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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 811-3838
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State Street Research Capital Trust
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(Exact name of registrant as specified in charter)
One Financial Center, Boston, MA 02111
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(Address of principal executive offices) (Zip code)
Terrence J. Cullen, Senior Vice President and Counsel
State Street Research
One Financial Center, Boston, MA 02111
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(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
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Date of fiscal year end: 09/30/04
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Date of reporting period: 10/1/03 - 3/31/04
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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 Semi-annual Report is attached.
[STATE STREET RESEARCH LOGO]
[GRAPHIC OMITTED]
Aurora Fund
March 31, 2004
Semiannual Report to Shareholders
Table of Contents
3 Performance Discussion
4 Portfolio Holdings
8 Financial Statements
12 Financial Highlights
14 Trustees and Officers
FROM THE CHAIRMAN
State Street Research
After putting on a spectacular show of strength in the second quarter of 2003,
the U.S. economy settled down to a slower, but nevertheless solid, pace of
growth during the six-month period from October 1, 2003, to March 31, 2004.
Gross Domestic Product (GDP), a common measure of economic growth, rose 4.1% in
the fourth quarter of 2003 and 4.2% for the first quarter of 2004. Consumer
confidence was generally strong throughout the period as a combination of
accelerated tax cuts and tax rebates fueled higher disposable income for most
working Americans. The housing market was strong, and consumer spending
continued to rise. Better yet, business spending began to recover after a long
period of stagnation. Corporate profits staged a solid rebound, making it easier
for companies to increase outlays, especially on information technology and
electronic equipment.
However, the economic news was slightly less upbeat as the first quarter of 2004
began. Durable goods orders declined and the number of new jobs added to the
labor market in January and February fell short of expectations. And consumer
confidence slipped in March. However, a strong March jobs report suggested that
the economic recovery was on solid ground on all fronts. The period ended with
the expectation that the Federal Reserve Board would likely raise short-term
interest rates sooner rather than later in the year.
Stock and Bond Markets Moved Higher
The stock market moved sharply higher through early February as economic
growth firmed up and corporate profits rose 20% or more for the reporting
period, as reported by Thomson First Call. However, a host of worries stopped
the major indexes in their tracks in the final six weeks of the period.
Investors grew more cautious about interest rates, the threat of terrorist
attacks and corporate profit comparisons going forward.
High-Yield bonds continued to rally, then stalled along with the stock market.
Although High-Yield was the strongest performing bond sector for the period,
they gave up their lead to U.S. Treasury bonds as interest rates came down. Both
Investment-Grade corporate and government bonds earned solid but modest returns.
The municipal market was a standout among Investment-Grade sectors, but mortgage
bonds lagged as homeowners took advantage of another round of low rates and
refinanced their mortgages.
Looking Ahead
The recent bear and bull cycles serve as a reminder that markets can be
unpredictable, which underscores the importance of having an asset allocation
plan in place. If you have a plan in place, stay with it, invest regularly and
talk to your investment professional before you make a significant move outside
your plan.
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
March 31, 2004
2
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PERFORMANCE
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Discussion as of March 31, 2004
How State Street Research Aurora Fund Performed
State Street Research Aurora Fund returned 24.87% for the six-month period ended
March 31, 2004.(1) The fund performed in line with the Russell 2000[RegTM] Value
Index, which returned 24.42%, and outperformed the Lipper Small-Cap Core Funds
Average, which returned 21.79% over the same period.(2)
Reasons for the Fund's Performance
Small-cap value stocks were one of the top-performing asset classes over the
past six months, and the fund benefited from the positive investing environment.
It fared better than its peer group primarily as a result of favorable stock
selection. The fund was overweight in the Materials & Processing sector going
into the period, and earned some of its best returns from stocks such as United
States Steel, Phelps Dodge and IMC Global. United States Steel and Phelps Dodge
benefited from higher raw-materials costs as steel and copper prices rose. We
cut back on our exposure to the sector by the end of the period.
The Technology sector was another major source of good returns for the fund. NMS
Communications and IONA Technologies both gained significantly. However, in the
Autos & Transportation sector, rising fuel costs hurt airline stocks, including
Mesa Air Group and Frontier Airlines. Wabtec, a provider of products and
services to the global rail industry, was also weak. The company cited weaker
dollar rates and rising scrap-steel prices in lowering its earnings estimate. In
Producer Durables, semiconductor equipment manufacturer Brooks Automation and
electronics-component manufacturer Technitrol both disappointed. We reduced our
exposure to the sector, which is often seasonally weak in the first calendar
quarter.
Looking Ahead
We have positioned the fund to benefit from an improving economy and strong
earnings growth. To take advantage of these trends, we increased our exposure to
energy firms that have the potential to benefit from elevated commodity prices.
We have modified the fund's investment process; the fund has begun to invest a
percentage (a target range of 10%-20%) of its assets in mid-cap names with
market capitalizations of up to $10 billion. In general, we continue to focus on
finding the best relative values within a three-year outlook on companies'
earnings and cash-flow potential.
Risks
The major risks of stock investing include sudden and unpredictable drops in
value and periods of lackluster performance. Small-cap stocks can be
particularly sensitive to market movements, as they may be thinly traded and
their market prices tend to reflect future expectations. "Value" investing poses
the potential that a stock may not achieve its "expected" value if the
circumstances that cause the stock to be underpriced do not change.
