may change.
Sectors may include many industries.
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 FURTHER UPDATED PERFORMANCE INFORMATION, PLEASE CALL LORD ABBETT AT
800-821-5129 OR REFER TO OUR WEBSITE AT www.lordabbett.com.
FOR MORE COMPLETE INFORMATION ABOUT THIS OR ANY LORD ABBETT MUTUAL FUND,
INCLUDING RISKS, INVESTMENT OBJECTIVES, 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.
5
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ALL VALUE FUND
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INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class C shares with the same
investment in the S&P 500/Barra Value Index and Russell 3000(R) Value Index,
assuming reinvestment of all dividends and distributions. The performance of
other classes will be greater than or less than the performance shown in the
graph below due to different sales loads and expenses applicable to such
classes. The graph and performance table below do not reflect the deduction of
taxes that a shareholder would pay on fund distributions or the redemption of
fund shares. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS C SHARES)
AT NET ASSET VALUE(1) S&P 500/BARRA VALUE INDEX(2) RUSSELL 3000 VALUE INDEX(2)
Jan-1994 $ 10,000 $ 10,000 $ 10,000
Oct-1994 $ 10,262 $ 10,231 $ 10,083
Oct-1995 $ 12,502 $ 12,586 $ 12,481
Oct-1996 $ 15,006 $ 15,684 $ 15,386
Oct-1997 $ 18,901 $ 20,343 $ 20,553
Oct-1998 $ 20,968 $ 22,732 $ 23,141
Oct-1999 $ 25,791 $ 27,053 $ 26,676
Oct-2000 $ 28,561 $ 29,672 $ 28,360
Oct-2001 $ 26,362 $ 24,206 $ 25,356
Oct-2002 $ 24,142 $ 20,386 $ 22,963
Oct-2003 $ 29,622 $ 25,446 $ 28,488
</Table>
FISCAL YEAR-END 10/31
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2003
<Table>
<Caption>
1 YEAR 5 YEARS LIFE OF CLASS
CLASS A(3) 16.38% 6.50% 11.27%
CLASS B(4) 18.77% 7.00% 8.40%
CLASS C(5) 22.70% 7.16% 11.69%
CLASS P(6) 23.30% - 1.31%
</Table>
(1) This shows total return applicable to Class C shares, with all dividends and
distributions reinvested for the periods shown ended October 31, 2003, using the
SEC-required uniform method to compute such return.
(2) Performance of the unmanaged indices does not reflect any transaction costs,
management fees or sales charges. The performance of the indices is not
necessarily representative of the Fund's performance. Performance for the
Indices begins on December 31, 1993.
(3) Class A shares commenced operations on July 15, 1996. Total Return, which is
the percentage change in net asset value, after deduction of the maximum initial
sales charge of 5.75% applicable to Class A Shares, with all dividends and
distributions reinvested for the periods shown ended October 31, 2003, using the
SEC-required uniform method to compute such return.
(4) Class B shares commenced operations on June 5, 1997. Performance reflects
the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for the life of
the class.
(5) Class C shares commenced operations on January 3, 1994. Performance is at
net asset value. The 1% CDSC for Class C shares normally applies before the
first anniversary of the purchase date.
(6) Class P shares commenced operations on August 15, 2001. Performance is at
net asset value.
6
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ALPHA FUND
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INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class A shares with the same
investment in the Citigroup Small-Cap World Index assuming reinvestment of all
dividends and distributions. The performance of other classes will be greater
than or less than the performance shown in the graph below due to different
sales loads and expenses applicable to such classes. The graph and performance
table below do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS A SHARES) THE FUND (CLASS A SHARES)
AT NET ASSET VALUE AT MAXIMUM OFFERING PRICE(1) CITIGROUP SMALL-CAP WORLD INDEX(2)
3/18/98 $ 10,000 $ 9,425 $ 10,000
10/31/98 $ 8,308 $ 7,830 $ 8,484
10/31/99 $ 9,788 $ 9,226 $ 10,140
10/31/2000 $ 11,463 $ 10,804 $ 10,983
10/31/2001 $ 8,865 $ 8,355 $ 9,572
10/31/2002 $ 7,587 $ 7,151 $ 9,069
10/31/2003 $ 10,363 $ 9,767 $ 13,112
</Table>
FISCAL YEAR-END 10/31
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2003
<Table>
<Caption>
1 YEAR 5 YEAR LIFE OF CLASS
CLASS A(3) 28.71% 3.29% -.42%
CLASS B(4) 31.62% 3.68% -.18%
CLASS C(5) 35.62% 3.84% -.02%
</Table>
(1) Reflects the deduction of the maximum initial sales charge of 5.75%.
(2) Performance of the unmanaged Index does not reflect transaction costs,
management fees or sales charges. The performance of the Index is not
necessarily representative of the Fund's performance. Performance for the Index
begins on March 31, 1998.
(3) Class A shares commenced operations on March 18, 1998. Total Return, which
is the percentage change in net asset value, after deduction of the maximum
initial sales charge of 5.75% applicable to Class A Shares, with all dividends
and distributions reinvested for the periods shown ended October 31, 2003, using
the SEC-required uniform method to compute such return.
(4) Class B shares commenced operations on March 18, 1998. Performance reflects
the deduction of a CDSC of 4% for 1 year and 1% for the life of the class.
(5) Class C shares commenced operations on March 18, 1998. The 1% CDSC for Class
C shares normally applies before the first anniversary of the purchase date.
Performance is at net asset value.
7
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INTERNATIONAL OPPORTUNITIES FUND
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INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class A shares with the same
investment in the Citigroup Small-Cap World ex-US Index, assuming reinvestment
of all dividends and distributions. The performance of other classes will be
greater than or less than the performance shown in the graph below due to
different sales loads and expenses applicable to such classes. The graph and
performance table below do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS A SHARES) THE FUND (CLASS A SHARES)
AT NET ASSET VALUE AT MAXIMUM OFFERING PRICE(1) CITIGROUP SMALL CAP WORLD EX-U.S. INDEX(2)
Dec 13, 96 $ 10,000 $ 9,425 $ 10,000
Oct 31, 97 $ 11,516 $ 10,854 $ 9,300
Oct 31, 98 $ 13,169 $ 12,411 $ 8,800
Oct 31, 99 $ 14,902 $ 14,045 $ 10,728
Oct 31, 2000 $ 16,536 $ 15,585 $ 10,417
Oct 31, 2001 $ 8,943 $ 8,429 $ 8,754
Oct 31, 2002 $ 7,219 $ 6,804 $ 8,418
Oct 31, 2003 $ 9,750 $ 9,190 $ 12,660
</Table>
FISCAL YEAR-END 10/31
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2003
<Table>
<Caption>
1 YEAR 5 YEAR LIFE OF CLASS
CLASS A(3) 27.36% -6.95% -1.23%
CLASS B(4) 29.89% -6.64% -2.38%
CLASS C(5) 34.67% -6.38% -2.31%
CLASS P(6) 35.17% - -6.83%
CLASS Y(7) 35.22% -5.49% -3.15%
</Table>
(1) Reflects the deduction of the maximum initial sales charge of 5.75%.
(2) Performance of the unmanaged Index does not reflect transaction costs,
management fees or sales charges. The performance of the Index is not
necessarily representative of the Fund's performance. Performance for the Index
begins on December 31, 1996.
(3) Class A shares commenced operations on December 13, 1996. Total Return,
which is the percentage change in net asset value, after deduction of the
maximum initial sales charge of 5.75% applicable to Class A shares, with all
dividends and distributions reinvested for the periods shown ended October 31,
2003, using the SEC-required uniform method to compute such return.
(4) Class B shares commenced operations on June 2, 1997. Performance reflects
the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for the life of
the class.
(5) Class C shares commenced operations on June 2, 1997. The 1% CDSC for Class C
shares normally applies before the first anniversary of the purchase date.
Performance is at net asset value.
(6) Class P shares commenced operations on March 9, 1999. Performance is at net
asset value.
(7) Class Y shares commenced operations on December 30, 1997. Performance is at
net asset value.
8
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SCHEDULE OF INVESTMENTS
ALL VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
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COMMON STOCKS 92.81%
ADVERTISING AGENCY 0.63%
Interpublic
Group of Cos., Inc.* 320,000 $ 4,762
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AGRICULTURE FISHING &
RANCHING 0.76%
Delta & Pine Land Co. 137,000 3,132
Monsanto Co. 104,000 2,605
----------
TOTAL 5,737
----------
AIR TRANSPORTATION 0.30%
Alaska Air Group, Inc.* 36,100 1,039
AMR Corp.* 25,000 332
Southwest Airlines Co. 45,300 879
----------
TOTAL 2,250
----------
ALUMINUM 1.70%
Alcoa, Inc. 407,000 12,849
----------
AUTO PARTS: AFTER
MARKET 0.64%
Genuine Parts Co. 152,000 4,837
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AUTO PARTS: ORIGINAL
EQUIPMENT 1.40%
American Axle &
Mfg Holdings* 110,000 3,806
Borg Warner, Inc. 52,000 4,138
Dana Corp. 160,000 2,605
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TOTAL 10,549
----------
BANKS: OUTSIDE
NEW YORK CITY 6.73%
Bank One Corp. 280,000 11,886
Cullen/Frost
Bankers, Inc. 194,000 7,519
Doral Financial Corp.(a) 147,700 7,459
FleetBoston
Financial Corp. 46,000 1,858
MBNA Corp. 119,460 $ 2,957
Wachovia Corp. 194,600 8,926
Wells Fargo & Co. 180,000 10,138
----------
TOTAL 50,743
----------
BEVERAGE: SOFT DRINKS 1.65%
PepsiCo, Inc. 259,900 12,428
----------
CABLE TELEVISION
SERVICES 1.43%
Viacom, Inc. 270,000 10,765
----------
CHEMICALS 3.09%
E.I. du Pont de
Nemours & Co. 155,000 6,262
Eastman Chemical Co. 85,000 2,759
OM Group, Inc.* 194,500 3,481
Praxair, Inc. 110,000 7,654
Rohm & Haas Co. 80,000 3,144
----------
TOTAL 23,300
----------
COMPUTER SERVICES SOFTWARE &
SYSTEMS 1.27%
Cadence Design
Systems, Inc.* 235,000 3,617
Electronics for
Imaging, Inc.* 81,800 2,217
Reynolds & Reynolds 138,000 3,748
----------
TOTAL 9,582
----------
COMPUTER TECHNOLOGY 3.42%
Apple Computer, Inc.* 675,000 15,451
EMC Corp.* 414,900 5,742
Zebra Technologies
Corp. Class A* 81,150 4,621
----------
TOTAL 25,814
----------
CONSUMER ELECTRONICS 0.29%
Take-Two Interactive
Software, Inc.* 55,000 2,175
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
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SCHEDULE OF INVESTMENTS (CONTINUED)
ALL VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
CONSUMER PRODUCTS 0.52%
Yankee Candle Co.* 140,000 $ 3,917
----------
CONTAINERS & PACKAGING:
PAPER & PLASTIC 0.75%
Pactiv Corp.* 255,000 5,623
----------
COPPER 0.21%
Mueller Industries, Inc.* 50,000 1,578
----------
DIVERSIFIED FINANCIAL
SERVICES 3.19%
Citigroup, Inc. 350,000 16,590
Merrill Lynch & Co., Inc. 125,500 7,430
----------
TOTAL 24,020
----------
DIVERSIFIED MANUFACTURING 1.01%
Georgia-Pacific Corp. 290,000 7,621
----------
DRUGS & PHARMACEUTICALS 3.91%
Merck & Co., Inc. 108,000 4,779
Mylan Laboratories, Inc. 40,700 983
Novartis AG-ADR 215,900 8,284
Schering-Plough Corp. 635,000 9,696
Wyeth 130,000 5,738
----------
TOTAL 29,480
----------
ELECTRICAL EQUIPMENT &
COMPONENTS 0.68%
Emerson Electric Co. 60,000 3,405
Technitrol, Inc.* 79,000 1,722
----------
TOTAL 5,127
----------
ELECTRONICS 0.65%
Vishay
Intertechnology, Inc.* 262,300 4,918
----------
ELECTRONICS: INSTRUMENTS
GAUGES & METERS 0.38%
Dionex Corp.* 67,000 2,850
----------
ELECTRONICS: MEDICAL
SYSTEMS 0.27%
Haemonetics Corp.* 89,500 $ 2,064
----------
ELECTRONICS: TECHNOLOGY 2.14%
Intermagnetics
General Corp.* 40,000 942
Motorola, Inc. 1,120,000 15,153
----------
TOTAL 16,095
----------
ENTERTAINMENT 2.31%
The Walt Disney Co. 768,800 17,406
----------
FERTILIZERS 0.63%
Potash Corp. of
Saskatchewan(a) 60,000 4,724
----------
FINANCE COMPANIES 1.57%
Mellon Financial Corp. 309,400 9,242
Quanta Capital
Holdings* 260,000 2,626
----------
TOTAL 11,868
----------
FOODS 2.42%
General Mills, Inc. 120,500 5,404
Kraft Foods, Inc. Class A 167,935 4,887
Smithfield Foods, Inc.* 374,400 7,960
----------
TOTAL 18,251
----------
FOREST PRODUCTS 0.14%
Weyerhaeuser Co. 18,000 1,084
----------
GOLD 1.70%
Newmont Mining Corp. 292,000 12,784
----------
HEALTHCARE FACILITIES 0.49%
Manor Care, Inc. 110,000 3,661
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
ALL VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
HEALTHCARE MANAGEMENT
SERVICES 0.48%
Caremark Rx, Inc.* 27,780 $ 696
Sierra Health
Services, Inc.* 125,000 2,911
----------
TOTAL 3,607
----------
IDENTIFICATION CONTROL &
FILTER DEVICES 0.99%
Hubbell, Inc. 135,000 5,784
IDEX Corp. 46,000 1,710
----------
TOTAL 7,494
----------
INSURANCE: MULTI-LINE 2.17%
American Int'l
Group, Inc. 115,000 6,995
Markel Corp.* 19,800 4,997
SAFECO Corp. 118,500 4,349
----------
TOTAL 16,341
----------
INSURANCE:
PROPERTY-CASUALTY 1.54%
Odyssey Re
Holdings Corp. 255,900 5,369
XL Capital Ltd. Class A(a) 89,500 6,220
----------
TOTAL 11,589
----------
MACHINERY: AGRICULTURAL 2.66%
Deere & Co. 331,300 20,083
----------
MACHINERY: ENGINES 1.16%
Briggs & Stratton Corp. 81,000 5,266
Cummins, Inc. 73,500 3,484
----------
TOTAL 8,750
----------
MACHINERY: INDUSTRIAL/
SPECIALTY 0.94%
Illinois Tool Works, Inc. 74,100 5,450
Woodward Governor Co. 36,000 1,665
----------
TOTAL 7,115
----------
MACHINERY: OIL WELL
EQUIPMENT & SERVICES 2.31%
Baker Hughes, Inc. 60,000 $ 1,696
Grant Prideco, Inc.* 190,000 2,155
Grey Wolf, Inc.* 800,000 2,568
Halliburton Co. 130,000 3,104
Helmerich & Payne, Inc. 85,000 2,253
Pride Int'l., Inc.* 241,700 3,959
Schlumberger Ltd. 35,000 1,644
----------
TOTAL 17,379
----------
MACHINERY: SPECIALTY 0.13%
JLG Industries, Inc. 83,700 999
----------
MEDICAL & DENTAL
INSTRUMENTS & SUPPLIES 0.99%
Bausch & Lomb, Inc. 126,300 6,083
ICU Medical, Inc.* 42,000 1,419
----------
TOTAL 7,502
----------
MEDICAL SERVICES 0.27%
Covance, Inc.* 77,400 2,015
----------
METAL FABRICATING 1.61%
Quanex Corp. 167,100 6,692
The Timken Co. 325,000 5,454
----------
TOTAL 12,146
----------
METALS & MINERALS
MISCELLANEOUS 0.46%
Graftech Int'l Ltd.* 332,100 3,451
----------
MILLING: FRUIT AND GRAIN
PROCESSING 0.72%
Archer-Daniels-
Midland Co. 380,000 5,453
----------
MISCELLANEOUS EQUIPMENT 0.92%
W.W. Grainger, Inc. 152,300 6,972
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
ALL VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
MISCELLANEOUS MATERIALS &
PROCESSING 0.19%
Rogers Corp.* 35,000 $ 1,399
----------
MULTI-SECTOR COMPANIES 2.70%
3M Co. 31,200 2,461
Eaton Corp. 92,000 9,222
Tyco Int'l., Ltd.(a) 415,000 8,665
----------
TOTAL 20,348
----------
OFFICE FURNITURE & BUSINESS
EQUIPMENT 0.86%
Xerox Corp.* 615,000 6,458
----------
OIL: CRUDE PRODUCERS 0.94%
Chesapeake Energy Corp. 115,000 1,372
EOG Resources, Inc. 77,400 3,262
Westport
Resources Corp.* 101,400 2,427
----------
TOTAL 7,061
----------
OIL: INTEGRATED INTERNATIONAL 4.45%
ChevronTexaco Corp. 39,200 2,912
Exxon Mobil Corp. 837,012 30,618
----------
TOTAL 33,530
----------
PAPER 1.51%
International Paper Co. 165,064 6,495
Meadwestvaco Corp. 190,000 4,925
----------
TOTAL 11,420
----------
PUBLISHING: NEWSPAPERS 1.78%
Journal Register Co.* 107,800 2,159
Tribune Co. 230,000 11,282
----------
TOTAL 13,441
----------
RADIO & TV BROADCASTERS 0.99%
Clear Channel
Communications, Inc. 182,500 7,450
----------
RAILROADS 0.94%
CSX Corp. 222,000 $ 7,064
----------
REAL ESTATE INVESTMENT
TRUSTS 0.43%
Host Marriott Corp.* 306,800 3,206
----------
RESTAURANTS 0.41%
Yum! Brands, Inc.* 90,000 3,073
----------
RETAIL 4.02%
Barnes & Noble, Inc.* 90,000 2,682
Foot Locker, Inc. 60,000 1,074
J.C. Penney Co., Inc. 152,000 3,595
Limited Brands, Inc. 470,000 8,272
Pier 1 Imports, Inc. 300,000 6,930
Target Corp. 194,200 7,717
----------
TOTAL 30,270
----------
SAVINGS & LOAN 0.12%
Webster Financial Corp. 21,000 939
----------
SERVICES: COMMERCIAL 0.43%
Waste
Management, Inc. 125,000 3,240
----------
SHOES 0.90%
NIKE, Inc. Class B 106,000 6,773
----------
SOAPS & HOUSEHOLD
CHEMICALS 1.21%
Gillette Co. 285,000 9,092
----------
TELECOMMUNICATIONS
EQUIPMENT 0.32%
Arris Group, Inc.* 103,000 618
C-Cor.Net Corp.* 175,300 1,767
----------
TOTAL 2,385
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
ALL VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
TOYS 0.51%
Hasbro, Inc. 177,500 $ 3,870
----------
UTILITIES: CABLE TV &
RADIO 1.43%
Comcast Corp.* 329,975 10,764
----------
UTILITIES: ELECTRICAL 2.01%
Ameren Corp. 112,200 5,010
CMS Energy Corp.* 420,000 3,410
Progress Energy, Inc. 156,000 6,724
----------
TOTAL 15,144
----------
UTILITIES:
TELECOMMUNICATIONS 2.47%
SBC
Communications, Inc. 240,000 5,755
Verizon
Communications, Inc. 382,000 12,835
----------
TOTAL 18,590
----------
UTILITIES: WATER 0.56%
Philadelphia
Suburban Corp. 180,000 4,252
----------
TOTAL COMMON STOCKS
(Cost $615,614,746) 699,527
==========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- --------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 6.45%
REPURCHASE AGREEMENT 6.45%
Repurchase Agreement dated 10/31/2003, 0.99% due 11/3/2003
with State Street Bank & Trust Co. collateralized by
$1,635,000 of Federal Home Loan Mortgage Corp. at 1.20% due
8/6/2004 and $46,590,000 of Federal Home Loan Bank at 3.25%
due 8/15/2005; value: $49,584,069; proceeds: $48,608,425
(Cost $48,604,415) $ 48,604 $ 48,604
==========
TOTAL INVESTMENTS
99.26% (Cost $664,219,161) $ 748,131
==========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<Page>
SCHEDULE OF INVESTMENTS
ALPHA FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
INVESTMENTS IN
UNDERLYING FUNDS 99.43%
Lord Abbett Developing
Growth Fund, Inc. -
Class Y*(a) 2,598,664 $ 39,968
Lord Abbett Research
Fund, Inc. Small-Cap
Value Fund -
Class Y*(b) 1,594,581 39,769
Lord Abbett Securities
Trust-International
Opportunities Fund -
Class Y(b) 6,236,260 53,195
----------
TOTAL INVESTMENTS IN
UNDERLYING FUNDS
(Cost $141,363,542) 132,932
==========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- --------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 0.66%
REPURCHASE AGREEMENT 0.66%
Repurchase Agreement dated 10/31/2003, 0.99% due 11/3/2003
with State Street Bank & Trust Co. collateralized by
$905,000 of Federal Home Loan Mortgage Corp. at 1.25% due
8/27/2004; value: $907,702; proceeds: $888,300
(Cost $888,227) $ 888 $ 888
==========
TOTAL INVESTMENTS
100.09% (Cost $142,251,769) $ 133,820
==========
</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.
