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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 811-04256
----------------------------------------------

State Street Research Exchange Trust
------------------------------------------------------------------------
(Exact name of registrant as specified in charter)

One Financial Center, Boston, MA 02111
------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)

Francis J. McNamara, III, Secretary
State Street Research
One Financial Center, Boston, MA 02111
------------------------------------------------------------------------
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-357-1200
------------------
Date of fiscal year end: 12/31/03
-----------------
Date of reporting period: 1/01/03 - 12/31/03
----------------------------

Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

ITEM 1: REPORT TO SHAREHOLDERS
The Annual Report is attached.

[LOGO] STATE STREET RESEARCH

Exchange Fund
December 31, 2003

Annual Report to Shareholders

Table of Contents

3 Performance Discussion

4 Portfolio Holdings

5 Financial Statements

8 Financial Highlights

9 Independent Auditors'
Report

10 Trustees and Officers

FROM THE CHAIRMAN
State Street Research

Finally! An economic recovery that looks like it has staying power. The signs
came from every sector of the economy, but they did not all fall into place
until the year was well underway. In fact, the first four months of 2003 were
marked by sluggish economic growth, rising unemployment and a general sense of
uncertainty as the nation prepared for war with Iraq. However, as the year
progressed, the clouds seemed to lift and consumer confidence improved. Lower
mortgage payments-the result of a wave of refinancing at the lowest mortgage
rates in a generation-and accelerated tax cuts raised disposable income for many
American households. In June, the Federal Reserve Board stepped in to lower
short-term interest rates to a 45-year low of 1.0%, making it easier for
companies to borrow and refinance old debt. Corporate profits staged a solid
rebound, and by the second half of 2003, even the job market may have turned the
corner.

Stocks, High-Yield Bonds Move Higher on Positive Economic News Investors
responded to an improving economic environment with renewed enthusiasm for the
stock market and an increased appetite for risk. Beginning in April, stocks
staged an impressive rally that continued to the end of the year. Technology
stocks were the strongest performers. Consumer stocks also gained ground as
spending remained strong. In general, small- and mid-cap stocks outperformed
large-caps, and value stocks outpaced growth. All stock market indexes reported
solid gains for the 12-month period.

Investor confidence in the economy also translated into solid gains for
high-yield bonds, which, along with emerging market bonds, were the period's
strongest performers. U.S. Treasury bonds eked out a positive return, but that
masked a sharp decline in the second half of the period, as interest rates rose
above 4.5% before settling back to 4.25% at the end of the period. When interest
rates rise, bond prices decline. Mortgage bonds also encountered difficulties as
the result of higher mortgage-prepayment activity in the spring.

Looking Ahead
A strong economy has created a favorable backdrop for investors. However, we
know that the markets can be unpredictable. Long-term investment success does
not depend on what happens in any one year. However, it can be achieved through
regular investing that follows an asset allocation plan suited to your personal
needs. If you're uncertain about your asset allocation, talk to your financial
advisor. And as always, we look forward to helping you achieve your long-term
financial goals with State Street Research funds.

Sincerely,

/s/ RICHARD S. DAVIS

Richard S. Davis
Chairman

December 31, 2003

PERFORMANCE
Discussion as of December 31, 2003

How State Street Research Exchange Fund Performed
State Street Research Exchange Fund returned 20.89% for the 12-month period
ended December 31, 2003. That was less than the S&P 500 Index and the Lipper
Large-Cap Core Funds Average, which returned 28.67% and 25.59%, respectively,
over the same period.(1)

Reasons for the Fund's Performance
Following three years of negative returns, the stock market enjoyed its first
positive year since 1999, and the fund was the beneficiary of the investor
confidence that fueled the rebound. Most of the portfolio's investments posted
positive returns during the year. However, many did not keep pace with the
broader market. Investors tended to favor smaller companies, and the fund tends
to focus on the largest companies in the S&P 500 Index.

Good stock selection across most industries helped the fund's performance.
Anheuser-Busch, Exxon Mobil and Berkshire Hathaway all posted double-digit
gains, even though they did not keep pace with the index. We trimmed our
exposure to Exxon Mobil during the last quarter of the year. Our investments in
Caterpillar, American Express and Vodafone also performed well as the business
environment improved. Because these companies are in businesses that stood to
benefit directly from economic recovery, they enjoyed strong absolute and
relative returns.

Our investments in General Mills and Johnson & Johnson declined during the year,
and they detracted from the fund's return. Johnson & Johnson, like many other
large-cap pharmaceutical companies, was passed over by investors in favor of
smaller, faster-growing companies. We trimmed our position in the stock during
the year, and we also cut back on Wyeth, another large health care company.