Top 10 Holdings
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Issuer/Security % of Fund Net Assets
1 Veeco Instruments 1.6%
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2 Technitrol 1.4%
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3 Reader's Digest Association 1.0%
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4 Argosy Gaming 1.0%
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5 Kemet 1.0%
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6 Navistar International 0.9%
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7 Wabtec 0.9%
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8 Cypress Semiconductor 0.9%
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9 Martin Marietta Materials 0.9%
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10 Agrium 0.9%
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Total 10.5%
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 3/31/04(3,5,6,7)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (2/13/95)
- -------------------------------------------------------
Class A 68.10% 22.77% 22.19%
- -------------------------------------------------------
Class B(1) 66.90% 21.89% 21.29%
- -------------------------------------------------------
Class B 68.95% 22.47% 21.60%
- -------------------------------------------------------
Class C 66.98% 21.89% 21.29%
- -------------------------------------------------------
Class S 68.63% 23.24% 22.57%
- -------------------------------------------------------
Fund average annual total return as of 3/31/04(3,4,5,6,7)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (2/13/95)
- -------------------------------------------------------
Class A 58.43% 21.32% 21.40%
- -------------------------------------------------------
Class B(1) 61.90% 21.71% 21.29%
- -------------------------------------------------------
Class B 63.95% 22.29% 21.60%
- -------------------------------------------------------
Class C 65.98% 21.89% 21.29%
- -------------------------------------------------------
Class S 68.63% 23.24% 22.57%
- -------------------------------------------------------
(1) Class A shares; does not reflect sales charge.
(2) The Russell 2000 Value Index contains those stocks within the complete
Russell 2000[RegTM] Index (a small-company index) that show below-average
growth. The index is unmanaged and does not take transaction charges into
consideration. It is not possible to invest directly in the index. The
Lipper Small-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 with competing funds.
(3) Keep in mind that the performance data quoted represents past performance
and is no guarantee of future results. Current performance may be lower or
higher than the performance data quoted herein. For the most recent
month-end performance results, visit our website at www.ssrfunds.com. 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.
(4) Performance reflects a maximum 5.75% Class A share front-end sales charge,
or a 5% Class B or Class B(1), or 1% Class C share contingent deferred
sales charge, where applicable.
(5) Performance for Class B(1) shares reflects Class B share performance
through December 31, 1998 and Class B(1) performance thereafter. If the
returns for Class B(1) shares had reflected their current service/
distribution (Rule 12b-1) fees for the entire period, these returns would
have been lower.
(6) Class S shares, offered without sales charge, are available through certain
employee benefit plans and special programs.
(7) Performance results for the fund are increased by the voluntary reduction
of fund fees and expenses; without subsidization, performance would have
been lower.
State Street Research Aurora Fund 3
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PORTFOLIO
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Holdings
March 31, 2004 (unaudited)
Issuer Shares Value
- -------------------------------------------------------------------------------------------------------------
Common Stocks 97.9%
Automobiles & Transportation 7.6%
Air Transport 2.7%
AAR Corp.* ............................................................. 1,388,900 $ 17,055,692
Alaska Air Group Inc.* ................................................. 716,300 17,663,958
EGL Inc.* .............................................................. 1,299,300 23,335,428
Frontier Airlines Inc.* ................................................ 1,416,400 14,758,888
Mesa Air Group Inc.* ................................................... 1,735,900 14,338,534
Skywest, Inc. .......................................................... 656,400 12,629,136
------------
99,781,636
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Automotive Parts 2.0%
American Axle & Manufacturing
Holdings Inc.* ....................................................... 464,800 17,127,880
Borg-Warner Automotive Inc. ............................................ 199,600 16,932,068
Navistar International Corp.* .......................................... 737,700 33,823,545
Tower Automotive Inc.* ................................................. 879,800 4,434,192
------------
72,317,685
------------
Miscellaneous Transportation 1.2%
Kirby Corp.* ........................................................... 349,400 11,806,226
OMI Corp.* ............................................................. 2,652,600 30,345,744
------------
42,151,970
------------
Railroad Equipment 0.9%
Wabtec Corp. ........................................................... 2,372,200 33,780,128
------------
Railroads 0.3%
RailAmerica Inc.* ...................................................... 947,100 11,412,555
------------
Tires & Rubber 0.5%
Cooper Tire & Rubber Co. ............................................... 842,700 16,980,405
------------
Total Automobiles & Transportation ...................................................... 276,424,379
------------
Consumer Discretionary 20.5%
Casinos/Gambling, Hotel/Motel 1.8%
Argosy Gaming Corp.* ................................................... 1,035,300 36,804,915
Boyd Gaming Corp. ...................................................... 721,600 16,517,424
Pinnacle Entertainment Inc.* ........................................... 766,600 10,579,080
------------
63,901,419
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Commercial Services 2.6%
Heidrick & Struggles International Inc.* ............................... 1,179,200 28,218,256
ProQuest Co.* .......................................................... 429,900 12,540,183
Six Flags Inc.* ........................................................ 2,016,200 15,827,170
Steiner Leisure Ltd.* .................................................. 813,600 13,180,320
Tetra Tech Inc.* ....................................................... 744,200 15,970,532
Viad Corp. ............................................................. 339,000 8,193,630
------------
93,930,091
------------
Communications, Media & Entertainment 1.4%
Entravision Communications Corp.* ...................................... 568,600 5,100,342