SCHEDULE OF INVESTMENTS
INTERNATIONAL OPPORTUNITIES FUND+ OCTOBER 31, 2003
<Table>
<Caption>
U.S.$
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
COMMON STOCKS 93.87%
AUSTRALIA 8.71%
Amcor Ltd. 300,700 $ 1,814
James Hardie
Industries N.V.* 336,500 1,712
Newcrest Mining Ltd. 354,900 3,042
Promina Group Ltd. 1,001,400 2,359
QBE Insurance
Group Ltd.^ 256,100 1,872
Santos Ltd. 255,900 1,109
----------
TOTAL 11,908
----------
BELGIUM 1.35%
Colruyt N.V. 20,400 $ 1,850
----------
CANADA 3.00%
Cognos, Inc.* 60,500 2,089
Cott Corp.* 77,200 2,011
----------
TOTAL 4,100
----------
CHINA 1.22%
People's Food
Holdings Ltd.^ 1,294,000 825
United Food
Holdings Ltd.^ 2,580,531 837
----------
TOTAL 1,662
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND+ OCTOBER 31, 2003
<Table>
<Caption>
U.S.$
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
FRANCE 9.18%
Imerys S.A.^ 10,700 $ 2,052
IPSOS^ 27,800 2,346
Neopost S.A. 48,550 2,411
Publicis Groupe^ 59,300 1,854
SR Teleperformance 100,369 1,908
Zodiac S.A. 67,300 1,989
----------
TOTAL 12,560
----------
GERMANY 6.21%
Continental AG 70,400 2,398
Eigner US*~ 997,900 --(a)
Medion AG^ 43,400 1,937
Prosieben Sat.1
Media AG-Pfd 95,800 1,459
Puma AG 18,650 2,693
----------
TOTAL 8,487
----------
GREECE 2.40%
Opap 138,200 1,703
Vodafone Panafon S.A. 226,300 1,578
----------
TOTAL 3,281
----------
HONG KONG 5.23%
Dah Sing Financial 273,422 1,910
Esprit Holdings Ltd. 620,700 1,950
Hong Kong
Exchanges & Clear 750,800 1,634
Smartone
Telecommunications 1,021,500 1,657
----------
TOTAL 7,151
----------
IRELAND 1.97%
Anglo Irish Bank
Corp. plc 224,800 2,700
----------
ITALY 4.74%
Alleanza Assicurazioni^ 116,825 1,169
Credito Emiliano S.P.A. 255,500 1,702
Davide Campari-Milano
S.P.A. 42,300 $ 1,819
Merloni
Elettrodomestici 106,500 1,795
----------
TOTAL 6,485
----------
JAPAN 23.17%
Alps Electric Co. Ltd.^ 93,200 1,562
Arisawa Mfg Co. Ltd. 35,200 1,406
Casio Computer Co. Ltd.^ 205,700 1,832
Daikin Industries Ltd. 81,100 1,730
Don Quijote Co. Ltd.^ 34,000 1,828
Goodwill Group, Inc. 212 1,527
KOSE Corp.^ 44,800 1,430
Matsumotokiyoshi
Co. Ltd.^ 34,000 1,710
Misumi Corp. 30,600 1,394
Mitsui Mining &
Smelting Co. 350,000 1,401
Nikon Corp.* 158,200 2,402
Nitori Co. Ltd.^ 24,700 1,575
Nitto Denko Corp. 50,070 2,628
Park24 Co. Ltd. 94,100 2,011
Stanley Electronic
Co. Ltd. 118,700 2,527
THK Co. Ltd.^ 67,300 1,365
Uni-Charm Corp. 33,250 1,552
Yamaha Motor Co., Ltd.^ 159,800 1,813
----------
TOTAL 31,693
----------
RUSSIA 1.68%
Vimpelcom - SP ADR*^ 35,300 2,298
----------
SINGAPORE 2.46%
Great Eastern
Holdings, Ltd.^ 234,400 1,495
Venture Corp. 172,000 1,867
----------
TOTAL 3,362
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND+ OCTOBER 31, 2003
<Table>
<Caption>
U.S.$
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
SOUTH KOREA 0.31%
NHN Corp. 3,300 $ 422
----------
SPAIN 6.96%
Corporacion Mapfre S.A. 165,550 2,063
Grupo Ferrovial S.A.^ 59,100 1,687
Iberia Lineas Aereas de
Espana S.A.^ 903,700 2,206
Indra Sistemas, S.A. 148,800 1,675
Prosegur, Compania de
Seguridad S.A. 115,802 1,885
----------
TOTAL 9,516
----------
SWEDEN 1.38%
Getinge AG 51,500 1,885
----------
SWITZERLAND 2.61%
Geberit AG* 4,815 1,983
Nobel Biocare Hldgs. AG 17,900 1,589
----------
TOTAL 3,572
----------
UNITED KINGDOM 11.29%
Aegis Group plc 1,065,500 1,804
Cattles plc 308,100 1,668
Close Brothers Group plc 154,650 1,896
HIT Entertainment plc 393,500 1,830
ICAP plc 80,000 1,878
Jarvis plc 148,000 609
Lastminute.com plc* 275,300 1,385
Man Group plc 82,300 2,024
Michael Page Int'l 119,180 372
Next plc 98,500 1,972
----------
TOTAL 15,438
----------
TOTAL COMMON STOCKS
(Cost $99,511,542) 128,370
==========
SHORT-TERM INVESTMENTS 18.62%
COLLATERAL FOR SECURITIES
ON LOAN 18.35%
State Street Navigator
Securities Lending Prime
Portfolio, 1.04%(b) 25,100 $ 25,100
----------
<Caption>
PRINCIPAL
AMOUNT
(000)
-----
REPURCHASE AGREEMENT 0.27%
Repurchase Agreement dated 10/31/2003, 0.99% due 11/3/2003
with State Street Bank & Trust Co. collateralized by
$380,000 of Federal Home Loan Mortgage Corp. at zero coupon
due 12/18/2003; value: $379,525; proceeds: $370,906 $ 371 371
TOTAL SHORT-TERM INVESTMENTS
(Cost $25,471,269) 25,471
==========
TOTAL INVESTMENTS
112.49% (Cost $124,982,811) $ 153,841
==========
</Table>
+ Formerly International Series.
* 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) Rate shown reflects 7 day yield as of October 31, 2003.
Pfd-Preferred Shares.
ADR-American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
16
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND+ OCTOBER 31, 2003
- --------------------------------------------------------------------------------
SECURITIES PRESENTED BY INDUSTRY (UNAUDITED):
<Table>
Aerospace & Defense 1.45%
Air Transportation 1.61
Autos & Auto Parts 4.93
Banks & Financial Services 1.97
Chemicals 2.95
Computer Hardware 1.42
Computer Services 1.22
Computer Software 1.53
Construction Materials 2.75
Consumer Building 1.45
Consumer Durables 1.34
Consumer Non-Durables 6.75
Electronics 4.26
Engineering & Capital Goods 3.08
Engineering & Construction 2.94
Food & Drink 4.02
General Manufacturing & Services 7.58
Healthcare Products & Supplies 2.54
Internet Companies 0.31
Leisure & Recreation 1.25
Media 8.19
Mining & Metals 3.25
Non-Property Financials 15.85
Oil & Gas 0.81
Retail 6.37
Telecommunications Services 4.05
Collateral for Securities on Loan 18.35
Repurchase Agreement 0.27
------
TOTAL 112.49%
------
</Table>
+ Formerly International Series
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
SCHEDULE OF INVESTMENTS
LARGE-CAP VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
COMMON STOCKS 91.42%
AIRLINES 0.86%
AMR Corp.* 766 $ 10
Delta Air Lines, Inc.* 932 12
----------
TOTAL 22
----------
BEVERAGES 2.16%
Diageo plc ADR 170 8
PepsiCo, Inc. 984 47
----------
TOTAL 55
----------
CHEMICALS 4.55%
E.I. du Pont de
Nemours & Co. 749 30
Monsanto Co. 668 17
Potash Corp. of
Saskatchewan(a) 227 18
Praxair, Inc. 404 28
Rohm & Haas Co. 592 23
----------
TOTAL 116
----------
COMMERCIAL BANKS 9.91%
Bank of America Corp. 200 15
Bank of New York Co., Inc. 504 16
Bank One Corp. 1,186 51
FleetBoston Financial Corp. 752 30
Mellon Financial Corp. 1,412 42
U.S. Bancorp 815 22
Wachovia Corp. 962 44
Wells Fargo & Co. 578 33
----------
TOTAL 253
----------
COMMERCIAL SERVICES & SUPPLIES 1.02%
Waste Management, Inc. 980 26
----------
COMMUNICATIONS EQUIPMENT 2.59%
Corning, Inc.* 1,302 $ 14
Motorola, Inc. 3,851 52
----------
TOTAL 66
----------
COMPUTERS & PERIPHERALS 4.74%
Apple Computer, Inc.* 2,798 64
EMC Corp.* 4,084 57
----------
TOTAL 121
----------
DIVERSIFIED FINANCIALS 5.05%
Citigroup, Inc. 1,466 69
J.P. Morgan Chase & Co. 549 20
MBNA Corp. 245 6
Merrill Lynch & Co., Inc. 576 34
----------
TOTAL 129
----------
DIVERSIFIED TELECOMMUNICATION
SERVICES 3.53%
BellSouth Corp. 366 10
SBC Communications, Inc. 1,042 25
Verizon
Communications, Inc. 1,649 55
----------
TOTAL 90
----------
ELECTRIC UTILITIES 1.88%
Constellation Energy
Group, Inc. 316 11
FPL Group, Inc. 192 12
Progress Energy, Inc. 571 25
----------
TOTAL 48
----------
ELECTRICAL EQUIPMENT 0.51%
Emerson Electric Co. 226 13
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
LARGE-CAP VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS 0.78%
Agilent Technologies, Inc.* 563 $ 14
Solectron Corp.* 975 6
----------
TOTAL 20
----------
ENERGY EQUIPMENT &
SERVICES 2.74%
Baker Hughes, Inc. 1,376 39
Schlumberger Ltd. 654 31
----------
TOTAL 70
----------
FOOD PRODUCTS 4.04%
Archer-Daniels-
Midland Co. 1,175 17
General Mills, Inc. 823 37
Kellogg Co. 494 16
Kraft Foods, Inc. Class A 1,135 33
----------
TOTAL 103
----------
HEALTHCARE EQUIPMENT &
SUPPLIES 0.31%
Baxter Int'l., Inc. 308 8
----------
HEALTHCARE PROVIDERS &
SERVICES 0.98%
Cardinal Health, Inc. 298 18
Tenet Healthcare Corp.* 546 7
----------
TOTAL 25
----------
HOUSEHOLD DURABLES 0.55%
Newell Rubbermaid, Inc. 588 14
----------
INDUSTRIAL CONGLOMERATES 1.29%
Tyco Int'l., Ltd.(a) 1,598 33
----------
INSURANCE 3.10%
American Int'l. Group, Inc. 1,023 62
Hartford Financial
Group, Inc. 301 17
----------
TOTAL 79
----------
MACHINERY 5.37%
Deere & Co. 1,191 $ 72
Eaton Corp. 338 34
Illinois Tool Works, Inc. 328 24
Parker - Hannifin Corp. 130 7
----------
TOTAL 137
----------
MEDIA 8.46%
Clear Channel
Communications, Inc. 865 35
Comcast Corp.* 1,515 49
The Walt Disney Co. 2,559 58
Tribune Co. 687 34
Viacom, Inc. 989 40
----------
TOTAL 216
----------
METALS & MINING 3.45%
Alcoa, Inc. 1,551 49
Newmont Mining Corp. 882 39
----------
TOTAL 88
----------
MULTI-LINE RETAIL 1.65%
Target Corp. 1,069 42
----------
OFFICE ELECTRONICS 1.53%
Xerox Corp.* 3,704 39
----------
OIL & GAS 5.06%
BP plc ADR 301 13
Exxon Mobil Corp. 3,188 116
----------
TOTAL 129
----------
PAPER & FOREST PRODUCTS 2.55%
Bowater, Inc. 187 8
International Paper Co. 1,070 42
Weyerhaeuser Co. 257 15
----------
TOTAL 65
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
LARGE-CAP VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- --------------------------------------------------------------------------------------
PERSONAL PRODUCTS 0.74%
Gillette Co. 580 $ 19
----------
PHARMACEUTICALS 5.37%
Abbott Laboratories 353 15
Merck & Co., Inc. 559 25
Novartis AG-ADR 603 23
Schering-Plough Corp. 2,371 36
Wyeth 858 38
----------
TOTAL 137
----------
ROAD & RAIL 1.21%
Canadian National Railway(a) 141 8
CSX Corp. 720 23
----------
TOTAL 31
----------
SEMICONDUCTOR EQUIPMENT &
PRODUCTS 0.51%
Teradyne, Inc.* 551 13
----------
SPECIALTY RETAIL 3.17%
Limited Brands, Inc. 1,543 27
Staples, Inc.* 532 14
The Gap, Inc. 2,098 40
----------
TOTAL 81
----------
TEXTILES & APPAREL 1.76%
NIKE, Inc. Class B 520 33
V.F. Corp. 272 12
----------
TOTAL 45
----------
TOTAL COMMON STOCKS
(Cost $2,203,978) 2,333
==========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- --------------------------------------------------------------------------------------
SHORT-TERM INVESTMENT 5.84%
REPURCHASE AGREEMENT 5.84%
Repurchase Agreement dated 10/31/2003, 0.99% due 11/3/2003
with State Street Bank & Trust Co. collateralized by
$155,000 of Federal National Mortgage Assoc. at 1.875% due
2/15/2005; value: $156,001; proceeds: $149,377
(Cost $149,365) $ 149 $ 149
==========
TOTAL INVESTMENTS
97.26% (Cost $2,353,343) $ 2,482
==========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR-American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
20
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2003
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
ASSETS:
Investment in securities, at cost $ 664,219,161 $ 142,251,769
- -------------------------------------------------------------------------------------------------
Investment in securities, at value $ 748,131,078 $ 133,819,839
Receivables:
Interest and dividends 707,472 24
Capital shares sold 16,163,386 207,886
From affiliates - 37,691
Prepaid expenses and other assets 108,888 689
- -------------------------------------------------------------------------------------------------
TOTAL ASSETS 765,110,824 134,066,129
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Investment securities purchased 9,704,484 -
Capital shares reacquired 491,429 147,073
Management fees 372,541 -
12b-1 distribution fees 409,259 86,380
Fund administration 23,659 4,441
Trustees' fees 168,235 6,803
To Lord, Abbett & Co. LLC 11,699 -
Accrued expenses and other liabilities 241,967 126,559
- -------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 11,423,273 371,256
=================================================================================================
NET ASSETS $ 753,687,551 $ 133,694,873
=================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 662,442,964 $ 152,816,538
Distributions in excess of net investment income (168,235) -
Accumulated net realized gain (loss) on investments 7,500,905 (10,689,735)
Net unrealized appreciation (depreciation) on investments 83,911,917 (8,431,930)
- -------------------------------------------------------------------------------------------------
NET ASSETS $ 753,687,551 $ 133,694,873
=================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 452,098,182 $ 62,382,871
Class B Shares $ 100,271,879 $ 42,341,682
Class C Shares $ 200,024,670 $ 28,970,320
Class P Shares $ 1,280,116 -
Class Y Shares $ 12,704 -
OUTSTANDING SHARES BY CLASS:
Class A Shares 45,530,740 4,338,593
Class B Shares 10,352,417 3,019,352
Class C Shares 20,709,598 2,065,620
Class P Shares 129,559 -
Class Y Shares 1,277 -
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 9.93 $ 14.38
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 10.54 $ 15.26
Class B Shares-Net asset value $ 9.69 $ 14.02
Class C Shares-Net asset value $ 9.66 $ 14.02
Class P Shares-Net asset value $ 9.88 -
Class Y Shares-Net asset value $ 9.95 -
=================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<Page>
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
October 31, 2003
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND+ VALUE FUND
ASSETS:
Investment in securities, at cost $ 124,982,811 $ 2,353,343
- -------------------------------------------------------------------------------------------------
Investment in securities, at value $ 153,841,334 $ 2,481,621
Cash, at value (cost $5,205,147, $0, respectively) 5,229,137 -
Receivables:
Interest and dividends 283,864 3,044
Investment securities sold 3,408,578 3,481
Capital shares sold 235,079 157,031
From Lord, Abbett & Co. LLC - 33,345
Deferred offering expense - 51,464
- -------------------------------------------------------------------------------------------------
TOTAL ASSETS 162,997,992 2,729,986
- -------------------------------------------------------------------------------------------------
LIABILITIES:
Payable upon return of securities on loan 25,100,394 -
Payables:
Investment securities purchased 559,407 43,690
Capital shares reacquired 41,578 -
Management fees 85,809 760
12b-1 distribution fees 47,955 577
Fund administration 4,533 76
Trustees' fees 12,072 864
To Lord, Abbett & Co. LLC - 51,464
Accrued expenses and other liabilities 377,439 80,415
- -------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 26,229,187 177,846
=================================================================================================
NET ASSETS $ 136,768,805 $ 2,552,140
=================================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 238,560,304 $ 2,407,596
Undistributed net investment income 1,706,625 6,045
Accumulated net realized gain (loss) on investments
and foreign currency related transactions (132,379,851) 10,221
Net unrealized appreciation on investments
and translation of assets and
liabilities denominated in foreign currencies 28,881,727 128,278
- -------------------------------------------------------------------------------------------------
NET ASSETS $ 136,768,805 $ 2,552,140
=================================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 55,229,698 $ 2,270,860
Class B Shares $ 17,978,389 $ 111,404
Class C Shares $ 10,323,331 $ 148,394
Class P Shares $ 787 $ 10,732
Class Y Shares $ 53,236,600 $ 10,750
OUTSTANDING SHARES BY CLASS:
Class A Shares 6,565,082 211,568
Class B Shares 2,191,490 10,429
Class C Shares 1,259,711 13,881
Class P Shares 92.85 1,000
Class Y Shares 6,237,490 1,000
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 8.41 $ 10.73
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 8.92 $ 11.38
Class B Shares-Net asset value $ 8.20 $ 10.68
Class C Shares-Net asset value $ 8.19 $ 10.69
Class P Shares-Net asset value $ 8.47 $ 10.73
Class Y Shares-Net asset value $ 8.53 $ 10.75
=================================================================================================
</Table>
+Formerly International Series
SEE NOTES TO FINANCIAL STATEMENTS.