Looking Ahead
Given the rally that occurred in 2003, we expect the positive environment for
stocks to continue, but we do not expect all stocks and sectors to participate
in further advances. We have focused on companies on the lower end of the
large-cap spectrum and companies with international exposure, which are well
positioned for a global economic recovery. We continue to favor stocks in the
Health Care, Integrated Oils and Consumer Staples sectors.

Top 10 Holdings
- --------------------------------------
Issuer/Security % of Fund Net Assets
(1) Pfizer 5.4%
---------------------------------
(2) Exxon Mobil 5.4%
---------------------------------
(3) American Express 5.3%
---------------------------------
(4) Procter & Gamble 4.0%
---------------------------------
(5) Anheuser-Busch 3.8%
---------------------------------
(6) Wal-Mart Stores 3.8%
---------------------------------
(7) Microsoft 3.6%
---------------------------------
(8) First Data 3.5%
---------------------------------
(9) General Electric 3.5%
---------------------------------
(10) Johnson & Johnson 3.4%
---------------------------------
Total 41.7%

Because financial markets and mutual fund strategies are constantly evolving, it
is possible that the fund's holdings, market stance, outlook for various
industries or securities and other matters discussed in this report have changed
since this information was prepared. Portfolio changes should not be considered
recommendations for action by individual investors.

Performance
- --------------------------------------------------------------------------------
Fund average annual total return as of 12/31/03(2)

1 Year 5 Years 10 Years
20.89% 0.02% 11.46%

S&P 500 Index as of 12/31/031

1 Year 5 Years 10 Years
28.67% -0.57% 11.06%

$10,000 over 10 years (2, 3)

[DATA BELOW IS REPRESENTED BY A LINE CHART IN THE ORIGINAL REPORT]

SSR
Exchange
Fund S&P 500 Index
'93 10,000 10,000
'94 10,344 10,131
'95 13,907 13,933
'96 17,531 17,131
'97 23,089 22,844
'98 29,576 29,377
'99 35,074 35,555
'00 33,626 32,320
'01 30,144 28,480
'02 24,484 22,189
'03 29,598 28,551

(1) The S&P 500 Index (officially the "Standard & Poor's 500 Composite Stock
Price Index") is an unmanaged index of 500 U.S. stocks. The index does not
take transaction charges into consideration. It is not possible to invest
directly in the index. The Lipper Large-Cap Core Funds Average shows the
performance of a category of mutual funds with similar goals. The Lipper
average shows you how well the fund has done compared to competing funds.

(2) Keep in mind that past performance is no guarantee of future results. The
fund's share price, yield and return will fluctuate, and you may have a
gain or loss when you sell your shares. All returns assume reinvestment of
capital gains distributions and income dividends at net asset value. The
returns shown do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.

(3) Average annual return represents the rate one would have to earn each year
of a given time period in order to end up with the fund's actual cumulative
return for those years. $10,000 Over 10 Years measures the growth of a lump
sum invested (less applicable maximum sales charge, if any) over a ten year
period, and compares the performance to an index.

State Street Research Exchange Fund 3

PORTFOLIO
Holdings

December 31, 2003

Issuer Shares Value
- --------------------------------------------------------------------------------------

Common Stocks 99.1%
Automobiles & Transportation 2.0%
Automobiles 2.0%
General Motors Corp. ............................ 112,800 $ 6,023,520
------------
Total Automobiles & Transportation .................................... 6,023,520
------------
Consumer Discretionary 7.2%
Retail 7.2%
Target Corp. .................................... 273,222 10,491,725
Wal-Mart Stores Inc. ............................ 223,200 11,840,760
------------
Total Consumer Discretionary .......................................... 22,332,485
------------
Consumer Staples 14.1%
Beverages 5.3%
Anheuser-Busch Inc. ............................. 225,200 11,863,536
Coca-Cola Co. ................................... 87,735 4,452,551
------------
16,316,087
------------
Foods 2.0%
General Mills Inc. .............................. 138,400 6,269,520
------------
Household Products 4.0%
Procter & Gamble Co. ............................ 123,200 12,305,216
------------
Tobacco 2.8%
Altria Group Inc. ............................... 160,300 8,723,526
------------
Total Consumer Staples ................................................ 43,614,349
------------
Financial Services 15.0%
Banks & Savings & Loan 1.5%
J.P. Morgan Chase & Co. ......................... 124,728 4,581,260
------------
Financial Data Processing Services & Systems 3.5%
First Data Corp. ................................ 266,480 10,949,663
------------
Insurance 2.0%
The Saint Paul Companies Inc. ................... 154,500 6,125,925
------------
Miscellaneous Financial 8.0%
American Express Co. ............................ 339,531 16,375,580
Federal National Mortgage Association............ 110,400 8,286,624
------------
24,662,204
------------
Total Financial Services .............................................. 46,319,052
------------
Health Care 22.1%
Drugs & Biotechnology 18.2%
AstraZeneca plc ADR ............................. 76,000 3,676,880
Johnson & Johnson Ltd. .......................... 203,922 10,534,610
Merck & Company Inc. ............................ 92,244 4,261,673
Millipore Corp.* ................................ 150,000 6,457,500
Novartis AG ADR ................................. 185,384 8,507,271
Pfizer Inc. ..................................... 476,342 16,829,163
Wyeth Inc. ...................................... 145,544 6,178,343
------------
56,445,440
------------