Gray Television Inc. ................................................... 728,300 10,647,746
Hollywood Entertainment Corp.* ......................................... 1,470,500 19,939,980
LIN TV Corp.* .......................................................... 655,200 15,600,312
------------
51,288,380
------------
Issuer Shares Value
- -------------------------------------------------------------------------------------------------------------
Consumer Products 1.0%
Playtex Products Inc.* ................................................. 2,207,900 $ 15,256,589
Tupperware Corp. ....................................................... 1,187,600 21,151,156
------------
36,407,745
------------
Consumer Services 1.7%
Dollar Thrifty Automotive Group Inc.* .................................. 129,700 3,277,519
Learning Tree International Inc.* ...................................... 598,700 9,513,343
SkillSoft PLC ADR* ..................................................... 1,578,700 20,365,230
Stewart Enterprises Inc. Cl. A* ........................................ 3,716,200 27,016,774
------------
60,172,866
------------
Household Furnishings 1.1%
Furniture Brands International, Inc.* .................................. 448,400 14,438,480
La-Z-Boy Inc. .......................................................... 1,226,400 26,686,464
------------
41,124,944
------------
Leisure Time 1.4%
Callaway Golf Co. ...................................................... 960,700 18,234,086
K2 Inc.* ............................................................... 764,400 12,253,332
Penn National Gaming Inc.* ............................................. 330,300 9,502,731
Steinway Musical Instruments Inc.* ..................................... 331,200 10,614,960
------------
50,605,109
------------
Printing & Publishing 2.1%
Hollinger International Inc. Cl. A ..................................... 956,700 18,942,660
Journal Register Co.* .................................................. 1,006,200 21,029,580
Reader's Digest Association Inc. Cl. A ................................. 2,689,900 37,873,792
------------
77,846,032
------------
Restaurants 1.6%
CKE Restaurants Inc.* .................................................. 2,156,100 21,345,390
O'Charley's Inc.* ...................................................... 795,400 14,516,050
Papa Johns International Inc.* ......................................... 362,500 12,267,000
Ryan's Family Steak Houses Inc.* ....................................... 699,900 11,975,289
------------
60,103,729
------------
Retail 5.1%
American Eagle Outfitters Inc.* ........................................ 465,900 12,560,664
Barnes & Noble Inc.* ................................................... 387,700 12,639,020
BJ's Wholesale Club Inc.* .............................................. 324,900 8,268,705
Charming Shopper Inc.* ................................................. 2,325,700 18,117,203
Christopher & Banks Corp.* ............................................. 716,700 15,129,537
CSK Auto Corp.* ........................................................ 277,100 5,018,281
Dillards Inc. .......................................................... 561,400 10,756,424
Genesco Inc.* .......................................................... 718,400 16,652,512
Hancock Fabrics Inc. ................................................... 539,500 8,572,655
J. Jill Group Inc.* .................................................... 704,800 14,462,496
Linens 'n Things Inc.* ................................................. 65,000 2,301,650
Payless ShoeSource Inc.* ............................................... 2,102,100 29,345,316
Too Inc.* .............................................................. 1,024,800 21,469,560
Tweeter Home Entertainment Group Inc.* ................................. 1,248,322 11,784,160
------------
187,078,183
------------
Textile Apparel Manufacturers 0.7%
Oshkosh B'Gosh Inc. Cl. A .............................................. 537,288 12,572,539
Russell Corp. .......................................................... 630,600 11,514,756
------------
24,087,295
------------
Total Consumer Discretionary ............................................................ 746,545,793
------------
Consumer Staples 2.6%
Drug & Grocery Store Chains 1.6%
Duane Reade Inc.* ...................................................... 1,288,900 21,833,966
Longs Drug Stores Corp. ................................................ 990,000 18,641,700
Wild Oats Markets Inc.* ................................................ 1,594,000 18,857,020
------------
59,332,686
------------
4 The notes are an integral part of the financial statements.
Issuer Shares Value
- -------------------------------------------------------------------------------------------------------------
Foods 1.0%
International Multifoods Corp.* ........................................ 703,300 $ 17,385,576
Interstate Bakeries Corp. .............................................. 1,625,700 18,484,209
------------
35,869,785
------------
Total Consumer Staples .................................................................. 95,202,471
------------
Financial Services 7.0%
Banks & Savings & Loan 0.7%
First Niagara Financial Group Corp.* ................................... 637,200 8,697,780
Sterling Bancshares Inc. ............................................... 1,183,000 15,840,370
------------
24,538,150
------------
Financial Data Processing Services & Systems 0.7%
Carreker Corp.* ........................................................ 1,146,200 9,077,904
John H. Harland Co. .................................................... 576,800 17,950,016
------------
27,027,920
------------
Insurance 2.2%
Amerus Group Co. ....................................................... 344,300 13,892,505
Harleysville Group Inc. ................................................ 556,800 10,367,616
Hub International Ltd. ................................................. 674,800 12,382,580
Odyssey Reinsurance Holdings Corp. ..................................... 591,500 15,970,500
Ohio Casualty Corp.* ................................................... 932,200 18,634,678
United National Group Ltd.* ............................................ 534,000 9,056,640
------------
80,304,519
------------
Miscellaneous Financial 0.4%
Fidelity National Financial Inc. ....................................... 212,369 8,409,812
Medallion Financial Corp. .............................................. 845,500 7,313,575
------------
15,723,387
------------
Real Estate Investment Trusts 0.8%
Anthracite Capital Inc. ................................................ 625,985 7,968,789
Heritage Property Investment Trust Inc. ................................ 481,300 14,968,430
Highland Hospitality Corp.* ............................................ 589,100 6,904,252
------------
29,841,471
------------
Rental & Leasing Services: Commercial 0.7%
GATX Corp. ............................................................. 1,147,800 25,446,726
------------
Securities Brokerage & Services 1.5%