22
<Page>
STATEMENTS OF OPERATIONS
For the Year Ended October 31, 2003
<Table>
<Caption>
ALL VALUE ALPHA
FUND FUND
INVESTMENT INCOME:
Dividends $ 7,362,651 $ 572,817
Interest 323,202 25,496
Foreign withholding tax (17,113) -
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 7,668,740 598,313
- -------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 3,191,937 573,839
12b-1 distribution plan-Class A 1,009,570 192,004
12b-1 distribution plan-Class B 646,162 364,316
12b-1 distribution plan-Class C 1,369,767 249,814
12b-1 distribution plan-Class P 3,236 -
Shareholder servicing 985,767 517,855
Market data 2,418 1,200
Professional 111,733 36,520
Reports to shareholders 78,499 31,132
Fund accounting 9,161 2,053
Fund administration 159,477 38,788
Custody 28,816 4,449
Trustees' fees 7,345 4,477
Registration 87,694 36,646
Organization - 1,411
Other 31,433 2,691
- -------------------------------------------------------------------------------------------------
Gross expenses 7,723,015 2,057,195
Expense reductions (4,981) (1,344)
Expenses assumed by Underlying Funds - (642,681)
Management fee waived - (573,839)
- -------------------------------------------------------------------------------------------------
NET EXPENSES 7,718,034 839,331
- -------------------------------------------------------------------------------------------------
NET INVESTMENT LOSS (49,294) (241,018)
- -------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Capital gains received from Underlying Funds - 2,224,496
Net realized gain (loss) on investments 8,709,355 (12,911,153)
Net change in unrealized appreciation/depreciation
on investments 98,646,882 47,133,769
=================================================================================================
NET REALIZED AND UNREALIZED GAIN 107,356,237 36,447,112
=================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 107,306,943 $ 36,206,094
=================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<Page>
STATEMENTS OF OPERATIONS (CONTINUED)
For the Year Ended October 31, 2003
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
FUND+ VALUE FUND*
INVESTMENT INCOME:
Dividends $ 2,530,652 $ 10,390
Interest and other 1,226,904 573
Securities lending 148,332 -
Foreign withholding tax (235,557) (41)
- -------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 3,670,331 10,922
- -------------------------------------------------------------------------------------------------
EXPENSES:
Management fees 845,895 2,566
12b-1 distribution plan-Class A 174,839 2,096
12b-1 distribution plan-Class B 142,253 136
12b-1 distribution plan-Class C 81,986 216
12b-1 distribution plan-Class P 3 16
Shareholder servicing 562,159 7,318
Market data 7,676 458
Professional 41,198 43,050
Reports to shareholders 30,726 7,477
Fund accounting 1,805 -
Fund administration 38,429 257
Custody 78,693 9,838
Trustees' fees 4,941 868
Registration 68,597 22,257
Offering - 28,051
Subsidy (see Note 3) 238,185 -
Securities lending 26,116 -
Other - 4,977
- -------------------------------------------------------------------------------------------------
Gross expenses 2,343,501 129,581
Expense reductions (1,276) -
Expenses assumed by Lord, Abbett & Co. LLC - (123,236)
- -------------------------------------------------------------------------------------------------
NET EXPENSES 2,342,225 6,345
- -------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,328,106 4,577
- -------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on investments
and foreign currency related transactions (7,252,730) 10,221
Net change in unrealized appreciation/depreciation
on investments and translation of assets and liabilities
denominated in foreign currencies 41,544,219 128,278
=================================================================================================
NET REALIZED AND UNREALIZED GAIN 34,291,489 138,499
=================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 35,619,595 $ 143,076
=================================================================================================
</Table>
+Formerly International Series
*For the period June 23, 2003 (commencement of investment operations) to
October 31, 2003.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 2003
<Table>
<Caption>
ALL VALUE ALPHA
INCREASE IN NET ASSETS FUND FUND
OPERATIONS:
Net investment loss $ (49,294) $ (241,018)
Capital gains received from Underlying Funds - 2,224,496
Net realized gain (loss) on investments 8,709,355 (12,911,153)
Net change in unrealized appreciation/depreciation
on investments 98,646,882 47,133,769
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 107,306,943 36,206,094
=================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized gain
Class A (4,249,997) (455,060)
Class B (1,079,982) (307,761)
Class C (2,554,556) (213,341)
Class P (8,336) -
- -------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (7,892,871) (976,162)
=================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 380,083,034 19,941,639
Reinvestment of distributions 6,853,029 793,168
Cost of shares reacquired (82,203,980) (35,741,742)
- -------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS 304,732,083 (15,006,935)
=================================================================================================
NET INCREASE IN NET ASSETS 404,146,155 20,222,997
=================================================================================================
NET ASSETS:
Beginning of year 349,541,396 113,471,876
- -------------------------------------------------------------------------------------------------
END OF YEAR $ 753,687,551 $ 133,694,873
=================================================================================================
DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME $ (168,235) $ -
=================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<Page>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
Year Ended October 31, 2003
<Table>
<Caption>
INTERNATIONAL
OPPORTUNITIES LARGE-CAP
INCREASE IN NET ASSETS FUND+ VALUE FUND*
OPERATIONS:
Net investment income $ 1,328,106 $ 4,577
Net realized gain (loss) on investments
and foreign currency related transactions (7,252,730) 10,221
Net change in unrealized appreciation/depreciation
on investments and translation of assets and liabilities
denominated in foreign currencies 41,544,219 128,278
- -------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 35,619,595 143,076
=================================================================================================
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A (382,666) -
Class B (12,235) -
Class C (48,712) -
Class P (4) -
Class Y (572,917) -
- -------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (1,016,534) -
=================================================================================================
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 49,149,289 2,562,220
Reinvestment of distributions 996,745 -
Cost of shares reacquired (59,701,584) (153,156)
- -------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM CAPITAL SHARE TRANSACTIONS (9,555,550) 2,409,064
=================================================================================================
NET INCREASE IN NET ASSETS 25,047,511 2,552,140
=================================================================================================
NET ASSETS:
Beginning of year 111,721,294 -
- -------------------------------------------------------------------------------------------------
END OF YEAR $ 136,768,805 $ 2,552,140
=================================================================================================
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,706,625 $ 6,045
=================================================================================================
</Table>
+Formerly International Series
*For the period June 23, 2003 (commencement of investment operations) to
October 31, 2003.
SEE NOTES TO FINANCIAL STATEMENTS.
26
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 2002
<Table>
<Caption>
INTERNATIONAL
ALL VALUE ALPHA OPPORTUNITIES
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>
+Formerly International Series
SEE NOTES TO FINANCIAL STATEMENTS.
27
<Page>
FINANCIAL HIGHLIGHTS
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 8.22 $ 9.83 $ 11.53 $ 10.87 $ 9.15
=========== =========== =========== =========== ===========
Investment operations:
Net investment income(a) .02 .01 .04 .05 .04
Net realized and unrealized gain (loss) 1.87 (.67) (.83) 1.17 2.06
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.89 (.66) (.79) 1.22 2.10
----------- ----------- ----------- ----------- -----------
Distributions to shareholders from:
Net investment income - (.02) (.03) - (.05)
Net realized gain (.18) (.93) (.88) (.56) (.33)
----------- ----------- ----------- ----------- -----------
Total distributions (.18) (.95) (.91) (.56) (.38)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 9.93 $ 8.22 $ 9.83 $ 11.53 $ 10.87
=========== =========== =========== =========== ===========
Total Return(b) 23.46% (7.95)% (7.26)% 11.44% 23.77%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.38% 1.42% 1.42% 1.35% 1.30%
Expenses, excluding expense
reductions 1.38% 1.42% 1.43% 1.36% 1.30%
Net investment income .25% .13% .40% .48% .36%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 452,098 $ 189,698 $ 166,406 $ 136,038 $ 102,329
Portfolio turnover rate 36.39% 79.39% 103.11% 65.06% 37.68%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 8.07 $ 9.70 $ 11.42 $ 10.85 $ 9.13
=========== =========== =========== =========== ===========
Investment operations:
Net investment loss(a) (.03) (.04) (.03) (.02) (.04)
Net realized and unrealized gain (loss) 1.83 (.66) (.81) 1.15 2.10
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.80 (.70) (.84) 1.13 2.06
----------- ----------- ----------- ----------- -----------
Distributions to shareholders from:
Net investment income - - -(e) - (.01)
Net realized gain (.18) (.93) (.88) (.56) (.33)
----------- ----------- ----------- ----------- -----------
Total distributions (.18) (.93) (.88) (.56) (.34)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 9.69 $ 8.07 $ 9.70 $ 11.42 $ 10.85
=========== =========== =========== =========== ===========
Total Return(b) 22.77% (8.51)% (7.86)% 10.80% 23.17%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 2.00% 2.03% 2.03% 2.00% 1.98%
Expenses, excluding expense
reductions 2.00% 2.03% 2.04% 2.01% 1.98%
Net investment loss (.37)% (.48)% (.27)% (.17)% (.38)%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 100,272 $ 47,423 $ 39,188 $ 17,453 $ 9,739
Portfolio turnover rate 36.39% 79.39% 103.11% 65.06% 37.68%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 8.05 $ 9.67 $ 11.38 $ 10.81 $ 9.11
=========== =========== =========== =========== ===========
Investment operations:
Net investment loss(a) (.03) (.03) (.01) (.02) (.03)
Net realized and unrealized gain (loss) 1.82 (.66) (.82) 1.15 2.07
----------- ----------- ----------- ----------- -----------
Total from investment operations 1.79 (.69) (.83) 1.13 2.04
----------- ----------- ----------- ----------- -----------
Distributions to shareholders from:
Net investment income - - -(e) - (.01)
Net realized gain (.18) (.93) (.88) (.56) (.33)
----------- ----------- ----------- ----------- -----------
Total distributions (.18) (.93) (.88) (.56) (.34)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 9.66 $ 8.05 $ 9.67 $ 11.38 $ 10.81
=========== =========== =========== =========== ===========
Total Return(b) 22.70% (8.42)% (7.70)% 10.74% 23.00%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 2.00% 1.89% 1.98% 2.00% 1.98%
Expenses, excluding expense
reductions 2.00% 1.89% 1.99% 2.01% 1.98%
Net investment loss (.37)% (.34)% (.14)% (.17)% (.31)%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 200,025 $ 112,052 $ 112,299 $ 112,776 $ 104,984
Portfolio turnover rate 36.39% 79.39% 103.11% 65.06% 37.68%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31 8/15/2001(c)
--------------------------- TO
2003 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)(a) .01 -(e) -(e)
Net realized and unrealized gain (loss) 1.86 (.66) (1.02)
----------- ----------- -----------
Total from investment operations 1.87 (.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 $ 9.88 $ 8.19 $ 9.83
=========== =========== ===========
Total Return(b) 23.30% (8.04)% (9.40)%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions 1.45% 1.48% .31%(d)
Expenses, excluding expense reductions 1.45% 1.48% .31%(d)
Net investment income (loss) .18% .07% (.01)%(d)
<Caption>
YEAR ENDED 10/31 8/15/2001(c)
--------------------------- TO
SUPPLEMENTAL DATA: 2003 2002 10/31/2001
- -----------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 1,280 $ 368 $ 1
Portfolio turnover rate 36.39% 79.39% 103.11%
===============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALL VALUE FUND
<Table>
<Caption>
3/31/2003(c)
TO
10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 7.83
===========
Investment operations:
Net investment income(a) .03
Net realized and unrealized gain 2.09
-----------
Total from investment operations 2.12
-----------
NET ASSET VALUE, END OF PERIOD $ 9.95
===========
Total Return(b) 27.08%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions 1.00%(d)+
Expenses, excluding expense reductions 1.00%(d)+
Net investment income .63%(d)+
<Caption>
3/31/2003(c)
TO
SUPPLEMENTAL DATA: 10/31/2003
- --------------------------------------------------------------------------------
Net assets, end of period (000) $ 13
Portfolio turnover rate for the year ended October 31, 2003 36.39%
================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(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.
32
<Page>
FINANCIAL HIGHLIGHTS
ALPHA FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 10.62 $ 12.96 $ 17.46 $ 15.21 $ 12.91
=========== =========== =========== =========== ===========
Investment operations:
Net investment income (loss)(a) .02 (.05) (.05) (.03) .07
Net realized and unrealized gain (loss) 3.83 (1.70) (3.82) 2.60 2.23
----------- ----------- ----------- ----------- -----------
Total from investment operations 3.85 (1.75) (3.87) 2.57 2.30
----------- ----------- ----------- ----------- -----------
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 YEAR $ 14.38 $ 10.62 $ 12.96 $ 17.46 $ 15.21
=========== =========== =========== =========== ===========
Total Return(b) 36.59% (14.41)% (22.67)% 17.10% 17.82%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions .39% .37% .36% .40% .33%
Expenses, excluding expense
reductions 1.45% 1.37% 1.34% 1.33% .83%
Net investment income (loss) .13% (.34)% (.32)% (.16)% .15%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 62,383 $ 53,121 $ 70,785 $ 96,652 $ 75,136
Portfolio turnover rate 2.47% 1.75% 15.34% 1.54% 1.67%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 10.43 $ 12.81 $ 17.27 $ 15.05 $ 12.85
=========== =========== =========== =========== ===========
Investment operations:
Net investment loss(a) (.06) (.12) (.14) (.13) (.03)
Net realized and unrealized gain (loss) 3.74 (1.67) (3.79) 2.58 2.23
----------- ----------- ----------- ----------- -----------
Total from investment operations 3.68 (1.79) (3.93) 2.45 2.20
----------- ----------- ----------- ----------- -----------
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 YEAR $ 14.02 $ 10.43 $ 12.81 $ 17.27 $ 15.05
=========== =========== =========== =========== ===========
Total Return(b) 35.62% (14.91)% (23.21)% 16.40% 17.12%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.04% 1.00% 1.00% 1.00% 1.00%
Expenses, excluding expense
reductions 2.10% 2.00% 1.98% 1.93% 1.50%
Net investment loss (.52)% (.97)% (.96)% (.75)% (.83)%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 42,342 $ 35,661 $ 50,377 $ 70,300 $ 52,280
Portfolio turnover rate 2.47% 1.75% 15.34% 1.54% 1.67%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
ALPHA FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 10.43 $ 12.80 $ 17.25 $ 15.04 $ 12.86
=========== =========== =========== =========== ===========
Investment operations:
Net investment loss(a) (.06) (.10) (.14) (.12) (.04)
Net realized and unrealized gain (loss) 3.74 (1.68) (3.78) 2.56 2.22
----------- ----------- ----------- ----------- -----------
Total from investment operations 3.68 (1.78) (3.92) 2.44 2.18
----------- ----------- ----------- ----------- -----------
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 YEAR $ 14.02 $ 10.43 $ 12.80 $ 17.25 $ 15.04
=========== =========== =========== =========== ===========
Total Return(b) 35.62% (14.77)% (23.25)% 16.34% 16.95%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 1.04% .89% 1.00% 1.00% 1.00%
Expenses, excluding expense
reductions 2.10% 1.89% 1.98% 1.93% 1.50%
Net investment loss (.52)% (.86)% (.97)% (.70)% (.84)%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 28,970 $ 24,690 $ 35,395 $ 44,977 $ 34,667
Portfolio turnover rate 2.47% 1.75% 15.34% 1.54% 1.67%
==============================================================================================================================
</Table>
(a) Calculated using average shares outstanding during the year.
(b) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
SEE NOTES TO FINANCIAL STATEMENTS.
35
<Page>
FINANCIAL HIGHLIGHTS
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 6.29 $ 7.78 $ 14.48 $ 13.90 $ 12.39
=========== =========== =========== =========== ===========
Investment operations:
Net investment income (loss)(a) .08 .03 (.06) (.08) .07
Net realized and unrealized gain (loss) 2.09 (1.52) (6.56) 1.54 1.55
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.17 (1.49) (6.62) 1.46 1.62
----------- ----------- ----------- ----------- -----------
Distributions to shareholders from:
Net investment income (.05) - - (.06) (.09)
Net realized gain - - (.08) (.82) (.02)
----------- ----------- ----------- ----------- -----------
Total distributions (.05) - (.08) (.88) (.11)
----------- ----------- ----------- ----------- -----------
NET ASSET VALUE, END OF YEAR $ 8.41 $ 6.29 $ 7.78 $ 14.48 $ 13.90
=========== =========== =========== =========== ===========
Total Return(b) 35.07% (19.16)% (45.92)% 10.97% 13.16%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 2.11% 1.89% 2.07% 1.80% 1.51%
Expenses, excluding expense
reductions 2.11% 1.89% 2.08% 1.80% 1.51%
Net investment income (loss) 1.11% .50% (.55)% (.53)% .52%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 55,230 $ 44,975 $ 71,591 $ 135,701 $ 104,885
Portfolio turnover rate 72.36% 82.38% 65.26% 35.14% 75.15%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
36
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 6.13 $ 7.65 $ 14.31 $ 13.75 $ 12.28
=========== =========== =========== =========== ===========
Investment operations:
Net investment income (loss)(a) .03 (.02) (.11) (.17) (.02)
Net realized and unrealized gain (loss) 2.05 (1.50) (6.47) 1.55 1.53
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.08 (1.52) (6.58) 1.38 1.51
----------- ----------- ----------- ----------- -----------
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 YEAR $ 8.20 $ 6.13 $ 7.65 $ 14.31 $ 13.75
=========== =========== =========== =========== ===========
Total Return(b) 33.89% (19.87)% (46.19)% 10.42% 12.31%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 2.73% 2.69% 2.59% 2.35% 2.19%
Expenses, excluding expense
reductions 2.73% 2.69% 2.60% 2.36% 2.19%
Net investment income (loss) .49% (.30)% (1.07)% (1.09)% (.16)%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 17,978 $ 13,174 $ 17,743 $ 33,124 $ 22,928
Portfolio turnover rate 72.36% 82.38% 65.26% 35.14% 75.15%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 6.12 $ 7.61 $ 14.30 $ 13.75 $ 12.28
=========== =========== =========== =========== ===========
Investment operations:
Net investment income (loss)(a) .07 -(e) (.13) (.17) (.02)
Net realized and unrealized gain (loss) 2.04 (1.49) (6.48) 1.54 1.53
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.11 (1.49) (6.61) 1.37 1.51
----------- ----------- ----------- ----------- -----------
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 YEAR $ 8.19 $ 6.12 $ 7.61 $ 14.30 $ 13.75
=========== =========== =========== =========== ===========
Total Return(b) 34.67% (19.58)% (46.43)% 10.35% 12.31%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 2.73% 2.36% 2.83% 2.35% 2.19%
Expenses, excluding expense
reductions 2.73% 2.36% 2.84% 2.36% 2.19%
Net investment income (loss) .99% .03% (1.32)% (1.10)% (.15)%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 10,323 $ 7,823 $ 11,399 $ 25,546 $ 20,111
Portfolio turnover rate 72.36% 82.38% 65.26% 35.14% 75.15%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
38
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31 3/9/1999(c)
----------------------------------------------------------- TO
2003 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)(a) .10 .03 (.06) (.08) .08
Net realized and unrealized gain (loss) 2.10 (1.54) (6.55) 1.55 1.13
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.20 (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 $ 8.47 $ 6.31 $ 7.82 $ 14.51 $ 13.91
=========== =========== =========== =========== ===========
Total Return(b) 35.17% (19.31)% (45.75)% 11.03% 9.53%(d)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense
reductions 2.18%+ 2.14% 2.04% 1.80% .98%(d)
Expenses, excluding expense
reductions 2.18%+ 2.14% 2.05% 1.80% .98%(d)
Net investment income (loss) 1.00%+ .25% (.55)% (.51)% .60%(d)
<Caption>
YEAR ENDED 10/31 3/9/1999(c)
----------------------------------------------------------- TO
SUPPLEMENTAL DATA: 2003 2002 2001 2000 10/31/1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $ 1 $ 1 $ 1 $ 1 $ 1
Portfolio turnover rate 72.36% 82.38% 65.26% 35.14% 75.15%
==============================================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
INTERNATIONAL OPPORTUNITIES FUND
<Table>
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
2003 2002 2001 2000 1999
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF YEAR $ 6.39 $ 7.90 $ 14.61 $ 14.00 $ 12.41
=========== =========== =========== =========== ===========
Investment operations:
Net investment income (loss)(a) .10 .06 (.01) (.01) .12
Net realized and unrealized gain (loss) 2.12 (1.57) (6.62) 1.54 1.56
----------- ----------- ----------- ----------- -----------
Total from investment operations 2.22 (1.51) (6.63) 1.53 1.68
----------- ----------- ----------- ----------- -----------
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 YEAR $ 8.53 $ 6.39 $ 7.90 $ 14.61 $ 14.00
=========== =========== =========== =========== ===========
Total Return(b) 35.22% (19.11)% (45.58)% 11.45% 13.65%
RATIOS TO AVERAGE NET ASSETS
Expenses, including expense reductions 1.74% 1.69% 1.59% 1.35% 1.20%
Expenses, excluding expense reductions 1.74% 1.69% 1.60% 1.37% 1.20%
Net investment income (loss) 1.47% .70% (.06)% (.09)% .86%
<Caption>
YEAR ENDED 10/31
---------------------------------------------------------------------------
SUPPLEMENTAL DATA: 2003 2002 2001 2000 1999
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of year (000) $ 53,237 $ 45,748 $ 60,227 $ 79,833 $ 64,810
Portfolio turnover rate 72.36% 82.38% 65.26% 35.14% 75.15%
==============================================================================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(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.