Issuer Shares Value
- --------------------------------------------------------------------------------------

Health Care Services 3.0%
Medco Health Solutions Inc.* .................... 11,124 $ 378,105
SLM Corp. ....................................... 233,200 8,786,976
------------
9,165,081
------------
Hospital Supply 0.9%
Medtronic Inc. .................................. 60,000 2,916,600
------------
Total Health Care ..................................................... 68,527,121
------------
Integrated Oils 8.4%
Integrated International 8.4%
BP plc ADR ...................................... 187,702 9,263,094
Exxon Mobil Corp. ............................... 409,184 16,776,544
------------
Total Integrated Oils ................................................. 26,039,638
------------
Other 6.8%
Multi-Sector 6.8%
Berkshire Hathaway Inc. Cl. B* .................. 3,687 10,378,905
General Electric Co. ............................ 344,970 10,687,171
------------
Total Other ........................................................... 21,066,076
------------
Other Energy 2.1%
Offshore Drilling 0.2%
Transocean Inc. ................................. 21,148 507,764
------------
Oil Well Equipment & Services 1.9%
Schlumberger Ltd. ............................... 109,238 5,977,503
------------
Total Other Energy .................................................... 6,485,267
------------
Producer Durables 5.2%
Aerospace 1.8%
Boeing Co. ...................................... 131,800 5,554,052
------------
Industrial Products 0.3%
Agilent Technologies Inc.* ...................... 29,749 869,861
------------
Machinery 3.1%
Caterpillar Inc. ................................ 116,800 9,696,736
------------
Total Producer Durables ............................................... 16,120,649
------------
Technology 13.7%
Computer Software 3.6%
Microsoft Corp. ................................. 399,890 11,012,970
------------
Computer Technology 7.2%
Dell Inc.* ...................................... 170,500 5,790,180
Hewlett-Packard Co. ............................. 349,270 8,022,732
IBM Corp. ....................................... 92,371 8,560,944
------------
22,373,856
------------
Electronics 0.8%
Applera Corp. - Celera Genomics Group 126,880 2,627,685
------------
Electronics: Semiconductors/Components 2.1%
Intel Corp. ..................................... 200,000 6,440,000
------------
Total Technology ...................................................... 42,454,511
------------
Utilities 2.5%
Telecommunications 2.5%
Vodafone Group plc ADR .......................... 309,500 7,749,880
------------
Total Utilities ....................................................... 7,749,880
------------
Total Common Stocks (Cost $97,448,000) ................................ 306,732,548
------------

4 The notes are an integral part of the financial statements.

FINANCIAL
Statements

Maturity Principal
Issuer Date Amount Value
- ----------------------------------------------------------------
Commercial Paper 0.9%
General Electric Capital
Corp., 1.05% ......... 1/06/2004 $2,831,000 $2,830,587
----------
Total Commercial Paper (Cost $2,830,587) .......... 2,830,587
----------

% of
Net Assets
- -------------------------------------------------------------------------------
Summary of Portfolio Assets
Investments (Cost $100,278,587) ................. 100.0% 309,563,135
Cash and Other Assets, Less Liabilities ......... 0.0% 135,625
----- -----------
Net Assets ...................................... 100.0% $309,698,760
===== ============

KEY TO SYMBOLS
* Denotes a security which has not paid a dividend during the last year.
ADR Stands for American Depositary Receipt.

Federal Income Tax Information
At December 31, 2003, the net unrealized
appreciation of investments based on cost for federal
income tax purposes of $91,488,852 was as follows:

Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $218,598,067

Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (523,784)
------------
$218,074,283
============

Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
December 31, 2003

Assets
Investments, at value (Cost $100,278,587) (Note 1) ......... $309,563,135
Cash ....................................................... 167,538
Dividends receivable ....................................... 325,842
Other assets ............................................... 1,543
-------------
310,058,058
-------------
Liabilities
Payable for fund shares repurchased ........................ 151,537
Accrued management fee ..................................... 124,126
Accrued transfer agent and shareholder services ............ 7,409
Accrued administration fee ................................. 6,730
Accrued trustees' fees ..................................... 4,523
Other accrued expenses ..................................... 64,973
-------------
359,298
-------------
Net Assets ................................................. $309,698,760
=============
Net Assets consist of:
Unrealized appreciation of investments ................... $209,284,548
Accumulated net realized loss ............................ (12,862,555)
Paid-in capital .......................................... 113,276,767
-------------
$309,698,760
=============
Net Asset Value per share
($309,698,760 [divided by] 630,761 shares) ............... $ 490.99
=============