American Capital Strategies Ltd. ....................................... 567,400 18,860,376
Investment Technology Group Inc.* ...................................... 367,400 5,621,220
MCG Capital Corp. ...................................................... 435,200 8,786,688
NCO Group Inc.* ........................................................ 654,600 15,298,002
SWS Group Inc. ......................................................... 257,700 4,615,407
------------
53,181,693
------------
Total Financial Services ................................................................ 256,063,866
------------
Health Care 5.5%
Drugs & Biotechnology 2.1%
Albany Molecular Research Inc.* ........................................ 510,900 8,118,201
ArthroCare Corp.* ...................................................... 392,600 9,072,986
Chattem Inc.* .......................................................... 708,400 18,361,728
Cytyc Corp.* ........................................................... 446,700 9,939,075
InterMune Inc.* ........................................................ 155,500 3,029,140
Priority Healthcare Corp.* ............................................. 185,800 3,955,682
Valeant Pharmaceuticals Inc. ........................................... 1,009,600 24,099,152
------------
76,575,964
------------
Health Care Facilities 0.7%
Genesis Healthcare Corp.* .............................................. 169,700 4,132,195
LifePoint Hospitals Inc.* .............................................. 587,700 19,006,218
------------
23,138,413
------------
Issuer Shares Value
- -------------------------------------------------------------------------------------------------------------
Health Care Services 2.0%
Hanger Orthopedic Group Inc.* .......................................... 612,200 $ 11,050,210
Hooper Holmes Inc. ..................................................... 2,782,300 17,361,552
NeighborCare Inc.* ..................................................... 407,800 9,889,150
Province Healthcare Co.* ............................................... 1,233,000 19,604,700
RehabCare Group Inc.* .................................................. 739,700 14,705,236
------------
72,610,848
------------
Hospital Supply 0.7%
American Medical Systems Holdings Inc.* ................................ 42,200 1,118,300
DJ Orthopedics Inc.* ................................................... 291,400 7,532,690
ICU Medical Inc.* ...................................................... 189,300 5,749,041
Viasys Healthcare Inc.* ................................................ 533,300 12,063,246
------------
26,463,277
------------
Total Health Care ....................................................................... 198,788,502
------------
Materials & Processing 16.1%
Agriculture 0.6%
Bunge Ltd. ............................................................. 214,200 8,615,124
Corn Products International Inc. ....................................... 309,900 12,396,000
------------
21,011,124
------------
Building & Construction 2.1%
Comfort Systems USA Inc.* .............................................. 1,219,900 8,807,678
ElkCorp ................................................................ 497,600 13,479,984
Granite Construction Inc. .............................................. 394,000 9,365,380
Martin Marietta Materials Inc. ......................................... 722,300 33,341,368
Trex Inc.* ............................................................. 325,900 11,116,449
------------
76,110,859
------------
Chemicals 2.1%
Cambrex Corp. .......................................................... 642,900 17,294,010
Ferro Corp. ............................................................ 511,500 13,375,725
Methanex Corp. ......................................................... 562,800 6,303,360
Millennium Chemicals Inc. .............................................. 1,107,900 16,552,026
OMNOVA Solutions Inc.* ................................................. 2,342,000 12,295,500
Spartech Corp. ......................................................... 397,000 9,885,300
------------
75,705,921
------------
Containers & Packaging 1.2%
Anchor Glass Container Corp* ........................................... 875,200 13,828,160
Apogee Enterprises, Inc. ............................................... 940,400 11,595,132
Packaging Corp. of America* ............................................ 872,700 19,688,112
------------
45,111,404
------------
Diversified Manufacturing 0.6%
Acuity Brands Inc. ..................................................... 465,900 11,125,692
Tredegar Industries Inc. ............................................... 603,500 8,829,205
------------
19,954,897
------------
Engineering & Contracting Services 1.0%
Dycom Industries Inc.* ................................................. 583,800 15,482,376
Intergrated Electrical Services Inc.* .................................. 1,976,600 22,216,984
------------
37,699,360
------------
Fertilizers 1.4%
Agrium Inc. ............................................................ 2,209,600 32,481,120
IMC Global Inc. ........................................................ 1,282,400 18,338,320
------------
50,819,440
------------
Forest Products 0.3%
Rayonier Inc. .......................................................... 209,333 9,149,946
------------
Gold & Precious Metals 0.1%
Coeur D'Alene Mines Corp.* ............................................. 743,900 5,207,300
------------
The notes are an integral part of the financial statements.
State Street Research Aurora Fund 5
Issuer Shares Value
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous Materials & Processing 2.4%
Insituform Technologies Inc.* ............................................ 819,200 $ 12,804,096
Maverick Tube Corp.* ..................................................... 1,041,500 24,527,325
NN Inc. .................................................................. 670,200 7,821,234
NS Group Inc.* ........................................................... 1,178,000 15,314,000
RTI International Metals Inc.* ........................................... 698,000 11,049,340
Valmont Industries Inc. .................................................. 790,800 15,800,184
Wolverine Tube Inc.* ..................................................... 117,500 985,825
------------
88,302,004
------------
Non-Ferrous Metals 2.3%
Compass Minerals International Inc. ...................................... 709,900 11,635,261
GrafTech International Ltd.* ............................................. 1,255,300 18,766,735
Lydall Inc.* ............................................................. 237,100 2,418,420
Minerals Technologies Inc. ............................................... 294,100 16,793,110
Phelps Dodge Corp. * ..................................................... 274,800 22,440,168
Titanium Metals Corp.* ................................................... 107,519 10,719,644
------------
82,773,338
------------
Paper & Forest Products 0.4%
Caraustar Industries Inc.* ............................................... 1,160,900 13,524,485