40
<Page>
FINANCIAL HIGHLIGHTS
LARGE-CAP VALUE FUND
<Table>
<Caption>
6/23/2003(a)
TO
10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS A SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
===========
Unrealized depreciation on investments (.10)
-----------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
===========
Investment operations:
Net investment income(b) .03
Net realized and unrealized gain .80
-----------
Total from investment operations .83
-----------
NET ASSET VALUE, END OF PERIOD $ 10.73
===========
Total Return(c) (1.00)%(d)(e)
Total Return(c) 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .33%(d)+
Expenses, excluding expenses assumed 7.12%(d)+
Net investment income .27%(d)+
<Caption>
6/23/2003(a)
TO
SUPPLEMENTAL DATA: 9/30/2003
- ----------------------------------------------------------------------
Net assets, end of period (000) $ 2,271
Portfolio turnover rate 8.87%
======================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
6/23/2003(a)
TO
10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS B SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
===========
Unrealized depreciation on investments (.11)
-----------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.89
===========
Investment operations:
Net investment income(b) -(g)
Net realized and unrealized gain .79
-----------
Total from investment operations .79
-----------
NET ASSET VALUE, END OF PERIOD $ 10.68
===========
Total Return(c) (1.10)%(d)(e)
Total Return(c) 7.99%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .56%(d)+
Expenses, excluding expenses assumed 7.35%(d)+
Net investment loss .04%(d)+
<Caption>
6/23/2003(a)
TO
SUPPLEMENTAL DATA: 9/30/2003
- ----------------------------------------------------------------------
Net assets, end of period (000) $ 111
Portfolio turnover rate 8.87%
======================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
6/23/2003(a)
TO
10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS C SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
===========
Unrealized depreciation on investments (.11)
-----------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.89
===========
Investment operations:
Net investment income(b) -(g)
Net realized and unrealized gain .80
-----------
Total from investment operations .80
-----------
NET ASSET VALUE, END OF PERIOD $ 10.69
===========
Total Return(c) (1.10)%(d)(e)
Total Return(c) 8.09%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .56%(d)+
Expenses, excluding expenses assumed 7.35%(d)+
Net investment loss .04%(d)+
<Caption>
6/23/2003(a)
TO
SUPPLEMENTAL DATA: 9/30/2003
- ----------------------------------------------------------------------
Net assets, end of period (000) $ 148
Portfolio turnover rate 8.87%
======================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
6/23/2003(a)
TO
10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS P SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
===========
Unrealized depreciation on investments (.10)
-----------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
===========
Investment operations:
Net investment income(b) .02
Net realized and unrealized gain .81
-----------
Total from investment operations .83
-----------
NET ASSET VALUE, END OF PERIOD $ 10.73
===========
Total Return(c) (1.00)%(d)(e)
Total Return(c) 8.38%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .37%(d)+
Expenses, excluding expenses assumed 7.16%(d)+
Net investment income .23%(d)+
<Caption>
6/23/2003(a)
TO
SUPPLEMENTAL DATA: 9/30/2003
- ----------------------------------------------------------------------
Net assets, end of period (000) $ 11
Portfolio turnover rate 8.87%
======================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
LARGE-CAP VALUE FUND
<Table>
<Caption>
6/23/2003(a)
TO
10/31/2003
PER SHARE OPERATING PERFORMANCE (CLASS Y SHARES)
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
===========
Unrealized depreciation on investments (.10)
-----------
NET ASSET VALUE ON SEC EFFECTIVE DATE, JUNE 30, 2003 $ 9.90
===========
Investment operations:
Net investment income(b) .04
Net realized and unrealized gain .81
-----------
Total from investment operations .85
-----------
NET ASSET VALUE, END OF PERIOD $ 10.75
===========
Total Return(c) (1.00)%(d)(e)
Total Return(c) 8.59%(d)(f)
RATIOS TO AVERAGE NET ASSETS
Expenses, including expenses assumed .21%(d)+
Expenses, excluding expenses assumed 7.00%(d)+
Net investment income .39%(d)+
<Caption>
6/23/2003(a)
TO
SUPPLEMENTAL DATA: 9/30/2003
- ----------------------------------------------------------------------
Net assets, end of period (000) $ 11
Portfolio turnover rate 8.87%
======================================================================
</Table>
+ The ratios have been determined on a Fund basis.
(a) Commencement of investment operations; SEC effective date and date shares
first became available to the public is June 30, 2003.
(b) Calculated using average shares outstanding during the period.
(c) Total return does not consider the effects of sales loads and assumes the
reinvestment of all distributions.
(d) Not annualized.
(e) Total return for the period 6/23/2003 through 6/30/2003.
(f) Total return for the period 6/30/2003 through 10/31/2003.
(g) Amount is less than $.01.
SEE NOTES TO FINANCIAL STATEMENTS.
45
<Page>
NOTES TO FINANCIAL STATEMENTS
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 seven funds. This report covers the following four funds
and their respective classes (separately, a "Fund" and collectively, the
"Funds"): Lord Abbett All Value Series ("All Value Fund"), Class A, B, C, P and
Y shares; Alpha Series ("Alpha Fund"), Class A, B and C shares; Lord Abbett
International Opportunities Fund ("International Opportunities Fund"- formerly
known as International Series), Class A, B, C, P and Y shares, and Lord Abbett
Large-Cap Value Fund ("Large-Cap Value Fund"), Class A, B, C, P, and Y shares.
Large-Cap Value Fund commenced investment operations on June 23, 2003 and was
capitalized with a $1,040,000 investment from Lord, Abbett & Co. LLC ("Lord
Abbett"). Shares first became available to the public on June 30, 2003
All Value Fund's investment objective is long-term growth of capital and income
without excessive fluctuations in market value. Alpha Fund's and International
Opportunities Fund's investment objective is long-term capital appreciation.
Alpha Fund invests in other funds ("Underlying Funds") managed by Lord Abbett.
Large-Cap Value Fund's investment objective is to seek a high level of total
return.
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 the 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
certain 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 any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sale price or official
closing price on the exchange or system on which they are principally
traded. Unlisted equity securities are valued at last quoted sales price or,
if no sales price is available, at the mean between the most recently quoted
bid and asked prices. Fixed income securities are valued at the mean between
the bid and asked prices on the basis of prices supplied by independent
pricing services, which reflect broker/dealer supplied valuations and
electronic data processing techniques. Exchange-traded options and futures
contracts are valued at the last sale price in the market where they are
principally traded. If no sale has occurred, the mean between the most
recently quoted bid and asked prices is used. 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.
46
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(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 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) 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.
(f) FOREIGN TRANSACTIONS-The books and records of International Opportunities
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.
(g) OFFERING COSTS-Lord Abbett incurred initial offering costs on behalf of
Large-Cap Value Fund that will be reimbursed by the Fund in the full amount
thereof. Such expenses were deferred and are being amortized on the
straight-line method over a period of one year from the commencement of
investment operations.
(h) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS-International Opportunities 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 on the Statement of Operations. 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
47
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
on investments and foreign currency related transactions on the Statement of
Operations. As of October 31, 2003, there are no forward foreign currency
exchange contracts outstanding.
(i) SECURITIES LENDING-Each Fund may lend securities to member banks of the
Federal Reserve System and to registered broker/dealers approved by the
Fund. The loans are collateralized at all times by cash and/or U.S. Treasury
securities in an amount at least equal to 102% of the market value of
domestic securities loaned (105% in the case of foreign securities loaned).
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 Fund's securities if the borrower defaults. For the period ended October
31, 2003 only International Opportunities Fund had securities lending
activity.
(j) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
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, U.S. Government securities or U.S.
Government sponsored enterprises 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 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 Opportunities Fund .75% -
Large-Cap Value Fund .40%(2) -
</Table>
(1) The management fee for All Value Fund is based on average daily net assets
at the following annual rates:
<Table>
First $200 million .75%
Next $300 million .65%
Over $500 million .50%
</Table>
(2) The management fee for Large-Cap Value Fund is based on average daily net
assets at the following annual rates:
<Table>
First $2 billion .40%
Next $3 billion .375%
Over $5 billion .35%
</Table>
48
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Lord Abbett may stop waiving all or a portion of its management fee at any time.
Lord Abbett is currently reimbursing expenses for Large-Cap Value Fund to the
extent necessary to maintain total annual operating expenses for Class A at
..95%, Class B and C at 1.60%, Class P at 1.05%, and Class Y at .60% of average
daily net assets. Lord Abbett may stop reimbursing such 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 the Fund's average daily net assets. This
results in Lord Abbett paying Fund Accounting expenses that were previously
charged to the Funds.
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 fee, administration fees, and distribution and service
fees) of Alpha Fund in proportion to the average daily value of total Underlying
Fund shares owned by Alpha Fund.
12b-1 DISTRIBUTION PLANS
Each Fund has adopted a distribution 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. All Value Fund, Alpha Fund and International Opportunities Fund
collected $209,643, $98,847 and $48,007, respectively, of CDSCs during the
year.
(2) In addition, until January 1, 2003, each Fund paid an incremental marketing
expense of approximately .03% of the average daily net assets attributable
to Class A.
(3) All Value Fund, International Opportunities Fund and Large-Cap Value Fund
only.
Class Y does not have a distribution plan.
COMMISSIONS
Distributor received the following commissions on sales of Class A shares of the
Funds after concessions were paid to authorized dealers for the year ended
October 31, 2003:
<Table>
<Caption>
DISTRIBUTOR DEALERS'
COMMISSIONS CONCESSIONS
- --------------------------------------------------------------------------------
All Value Fund $ 814,999 $ 4,531,951
Alpha Fund 48,253 271,915
International Opportunities Fund 24,105 127,915
Large-Cap Value Fund 2,753 15,035
</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, International
Opportunities Fund, and Large-Cap Value Fund.
49
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
On November 21, 2003, net investment income distributions of $565,000,
$2,330,000, $21,500 and long-term capital gain distributions of $8,508,999, $0,
$0 were declared for All Value Fund, International Opportunities Fund and
Large-Cap Value Fund, respectively. The distributions were paid on November 25,
2003 to shareholders of record on November 24, 2003.
The tax character of distributions paid during the years ended October 31, 2003
and October 31, 2002 are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- ------------------------------------------------------------------------------------------
10/31/2003 10/31/2002 10/31/2003 10/31/2002
- ------------------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ - $ 385,013 $ - $ 95,687
Net long-term capital gains 7,892,871 30,503,256 976,162 6,969,716
- ------------------------------------------------------------------------------------------
Total distributions paid $ 7,892,871 $ 30,888,269 $ 976,162 $ 7,065,403
- ------------------------------------------------------------------------------------------
<Caption>
INTERNATIONAL OPPORTUNITIES FUND
- ------------------------------------------------------------
10/31/2003 10/31/2002
- ------------------------------------------------------------
Distributions paid from:
Ordinary income $ 1,016,534 $ -
- ------------------------------------------------------------
Total distributions paid $ 1,016,534 $ -
- ------------------------------------------------------------
</Table>
As of October 31, 2003, the components of accumulated earnings (losses) on a tax
basis are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- --------------------------------------------------------------------------------------------------
Undistributed ordinary income - net $ 222,912 $ -
Undistributed long-term capital gains 8,508,789 -
- --------------------------------------------------------------------------------------------------
Total undistributed earnings $ 8,731,701 $ -
Capital loss carryforwards* - (9,986,380)
Temporary differences (168,235) -
Unrealized gains - net 82,681,121 (9,135,285)
- --------------------------------------------------------------------------------------------------
Total accumulated earnings (losses) - net $ 91,244,587 $ (19,121,665)
==================================================================================================
<Caption>
INTERNATIONAL OPPORTUNITIES FUND LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------------------------
Undistributed ordinary income - net $ 1,718,491 $ 17,091
- --------------------------------------------------------------------------------------------------
Total undistributed earnings $ 1,718,491 $ 17,091
Capital loss carryforwards* (132,284,598) -
Temporary differences (11,866) (44)
Unrealized gains - net 28,786,474 127,497
- --------------------------------------------------------------------------------------------------
Total accumulated earnings (losses) - net $ (101,791,499) $ 144,544
==================================================================================================
</Table>
50
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
* As of October 31,2003, the capital loss carryforwards along with the related
expiration dates are as follows:
<Table>
<Caption>
2009 2010 2011 TOTAL
- --------------------------------------------------------------------------------------------
Alpha Fund $ - $ - $ 9,986,380 $ 9,986,380
International Opportunities Fund 86,405,958 37,966,698 7,911,942 132,284,598
</Table>
As of October 31, 2003, the aggregate unrealized security gains and losses based
on cost for U.S. federal income tax purposes are as follows:
<Table>
<Caption>
ALL VALUE FUND ALPHA FUND
- --------------------------------------------------------------------------------------------------
Tax cost $ 665,449,957 $ 142,955,124
- --------------------------------------------------------------------------------------------------
Gross unrealized gain 92,311,931 15,919,968
Gross unrealized loss (9,630,810) (25,055,253)
- --------------------------------------------------------------------------------------------------
Net unrealized security gain (loss) $ 82,681,121 $ (9,135,285)
==================================================================================================
<Caption>
INTERNATIONAL OPPORTUNITIES FUND LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------------------------
Tax cost $ 125,078,064 $ 2,354,124
- --------------------------------------------------------------------------------------------------
Gross unrealized gain 32,353,335 165,741
Gross unrealized loss (3,566,861) (38,244)
- --------------------------------------------------------------------------------------------------
Net unrealized security gain $ 28,786,474 $ 127,497
==================================================================================================
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
Permanent items identified during the year ended October 31, 2003 have been
reclassified among the components of net assets based on their tax basis
treatment as follows:
<Table>
<Caption>
UNDISTRIBUTED
(DISTRIBUTIONS
IN EXCESS OF) ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAIN (LOSS) PAID-IN CAPITAL
- -------------------------------------------------------------------------------------------------
All Value Fund $ 50,659 $ (50,659) $ -
Alpha Fund 241,018 99 (241,117)
International Opportunities Fund 752,090 (751,189) (901)
Large-Cap Value Fund 1,468 - (1,468)
</Table>
5. PORTFOLIO SECURITIES TRANSACTIONS
As of October 31, 2003, the value of securities loaned for International
Opportunities Fund was $23,845,337. These loans are collateralized by cash of
$25,100,394, which is invested in a restricted money market account. In
connection with the securities lending program, State Street Bank and Trust
Company ("SSB") received fees of $67,302 for the year ended October 31, 2003.
For financial statement presentation purposes, fees of $41,186 for the period
January 1, 2003 to October 31, 2003 have been netted against securities lending
income on the Statement of Operations.
51
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Purchases and sales of investment securities (other than short-term investments)
for the year ended October 31, 2003 are as follows:
<Table>
<Caption>
PURCHASES SALES
- ---------------------------------------------------------------------
All Value Fund $ 430,233,440 $ 161,839,007
Alpha Fund 2,797,313 16,000,000
International Opportunities Fund 75,975,527 83,391,635
Large-Cap Value Fund 2,346,037 152,280
</Table>
There were no purchases or sales of U.S. Government securities for the year
ended October 31, 2003.
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 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, International Opportunities Fund and Large-Cap Value 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 October 31, 2003, there are no
loans outstanding pursuant to this Facility nor was the Facility utilized at any
time during the fiscal year.
9. CUSTODIAN AND ACCOUNTING AGENT
SSB is the Trust's custodian and accounting agent. SSB performs custodian
functions and accounting and recordkeeping functions relating to portfolio
transactions and calculating each Fund's 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.
52
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Large company value stocks, in which Large-Cap Value Fund and All Value Fund
invest, may perform differently than the market as a whole and other types of
stocks, such as small company stocks and growth stocks. This is because
different types of stocks tend to shift in and out of favor depending on market
and economic conditions. The market may fail to recognize the intrinsic value of
a particular value stock for a long time. In addition, if the Fund's assessment
of a company's value or prospects for exceeding earnings expectations or market
conditions is wrong, the Fund could suffer losses or produce poor performance
relative to other funds, even in a rising market.
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 Opportunities 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 Fund performance.
11. SUMMARY OF CAPITAL TRANSACTIONS
The Trust has an unlimited number of authorized shares of beneficial interest.
ALL VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
- ----------------------------------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------------------------------
Shares Sold 27,768,543 $ 249,660,107 9,028,388 $ 82,077,095
Reinvestment of Distributions 479,325 3,949,635 1,585,734 14,985,188
Shares Reacquired (5,801,553) (49,453,926) (4,449,635) (39,993,514)
- ----------------------------------------------------------------------------------------------------------------------------
Increase 22,446,315 $ 204,155,816 6,164,487 $ 57,068,769
- ----------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
Shares Sold 5,556,058 $ 48,455,739 2,524,101 $ 22,912,055
Reinvestment of Distributions 111,869 903,903 339,730 3,169,677
Shares Reacquired (1,192,893) (10,010,179) (1,024,461) (8,863,956)
- ----------------------------------------------------------------------------------------------------------------------------
Increase 4,475,034 $ 39,349,463 1,839,370 $ 17,217,776
- ----------------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
Shares Sold 9,254,889 $ 81,004,246 3,775,176 $ 34,514,834
Reinvestment of Distributions 246,867 1,991,155 955,484 8,876,448
Shares Reacquired (2,717,580) (22,518,068) (2,420,871) (21,316,561)
- ----------------------------------------------------------------------------------------------------------------------------
Increase 6,784,176 $ 60,477,333 2,309,789 $ 22,074,721
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
53
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<Table>
CLASS P SHARES
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 109,104 $ 952,942 50,921 $ 449,195
Reinvestment of distributions 1,017 8,336 10 90
Shares reacquired (25,508) (221,807) (6,077) (52,369)
- ----------------------------------------------------------------------------------------------------------------------------
Increase 84,613 $ 739,471 44,854 $ 396,916
- ----------------------------------------------------------------------------------------------------------------------------
<Caption>
PERIOD ENDED
OCTOBER 31, 2003*
- --------------------------------------------------------------------------------------
CLASS Y SHARES
- --------------------------------------------------------------------------------------
Shares sold 1,277 $ 10,000
- --------------------------------------------------------------------------------------
Increase 1,277 $ 10,000
- --------------------------------------------------------------------------------------
</Table>
* For the period March 31, 2003 (commencement of offering of class shares) to
October 31, 2003.