The notes are an integral part of the financial statements.
State Street Research Exchange Fund 5

FINANCIAL
Statements

Statement of Operations
- --------------------------------------------------------------------------------
For the year ended December 31, 2003

Investment Income
Dividends, net of foreign taxes of $63,647 (Note 1) .......... $ 5,006,781
Interest (Note 1) ............................................ 77,214
-----------
5,083,995
-----------
Expenses
Management fee (Note 2) ...................................... 1,419,580
Custodian fee ................................................ 94,800
Administration fee (Note 2) .................................. 92,027
Transfer agent and shareholder services (Note 2) ............. 27,424
Audit fee .................................................... 23,250
Trustees' fees (Note 2) ...................................... 16,382
Legal fees ................................................... 1,161
Reports to shareholders ...................................... 1,039
Miscellaneous ................................................ 725
-----------
1,676,388
Fees paid indirectly (Note 2) ................................ (130)
-----------
1,676,258
-----------
Net investment income ........................................ 3,407,737
-----------
Realized and Unrealized Gain on
Investments
Net realized gain on investments (Notes 1 and 3) ............. 12,250,545
Change in unrealized appreciation of investments ............. 39,112,155
-----------
Net gain on investments ...................................... 51,362,700
-----------
Net increase in net assets resulting from operations ......... $54,770,437
===========

Statement of Changes in Net Assets
- --------------------------------------------------------------------------------

Years ended December 31
----------------------------
2003 2002*
------------ ------------
Increase (Decrease) In Net Assets
Operations:
Net investment income .................... $ 3,407,737 $ 3,148,853
Net realized gain on investments ......... 12,250,545 18,801,652
Change in unrealized appreciation
(depreciation) of investments .......... 39,112,155 (87,422,804)
------------ ------------
Net increase (decrease) resulting
from operations ........................ 54,770,437 (65,472,299)
------------ ------------
Dividends from net investment
income ................................. (3,497,110) (3,193,325)
------------ ------------
Share transactions:
Net asset value of shares issued
in payment of dividends ................ 627,059 497,555
Cost of shares repurchased ............... (10,704,806) (30,968,588)
------------ ------------
Net decrease from fund share
transactions ........................... (10,077,747) (30,471,033)
------------ ------------
Total increase (decrease)
in net assets .......................... 41,195,580 (99,136,657)
Net Assets
Beginning of year ........................ 268,503,180 367,639,837
------------ ------------
End of year (including undistributed
net investment income of $0 and
$48,399, respectively) ................. $309,698,760 $268,503,180
============ ============

Number of shares:
Issued upon reinvestment of dividends 1,360 1,164
Repurchased .............................. (23,879) (66,335)
------- -------
Net decrease in fund shares .............. (22,519) (65,171)
======= =======

*Audited by other auditors.

6 The notes are an integral part of the financial statements.

Notes to Financial Statements
- --------------------------------------------------------------------------------
December 31, 2003

Note 1
State Street Research Exchange Fund is a series of State Street Research
Exchange Trust (the "Trust"), which is organized as a Massachusetts business
trust, and is registered under the Investment Company Act of 1940, as amended,
as an open-end management investment company. The fund is presently the only
series of the Trust.

The investment objective of the fund is to provide long-term growth of capital
and consequent long-term growth of income. In seeking to achieve its investment
objective, the fund invests primarily in common stocks, or securities
convertible into common stocks, that have long-term growth potential.

The following significant accounting policies are consistently followed by the
fund in preparing its financial statements, and such policies are in conformity
with accounting principles generally accepted in the United States of America.

A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Short-term securities maturing within sixty days are valued at
amortized cost. Other securities, if any, are valued at their fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Trustees. If trading or events occurring in
other markets after the close of the principal market in which foreign
securities are traded, and before the close of business of the fund, are
expected to materially affect the value of these securities, then they are
valued at their fair value taking this trading or these events into account.

B. Security Transactions
Security transactions are accounted for on the trade date (date the order to buy
or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.

C. Net Investment Income
Net investment income is determined daily and consists of interest and dividends
accrued and discount earned, less the estimated daily expenses of the fund.
Interest income is accrued daily as earned. Dividend income is accrued on the
ex-dividend date.

D. Dividends
Dividends from net investment income are declared and paid or reinvested
quarterly. Net realized short-term capital gains, if any, are distributed
annually.