------------
Steel 1.5%
Allegheny Technologies Inc. .............................................. 2,020,700 24,450,470
United States Steel Corp. ................................................ 829,200 30,904,284
------------
55,354,754
------------
Textile & Products 0.1%
Quaker Fabric Corp. ...................................................... 501,200 4,500,776
------------
Total Materials & Processing .............................................................. 585,225,608
------------
Other 1.7%
Multi-Sector 1.7%
Jacuzzi Brands Inc.* ..................................................... 1,247,900 11,705,302
Trinity Industries Inc. .................................................. 1,075,700 29,904,460
Walter Industries Inc. ................................................... 1,735,900 20,726,646
------------
Total Other ............................................................................... 62,336,408
------------
Other Energy 6.6%
Miscellaneous Energy 0.8%
Massey Energy Corp. ...................................................... 441,100 9,735,077
Peabody Energy Corp. ..................................................... 403,700 18,776,087
------------
28,511,164
------------
Offshore Drilling 0.5%
Atwood Oceanics Inc.* .................................................... 472,400 16,812,716
------------
Oil & Gas Producers 1.8%
Cabot Oil & Gas Corp. Cl. A .............................................. 625,300 19,109,168
Energy Partners Ltd.* .................................................... 910,800 12,159,180
Spinnaker Exploration Co.* ............................................... 237,400 8,527,408
Stone Energy Corp.* ...................................................... 256,300 12,676,598
Vintage Petroleum Inc. ................................................... 985,100 14,441,566
------------
66,913,920
------------
Oil Well Equipment & Services 3.5%
Core Laboratories NV Co.* ................................................ 881,600 18,689,920
Global Industries Inc.* .................................................. 2,754,000 16,110,900
Grey Wolf Inc.* .......................................................... 2,554,100 10,573,974
Hanover Compressor Co.* .................................................. 2,206,300 26,674,167
NewPark Resources Inc.* .................................................. 2,290,700 11,911,640
Veritas DGC Inc.* ........................................................ 918,500 19,012,950
W-H Energy Services Inc.* ................................................ 1,615,800 23,380,626
------------
126,354,177
------------
Total Other Energy ........................................................................ 238,591,977
------------
Issuer Shares Value
- ---------------------------------------------------------------------------------------------------------------
Producer Durables 17.7%
Aerospace 1.6%
Alliant Technology Systems, Inc.* ........................................ 278,700 $ 15,161,280
Heico Corp. .............................................................. 644,300 10,109,067
Heico Corp. Cl. A ........................................................ 64,429 793,121
Ladish Inc.* ............................................................. 738,100 6,480,518
Teledyne Technologies Inc.* .............................................. 788,300 14,741,210
United Defense Industries Inc.* .......................................... 333,300 10,595,607
------------
57,880,803
------------
Electrical Equipment & Components 2.7%
MKS Instruments Inc.* .................................................... 872,303 20,943,995
Regal Beloit Corp. ....................................................... 525,600 10,501,488
Technitrol Inc.* ......................................................... 2,692,900 50,626,520
Triumph Group Inc.* ...................................................... 457,100 15,107,155
------------
97,179,158
------------
Industrial Products 3.5%
C&D Technologies Inc. .................................................... 100,800 1,684,368
Federal Signal Corp. ..................................................... 519,000 10,302,150
Flowserve Corp.* ......................................................... 992,200 20,786,590
Roper Industries Inc. .................................................... 459,000 22,146,750
Veeco Instruments Inc.* .................................................. 2,094,900 58,761,945
Watts Industries Inc. Cl A ............................................... 627,300 14,672,547
------------
128,354,350
------------
Machinery 4.2%
AGCO Corp.* .............................................................. 1,048,200 21,708,222
Applied Films Corp.* ..................................................... 203,400 5,674,860
Cummings Inc. ............................................................ 90,000 5,260,500
Helix Technology Corp. ................................................... 644,000 15,617,000
JLG Industries Inc. ...................................................... 582,600 8,331,180
Joy Global Inc.* ......................................................... 721,500 20,252,505
Kadant Inc.* ............................................................. 1,227,800 25,599,630
Manitowoc Company Inc. ................................................... 650,600 19,244,748
Stewart & Stevenson Services Inc. ........................................ 918,900 13,434,318
Terex Corp.* ............................................................. 455,100 16,825,047
------------
151,948,010
------------
Miscellaneous Equipment 0.9%
Pentair Inc. ............................................................. 246,100 14,519,900
Thomas & Betts Corp.* .................................................... 889,900 19,417,618
------------
33,937,518
------------
Office Furniture & Business Equipment 0.3%
Steelcase Inc. Cl. A ..................................................... 891,500 11,589,500
------------
Production Technology Equipment 2.8%
ATMI Inc.* ............................................................... 728,900 19,184,648
Brooks Automation Inc.* .................................................. 1,211,300 25,413,074
Cognex Corp. ............................................................. 404,400 13,446,300
Esterline Technologies Corp.* ............................................ 528,800 13,140,680
Varian Semiconductor Equipment Inc.* ..................................... 679,200 28,526,400
------------
99,711,102
------------
Telecommunications Equipment 1.7%
American Tower Corp. Cl. A* .............................................. 1,227,100 13,927,585
Andrew Corp.* ............................................................ 1,756,000 30,730,000
Belden Inc. .............................................................. 402,600 7,637,322
Plantronics Inc.* ........................................................ 255,700 9,361,177
------------
61,656,084
------------
Total Producer Durables ................................................................... 642,256,525