ALPHA FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
- ----------------------------------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 1,246,461 $ 14,036,440 1,259,523 $ 16,229,854
Reinvestment of distributions 40,092 423,777 217,763 2,887,537
Shares reacquired (1,949,873) (21,553,883) (1,937,993) (24,663,884)
- ----------------------------------------------------------------------------------------------------------------------------
Decrease (663,320) $ (7,093,666) (460,707) $ (5,546,493)
- ----------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 263,430 $ 2,978,159 338,313 $ 4,292,317
Reinvestment of distributions 21,207 219,918 116,826 1,529,252
Shares reacquired (685,817) (7,733,583) (967,442) (11,847,822)
- ----------------------------------------------------------------------------------------------------------------------------
Decrease (401,180) $ (4,535,506) (512,303) $ (6,026,253)
- ----------------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 256,016 $ 2,927,040 313,141 $ 3,995,730
Reinvestment of distributions 14,414 149,473 80,483 1,051,913
Shares reacquired (572,517) (6,454,276) (791,152) (9,859,822)
- ----------------------------------------------------------------------------------------------------------------------------
Decrease (302,087) $ (3,377,763) (397,528) $ (4,812,179)
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
INTERNATIONAL OPPORTUNITIES FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
YEAR ENDED YEAR ENDED
OCTOBER 31, 2003 OCTOBER 31, 2002
- ----------------------------------------------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 6,041,513 $ 39,688,836 13,459,848 $ 100,658,102
Reinvestment of distributions 58,932 367,146 - -
Shares reacquired (6,681,759) (44,022,341) (15,511,892) (117,292,594)
- ----------------------------------------------------------------------------------------------------------------------------
Decrease (581,314) $ (3,966,359) (2,052,044) $ (16,634,492)
- ----------------------------------------------------------------------------------------------------------------------------
CLASS B SHARES
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 537,533 $ 3,511,769 564,618 $ 4,098,278
Reinvestment of distributions 1,854 11,365 - -
Shares reacquired (497,425) (3,213,964) (734,680) (5,319,485)
- ----------------------------------------------------------------------------------------------------------------------------
Increase (decrease) 41,962 $ 309,170 (170,062) $ (1,221,207)
- ----------------------------------------------------------------------------------------------------------------------------
CLASS C SHARES
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 817,450 $ 5,148,118 1,392,701 $ 9,955,122
Reinvestment of distributions 7,441 45,314 - -
Shares reacquired (842,797) (5,298,381) (1,611,969) (11,645,242)
- ----------------------------------------------------------------------------------------------------------------------------
Decrease (17,906) $ (104,949) (219,268) $ (1,690,120)
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
54
<Page>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
<Table>
CLASS P SHARES
- ----------------------------------------------------------------------------------------------------------------------------
Reinvestment of distributions .625 $ 4 - $ -
- ----------------------------------------------------------------------------------------------------------------------------
Increase .625 $ 4 - $ -
- ----------------------------------------------------------------------------------------------------------------------------
CLASS Y SHARES
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold 132,176 $ 800,566 - $ -
Reinvestment of distributions 90,651 572,916 - -
Shares reacquired (1,143,976) (7,166,898) (469,370) (3,419,410)
- ----------------------------------------------------------------------------------------------------------------------------
Decrease (921,149) $ (5,793,416) (469,370) $ (3,419,410)
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
LARGE-CAP VALUE FUND
- --------------------------------------------------------------------------------
<Table>
<Caption>
PERIOD ENDED
OCTOBER 31, 2003 *
- --------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT
- --------------------------------------------------------------------------------------
Shares sold 226,357 $ 2,290,607
Shares reacquired (14,789) (153,156)
- --------------------------------------------------------------------------------------
INCREASE 211,568 $ 2,137,451
- --------------------------------------------------------------------------------------
CLASS B SHARES
- --------------------------------------------------------------------------------------
Shares sold 10,429 $ 108,006
- --------------------------------------------------------------------------------------
Increase 10,429 $ 108,006
- --------------------------------------------------------------------------------------
CLASS C SHARES
- --------------------------------------------------------------------------------------
Shares sold 13,881 $ 143,607
- --------------------------------------------------------------------------------------
Increase 13,881 $ 143,607
- --------------------------------------------------------------------------------------
CLASS P SHARES
- --------------------------------------------------------------------------------------
Shares sold 1,000 $ 10,000
- --------------------------------------------------------------------------------------
Increase 1,000 $ 10,000
- --------------------------------------------------------------------------------------
CLASS Y SHARES
- --------------------------------------------------------------------------------------
Shares sold 1,000 $ 10,000
- --------------------------------------------------------------------------------------
Increase 1,000 $ 10,000
- --------------------------------------------------------------------------------------
</Table>
* For the period June 23, 2003 (commencement of investment operations) to
October 31, 2003.
12. SUBSEQUENT EVENTS
On December 15, 2003, Lord Abbett International Core Equity Fund, a new Fund of
the Trust, commenced investment operations and was capitalized with a $5,040,000
investment from Lord Abbett. Shares are currently available to partners and
employees of Lord Abbett and will become available to the public on January 2,
2004.
Effective January 1, 2004, a redemption fee of 2.00% of the NAV of the shares
being redeemed will be charged on redemptions or exchanges of shares of
International Opportunities Fund held ten business days or less, other than
shares acquired through the reinvestment of dividends or other distributions or
certain automatic or systematic investment, exchange or withdrawal plans. The
redemption fee is retained by the Fund and is intended to discourage short-term
investment in the Fund in order to avoid transaction and other expenses caused
by short-term investments, and to facilitate implementation of the Fund's
portfolio management strategies and techniques.
55
<Page>
INDEPENDENT AUDITORS' REPORT
THE BOARD OF TRUSTEES AND SHAREHOLDERS,
LORD ABBETT SECURITIES TRUST - LORD ABBETT ALL VALUE SERIES, ALPHA SERIES, LORD
ABBETT INTERNATIONAL OPPORTUNITIES FUND AND LORD ABBETT LARGE-CAP VALUE FUND:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments of Lord Abbett Securities Trust - Lord Abbett All
Value Series, Alpha Series, Lord Abbett International Opportunities Fund
(formerly known as International Series), and Lord Abbett Large-Cap Value Fund
(the "Funds") as of October 31, 2003, and the related statements of operations,
the statements of changes in net assets and the financial highlights for each of
the periods presented. These financial statements and financial highlights are
the responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of October 31, 2003 by correspondence with the custodian and
brokers; where replies were not received from brokers, we performed other
auditing procedures. An audit also includes assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Lord
Abbett Securities Trust - Lord Abbett All Value Series, Alpha Series, Lord
Abbett International Opportunities Fund and Lord Abbett Large-Cap Value Fund as
of October 31, 2003, the results of their operations, the changes in their net
assets and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States of
America.
/s/ Deloitte & Touche LLP
New York, New York
December 22, 2003
56
<Page>
BASIC INFORMATION ABOUT MANAGEMENT
The Board of Trustees (the "Board") is responsible for the management of the
business and affairs of each Fund in accordance with the laws of the State of
Delaware. The Board appoints officers who are responsible for the day-to-day
operations of each Fund and who execute policies authorized by the Board. The
Board also approves an investment adviser to each Fund and continues to monitor
the cost and quality of the services provided by the investment adviser, and
annually considers whether to renew the contract with the adviser. Generally,
each Trustee holds office until his successor is elected and qualified or until
his earlier resignation or removal, as provided in the Trust's organizational
documents.
Lord, Abbett & Co. LLC ("Lord Abbett"), a Delaware limited liability company, is
the Funds' investment adviser.
INTERESTED TRUSTEE
The following Trustee is the Managing Partner of Lord Abbett and is an
"interested person" as defined in the Act. Mr. Dow is also an officer, director,
or trustee of each of the fourteen Lord Abbett-sponsored funds, which consist of
49 portfolios or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
DATE OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ------------------------------------------------------------------------------------------------------------------------
ROBERT S. DOW Trustee since; Managing Partner and Chief N/A
Lord, Abbett & Co. LLC 1993 and Chairman since 1996 Investment Officer of Lord
90 Hudson Street Abbett since 1996.
Jersey City, NJ
Date of Birth: 3/8/1945
</Table>
------------
INDEPENDENT TRUSTEES
The following independent or outside Trustees are also directors or trustees of
each of the fourteen Lord Abbett-sponsored funds, which consist of 49 portfolios
or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
DATE OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ------------------------------------------------------------------------------------------------------------------------
E. THAYER BIGELOW Trustee since 1994 Managing General Partner, Currently serves as
Bigelow Media, LLC 41 Bigelow Media, LLC (since director of Adelphia
Madison Ave., Suite 3810 2000); Senior Adviser, Time Communications, Inc.,
New York, NY Date of Warner Inc. (1998 - 2000); Crane Co., and Huttig
Birth: 10/22/1941 Acting Chief Executive Officer Building Products
of Courtroom Television Inc.
Network (1997 - 1998);
President and Chief Executive
Officer of Time Warner Cable
Programming, Inc. (1991 -
1997).
WILLIAM H.T. BUSH Trustee since 1998 Co-founder and Chairman of the Currently serves as
Bush-O'Donnell & Co., Inc. Board of the financial director of Wellpoint
101 South Hanley Rd, advisory firm of Health Network, Inc.,
Suite 1260 Bush-O'Donnell & Company DT Industries Inc.,
St. Louis, MO (since 1986). and Engineered
Date of Birth: 7/14/1938 Support Systems, Inc.
</Table>
57
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
DATE OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ------------------------------------------------------------------------------------------------------------------------
ROBERT B. CALHOUN, JR. Trustee since 1998 Managing Director of Monitor Currently serves as
Monitor Clipper Partners Clipper Partners (since 1997) director of Avondale,
650 Madison Ave., and President of Clipper Asset Inc. and Interstate
9th Fl. New York, NY Management Corp. (since 1991), Bakeries Corp.
Date of Birth: 10/25/1942 both private equity investment
funds.
STEWART S. DIXON Trustee since 1993; retired Partner in the law firm of N/A
Wildman, Harrold, 12/31/2002 Wildman, Harrold, Allen &
Allen & Dixon Dixon (since 1967)
225 W. Wacker Drive,
Suite 2800 Chicago, IL
Date of Birth: 11/5/1930
FRANKLIN W. HOBBS Trustee since 2001 Senior Advisor (since April Currently serves as
Houlihan Lokey 2003) and Former Chief director of Adolph
Howard & Zukin Executive Officer of Houlihan Coors Company.
685 Third Ave. Lokey Howard & Zukin, an
New York, NY investment bank (January 2002
Date of Birth: 7/30/1947 - April 2003); Chairman of
Warburg Dillon Read (1999 -
2001); Global Head of
Corporate Finance of SBC
Warburg Dillon Read (1997 -
1999); Chief Executive Officer
of Dillon, Read & Co. (1994 -
1997)
C. ALAN MacDONALD Trustee since 1993 Retired - General Business and Currently serves as
415 Round Hill Road Governance Consulting (since director of
Greenwich, CT 1992); formerly President and Fountainhead Water
Date of Birth: 5/19/1933 CEO of Nestle Foods. Company, Lincoln
Snacks, H.J. Baker,
and Seix Fund, Inc.*
THOMAS J. NEFF Trustee since 1993 Chairman of Spencer Stuart, an Currently serves as
Spencer Stuart executive search consulting director of Ace, Ltd.
277 Park Avenue firm (since 1996); President and Exult, Inc.
New York, NY of Spencer Stuart (1979 -
Date of Birth: 10/2/1937 1996).
JAMES F. ORR, III Trustee since 2002; retired President and CEO of Currently serves as
80 Pinckney Street 3/3/2003 LandingPoint Capital (since Chairman of
Boston, MA 2002); Chairman and CEO of Rockefeller
Date of Birth: 3/5/1943 United Asset Management Foundation, Director
Corporation (2000 to 2001); of Nashua Corp. and
Chairman and CEO of UNUM SteelPoint
Provident Corporation (1999 - Technologies.
merger); Chairman and CEO of
UNUM Corporation (1988 -
1999).
</Table>
- -----------
* Seix Fund, Inc. is a registered investment company that is advised by Seix
Investment Advisors Inc. Seix Investment Advisors Inc.'s Chairman, CEO, and
Chief Investment Officer is married to Robert Dow, the Trust's Chairman, CEO,
and President and the Managing Partner of Lord Abbett.
-----------
58
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
OFFICERS
None of the officers listed below have received compensation from the Trust. All
the officers of the Trust may also be officers of the other Lord
Abbett-sponsored funds and maintain offices at 90 Hudson Street, Jersey City, NJ
07302.
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------------------------------
ROBERT S. DOW Chief Executive Elected in 1993 Managing Partner and Chief
(3/8/1945) Officer and President Investment Officer of Lord
Abbett since 1996.
SHOLOM DINSKY Executive Elected in 2003 Partner and Large Cap Value
(3/24/1944) Vice President Investment Manager, joined
Lord Abbett in 2000, formerly
Managing Director of
Prudential Asset Management,
prior thereto Director of
Equity Research and Senior
Vice President at Mitchell
Hutchins Asset Management.
ROBERT P. FETCH Executive Elected in 1999 Partner and Small-Cap Value
(2/18/1953) Vice President Senior Investment Manager,
joined Lord Abbett in 1995.
KENNETH G. FULLER Executive Elected in 2003 Investment Manager - Large
(4/22/1945) Vice President Cap Value, joined Lord Abbett
in 2002, formerly Portfolio
Manager and Senior Vice
President at Pioneer
Investment Management, Inc.
from 1999 to 2002; prior
thereto Principal, Manley,
Fuller Asset Management.
HOWARD E. HANSEN Vice President Elected in 2003 Partner and Investment
(10/13/1961) Manager, joined Lord Abbett
in 1995.
</Table>
59
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------------------------------
INGRID C. HOLM Executive Elected in 2001 Investment Manager - Global
(3/21/1959) Vice President Equity, joined Lord Abbett in
2001, formerly International
Portfolio Manager at
Batterymarch Financial
Management, Inc. from 2000 to
2001, prior thereto held
various positions at the
Prudential Insurance Company
of America.
VINCENT J. MCBRIDE Executive Elected in 2003 Senior Investment Manager,
(5/8/1964) Vice President International Core Equity,
joined Lord Abbett in 2003,
formerly Managing Director
and Portfolio Manager at
Warburg Pincus Asset
Management and Credit Suisse
Asset Management.
ROBERT G. MORRIS Executive Elected in 1998 Partner and Director of
(11/6/1944) Vice President Equity Investments, joined
Lord Abbett in 1991.
F. THOMAS O'HALLORAN Executive Elected in 2003 Partner and Investment
(2/19/1955) Vice President Manager, joined Lord Abbett
in 2001, formerly Executive
Director/Senior Research
Analyst at Dillon Read/UBS
Warburg.
ELI M. SALZMANN Executive Elected in 2003 Partner and Director of
(3/24/1964) Vice President Institutional Equity
Investments, joined Lord
Abbett in 1997.
</Table>
60
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------------------------------
HAROLD E. SHARON Executive Elected in 2003 Investment Manager and
(9/23/1960) Vice President Director, International Core
Equity, joined Lord Abbett in
2003, formerly Financial
Industry Consultant for
Venture Capitalist from 2001
to 2003, prior thereto
Managing Director of Warburg
Pincus Asset Management and
Credit Suisse Asset
Management.
TRACIE E. AHERN Vice President and Treasurer Elected in 1999 Partner and Director of
(1/12/1968) Portfolio Accounting and
Operations, joined Lord
Abbett in 1999, prior thereto
Vice President - Head of Fund
Administration of Morgan
Grenfell.
JOAN A. BINSTOCK Chief Financial Officer and Elected in 1999 Partner and Chief Operations
(3/4/1954) Vice President Officer, joined Lord Abbett
in 1999, prior thereto Chief
Operating Officer of Morgan
Grenfell.
DAVID G. BUILDER Vice President Elected in 2001 Equity Analyst, joined Lord
(1/4/1954) Abbett in 1998,.
DANIEL E. CARPER Vice President Elected in 1993 Partner, joined Lord Abbett
(1/22/1952) in 1979.
JOHN J. DICHIARO Vice President Elected in 2000 Partner and Senior Strategy
(7/30/1957) Coordinator - Small Cap
Growth, joined Lord Abbett in
2000, prior thereto Vice
President - Securities Group
of Wafra Investment Advisory
Group.
LESLEY-JANE DIXON Vice President Elected in 1999 Partner and Senior Research
(1/1/1964) Analyst, joined Lord Abbett
in 1995.
</Table>
61
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------------------------------
DANIEL H. FRASCARELLI Vice President Elected in 2001 Partner and Investment
(3/11/1954) Manager, joined Lord Abbett
in 1990.
GERARD S. E. Vice President Elected in 1999 Research Analyst, joined Lord
HEFFERNAN, JR. Abbett in 1998.
(9/7/1963)
PAUL A. HILSTAD Vice President and Secretary Elected in 1996 Partner and General Counsel,
(12/13/1942) joined Lord Abbett in 1995.
TODD D. JACOBSON Vice President Elected in 2003 Investment Manager,
(10/28/1966 ) International Core Equity,
joined Lord Abbett in 2003,
formerly Director and
Portfolio Manager at Warburg
Pincus Asset Management and
Credit Suisse Asset
Management from 2002 to 2003;
prior thereto Associate
Portfolio Manager of Credit
Suisse Asset Management.
LAWRENCE H. KAPLAN Vice President and Assistant Elected in 1997 Partner and Deputy General
(1/16/1957) Secretary Counsel, joined Lord Abbett
in 1997.
A. EDWARD OBERHAUS, III Vice President Elected in 1993 Partner and Manager of Equity
(12/21/1959) Trading, joined Lord Abbett
in 1983.
TODOR PETROV Vice President Elected in 2003 Investment Manager, joined
(5/18/1974) Lord Abbett in 2003, formerly
Associate Portfolio Manager
of Credit Suisse Asset
Management from 1999 to 2003;
prior thereto Summer
Associate of Warburg Pincus
Funds.
</Table>
62
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------------------------------
CHRISTINA T. SIMMONS Vice President and Assistant Elected in 2000 Assistant General Counsel,
(11/12/1957) Secretary joined Lord Abbett in 1999,
formerly Assistant General
Counsel of Prudential
Investments from 1998 to
1999, prior thereto Counsel
of Drinker, Biddle & Reath
LLP, a law firm.
BERNARD J. GRZELAK Assistant Treasurer Elected in 2003 Director of Fund
(6/12/1971) Administration, joined Lord
Abbett in 2003, formerly Vice
President, Lazard Asset
Management from 2000 to 2003,
prior thereto Manager of
Deloitte & Touche LLP.