Income dividends and capital gains distributions are determined in accordance
with federal income tax regulations which may differ from accounting principles
generally accepted in the United States of America. The difference is primarily
due to differing treatments for non-taxable redemptions in kind and the
disposition of securities that have different bases for financial reporting and
tax purposes. The permanent book and tax basis difference relating to
shareholder distributions will result in reclassifications to paid-in-capital.
The fund has designated $3,497,110 as ordinary income dividends.

The fund hereby designates the maximum amount allowable of its net taxable
income as qualified dividend income as provided in the Jobs and Growth Tax
Relief Reconciliation Act of 2003. This amount has been reflected on Form 1099
for the calendar year 2003.

E. Federal Income Taxes
No provision for federal income taxes is necessary with respect to net
investment income because the fund has elected to qualify under Subchapter M of
the Internal Revenue Code and its policy is to distribute substantially all of
such income within the prescribed time periods. The fund retains and designates
as undistributed gains all of its taxable net long-term capital gains and pays
federal income taxes thereon on behalf of the shareholders.

At December 31, 2003, the fund had a capital loss carryforward of $12,862,555
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $5,749,972 and $7,112,583 expire on December 31, 2009
and 2010, respectively.

To the extent book/tax differences are permanent in nature, such amounts are
reclassified within the capital accounts based on federal tax basis treatment.
The fund reclassified for book purposes amounts arising from permanent book/tax
differences primarily relating to differing treatments for non-taxable
redemptions in kind and the disposition of securities that have different bases
for financial reporting and tax purposes. At December 31, 2003, the components
of distributable earnings on a tax basis differ from the amounts reflected in
the Statement of Assets and Liabilities by temporary book/tax differences
largely arising from capital loss carryforwards. At December 31, 2003, the tax
basis distributable earnings were $0 in undistributed ordinary income, $0 in
undistributed short-term capital gains and $0 in undistributed long-term gains.

F. Estimates
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of income and expenses during
the reporting period. Actual results could differ from these estimates.

G. Securities Lending
The fund may seek additional income by lending portfolio securities to qualified
institutions. The fund will receive cash or securities as collateral in an
amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it receives
in these transactions, the fund could realize additional gains and losses. If
the borrower fails to return the securities and the value of the collateral has
declined during the term of the loan, the fund will bear the loss. At December
31, 2003, there were no loaned securities. During the year ended December 31,
2003, income from securities lending amounted to $129 and is included in
interest income.

Note 2
The Trust and the Adviser have entered into an agreement under which the Adviser
earns monthly fees at an annual rate of 0.50% of the fund's average net assets.
In consideration of these fees, the Adviser furnishes the fund with management,
investment advisory, statistical and research facilities and services. The
Adviser also pays all salaries, rent and certain other expenses of management.
During the year ended December 31, 2003, the fees pursuant to such agreement
amounted to $1,419,580.

State Street Research Service Center, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), provides certain shareholder services to the fund such as
responding to inquiries and instructions from investors with respect to
redemption of shares of the fund. Total shareholder service costs are allocated
to each fund in the same ratios as the transfer agent costs. During the year
ended December 31, 2003, the amount of such expenses allocated to the fund was
$6,879.

The fund has entered into an arrangement with its transfer agent whereby credits
realized as a result of uninvested cash balances were used to reduce a portion
of the fund's expense. During the year ended December 31, 2003, the fund's
transfer agent fees were reduced by $130 under this arrangement.

The notes are an integral part of the financial statements.
State Street Research Exchange Fund 7

Notes (continued)
- --------------------------------------------------------------------------------

The fees of the Trustees not currently affiliated with the Adviser amounted to
$16,382 during the year ended December 31, 2003.

The fund has agreed to pay the Adviser for certain administrative costs incurred
in providing other assistance and services to the fund. The fee was based on a
fixed amount that has been allocated equally among the State Street Research
funds. During the year ended December 31, 2003, the amount of such expenses was
$92,027.

Note 3
For the year ended December 31, 2003, exclusive of short-term investments and
U.S. government obligations, purchases and sales of securities, including
$10,692,634 representing redemptions in kinds, aggregated $15,100,940 and
$20,508,600, respectively.

Note 4
PricewaterhouseCoopers LLP resigned as the fund's independent accountants as of
April 25, 2003. The Trustees voted to appoint Deloitte & Touche LLP as the
fund's independent accountants for the fund's fiscal year ended December 31,
2003. During the previous two years, PricewaterhouseCoopers LLP's audit reports
contained no adverse opinion or disclaimer of opinion; nor were its reports
qualified or modified as to uncertainty, audit scope or accounting principle.
Further, in connection with its audits for the two previous fiscal years and
through April 25, 2003, there were no disagreements between the fund and
PricewaterhouseCoopers LLP on any matter of accounting principles or practices,
financial statement disclosure or auditing scope or procedure, which if not
resolved to the satisfaction of PricewaterhouseCoopers LLP would have caused it
to make reference to the disagreements in its report on the financial statements
for such years.

Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest at $0.001 par value per share. At December 31, 2003, the
Adviser held 13,766 shares of the fund.

FINANCIAL
Highlights

- --------------------------------------------------------------------------------
For a share outstanding throughout each year:

Years ended December 31

- ----------------------------------------------------------------
2003 2002(a) 2001(a) 2000(a)
1999(a)
- -------------------------------------------------------------------------------------------------------------------------------

Net asset value, beginning of year ($) 411.01 511.71 575.76 616.80 524.22
------ ------- ------ ------ ------
Net investment income ($) 5.40 4.74 4.22 4.75 4.54
Net realized and unrealized gain (loss) on investments ($)* 80.08 (100.64) (64.02) (41.19) 92.69
------ ------- ------ ------ ------
Total from investment operations ($) 85.48 (95.90) (59.80) (36.44) 97.23
------ ------- ------ ------ ------
Dividends from net investment income ($) (5.50) (4.80) (4.25) (4.60) (4.65)
------ ------- ------ ------ ------
Total distributions ($) (5.50) (4.80) (4.25) (4.60) (4.65)
------ ------- ------ ------ ------
Net asset value, end of year ($) 490.99 411.01 511.71 575.76 616.80
====== ======= ====== ====== ======
Total return (%) 20.89 (18.78) (10.35) (4.13) 18.59
Ratios/Supplemental Data:
- --------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 309,699 268,503 367,640 437,804 485,161
Expense ratio (%) 0.59 0.60 0.57 0.55 0.55
Expense ratio after expense reductions (%) 0.59 0.60 0.57 0.55 0.55
Ratio of net investment income to average net assets (%) 1.20 1.00 0.81 0.78 0.78
Portfolio turnover rate (%) 5.47 3.32 1.44 10.51 1.04
*After provision for federal tax on retained capital gains at
end of year -- -- -- 11.01 --

(a) Audited by other auditors.

INDEPENDENT AUDITORS'
Report

To the Board of Trustees and Shareholders
of State Street Research Exchange Fund:

We have audited the accompanying statement of assets and liabilities, including
the portfolio holdings, of State Street Research Exchange Fund (the "Fund"), a
series of State Street Research Exchange Trust, as of December 31, 2003, and the
related statement of operations, the statement of changes in net assets, and the
financial highlights for the year ended December 31, 2003. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit. The statement of changes
in net assets for the year ended December 31, 2002, and the financial highlights
for each of the years in the four-year period ended December 31, 2002, were
audited by other auditors whose report dated February 12, 2003, expressed an
unqualified opinion on such statement and financial highlights.

We conducted our audit 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 December 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 audit provides 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 the
Fund as of December 31, 2003, the results of its operations, the changes in its
net assets, and the financial highlights for the year then ended, in conformity
with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP
Boston, Massachusetts

February 20, 2004

State Street Research Exchange Fund 9

TRUSTEES AND OFFICERS
State Street Research Exchange Trust

Number of Funds
Name, Position(s) Term of Office in Fund Complex Other
Address Held with and Length of Principal Occupations Overseen by
Directorships Held
and Age(a) Fund Time Served(b) During Past 5 Years Trustee/Officer(c) by
Trustee/Officer
- ------------------------------------------------------------------------------------------------------------------------------------
Independent Trustees