------------
6 The notes are an integral part of the financial statements.
Issuer Shares Value
- ----------------------------------------------------------------------------------------------------------------
Technology 11.2%
Electrical Equipment & Components 0.4%
IXYS Corp.* .............................................................. 1,569,300 $ 14,751,420
-------------
Communications Technology 2.3%
Advanced Fibre Communications Inc.* ...................................... 246,300 5,425,989
Anaren Microwave Inc.* ................................................... 945,500 14,919,990
Anixter International Inc.* .............................................. 360,700 10,189,775
CommScope Inc.* .......................................................... 955,700 15,912,405
Inet Technologies Inc.* .................................................. 1,486,600 18,448,706
NMS Communications Corp.* ................................................ 2,313,000 16,561,080
-------------
81,457,945
-------------
Computer Software 2.2%
CIBER Inc.* .............................................................. 1,747,700 19,224,700
Eletronics for Imaging Inc.* ............................................. 1,056,700 25,963,119
IONA Technologies plc ADR* ............................................... 627,300 4,704,750
Keane Inc.* .............................................................. 329,900 5,192,626
Mentor Graphics Corp.* ................................................... 1,012,500 18,042,750
Micros Systems Inc.* ..................................................... 112,800 5,092,920
Pegasystems Inc.* ........................................................ 264,300 2,172,546
-------------
80,393,411
-------------
Computer Technology 1.2%
Hutchinson Technology Inc.* .............................................. 418,200 11,734,692
Perot Systems Corp.* ..................................................... 1,168,000 15,534,400
Silicon Graphics Inc.* ................................................... 3,416,400 8,677,656
SimpleTech Inc.* ......................................................... 1,753,600 8,329,600
-------------
44,276,348
-------------
Electronics 3.1%
AVX Corp. ................................................................ 628,100 10,357,369
BEI Technologies Inc. .................................................... 514,900 11,564,654
Benchmark Electronics Inc.* .............................................. 237,550 7,478,074
Gerber Scientific Inc.* .................................................. 556,700 3,785,560
Herley Industries Inc.* .................................................. 920,400 17,377,152
Kemet Corp.* ............................................................. 2,480,500 35,570,370
Lecroy Corp.* ............................................................ 784,400 16,291,988
Trimble Navigation Ltd.* ................................................. 506,550 11,615,192
-------------
114,040,359
-------------
Electronics: Semiconductors/Components 2.0%
Avnet Inc.* .............................................................. 525,600 12,871,944
Chippac Inc. Cl. A* ...................................................... 604,900 4,784,759
Cypress Semiconductor Corp.* ............................................. 1,634,500 33,458,215
Excel Technology Inc.* ................................................... 345,900 10,878,555
Triquint Semiconductors Inc.* ............................................ 1,460,500 10,661,650
-------------
72,655,123
-------------
Total Technology ........................................................................... 407,574,606
-------------
Utilities 1.4%
Electrical 0.3%
Hawaiian Electric Industries Inc. ........................................ 101,500 5,261,760
Weststar Energy Inc. ..................................................... 241,300 5,057,648
-------------
10,319,408
-------------
Gas Distribution 0.6%
NUI Corp. ................................................................ 747,000 12,631,770
UGI Corp. ................................................................ 289,700 9,536,924
-------------
22,168,694
-------------
Telecommunications 0.5%
PTEK Holdings Inc.* ...................................................... 2,076,600 19,083,954
-------------
Total Utilities .......................................................... 51,572,056
-------------
Total Common Stocks (Cost $2,654,557,398) ...................................................... 3,560,582,191
-------------
Issuer Shares Value
- ----------------------------------------------------------------------------------------------------------------
Short-Term Investments 22.9%
State Street Navigator Securities Lending
Prime Portfolio ........................................................ 832,013,167 $ 832,013,167
-------------
Total Short-Term Investments (Cost $832,013,167) .......................................... 832,013,167
-------------
Maturity Principal
Date Amount
- ----------------------------------------------------------------------------------------------------------------
Commercial Paper 1.7%
American Express Credit
Corp., 0.95% ............................................... 4/01/2004 $6,682,000 6,682,000
American Express Credit
Corp., 0.97% ............................................... 4/01/2004 3,724,000 3,724,000
American Express Credit
Corp., 0.97% ............................................... 4/07/2004 9,623,000 9,621,445
American Express Credit
Corp., 0.97% ............................................... 4/07/2004 7,656,000 7,654,762
General Electric Capital
Corp., 1.00% ............................................... 4/12/2004 8,000,000 7,997,555
Morgan Stanley Dean Witter
& Co., 1.02% ............................................... 4/01/2004 5,975,000 5,975,000
UBS Finance Inc., 1.04% ...................................... 4/01/2004 20,957,000 20,957,000
-------------
Total Commercial Paper (Cost $62,611,762)................................................... 62,611,762
-------------
% of
Net Assets
- -----------------------------------------------------------------------------------------------------------------
Summary of Portfolio Assets
Investments (Cost $3,549,182,327) ............... 122.5% 4,455,207,120
Cash and Other Assets, Less Liabilities ......... (22.5%) (817,860,867)
------- --------------
Net Assets ...................................... 100.0% $3,637,346,253
======= ==============
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 March 31, 2004, the net unrealized appreciation of
investments based on cost for federal income tax purposes
of $3,560,132,885 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $950,787,937
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (55,713,702)
------------
$895,074,235
============
The notes are an integral part of the financial statements.
State Street Research Aurora Fund 7
- ---------
FINANCIAL
- ---------
Statements
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
March 31, 2004 (unaudited)
Assets
Investments, at value (Cost $3,549,182,327) (Note 1) ..... $4,455,207,120
Cash ..................................................... 4,865
Receivable for securities sold ........................... 30,707,853
Receivable for fund shares sold .......................... 12,941,701
Dividends receivable ..................................... 1,753,895
Other assets ............................................. 20,559
--------------
4,500,635,993
--------------
Liabilities
Payable for collateral received on securities loaned ..... 832,013,167
Payable for securities purchased ......................... 12,811,287
Payable for fund shares redeemed ......................... 12,084,809
Accrued management fee ................................... 2,762,320
Accrued transfer agent and shareholder services .......... 1,691,474
Accrued distribution and service fees .................... 1,497,764
Accrued trustees' fees ................................... 37,831
Accrued administration fee ............................... 10,486
Other accrued expenses ................................... 380,602
--------------
863,289,740
--------------
Net Assets ............................................... $3,637,346,253
==============
Net Assets consist of:
Unrealized appreciation of investments ................. $ 906,024,793
Accumulated net realized gain .......................... 190,438,197
Paid-in capital ........................................ 2,540,883,263
--------------
$3,637,346,253
==============
Net Asset Value (NAV) of Each Share Class
Except where noted, the NAV is the offering and the redemption price for each
class.
Class Net Assets [divided by] Number of Shares = NAV
A $2,202,310,143 54,662,308 $40.29*
B(1) $ 495,742,638 13,202,865 $37.55**
B $ 213,331,687 5,548,512 $38.45**
C $ 516,637,363 13,759,872 $37.55**
S $ 209,324,422 5,046,296 $41.48
* Maximum offering price per share = $42.75 ($40.29 [divided by] 0.9425)
** When you sell Class B(1), Class B or Class C shares, you receive the net
asset value minus deferred sales charge, if any.