</Table>
Please call 1-888-522-2388 for a copy of the Statement of Additional Information
(SAI), which contains further information about the Trust's Trustees. It is
available free upon request.
63
<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 219336, Kansas City, MO 64121.
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to the Fund's portfolio securities is available without charge,
upon request, by calling 888-522-2388 or on Lord Abbett's web site at
www.LordAbbett.com.
TAX INFORMATION
None of the ordinary income distribution paid by the International
Opportunities Fund during fiscal 2003 is qualifying dividend income. For
corporate shareholders, none of the International Opportunities Fund's
ordinary income distribution qualified for the dividends received
deduction.
Additionally, all the distributions paid to shareholders during the fiscal
year ended October 31, 2003 for All Value Fund and Alpha Fund represent
long-term capital gains.
64
<Page>
[LORD ABBETT(R) LOGO]
<Table>
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 Securities Trust
Lord Abbett All Value Fund
Lord Abbett Mutual Fund shares are distributed by: International Opportunities Series
LORD ABBETT DISTRIBUTOR LLC: Alpha Series LST-2-10-03
90 Hudson Street - Jersey City, New Jersey 07302-3973 Large-Cap Value Fund (12/03)
</Table>
<Page>
LORD ABBETT
[LORD ABBETT LOGO]
2003
ANNUAL
REPORT
LORD ABBETT
MICRO-CAP GROWTH FUND
MICRO-CAP VALUE FUND
FOR THE YEAR ENDED OCTOBER 31, 2003
<Page>
- --------------------------------------------------------------------------------
LORD ABBETT MICRO-CAP GROWTH FUND AND MICRO-CAP VALUE FUND ANNUAL REPORT
FOR THE FISCAL YEAR ENDED OCTOBER 31, 2003
DEAR SHAREHOLDERS: We are pleased to provide you with this twelve-month overview
of the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund's
strategies and performance for the fiscal year ended October 31, 2003. On this
and the following pages, we discuss the major 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
- --------------------------------------------------------------------------------
Q: WHAT WERE THE OVERALL MARKET CONDITIONS OF THE REPORTING PERIOD?
A: War and general geopolitical concerns had a 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 rose during the period, reaching 6.4% by June 2003. 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.
In June, the Federal Reserve Board (the "Fed") cut interest rates 25 basis
points to 1%, in a continued attempt to spark the economy. With interest rates
at levels not seen for over 40 years, the Fed is attempting a variety of
measures to promote and sustain growth. Over the past year, the U.S. dollar
weakened versus the euro. A weaker dollar can translate into more competitive
pricing for U.S. goods overseas. Additionally, imports can become more expensive
and less attractive to the U.S. consumer, resulting in higher sales of
American-made goods within the U.S.--providing further stimulus for economic
growth. During the second quarter of 2003, President Bush signed into law a tax
reform/economic stimulus package with accelerated tax cuts and dividend
exclusions.
The U.S. economy continued to show signs of improvement during the third
quarter of 2003, as domestic growth prospects and corporate profits improved.
Further evidence of an economic recovery sparked the equity
1
<Page>
- --------------------------------------------------------------------------------
markets, adding to the market gains experienced in the second quarter. For the
period, major indices advanced, but concerns over future growth grew as the
summer ended.
As the economy entered the final months of 2003, early gross domestic product
(GDP) numbers showed that the U.S. economy expanded by an 8.2% rate in the third
quarter, well ahead of expectations and up from 3.3% growth in the second
quarter. In addition, productivity data, an important gauge for inflation,
remained strong and can be an important signal that interest rates may remain
low in the near-term. As the period came to a close, October's employment report
showed an increase of 126,000 jobs and a lower unemployment rate of 6.0%--an
encouraging sign as the economy enters 2004.
LORD ABBETT MICRO-CAP GROWTH FUND
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2003?
A: For the fiscal year ended October 31, 2003, Lord Abbett Micro-Cap Growth Fund
returned 44.7%,(1) underperforming the Russell 2000(R) Growth Index, (2) which
returned 46.6% over the same period. PLEASE REFER TO PAGE 4 FOR AVERAGE ANNUAL
TOTAL RETURNS.
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: Stock selection in the materials and processing sector hurt the Fund's
performance for the period, as certain holdings suffered from lower margins and
net income. Stock selection in the healthcare sector also hurt performance, as
companies experienced higher expenses hurting stock performance. In addition,
stock selection in the producer durables sector, relative to the stocks in the
Fund's index, detracted from the Fund's performance.
For the period, strong stock selection in the technology sector was the
largest benefactor to Fund performance. In particular, certain companies that
offer online educational services experienced strong gains from increased
revenue growth. In addition, stock selection in the consumer discretionary
sector added to performance, where increased sales and stronger consumer
spending helped sector holdings. Stock selection in the financial services
sector also added to performance, relative to the Fund's index.
LORD ABBETT MICRO-CAP VALUE FUND
Q: HOW DID THE FUND PERFORM OVER THE FISCAL YEAR ENDED OCTOBER 31, 2003?
A: For the fiscal year ended October 31, 2003, Lord Abbett Micro-Cap Value Fund
returned 43.8%,(1) outperforming the Russell 2000(R) Value Index,(3) which
returned 40.3% over the same period. PLEASE REFER TO PAGE 5 FOR AVERAGE ANNUAL
TOTAL RETURNS.
2
<Page>
- --------------------------------------------------------------------------------
Q: WHAT WERE THE MOST SIGNIFICANT FACTORS AFFECTING PERFORMANCE?
A: The Fund's largest contributor to its performance, relative to the index, was
stock selection in the auto and transportation sector where holdings in the
trucking industry appreciated, as the companies positioned themselves for the
anticipated economic rebound. Stock selection in the healthcare sector also
added to performance, as strong revenue growth in certain small biotech
companies helped the Fund. In addition, stock selection and an overweight
position in the technology sector added to the Fund's performance.
The Fund's performance was hurt from stock selection in the consumer
discretionary sector. Stock selection in the producer durables sector also hurt
the Fund's performance, as lower revenues in some companies slowed performance.
In addition, stock selection in the materials and processing sector detracted
from the Fund's performance.
(1) Reflects performance at the Net Asset Value (NAV) of Class A shares, with
all distributions reinvested, for the fiscal year ended October 31, 2003.
(2) 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.
(3) The 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
The views of each Fund's management and the portfolio holdings described in this
report are as of October 31, 2003; these views and portfolio holdings may have
changed subsequent to this date and they do not guarantee the future performance
of the markets or the Funds. Information provided in this report should not be
considered a recommendation to purchase or sell securities.
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 Fund, 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 each
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 is actively managed and, as a result, asset allocation may change.
Sectors may include many industries.
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 FURTHER UPDATED PERFORMANCE INFORMATION, PLEASE CALL LORD ABBETT AT
800-821-5129 OR REFER TO OUR WEBSITE AT www.LordAbbett.com.
FOR MORE COMPLETE INFORMATION ABOUT THIS OR ANY LORD ABBETT MUTUAL FUND,
INCLUDING RISKS, INVESTMENT OBJECTIVES, 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.
3
<Page>
MICRO-CAP GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class Y shares with the same
investment in the Center for Research Security Prices Index "CRSP 9-10 Index"
and the Russell 2000(R) Growth Index, assuming reinvestment of all dividends and
distributions. The performance of other class will be greater than or less than
the performance shown in the graph below due to different sales loads and
expenses applicable to such classes. The graph and performance table below do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. PAST PERFORMANCE IS NO GUARANTEE
OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS Y SHARES) AT NET ASSET VALUE(1) CRSP 9-10 INDEX(2) RUSSELL 2000(R) GROWTH INDEX(2)
7/9/1999 $ 10,000 $ 10,000 $ 10,000
9/30/1999 $ 9,372 $ 9,588 $ 9,812
12/31/1999 $ 11,998 $ 11,444 $ 13,088
3/31/2000 $ 15,186 $ 13,395 $ 14,303
6/30/2000 $ 12,014 $ 12,196 $ 13,249
9/30/2000 $ 11,449 $ 12,425 $ 12,723
12/31/2000 $ 9,250 $ 10,005 $ 10,153
3/31/2001 $ 9,475 $ 10,586 $ 8,610
6/30/2001 $ 10,624 $ 12,654 $ 10,157
9/30/2001 $ 8,395 $ 10,427 $ 7,305
12/31/2001 $ 10,857 $ 13,432 $ 9,216
3/31/2002 $ 10,857 $ 14,053 $ 9,036
6/30/2002 $ 9,478 $ 13,194 $ 7,617
9/30/2002 $ 7,419 $ 10,298 $ 5,978
12/31/2002 $ 7,527 $ 11,536 $ 6,427
3/31/2003 $ 7,271 $ 11,313 $ 6,177
6/30/2003 $ 9,252 $ 15,154 $ 7,669
9/30/2003 $ 10,345 $ 17,553 $ 8,472
10/31/2003 $ 10,798 $ 19,048 $ 9,204
</Table>
FISCAL YEAR-END 10/31
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2003
<Table>
<Caption>
1 YEAR LIFE OF CLASS
CLASS A(3) 36.39% -7.76%
CLASS Y(4) 45.17% 1.80%
</Table>
(1) Total Return applicable to Class Y shares with all dividends and
distributions reinvested for the periods shown ended October 31, 2003 using the
SEC-required uniform method to compute such return.
(2) Performance of each unmanaged indices does not reflect transaction costs,
management fees or sales charges. The performance of the Index is not
necessarily representative of the Fund's performance. Performance for each Index
begins on July 31, 1999.
(3) Class A shares commenced operations on May 1, 2000. Total Return, which is
the percent change in net asset value, after deduction of the maximum initial
sales charge of 5.75% applicable to Class A shares, with all dividends and
distributions reinvested for the periods shown ended October 31, 2003 using the
SEC-required uniform method to compute such return.
(4) Class Y shares commenced operations on July 9, 1999. Total Return, with all
dividends and distributions reinvested for the periods shown ended October 31,
2003, is at net asset value.
4
<Page>
MICRO-CAP VALUE FUND
- --------------------------------------------------------------------------------
INVESTMENT COMPARISON
Below is a comparison of a $10,000 investment in Class Y shares with the same
investment in the Center for Research Security Prices Index "CRSP 9-10 Index"
and the Russell 2000(R) Value Index, assuming reinvestment of all dividends and
distributions. The performance of other class will be greater than or less than
the performance shown in the graph below due to different sales loads and
expenses applicable to such classes. The graph and performance table below do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares. PAST PERFORMANCE IS NO GUARANTEE
OF FUTURE RESULTS.
[CHART]
<Table>
<Caption>
THE FUND (CLASS Y SHARES) AT NET ASSET VALUE(1) CRSP 9-10 INDEX(2) RUSSELL 2000(R) VALUE INDEX(2)
7/9/1999 $ 10,000 $ 10,000 $ 10,000
9/30/1999 $ 9,309 $ 9,588 $ 9,442
12/31/1999 $ 10,387 $ 11,444 $ 9,586
3/31/2000 $ 11,010 $ 13,395 $ 9,953
6/30/2000 $ 12,787 $ 12,196 $ 10,147
9/30/2000 $ 13,872 $ 12,425 $ 10,892
12/31/2000 $ 14,124 $ 10,005 $ 11,775
3/31/2001 $ 14,633 $ 10,586 $ 11,889
6/30/2001 $ 17,764 $ 12,654 $ 13,273
9/30/2001 $ 15,364 $ 10,427 $ 11,502
12/31/2001 $ 18,063 $ 13,432 $ 13,425
3/31/2002 $ 20,639 $ 14,053 $ 14,712
6/30/2002 $ 20,864 $ 13,194 $ 14,400
9/30/2002 $ 17,123 $ 10,298 $ 11,334
12/31/2002 $ 17,452 $ 11,536 $ 11,892
3/31/2003 $ 16,063 $ 11,313 $ 11,288
6/30/2003 $ 20,286 $ 15,154 $ 13,852
9/30/2003 $ 22,223 $ 17,553 $ 14,922
10/31/2003 $ 24,117 $ 19,048 $ 16,138
</Table>
FISCAL YEAR-END 10/31
AVERAGE ANNUAL TOTAL RETURN AT MAXIMUM APPLICABLE
SALES CHARGE FOR THE PERIODS ENDED OCTOBER 31, 2003
<Table>
<Caption>
1 YEAR LIFE OF CLASS
CLASS A(3) 35.53% 21.93%
CLASS Y(4) 44.35% 22.65%
</Table>
(1) Total Return applicable to Class Y shares with all dividends and
distributions reinvested for the periods shown ended October 31, 2003 using the
SEC-required uniform method to compute such return.
(2) Performance of each unmanaged Index does not reflect transaction costs,
management fees or sales charges. The performance of the indices is not
necessarily representative of the Fund's performance. Performance for each Index
begins on July 31, 1999.
(3) Class A shares commenced operations on May 1, 2000. Total Return, which is
the percent change in net asset value, after deduction of the maximum initial
sales charge of 5.75% applicable to Class A shares, with all dividends and
distributions reinvested for the periods shown ended October 31, 2003 using the
SEC-required uniform method to compute such return.
(4) Class Y shares commenced operations on July 9, 1999. Total Return, with all
dividends and distributions reinvested for the periods shown ended October 31,
2003, is at net asset value.
5
<Page>
SCHEDULE OF INVESTMENTS
MICRO-CAP GROWTH FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS 99.79%
BANKS 1.87%
Online Resources Corp.* 13,500 $ 87
--------
BANKS: OUTSIDE NEW YORK CITY 3.50%
Nara Bancorp, Inc. 7,200 163
--------
BIOTECHNOLOGY RESEARCH & PRODUCTION 7.31%
Regeneration Technologies, Inc.* 8,700 104
Sequenom, Inc.* 31,700 102
Vion Pharmaceuticals, Inc.* 75,500 135
--------
TOTAL 341
--------
CASINOS & GAMBLING 2.25%
Mikohn Gaming Corp.* 17,900 105
--------
CHEMICALS 3.99%
Ultralife Batteries, Inc.* 10,700 186
--------
COMMUNICATIONS TECHNOLOGY 3.54%
KVH Industries, Inc.* 3,700 103
Seachange Int'l, Inc.* 4,000 62
--------
TOTAL 165
--------
COMPUTER SERVICES SOFTWARE & SYSTEMS 16.75%
Aladdin Knowledge Systems*(a) 18,000 147
Concur Technologies, Inc.* 9,600 110
Digitas, Inc.* 16,900 147
eCollege.com, Inc.* 7,700 167
Electronic Clearing House* 17,900 125
Intervideo, Inc.* 5,000 85
--------
TOTAL 781
--------
CONSUMER ELECTRONICS 1.50%
Euniverse, Inc.* 35,700 $ 70
--------
DIVERSIFIED MANUFACTURING 1.80%
Armor Holdings, Inc.* 4,300 84
--------
DRUGS & PHARMACEUTICALS 8.96%
Bradley Pharmaceuticals, Inc.* 3,200 86
D&K Healthcare Resources, Inc. 7,500 97
Flamel Technologies ADR* 4,600 116
Parexel Int'l Corp.* 7,100 119
--------
TOTAL 418
--------
ELECTRONICS 3.07%
CompuDyne Corp.* 6,200 50
II-VI, Inc.* 3,900 93
--------
TOTAL 143
--------
ELECTRONICS: INSTRUMENTS GAUGES & METERS 3.09%
Measurement Specialties, Inc.* 11,700 144
--------
ELECTRONICS: MEDICAL SYSTEMS 1.89%
Rita Medical Systems, Inc.* 23,000 88
--------
ELECTRONICS: SEMI-CONDUCTORS / COMPONENTS 3.41%
Microsemi Corp.* 7,700 159
--------
ELECTRONICS: TECHNOLOGY 1.01%
Identix, Inc.* 8,218 47
--------
FINANCE COMPANIES 1.71%
Asta Funding, Inc. 2,700 80
--------
HEALTHCARE MANAGEMENT SERVICES 2.79%
Psychiatric Solutions, Inc.* 8,700 130
--------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
MICRO-CAP GROWTH FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- -----------------------------------------------------------------------
JEWELRY WATCHES & GEMSTONES 2.36%
LJ International, Inc.*(a) 26,200 $ 110
--------
MEDICAL & DENTAL INSTRUMENTS & SUPPLIES 8.23%
BioSource Int'l., Inc.* 17,300 124
Conceptus, Inc.* 7,500 92
Molecular Devices Corp.* 6,100 108
Neogen Corp.* 3,000 60
--------
TOTAL 384
--------
OFFICE FURNITURE & BUSINESS EQUIPMENT 1.01%
Insignia Systems, Inc.* 13,100 47
--------
RETAIL 7.12%
Casual Male Retail Group, Inc.* 18,500 165
The Sports Authority, Inc.* 4,500 167
--------
TOTAL 332
--------
SERVICES: COMMERCIAL 9.11%
Ebookers.com plc ADR* 9,900 158
Exponent, Inc.* 4,200 89
Gevity HR, Inc. 7,100 107
Opinion Research Corp.* 11,700 71
--------
TOTAL 425
--------
TEXTILES APPAREL MANUFACTURERS 3.52%
Oxford Industries, Inc. 2,400 164
--------
TOTAL COMMON STOCKS
(Cost $4,066,541) 4,653
========
<Caption>
PRINCIPAL
AMOUNT VALUE
INVESTMENTS (000) (000)
- -----------------------------------------------------------------------
SHORT-TERM INVESTMENT 0.64%
REPURCHASE AGREEMENT 0.64%
Repurchase Agreement dated 10/31/2003,
0.99% due 11/3/2003 with State Street
Bank & Trust Co. collateralized by $35,000
of Federal Home Loan Bank at 1.25% due
7/2/2004; value: $35,170; proceeds: $29,663
(Cost $29,660) $ 30 $ 30
========
TOTAL INVESTMENTS
100.43% (Cost $4,096,201) $ 4,683
========
</Table>
* Non-income producing security.
(a) Foreign security traded in U.S. dollars.
ADR-American Depository Receipt.
SEE NOTES TO FINANCIAL STATEMENTS.