Bruce R. Bond Trustee Since Retired; formerly Chairman of the Board, 19 Avaya Corp.
(57) 1999 Chief Executive Officer and President,
PictureTel Corporation (video
conferencing systems)
- ------------------------------------------------------------------------------------------------------------------------------------
Peter S. Drotch Trustee Since Retired; formerly Partner, 19 First Marblehead GRP
(62) 2004 PricewaterhouseCoopers LLP
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Garban Trustee Since Retired; formerly Senior Vice President 56 Metropolitan Series
(66) 1997 for Finance and Operations and Fund, Inc.; and
Treasurer, The Pennsylvania State Metropolitan Series
University Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Dean O. Morton Trustee Since Retired; formerly Executive Vice 56 BEA Systems, Inc.;
(71) 1984 President, Chief Operating Officer and Cepheid; Pharsight
Director, Hewlett-Packard Company Corporation;
(computer manufacturer) Metropolitan Series
Fund, Inc.; and
Metropolitan Series
Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Susan M. Phillips Trustee Since Dean, School of Business and Public 19 The Kroger Co.
(59) 1998 Management, George Washington
University; formerly a member
of the Board of Governors of
the Federal Reserve System; and
Chairman and Commissioner of
the Commodity Futures Trading
Commission
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Rosenblatt Trustee Since President, Founders Investments Ltd. 56 A.P. Pharma, Inc.;
(65) 1994 (investments); President, Pacific Four Metropolitan Series
Investments (investments); formerly Fund, Inc.; and
President, The Glen Ellen Company Metropolitan Series
(private investment firm) Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Trustee Since Jay W. Forrester Professor of 56 Metropolitan Series
Scott Morton (66) 1989 Management, Sloan School of Management, Fund, Inc.; and
Massachusetts Institute of Technology Metropolitan Series
Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
James M. Storey Trustee Since Attorney; formerly Partner, Dechert (law 19 SEI Investments Funds
(72) 2002 firm) (consisting of 104
portfolios); and The
Massachusetts Health &
Education Tax-Exempt
Trust
- ------------------------------------------------------------------------------------------------------------------------------------
Interested Trustees
Richard S. Davis(+) Trustee Since Chairman of the Board, President and 19 None
(58) 2000 Chief Executive Officer of State Street
Research & Management Company; formerly
Senior Vice President, Fixed Income
Investments, Metropolitan Life Insurance
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Officers
Edward Dowd Vice Since Vice President of State Street Research 7 None
(36) President 2003 & Management Company; formerly Vice
President, Independence Investment LLC
and equity research associate,
Donaldson, Lufkin and Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Goodwin Vice Since Managing Director and Chief Investment 18 None
(44) President 2002 Officer - Equities of State Street
Research & Management Company; formerly
Chief Investment Officer - U.S. Growth
Equities, American Century
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey Lindsey Vice Since Managing Director of State Street 7 None
(41) President 2003 Research & Management Company; formerly
Managing Director and Senior Vice
President, Putnam Investments
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Vice Since Managing Director, Chief Financial 19 None
(49) President 2001 Officer and Director of State Street
Research & Management Company; formerly
Executive Vice President, State Street
Research & Management Company; and
Senior Vice President, Product and
Financial Management, MetLife Auto &
Home
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since Senior Vice President and Treasurer of 19 None
(47) 2001 State Street Research & Management
Company; formerly Vice President and
Assistant Treasurer, State Street
Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Francis J. Secretary Since Managing Director, General Counsel and 19 None
McNamara, III (48) 1995 Secretary of State Street Research &
Management Company; formerly Executive
Vice President, State Street Research &
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------

The fund's Statement of Additional Information includes additional information
about the fund's trustees, and is available without charge, by contacting State
Street Research, One Financial Center, Boston, Massachusetts 02111-2690, or by
calling toll-free 1-87-SSR-FUNDS (1-877-773-8637).
(a) The address of each person is c/o State Street Research & Management
Company, One Financial Center, Boston, MA 02111-2690.
(b) A Trustee serves until he or she retires, resigns or is removed as provided
in the master trust agreement of the respective Trust. Each Trust has
adopted a mandatory retirement age of 72. Each officer holds office until
he or she resigns, is removed or a successor is elected.
(c) Includes all series of 9 investment companies for which State Street
Research & Management Company serves as sole investment adviser and all
series of Metropolitan Series Fund, Inc. and Metropolitan Series Fund II.
The primary adviser to Metropolitan Series Fund, Inc. and Metropolitan
Series Fund II is MetLife Advisers, LLC, which has retained State Street
Research & Management Company as sub-adviser to certain series of
Metropolitan Series Fund, Inc.
(+) Mr. Davis is an "interested person" of the Trust under the Investment
Company Act of 1940 by reason of his affiliation with the Trust's
Investment Manager, State Street Research & Management Company, as noted.

- ------------------------------------------------------------------------------------------------------------------------------

New accounts, mutual fund purchases, ------------------------------------------------
exchanges and account information
Did You Know?
Internet www.ssrfunds.com
State Street Research offers electronic delivery
E-mail info@ssrfunds.com of quarterly statements, shareholder reports
and fund prospectuses. If you elect this
Phone 1-87-SSR-FUNDS (1-877-773-8637), option, we will send these materials to you
toll-free, 7 days a week, 24 hours a day via e-mail. To learn more, visit us on the Web
Hearing-impaired: 1-800-676-7876 at www.ssrfunds.com and click on "Go to
Chinese- and Spanish-speaking: 1-888-638-3193 Your Account" or call us at 1-87-SSR-FUNDS
(1-877-773-8637).
Fax 1-617-737-9722 (request confirmation number
first from the Service Center by calling 1-877-773-8637) Did you know that you can give a State Street
Research mutual fund as a gift?
Mail State Street Research Service Center Call a service center representative at
P.O. Box 8408, Boston, MA 02266-8408 1-87-SSR-FUNDS (1-877-773-8637),
Monday through Friday, 8am-6pm
OverView eastern time, to lear more.
For more information on the products and services we offer, refer to
OverView, our quarterly shareholder newsletter. ------------------------------------------------

Webcasts
For a professional perspective on the markets, the economy and timely [LOGO]
investment topics, tune in to a State Street Research webcast by visiting for Excellence in
our website at www.ssrfunds.com. Shareholder Communications

Complete Fund Listing [LOGO]
For a list of our funds, visit our website at www.ssrfunds.com under For Excellence in Service
Research Our Funds.