Statement of Operations
- --------------------------------------------------------------------------------
For the six months ended March 31, 2004 (unaudited)
Investment Income
Dividends, net of foreign taxes of $42,321 (Note 1) $ 13,133,416
Interest (Note 1) ....................................... 915,389
------------
14,048,805
------------
Expenses
Management fee (Note 2) ................................. 14,241,245
Transfer agent and shareholder services (Note 2) ........ 4,228,886
Distribution and service fees - Class A (Note 4) ........ 3,013,664
Distribution and service fees - Class B(1) (Note 4) ..... 2,341,416
Distribution and service fees - Class C (Note 4) ........ 2,392,986
Custodian fee ........................................... 223,484
Reports to shareholders ................................. 211,328
Trustees' fees (Note 2) ................................. 65,360
Registration fees ....................................... 55,188
Administration fee (Note 2) ............................. 48,944
Audit fee ............................................... 19,026
Legal fees .............................................. 2,772
Miscellaneous ........................................... 52,600
------------
26,896,899
Fees paid indirectly (Note 2) ........................... (26,692)
------------
26,870,207
Reimbursement of distribution fees (Note 4) ............. 400,000
------------
Net investment loss ..................................... (12,421,402)
------------
Realized and Unrealized Gain
on Investments
Net increase from payment by affiliate (Note 2) ......... 426,457
Net realized gain on investments (Notes 1 and 3) ........ 211,141,991
Change in unrealized appreciation of investments ........ 507,405,920
------------
Net gain on investments ................................. 718,974,368
------------
Net increase in net assets resulting from operations..... $706,552,966
============
8 The notes are an integral part of the financial statements.
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Six months ended
March 31, 2004 Year ended
(unaudited) September 30, 2003
----------------- -------------------
Increase (Decrease) In Net Assets
Operations:
Net investment loss ........................................ $ (12,421,402) $ (21,564,654)
Net increase from payment
by affiliate ............................................. 426,457 --
Net realized gain (loss) on
investments .............................................. 211,141,991 (5,964,906)
Change in unrealized
appreciation of investments .............................. 507,405,920 732,152,627
-------------- --------------
Net increase resulting from
operations ............................................... 706,552,966 704,623,067
-------------- --------------
Distributions from capital gains:
Class A .................................................. (966,369) (8,427,738)
Class B(1) ............................................... (240,069) (2,137,073)
Class B .................................................. (108,430) (1,112,809)
Class C .................................................. (244,717) (2,440,090)
Class S .................................................. (83,129) (560,409)
-------------- --------------
(1,642,714) (14,678,119)
-------------- --------------
Net increase (decrease) from
fund share transactions
(Note 5) ................................................. 105,325,675 (332,003,552)
-------------- --------------
Total increase in net assets ............................... 810,235,927 357,941,396
Net Assets
Beginning of period ........................................ 2,827,110,326 2,469,168,930
-------------- --------------
End of period .............................................. $3,637,346,253 $2,827,110,326
============== ==============
Notes to Unaudited Financial Statements
- --------------------------------------------------------------------------------
March 31, 2004
Note 1
State Street Research Aurora Fund is a series of State Street Research Capital
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 investment objective of the fund is to provide high total return, consisting
principally of capital appreciation. In seeking to achieve its investment
objective, the fund invests at least 65% of its total assets in small-cap value
stocks.
The fund offers five classes of shares. Class A shares are subject to an initial
sales charge of up to 5.75% and pay annual service and distribution fees equal
to 0.30% of average daily net assets. Class B(1) and Class B shares pay annual
service and distribution fees of 1.00% and automatically convert into Class A
shares (which pay lower ongoing expenses) at the end of eight years. Class B(1)
and Class B shares are subject to a contingent deferred sales charge on certain
redemptions made within six years of purchase and five years of purchase,
respectively. Class B shares are offered only to current shareholders through
reinvestment of dividends and distributions or through exchanges from existing
Class B accounts of State Street Research funds. Currently, the annual service
and distribution fees paid by Class B shares have been voluntarily reduced to
0.00%. Class C shares are subject to a contingent deferred sales charge of 1.00%
on any shares redeemed within one year of their purchase. Class C shares also
pay annual service and distribution fees equal to 1.00%. Class S shares are only
offered through certain retirement accounts, advisory accounts of State Street
Research & Management Company (the "Adviser"), an investment management
subsidiary of MetLife, Inc. ("MetLife"), and special programs. No sales charge
is imposed at the time of purchase or redemption of Class S shares. Class S
shares do not pay any service or distribution fees. The fund's expenses are
borne prorata by each class, except that each class bears expenses, and has
exclusive voting rights with respect to provisions of the plans of distribution,
related specifically to that class. The Trustees declare separate dividends on
each class of shares.
The following significant accounting policies are consistently followed by the
fund in preparing its financial statements, and such policies are in conformity
with accounting principles generally accepted in the United States of America.
A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Short-term securities maturing within sixty days are valued at
amortized cost. Other securities, if any, are valued at their fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Trustees. If trading or events occurring in
other markets after the close of the principal market in which foreign
securities are traded, and before the close of business of the fund, are
expected to materially affect the value of these securities, then they are
valued at their fair value taking this trading or these events into account.
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to buy
or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
C. Net Investment Income
Net investment income is determined daily and consists of interest and dividends
accrued and discount earned, less the estimated daily expenses of the fund.
Interest income is accrued daily as earned. Dividend income is accrued on the
ex-dividend date. The fund is charged for expenses directly attributable to it,
while indirect expenses are allocated among all funds in the Trust.
D. Dividends
Dividends from net investment income, if any, are declared and paid or
reinvested annually. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.