7
<Page>
SCHEDULE OF INVESTMENTS
MICRO-CAP VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- -----------------------------------------------------------------------
COMMON STOCKS 93.47%
AIR TRANSPORTATION 2.70%
Frontier Airlines, Inc.* 8,200 $ 132
Offshore Logistics, Inc.* 5,000 109
--------
TOTAL 241
--------
AUTO COMPONENTS 1.22%
Wabash National Corp.* 4,700 108
--------
AUTO PARTS: AFTER MARKET 3.72%
Keystone Automotive Industries, Inc. * 9,500 235
Standard Motor Products, Inc. 8,700 97
--------
TOTAL 332
--------
BANKS 1.46%
Hanmi Financial Corp. 6,158 131
--------
BANKS: OUTSIDE NEW YORK CITY 1.43%
Cobiz, Inc. 7,600 127
--------
CHEMICALS 3.52%
NuCo2, Inc.* 17,600 221
Quaker Chemical Corp. 3,500 93
--------
TOTAL 314
--------
COMMUNICATIONS TECHNOLOGY 1.28%
Bel Fuse, Inc. Class A 4,500 114
--------
COMPUTER SERVICES SOFTWARE & SYSTEMS 3.34%
Datastream Systems, Inc.* 7,000 54
MICROS Systems, Inc.* 6,000 243
OpticNet, Inc.* ~ 300 --(b)
--------
TOTAL 297
--------
COMPUTER TECHNOLOGY 3.84%
Concurrent Computer Corp.* 31,000 144
Fargo Electronics * 14,400 $ 198
--------
TOTAL 342
--------
CONSTRUCTION 1.05%
Modtech Holdings, Inc.* 11,900 93
--------
CONTAINERS & PACKAGING: METAL & GLASS 0.95%
Mobile Mini, Inc.* 4,000 84
--------
ELECTRICAL EQUIPMENT & COMPONENTS 1.30%
Powell Industries, Inc.* 6,000 116
--------
ELECTRONICS 1.35%
BEI Technologies, Inc. 6,500 120
--------
ELECTRONICS: TECHNOLOGY 2.11%
Intermagnetics General Corp.* 8,000 188
--------
FINANCIAL MISCELLANEOUS 1.24%
Financial Federal Corp.* 3,300 111
--------
FOODS 2.25%
Sanderson Farms, Inc. 3,500 123
Tasty Baking Co. 10,100 78
--------
TOTAL 201
--------
FUNERAL PARLORS & CEMETERY 2.03%
Carriage Services, Inc.* 30,300 99
Rock of Ages Corp. 14,500 82
--------
TOTAL 181
--------
HEALTHCARE MANAGEMENT SERVICES 2.76%
American Dental Partners, Inc.* 12,000 116
Sierra Health Services, Inc.* 5,600 130
--------
TOTAL 246
--------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<Page>
SCHEDULE OF INVESTMENTS (CONTINUED)
MICRO-CAP VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- -----------------------------------------------------------------------
HOTEL/MOTEL 1.51%
The Marcus Corp. 9,000 $ 135
--------
HOUSEHOLD EQUIPMENT & PRODUCTS 1.61%
Craftmade Int'l., Inc. 6,000 143
--------
HOUSEHOLD FURNISHINGS 0.77%
Haverty Furniture Cos., Inc. 3,300 68
--------
IDENTIFICATION CONTROL & FILTER DEVICES 0.64%
Robbins & Myers, Inc. 2,700 57
--------
INSURANCE: PROPERTY-CASUALTY 2.75%
Donegal Group, Inc. 6,000 118
The Navigators Group, Inc.* 4,000 127
--------
TOTAL 245
--------
MACHINERY: INDUSTRIAL/SPECIALTY 2.33%
Tennant Co. 2,000 79
Twin Disc, Inc. 6,800 129
--------
TOTAL 208
--------
MACHINERY: OIL WELL EQUIPMENT & SERVICES 1.57%
Lufkin Industries, Inc. 4,000 96
Universal Compression Hldgs., Inc.* 2,000 44
--------
TOTAL 140
--------
MACHINERY: SPECIALTY 1.20%
Quipp, Inc.* 8,700 107
--------
MEDICAL & DENTAL INSTRUMENTS & SUPPLIES 1.36%
ICU Medical, Inc.* 3,600 122
--------
METAL FABRICATING 0.94%
NN, Inc. 7,000 84
--------
MISCELLANEOUS MATERIALS & PROCESSING 0.67%
Rogers Corp.* 1,500 $ 60
--------
OFFSHORE DRILLING 1.21%
TMBR/Sharp Drilling, Inc.* 6,000 108
--------
OIL: INTEGRATED DOMESTIC 1.08%
Pioneer Drilling Co.* 26,000 96
--------
POLLUTION CONTROL AND ENVIRONMENTAL
SERVICES 2.04%
Headwaters, Inc.* 3,000 56
Team, Inc.* 14,000 126
--------
TOTAL 182
--------
RAILROADS 1.32%
Genesee & Wyoming, Inc. Class A* 4,825 117
--------
REAL ESTATE INVESTMENT TRUSTS 2.64%
Agree Realty Corp. 3,900 101
Lasalle Hotel Properties 8,000 135
--------
TOTAL 236
--------
RENTAL & LEASING SERVICES:
COMMERCIAL 1.70%
Interpool, Inc. 4,500 66
McGrath Rent Corp. 3,000 85
--------
TOTAL 151
--------
RETAIL 4.38%
Hibbett Sporting Goods, Inc.* 3,600 98
Mothers Work, Inc.* 4,400 124
Sharper Image Corp.* 3,500 101
Ultimate Electronics, Inc.* 7,500 67
--------
TOTAL 390
--------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<Page>
SCHEDULE OF INVESTMENTS (CONCLUDED)
MICRO-CAP VALUE FUND OCTOBER 31, 2003
<Table>
<Caption>
VALUE
INVESTMENTS SHARES (000)
- -----------------------------------------------------------------------
SERVICES: COMMERCIAL 7.42%
Ambassadors Int'l., Inc.* 5,300 $ 101
Exponent, Inc.* 8,100 171
Monro Muffler Brake, Inc.* 8,000 263
World Fuel Services 4,400 126
--------
TOTAL 661
--------
SHOES 1.26%
Vans, Inc.* 10,000 112
--------
TELECOMMUNICATIONS EQUIPMENT 3.84%
Arris Group, Inc.* 18,500 111
C-Cor.Net Corp.* 22,900 231
--------
TOTAL 342
--------
TEXTILE PRODUCTS 1.18%
Quaker Fabric Corp. 13,200 106
--------
TEXTILES APPAREL MANUFACTURERS 3.54%
Cutter & Buck, Inc.* 25,100 191
Phillips-Van Heusen Corp. 7,300 125
--------
TOTAL 316
--------
TOBACCO 1.16%
Dimon, Inc. 14,300 103
--------
TRUCKERS 2.68%
Covenant Transport, Inc.* 5,600 107
Heartland Express, Inc. 2,956 73
P.A.M.
Transportation Svcs.* 3,100 59
--------
TOTAL 239
--------
UTILITIES: GAS DISTRIBUTORS 1.37%
Chesapeake Utilities Corp. 5,000 122
--------
UTILITIES: MISCELLANEOUS 1.24%
Waste Industries
USA, Inc.* 12,200 111
--------
UTILITIES: WATER 2.51%
Consolidated Water Co.
Ord Sh(a) 11,200 $ 224
--------
TOTAL COMMON STOCKS
(Cost $5,964,222) 8,331
========
<Caption>
PRINCIPAL
AMOUNT
(000)
------------
SHORT-TERM INVESTMENT 6.38%
REPURCHASE AGREEMENT 6.38%
Repurchase Agreement dated 10/31/2003
0.99% due 11/3/2003 with State Street
Bank & Trust Co. collateralized by
$545,000 of Federal National Mortgage
Assoc. at 6.5% due 8/15/2004; value:
$584,078; proceeds: $568,556 (Cost $568,509) $ 569 569
========
TOTAL INVESTMENTS 99.85%
(Cost $6,532,731) $ 8,900
========
</Table>
* Non-income producing security.
~ Fair valued security. See Note 2a.
(a) Foreign security traded in U.S. dollars.
(b) Value is less than $1,000.
SEE NOTES TO FINANCIAL STATEMENTS.
10
<Page>
STATEMENTS OF ASSETS AND LIABILITIES
October 31, 2003
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
ASSETS:
Investment in securities, at cost $ 4,096,201 $ 6,532,731
- --------------------------------------------------------------------------------------------
Investment in securities, at value $ 4,683,206 $ 8,899,975
Receivables:
Interest and dividends 136 2,366
Investment securities sold - 40,106
Capital shares sold 2,106 5,080
From affiliates 6,484 -
Prepaid expenses and other assets 2 49
- --------------------------------------------------------------------------------------------
TOTAL ASSETS 4,691,934 8,947,576
- --------------------------------------------------------------------------------------------
LIABILITIES:
Payables:
Capital shares reacquired - 430
Management fees 5,973 11,035
12b-1 distribution fees 1,403 2,740
Fund administration 159 294
Trustees' fees - 75
To Lord, Abbett & Co. LLC 7,227 6,116
Accrued expenses and other liabilities 14,132 13,626
- --------------------------------------------------------------------------------------------
TOTAL LIABILITIES 28,894 34,316
============================================================================================
NET ASSETS $ 4,663,040 $ 8,913,260
============================================================================================
COMPOSITION OF NET ASSETS:
Paid-in capital $ 4,497,316 $ 5,888,532
Distributions in excess of net investment income - (75)
Accumulated net realized gain (loss) on investments (421,281) 657,559
Net unrealized appreciation on investments 587,005 2,367,244
- --------------------------------------------------------------------------------------------
NET ASSETS $ 4,663,040 $ 8,913,260
============================================================================================
NET ASSETS BY CLASS:
Class A Shares $ 4,654,939 $ 8,891,757
Class Y Shares $ 8,101 $ 21,503
OUTSTANDING SHARES BY CLASS:
Class A Shares 428,140 414,828
Class Y Shares 739.40 998.76
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE
(NET ASSETS DIVIDED BY OUTSTANDING SHARES):
Class A Shares-Net asset value $ 10.87 $ 21.43
Class A Shares-Maximum offering price
(Net asset value plus sales charge of 5.75%) $ 11.53 $ 22.74
Class Y Shares-Net asset value $ 10.96 $ 21.53
============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<Page>
STATEMENTS OF OPERATIONS
For the Year Ended October 31, 2003
<Table>
<Caption>
MICRO-CAP MICRO-CAP
GROWTH FUND VALUE FUND
INVESTMENT INCOME:
Dividends $ 2,773 $ 54,956
Interest 2,566 4,482
- --------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 5,339 59,438
- --------------------------------------------------------------------------------------------
EXPENSES:
Management fees 52,559 100,462
12b-1 distribution plan-Class A 10,802 20,855
Shareholder servicing 4,186 3,364
Market data 20 35
Professional 5,863 4,348
Reports to shareholders 8,155 6,586
Fund accounting 1,445 1,485
Fund administration 988 2,274
Custody 3,384 2,530
Trustees' fees 53 100
Registration 9,773 4,143
Other 1,707 -
- --------------------------------------------------------------------------------------------
Gross expenses 98,935 146,182
Expense reductions (54) (74)
Management fees waived (11,688) (23,365)
Expenses assumed by Lord, Abbett & Co. LLC (25,862) (6,570)
- --------------------------------------------------------------------------------------------
NET EXPENSES 61,331 116,173
- --------------------------------------------------------------------------------------------
NET INVESTMENT LOSS (55,992) (56,735)
- --------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on investments 175,560 713,072
Net change in unrealized appreciation on investments 1,242,069 1,944,037
============================================================================================
NET REALIZED AND UNREALIZED GAIN 1,417,629 2,657,109
============================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,361,637 $ 2,600,374
============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended October 31, 2003
<Table>
<Caption>
MICRO-CAP MICRO-CAP
INCREASE IN NET ASSETS GROWTH FUND VALUE FUND
OPERATIONS:
Net investment loss $ (55,992) $ (56,735)
Net realized gain on investments 175,560 713,072
Net change in unrealized appreciation on investments 1,242,069 1,944,037
- --------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 1,361,637 2,600,374
============================================================================================
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 990,181 1,066,841
Reinvestment of distributions - 239,810
Cost of shares reacquired (392,729) (208,835)
- --------------------------------------------------------------------------------------------
Net increase in net assets resulting
from capital share transactions 597,452 1,097,816
============================================================================================
NET INCREASE IN NET ASSETS 1,959,089 3,456,513
============================================================================================
NET ASSETS:
Beginning of year 2,703,951 5,456,747
- --------------------------------------------------------------------------------------------
End of year $ 4,663,040 $ 8,913,260
============================================================================================
Undistributed (distributions in excess of)
net investment income $ - $ (75)
============================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<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 (DECREASE) IN NET ASSETS
RESULTING 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.
14
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP GROWTH FUND
<Table>
<Caption>
YEAR ENDED 10/31 5/1/2000(c)
---------------------------------------- TO
2003 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)(a) (.14) (.02) -(f) (.01)
Net realized and unrealized gain (loss) 3.50 (1.95) (1.34) (3.57)
---------- ---------- ---------- ----------
Total from investment operations 3.36 (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 $ 10.87 $ 7.51 $ 9.49 $ 13.18
========== ========== ========== ==========
Total Return(b) 44.74% (20.81)% (11.30)% (21.36)%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions 1.75% .38% .38% .18%(e)
Expenses, excluding waiver and
expense reductions 2.84% 2.99% 4.02% 1.36%(e)
Net investment income (loss) (1.60)% (.24)% .04% (.04)%(e)
<Caption>
YEAR ENDED 10/31 5/1/2000(c)
---------------------------------------- TO
SUPPLEMENTAL DATA: 2003 2002 2001 10/31/2000
===============================================================================================================
Net assets, end of period (000) $ 4,655 $ 2,698 $ 2,266 $ 2,160
Portfolio turnover rate 126.71% 34.08% 80.17% 103.33%
===============================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<Page>
FINANCIAL HIGHLIGHTS (CONTINUED)
MICRO-CAP GROWTH FUND
<Table>
<Caption>
YEAR ENDED 10/31 12/15/1998(d)
------------------------------------------------- TO
2003 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)(a) (.11) .01 .04 .04 .02
Net realized and unrealized gain (loss) 3.52 (1.95) (1.35) 1.73 2.55
---------- ---------- ---------- ---------- ----------
Total from investment operations 3.41 (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 $ 10.96 $ 7.55 $ 9.52 $ 13.21 $ 12.57
========== ========== ========== ========== ==========
Total Return(b) 45.17% (20.42)% (11.00)% 14.48% 25.70%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions 1.42% .00% .00% .00% .00%(e)
Expenses, excluding waiver and
expense reductions 2.51% 2.61% 3.64% 2.33% 1.71%(e)
Net investment income (loss) (1.27)% .14% .42% .22% .19%(e)
<Caption>
YEAR ENDED 10/31 12/15/1998(d)
------------------------------------------------- TO
SUPPLEMENTAL DATA: 2003 2002 2001 2000 10/31/1999
=======================================================================================================================
Net assets, end of period (000) $ 8 $ 6 $ 7 $ 8 $ 1,404
Portfolio turnover rate 126.71% 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.
16
<Page>
FINANCIAL HIGHLIGHTS
MICRO-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31 5/1/2000(c)
---------------------------------------- TO
2003 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)(a) (.14) .05 .10 .07
Net realized and unrealized gain 6.69 .60 2.20 2.70
---------- ---------- ---------- ----------
Total from investment operations 6.55 .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 $ 21.43 $ 15.56 $ 15.68 $ 15.90
========== ========== ========== ==========
Total Return(b) 43.80% 4.12% 17.16% 21.10%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions 1.73% .38% .38% .17%(e)
Expenses, excluding waiver and
expense reductions 2.18% 2.76% 3.08% 1.50%(e)
Net investment income (loss) (.84)% .31% .64% .49%(e)
<Caption>
YEAR ENDED 10/31 5/1/2000(c)
---------------------------------------- TO
SUPPLEMENTAL DATA: 2003 2002 2001 10/31/2000
==============================================================================================================
Net assets, end of period (000) $ 8,892 $ 5,442 $ 4,889 $ 2,032
Portfolio turnover rate 48.55% 36.02% 52.63% 82.02%
===============================================================================================================
</Table>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<Page>
FINANCIAL HIGHLIGHTS (CONCLUDED)
MICRO-CAP VALUE FUND
<Table>
<Caption>
YEAR ENDED 10/31 12/15/1998(d)
------------------------------------------------- TO
2003 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 (loss)(a) (.09) .12 .16 .14 .12
Net realized and unrealized gain 6.73 .59 2.19 5.19 .63
---------- ---------- ---------- ---------- ----------
Total from investment operations 6.64 .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 $ 21.53 $ 15.63 $ 15.72 $ 15.92 $ 10.75
========== ========== ========== ========== ==========
Total Return(b) 44.35% 4.51% 17.48% 50.12% 7.60%(e)
RATIOS TO AVERAGE NET ASSETS
Expenses, including waiver and
expense reductions 1.41% .00% .00% .00% .00%(e)
Expenses, excluding waiver and
expense reductions 1.86% 2.38% 2.70% 2.50% 1.80%(e)
Net investment income (loss) (.52)% .69% 1.02% 1.15% 1.08%(e)
<Caption>
YEAR ENDED 10/31 12/15/1998(d)
------------------------------------------------- TO
SUPPLEMENTAL DATA: 2003 2002 2001 2000 10/31/1999
======================================================================================================================
Net assets, end of period (000) $ 21 $ 15 $ 14 $ 12 $ 1,152
Portfolio turnover rate 48.55% 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.
SEE NOTES TO FINANCIAL STATEMENTS.
18
<Page>
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
Lord Abbett Securities Trust (the "Trust") is registered under the Investment
Company Act of 1940 (the "Act") as an open-end management investment company
organized as a Delaware business trust on February 26, 1993. The Trust currently
consists of seven 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. There may be a contingent deferred
sales charge ("CDSC") for certain redemptions of Class A shares made within 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 any recognized U.S. or non-U.S.
exchange or on NASDAQ, Inc. are valued at the last sale price or official
closing price on the exchange or system on which they are principally
traded. Unlisted equity securities are valued at the last quoted sales
price or, if no sales price is available, at the mean between the most
recently quoted bid and asked prices. 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.
(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 taxable income and
capital gains to its shareholders. Therefore, no federal income tax
provision is required.
19
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(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 the Class A 12b-1 Distribution Plan.
(f) REPURCHASE AGREEMENTS-Each Fund may enter into repurchase agreements with
respect to securities. A repurchase agreement is a transaction in which the
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, U.S. Government securities or U.S.
government sponsored enterprises 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 year ended October 31, 2003, Lord Abbett voluntarily waived a portion of
its management fees and assumed other expenses, at the annual rate set forth
below as a percentage of average daily net assets:
<Table>
<Caption>
VOLUNTARY
MANAGEMENT OTHER
FEE WAIVER EXPENSES ASSUMED
- ---------------------------------------------------------------------------
Micro-Cap Growth Fund .33% .74%
Micro-Cap Value Fund .35% .10%
</Table>
Lord Abbett may stop waiving its management fee and assuming other expenses at
any time.
In addition, on January 1, 2003, Lord Abbett began providing certain
administrative services to the Funds pursuant to an Administrative Services
Agreement at an annual rate of .04% of the Funds' average daily net assets. This
results 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 with respect to the Class A shares of
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 attributable to
Class A at an annual rate of .25% and .10%, respectively. In addition, until
January 1, 2003, the Trust paid an incremental marketing expense of
approximately .03% of average daily net assets attributable to Class A.
20
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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 years ended October 31, 2003
and October 31, 2002 are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- -------------------------------------------------------------------------------------------
10/31/2003 10/31/2002 10/31/2003 10/31/2002
- -------------------------------------------------------------------------------------------
Distributions paid from:
Ordinary income $ - $ 1,985 $ 241,677 $ 165,092
Net long-term capital gains - - - 74,239
- -------------------------------------------------------------------------------------------
Total distributions paid $ - $ 1,985 $ 241,677 $ 239,331
===========================================================================================
</Table>
As of October 31, 2003, the components of accumulated earnings on a tax basis
are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH MICRO-CAP VALUE
- -------------------------------------------------------------------------------------------
Undistributed ordinary income - net $ - $ 122,748
Undistributed long-term capital gains - 533,755
- -------------------------------------------------------------------------------------------
Total undistributed earnings $ - $ 656,503
Capital loss carryforwards* (421,281) -
Temporary differences - (75)
Unrealized gains - net 587,005 2,368,300
- -------------------------------------------------------------------------------------------
Total accumulated earnings - net $ 165,724 $ 3,024,728
===========================================================================================
</Table>
* At October 31, 2003, the capital loss carryforward along with the related
expiration date is as follows:
<Table>
<Caption>
AMOUNT YEAR OF EXPIRATION
- ------------------------------------------------------------
Micro-Cap Growth $ 421,281 2010
</Table>
21
<Page>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As of October 31, 2003, the aggregate unrealized security gains and losses based
on cost for U.S. Federal income tax purposes are as follows:
<Table>
<Caption>
MICRO-CAP GROWTH FUND MICRO-CAP VALUE FUND
- -----------------------------------------------------------------------------
Tax Cost $ 4,096,201 $ 6,531,675
- -----------------------------------------------------------------------------
Gross unrealized gain 858,245 2,461,434
Gross unrealized loss (271,240) (93,134)
- -----------------------------------------------------------------------------
Net unrealized security gain $ 587,005 $ 2,368,300
=============================================================================
</Table>
The difference between book-basis and tax-basis unrealized gains (losses) is
primarily attributable to wash sales and other temporary tax adjustments.