This report must be accompanied or preceded by a current prospectus. When used as sales material after March 31, 2004, this
report must be accompanied by a current Quarterly Performance Update.

To obtain a prospectus for any State Street Research fund call 1-87-SSR-FUNDS (1-877-773-8637) or by visiting our website at
www.ssrfunds.com. The prospectus contains more complete information, including investment objectives, risks, charges and
expenses. Please read and consider the prospectus carefully before investing or sending money.

The DALBAR awards recognize quality shareholder service and quality shareholder communications, and should not be considered a
rating of fund performance. The survey included mutual fund complexes that volunteered or were otherwise selected to participate
and was not industrywide.

Member NASD, SIPC
(C)2004 State Street Research Investment Services, Inc.
One Financial Center
Boston, MA 02111-2690
www.ssrfunds.com
CONTROL NUMBER:(exp0205)SSR-LD
EX-1225-0204

<Page>

FORM N-CSR(2 OF 3)

ITEM 2: CODE OF ETHICS

(a) The Registrant has, as of the end of the period covered by this
report, adopted a code of ethics pursuant to Section 406 of the
Sarbanes-Oxley Act and as defined in the instructions to Form N-CSR
that applies to the Registrant's principal executive officer,
principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of
whether these individuals are employed by the Registrant or a third
party.

(b) During the period covered by this report, there were not any amendments
to the provisions of the code of ethics adopted in 2(a) above.

(c) During the period covered by this report, there were not any waivers or
implicit waivers to a provision of the code of ethics adopted in 2(a)
above.

ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT

The Registrant's Board of Directors has determined that Steve A. Garban,
a member of the Registrant's Board of Directors and Audit Committee,
qualifies as the "audit committee financial expert" as such term is
defined in the instructions to Form N-CSR. Mr. Garban is "independent",
as defined in the instructions to Form N-CSR.

ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES

Audit Fees Registrant Investment Adviser

Fiscal year ended December 31, 2002* $28,000 $133,000
Fiscal year ended December 31, 2003 $22,000 $158,760

Audit-Related Fees
Fiscal year ended December 31, 2002* $0 $0
Fiscal year ended December 31, 2003 $0 $0

Tax Fees
Fiscal year ended December 31, 2002* $3,500 $15,000
Fiscal year ended December 31, 2003 $2,600 $0

All Other Fees
Fiscal year ended December 31, 2002* $0 $0
Fiscal year ended December 31, 2003 $15,800 $60,000
</Table>

* The fees reported for the fiscal year ended December 31, 2002 were
attributable to services provided by other accountants.

ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.

ITEM 6: (RESERVED)

ITEM 7: DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable.

ITEM 8: (RESERVED)

ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITIY HOLDERS

The Governance Committee will consider nominees recommended by
shareholders. Shareholders may submit recommendations to the
attention of the Secretary of the Trust, State Street Research
& Management Company, One Financial Center, 30th Floor, Boston
MA 02111.

ITEM 10: CONTROLS AND PROCEDURES

SUB-ITEM 10a - The Principal Executive Officer and the Principal
Financial Officer have concluded that the State Street Research
Exchange Trust disclosure controls and procedures (as defined in
Rule 30-a2(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the State Street
Research Exchange Trust is made known to them by the appropriate
persons, based on their evaluation of these controls and procedures
as of a date within 90 days of the filing date of this report.

SUB-ITEM 10b - There were no significant changes in the registrant's
internal controls or in other factors that could significantly affect
these controls subsequent to the date of their evaluation referenced in
(a)(i) above.

ITEM 11: EXHIBITS

(a)(1) Code of Ethics required to be disclosed under Item 2 of Form
N-CSR attached hereto as Exhibit 99.CODE ETH

(a)(2) Certification for each principal executive and principal
financial officer of the Registrant required by Rule 30a-2(a)
under the Investment Company Act of 1940, as amended
(17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.302CERT

(b) Certification required by Rule 30a-2(b) under the Investment
Company Act of 1940, as amended (17 CFR 270.30a-2(b)) attached
hereto as Exhibit 99.906CERT

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.

State Street Research Exchange Trust

By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer

Date February 27, 2004
------------------------------------------------------

<Page>

FORM N-CSR(3 OF 3)

Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities, and on the
dates indicated.

By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer

Date February 27, 2004
------------------------

By: /s/ Douglas A. Romich
------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer

Date February 27, 2004
------------------------