Permanent items identified during the year ended October 31, 2003, have been
reclassified among the components of net assets based on their tax basis
treatment as follows:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT NET REALIZED
INCOME GAIN (LOSS) PAID-IN CAPITAL
- -----------------------------------------------------------------------------
Micro-Cap Growth Fund $ 55,992 $ - $ (55,992)
Micro-Cap Value Fund 55,248 (55,484) 236
</Table>
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (other than short-term investments)
are as follows for the year ended October 31, 2003:
<Table>
<Caption>
PURCHASES SALES
- -----------------------------------------------------------
Micro-Cap Growth $ 4,924,483 $ 4,218,191
Micro-Cap Value 3,597,693 2,989,089
</Table>
There were no purchases or sales of U.S. Government securities for the year
ended October 31, 2003.
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 Statements of Operations and in Trustees'
fees payable on the Statements of Assets and Liabilities and are not deductible
for U.S. 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.
22
<Page>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
8. CUSTODIAN AND ACCOUNTING AGENT
State Street Bank and Trust Company ("SSB") is the Trust's custodian and
accounting agent. SSB performs custodian, accounting and record keeping
functions relating to portfolio transactions and calculating each Fund's 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 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
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.
10. SUMMARY OF CAPITAL TRANSACTIONS
The Trust has an unlimited number of authorized shares of beneficial interest.
<Table>
<Caption>
YEAR ENDED YEAR ENDED
MICRO-CAP GROWTH OCTOBER 31, 2003 OCTOBER 31, 2002
- -----------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------
Shares sold 112,263 $ 990,181 160,649 $ 1,617,928
Reinvestment of distributions - - 151 1,522
Shares reacquired (43,307) (392,729) (40,426) (388,684)
- -----------------------------------------------------------------------------------------
Increase 68,956 $ 597,452 120,374 $ 1,230,766
- -----------------------------------------------------------------------------------------
CLASS Y SHARES
- -----------------------------------------------------------------------------------------
Reinvestment of distributions - $ - 2.51 $ 25
- -----------------------------------------------------------------------------------------
Increase - $ - 2.51 $ 25
- -----------------------------------------------------------------------------------------
<Caption>
MICRO-CAP VALUE
- -----------------------------------------------------------------------------------------
CLASS A SHARES SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------
Shares sold 61,900 $ 1,066,841 111,635 $ 1,842,286
Reinvestment of distributions 15,556 239,107 15,261 237,001
Shares reacquired (12,443) (208,835) (88,986) (1,468,390)
- -----------------------------------------------------------------------------------------
Increase 65,013 $ 1,097,113 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.
11. SUBSEQUENT EVENT
On December 15, 2003, Lord Abbett International Core Equity Fund, a new Fund of
the Trust, commenced investment operations and was capitalized with a $5,040,000
investment from Lord Abbett. Shares are currently available to partners and
employees of Lord Abbett and will become available to the public on January 2,
2004.
23
<Page>
INDEPENDENT AUDITORS' REPORT
THE BOARD OF TRUSTEES AND SHAREHOLDERS,
LORD ABBETT SECURITIES TRUST -- LORD ABBETT MICRO-CAP GROWTH FUND AND
LORD ABBETT MICRO-CAP VALUE FUND:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments of Lord Abbett Securities Trust - Lord Abbett
Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund (the "Funds") as of
October 31, 2003, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the periods
presented. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of October 31, 2003 by correspondence with the custodian and
brokers. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Lord
Abbett Securities Trust - Lord Abbett Micro-Cap Growth Fund and Lord Abbett
Micro-Cap Value Fund as of October 31, 2003, the results of their operations for
the year then ended, the changes in their net assets for each of the two years
in the period then ended, and the financial highlights for each of the periods
presented, in conformity with accounting principles generally accepted in the
United States of America.
/s/ Deloitte & Touche LLP
New York, New York
December 22, 2003
24
<Page>
BASIC INFORMATION ABOUT MANAGEMENT
The Board of Trustees (the "Board") is responsible for the management of the
business and affairs of each Fund in accordance with the laws of the State of
Delaware. The Board appoints officers who are responsible for the day-to-day
operations of each Fund and who execute policies authorized by the Board. The
Board also approves an investment adviser to each Fund and continues to monitor
the cost and quality of the services provided by the investment adviser, and
annually considers whether to renew the contract with the adviser. Generally,
each Trustee holds office until his successor is elected and qualified or until
his earlier resignation or removal, as provided in the Trust's organizational
documents.
Lord, Abbett & Co. LLC ("Lord Abbett"), a Delaware limited liability company, is
the Funds' investment adviser.
INTERESTED TRUSTEE
The following Trustee is the Managing Partner of Lord Abbett and is an
"interested person" as defined in the Act. Mr. Dow is also an officer, director,
or trustee of each of the fourteen Lord Abbett-sponsored funds, which consist of
49 portfolios or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
DATE OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- --------------------------------------------------------------------------------------------
ROBERT S. DOW Trustee since; Managing Partner and N/A
Lord Abbett & Co. LLC 1993 and Chairman Chief Investment
90 Hudson Street since 1996 Officer of Lord Abbett
Jersey City, NJ since 1996.
Date of Birth: 3/8/1945
</Table>
---------------
INDEPENDENT TRUSTEES
The following independent or outside Trustees are also directors or trustees of
each of the fourteen Lord Abbett-sponsored funds, which consist of 49 portfolios
or series.
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
DATE OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ------------------------------------------------------------------------------------------------------------------
E. THAYER BIGELOW Trustee since 1994 Managing General Partner, Currently serves as
Bigelow Media, LLC Bigelow Media, LLC (since 2000); director of Adelphia
41 Madison Ave., Senior Adviser, Time Warner Inc. Communications, Inc.,
Suite 3810 (1998 - 2000); Acting Chief Crane Co., and Huttig
New York, NY Executive Officer of Courtroom Building Products Inc.
Date ofBirth: 10/22/1941 Television Network (1997 -
1998); President and Chief
Executive Officer of Time Warner
Cable Programming, Inc. (1991 -
1997).
WILLIAM H.T. BUSH Trustee since 1998 Co-founder and Chairman of the Currently serves as
Bush O'Donnell & Board of the financial advisory director of Wellpoint
Co., Inc. firm of Bush-O'Donnell & Company Health Network, Inc., DT
101 South Hanley Road (since 1986). Industries Inc., and
Suite 1250 St. Louis, MO Engineered Support
Date of Birth: 7/14/1938 Systems, Inc.
</Table>
25
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
CURRENT POSITION
NAME, ADDRESS AND LENGTH OF SERVICE PRINCIPAL OCCUPATION OTHER
DATE OF BIRTH WITH TRUST DURING PAST FIVE YEARS DIRECTORSHIPS
- ------------------------------------------------------------------------------------------------------------------
ROBERT B. CALHOUN, JR. Trustee since 1998 Managing Director of Monitor Currently serves as
Monitor Clipper Partners Clipper Partners (since 1997) director of Avondale,
650 Madison Ave., and President of Clipper Asset Inc. and Interstate
9th Fl. New York, NY Management Corp. (since 1991), Bakeries Corp.
Date of Birth: 10/25/1942 both private equity investment
funds.
STEWART S. DIXON Trustee since 1993; Partner in the law firm of N/A
Wildman, Harrold, retired 12/31/2002 Wildman, Harrold, Allen & Dixon
Allen & Dixon (since 1967).
225 W. Wacker Drive,
Suite 2800
Chicago, IL
Date of Birth: 11/5/1930
FRANKLIN W. HOBBS Trustee since 2001 Senior Advisor (since April Currently serves as
Houlihan Lokey 2003) and Former Chief Executive director of Adolph
Howard & Zukin Officer of Houlihan Lokey Howard Coors Company.
685 Third Ave. & Zukin, an investment bank
New York, NY (January 2002 - April 2003);
Date of Birth: 7/30/1947 Chairman of Warburg Dillon Read
(1999 - 2001); Global Head of
Corporate Finance of SBC Warburg
Dillon Read (1997 - 1999); Chief
Executive Officer of Dillon,
Read & Co. (1994 - 1997).
C. ALAN MacDONALD Trustee since 1993 Retired - General Business and Currently serves as
415 Round Hill Road Governance Consulting (since director of Fountainhead
Greenwich, CT 1992); formerly President and Water Company, Lincoln
Date of Birth: 5/19/1933 CEO of Nestle Foods. Snacks, H.J. Baker, and
Seix Fund, Inc.*
THOMAS J. NEFF Trustee since 1993 Chairman of Spencer Stuart, an Currently serves as
Spencer Stuart executive search consulting firm director of Ace, Ltd. and
277 Park Avenue (since 1996); President of Exult, Inc.
New York, NY Spencer Stuart (1979 - 1996).
Date of Birth: 10/2/1937
JAMES F. ORR, III Trustee since 2002; President and CEO of Currently serves as
80 Pinckney Street retired 3/3/2003 LandingPoint Capital (since Chairman of Rockefeller
Boston, MA 2002); Chairman and CEO of Foundation, Director of
Date of Birth: 3/5/1943 United Asset Management Nashua Corp. and
Corporation (2000 to 2001); SteelPoint Technologies.
Chairman and CEO of UNUM
Provident Corporation (1999 -
merger); Chairman and CEO of
UNUM Corporation (1988 - 1999).
</Table>
- ----------
* Seix Fund, Inc. is a registered investment company that is advised by Seix
Investment Advisors Inc. Seix Investment Advisors Inc.'s Chairman, CEO, and
Chief Investment Officer is married to Robert Dow, the Trust's Chairman, CEO,
and President and the Managing Partner of Lord Abbett.
26
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
OFFICERS
None of the officers listed below have received compensation from the Trust. All
the officers of the Trust may also be officers of the other Lord
Abbett-sponsored funds and maintain offices at 90 Hudson Street, Jersey City, NJ
07302.
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
ROBERT S. DOW Chief Executive Elected in 1993 Managing Partner and Chief
(3/8/1945) Officer and Investment Officer of Lord
President Abbett since 1996.
SHOLOM DINSKY Executive Vice Elected in 2003 Partner and Large Cap Value
(3/24/1944) President Investment Manager, joined
Lord Abbett in 2000, formerly
Managing Director of
Prudential Asset Management,
prior thereto Director of
Equity Research and Senior
Vice President at Mitchell
Hutchins Asset Management.
ROBERT P. FETCH Executive Vice Elected in 1999 Partner and Small-Cap Value
(2/18/1953) President Senior Investment Manager,
joined Lord Abbett in 1995.
KENNETH G. FULLER Executive Vice Elected in 2003 Investment Manager - Large Cap
(4/22/1945) President Value, joined Lord Abbett in
2002, formerly Portfolio
Manager and Senior Vice
President at Pioneer
Investment Management, Inc.
from 1999 to 2002; prior
thereto Principal, Manley,
Fuller Asset Management.
HOWARD E. HANSEN Vice President Elected in 2003 Partner and Investment
(10/13/1961) Manager, joined Lord Abbett in
1995.
INGRID C. HOLM Executive Vice Elected in 2001 Investment Manager - Global
(3/21/1959) President Equity, joined Lord Abbett in
2001, formerly International
Portfolio Manager at
Batterymarch Financial
Management, Inc. from 2000 to
2001, prior thereto held
various positions at the
Prudential Insurance Company
of America.
</Table>
27
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
VINCENT J. McBRIDE Executive Vice Elected in 2003 Senior Investment Manager,
(5/8/1964) President International Core Equity,
joined Lord Abbett in 2003,
formerly Managing Director and
Portfolio Manager at Warburg
Pincus Asset Management and
Credit Suisse Asset
Management.
ROBERT G. MORRIS Executive Vice Elected in 1998 Partner and Director of Equity
(11/6/1944) President Investments, joined Lord
Abbett in 1991.
F. THOMAS O'HALLORAN Executive Vice Elected in 2003 Partner and Investment
(2/19/1955) President Manager, joined Lord Abbett in
2001, formerly Executive
Director/Senior Research
Analyst at Dillon Read/UBS
Warburg.
ELI M. SALZMANN Executive Vice Elected in 2003 Partner and Director of
(3/24/1964) President Institutional Equity
Investments, joined Lord
Abbett in 1997.
HAROLD E. SHARON Executive Vice Elected in 2003 Investment Manager and
(9/23/1960) President Director, International Core
Equity, joined Lord Abbett in
2003, formerly Financial
Industry Consultant for
Venture Capitalist from 2001
to 2003, prior thereto
Managing Director of Warburg
Pincus Asset Management and
Credit Suisse Asset
Management.
TRACIE E. AHERN Vice President and Elected in 1999 Partner and Director of
(1/12/1968) Treasurer Portfolio Accounting and
Operations, joined Lord Abbett
in 1999, prior thereto Vice
President - Head of Fund
Administration of Morgan
Grenfell.
JOAN A. BINSTOCK Chief Financial Elected in 1999 Partner and Chief Operations
(3/4/1954) Officer and Vice Officer, joined Lord Abbett in
President 1999, prior thereto Chief
Operating Officer of Morgan
Grenfell.
</Table>
28
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
DAVID G. BUILDER Vice President Elected in 2001 Equity Analyst, joined Lord
(1/4/1954) Abbett in 1998,.
DANIEL E. CARPER Vice President Elected in 1993 Partner, joined Lord Abbett in
(1/22/1952) 1979.
JOHN J. DiCHIARO Vice President Elected in 2000 Partner and Senior Strategy
(7/30/1957) Coordinator - Small Cap
Growth, joined Lord Abbett in
2000, prior thereto Vice
President - Securities Group
of Wafra Investment Advisory
Group.
LESLEY-JANE DIXON Vice President Elected in 1999 Partner and Senior Research
(1/1/1964) Analyst, joined Lord Abbett in
1995.
DANIEL H. FRASCARELLI Vice President Elected in 2001 Partner and Investment
(3/11/1954) Manager, joined Lord Abbett in
1990.
GERARD S. E. HEFFERNAN, JR. Vice President Elected in 1999 Research Analyst, joined Lord
(9/7/1963) Abbett in 1998.
PAUL A. HILSTAD Vice President and Elected in 1996 Partner and General Counsel,
(12/13/1942) Secretary joined Lord Abbett in 1995.
TODD D. JACOBSON Vice President Elected in 2003 Investment Manager,
(10/28/1966 ) International Core Equity,
joined Lord Abbett in 2003,
formerly Director and
Portfolio Manager at Warburg
Pincus Asset Management and
Credit Suisse Asset Management
from 2002 to 2003; prior
thereto Associate Portfolio
Manager of Credit Suisse Asset
Management.
LAWRENCE H. KAPLAN Vice President and Elected in 1997 Partner and Deputy General
(1/16/1957) Assistant Secretary Counsel, joined Lord Abbett in
1997.
A. EDWARD OBERHAUS, III Vice President Elected in 1993 Partner and Manager of Equity
(12/21/1959) Trading, joined Lord Abbett in
1983.
</Table>
29
<Page>
BASIC INFORMATION ABOUT MANAGEMENT (CONTINUED)
<Table>
<Caption>
NAME AND CURRENT POSITION LENGTH OF SERVICE PRINCIPAL OCCUPATION
(DATE OF BIRTH) WITH TRUST OF CURRENT POSITION DURING PAST FIVE YEARS
- --------------------------------------------------------------------------------------------------------
TODOR PETROV Vice President Elected in 2003 Investment Manager, joined
(5/18/1974) Lord Abbett in 2003, formerly
Associate Portfolio Manager of
Credit Suisse Asset Management
from 1999 to 2003; prior
thereto Summer Associate of
Warburg Pincus Funds.
CHRISTINA T. SIMMONS Vice President and Elected in 2000 Assistant General Counsel,
(11/12/1957) Assistant Secretary joined Lord Abbett in 1999,
formerly Assistant General
Counsel of Prudential
Investments from 1998 to 1999,
prior thereto Counsel of
Drinker, Biddle & Reath LLP, a
law firm.
BERNARD J. GRZELAK Assistant Treasurer Elected in 2003 Director of Fund
(6/12/1971) Administration, joined Lord
Abbett in 2003, formerly Vice
President, Lazard Asset
Management from 2000 to 2003,
prior thereto Manager of
Deloitte & Touche LLP.
</Table>
Please call 888-522-2388 for a copy of the Statement of Additional Information
(SAI), which contains further information about the Trust's Trustees. It is
available free upon request.
30
<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 219336, Kansas City, MO 64121.
PROXY VOTING POLICIES AND PROCEDURES
A description of the policies and procedures that Lord Abbett uses to vote
proxies related to the Funds' portfolio securities is available without charge,
upon request, by calling 888-522-2388 or on Lord Abbett's web site at
www.LordAbbett.com.
- -------------------------------------------------------------------------------
TAX INFORMATION
None of the ordinary income distribution paid by the Micro-Cap Value Fund
during fiscal 2003 is qualifying dividend income. For corporate
shareholders only 12.07% of the Micro-Cap Value Fund's ordinary income
distribution qualified for the dividends received deduction.
- -------------------------------------------------------------------------------
31
<Page>
LORD ABBETT
[LORD ABBETT LOGO]
<Table>
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 Securities Trust
Lord Abbett Micro-Cap Growth Fund
Lord Abbett Mutual Fund shares are distributed by: Lord Abbett Micro-Cap Value Fund
LORD ABBETT DISTRIBUTOR LLC LMAC-2-1003
90 Hudson Street - Jersey City, New Jersey 07302-3973 12/03
</Table>
<Page>
ITEM 2: Code of Ethics.
(a) In accordance with applicable requirements, the Registrant adopted a
Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the
principal executive officer and senior financial officers of the
Registrant ("Code of Ethics"). The Code of Ethics was in effect from
June 19, 2003 through the end of the reporting period on October 31,
2003 (the "Period").
(b) Not applicable.
(c) The Registrant has not amended the Code of Ethics as described in
Form N-CSR during the Period.
(d) The Registrant has not granted any waiver, including an implicit
waiver, from a provision of the Code of Ethics as described in Form
N-CSR during the Period.
(e) Not applicable.
(f) See Item 10(a) concerning the filing of the Code of Ethics.
ITEM 3: Audit Committee Financial Expert.
The Registrant's Board of Trustees has determined that each of the
independent Trustees who comprise the audit committee are audit
committee financial experts. The members of the audit committee are
E. Thayer Bigelow, Robert B. Calhoun, and Franklin W. Hobbs. Each
audit committee member is independent within the meaning of the Form
N-CSR.
ITEM 4: Principal Accountant Fees and Services.
Not applicable.
ITEM 5: Audit Committee of Listed Registrants
Not applicable.
ITEM 6: [Reserved]
ITEM 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable.
<Page>
ITEM 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-3(c) under the Investment Company Act of
1940) as of December 22, 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 changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the
Investment Company Act of 1940) that occurred during the
Registrant's last fiscal half-year that have materially affected, or
are reasonably likely to materially affect, the Registrant's
internal control over financial reporting.
ITEM 10: Exhibits.
ITEM 10(a): Code of Ethics, as required by Item 2, is attached hereto as part of
EX-99.CODEETH.
ITEM 10(b):
(i) Certification of each principal executive officer and principal
financial officer of the Registrant as required by Rule 30a-2(a)
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: December 22, 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: December 22, 2003