State Street Research Aurora Fund 9
Notes (continued)
- --------------------------------------------------------------------------------
Income dividends and capital gains distributions are determined in accordance
with federal income tax regulations which may differ from accounting principles
generally accepted in the United States of America. The difference is primarily
due to differing treatments for wash sale deferrals.
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 because the fund has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods.
At September 30, 2003, the fund had a capital loss carryforward of $7,899,670
available, to the extent provided in regulations, to offset future capital
gains, if any, which expires on September 30, 2011.
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 March 31,
2004, the value of the securities loaned and the value of collateral were
$810,954,565 and $832,013,167 (consisting entirely of cash collateral invested
in State Street Navigator Securities Lending Prime Portfolio), respectively.
During the six months ended March 31, 2004, income from securities lending
amounted to $513,929 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 0.85% of fund net assets. In
consideration of these fees, the Adviser furnishes the fund with management,
investment advisory, statistical and research facilities and services. The
Adviser also pays all salaries, rent and certain other expenses of management.
During the six months ended March 31, 2004, the fees pursuant to such agreement
amounted to $14,241,245.
State Street Research Service Center, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), provides certain shareholder services to the fund such as
responding to inquiries and instructions from investors with respect to the
purchase and redemption of shares of the fund. In addition, MetLife receives a
fee for maintenance of the accounts of certain shareholders who are participants
in sponsored arrangements, such as employee benefit plans, through or under
which shares of the fund may be purchased. Total shareholder service costs are
allocated to each fund in the same ratios as the transfer agent costs. During
the six months ended March 31, 2004, the amount of such expenses allocated to
the fund was $2,601,247.
The fund has entered into an arrangement with its transfer agent whereby credits
realized as a result of uninvested cash balances were used to reduce a portion
of the fund's expenses. During the six months ended March 31, 2004, the fund's
transfer agent fees were reduced by $26,692 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$65,360 during the six months ended March 31, 2004.
The fund has agreed to pay the Adviser for certain administrative costs incurred
in providing other assistance and services to the fund. The fee was based on a
fixed amount that has been allocated equally among State Street Research funds.
During the six months ended March 31, 2004, the amount of such expenses was
$48,944.
On February 19, 2004, the Distributor entered into an agreement with the NASD
resolving all outstanding issues relating to an investigation by the NASD of the
Distributor's e-mail retention practices and supervision of trading activity in
shares of the State Street Research funds. The Distributor, without admitting or
denying the allegations or the findings set forth in the agreement, and solely
for the purpose of the settlement, agreed to the entry of certain findings by
the NASD relating to the Distributor's compliance with document retention
requirements and the Distributor's supervision of and enforcement of shareholder
exchange limitations set forth in the funds' prospectuses. The agreement
contains no allegations or findings of fraudulent conduct by the Distributor. As
part of this agreement, the Distributor made a payment to State Street Research
Aurora Fund to compensate the fund for losses relating to the exchange of fund
shares beyond the annual limit set forth in the fund's prospectus. The payment
was allocated among the fund's share classes as follows: $256,999 to Class A;
$58,986 to Class B(1); $25,392 to Class B; $60,506 to Class C; and $24,574 to
Class S. These amounts are shown in the total amount of $426,457 as "Net
increase from payment by affiliate" in the Statement of Operations.
Note 3
For the six months ended March 31, 2004, purchases and sales of securities,
exclusive of short-term obligations, aggregated $609,608,151, and $581,507,241,
respectively.
Note 4
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940. Under the plans, the fund pays annual service
fees to the Distributor at a rate of 0.25% of average daily net assets for Class
A, Class B(1) and Class C shares. In addition, the fund pays annual distribution
fees of 0.05% of average daily net assets for Class A shares, 0.75% of average
daily net assets for Class B(1) and Class C shares. Currently, the annual
service and distribution fees paid by Class B shares have been voluntarily
waived to 0.00%. The fund expects this waiver to continue although there is no
guarantee that it will. The Distributor uses such payments for personal services
and/or the maintenance of shareholder accounts, to reimburse securities dealers
for distribution and marketing services, to furnish ongoing assistance to
investors and to defray a portion of its distribution and marketing expenses.
For Class A, Class B and Class C shares, the payments are intended to reimburse
the distributor for expenditures incurred under the plan, and any unused
payments are returnable to the fund. For Class B(1), the payments compensate the
distributor for services and expenditures incurred under the plan, and none of
the payments are returnable to the fund. During the six months ended March 31,
2004, the Distributor reimbursed a total of $400,000 to Class B shares of the
fund reflect-ing the estimated excess of payments received over costs incurred
under the plan. This amount is shown as "Reimbursement of distribution fees" in
the Statement of Operations. For the six months ended March 31, 2004, fees
pursuant to such plans amounted to $3,013,664, $2,341,416 and $2,392,986 for
Class A, Class B(1), and Class C shares, respectively. For Class A, Class B and
Class C shares, the payments are intended to reimburse the distributor for
expenditures incurred under the plan, and any unused payments are returnable to
the fund. As of March 31, 2004, there were $28,311,944 and $8,583,449 for Class
A, Class B and Class C, respectively, of unreimbursed distribution and
shareholder servicing related expenses to be carried forward to future plan
years. For Class B(1) shares, the payments compensate the distributor for
services and expenditures incurred under the plan, and none of the payments are
returnable to the fund.
The fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of MetLife, earned initial sales charges aggregating
$1,006,174 and $1,469,735, respectively, on sales of Class A shares of the fund
during the six months ended March 31, 2004, and that MetLife Securities, Inc.
earned commissions aggregating $1,553,949 and $32,059 on sales of Class B(1) and
Class C shares, and the Distributor collected contingent deferred sales charges
aggregating $383,080, $2,889 and $5,485 on redemptions of Class B(1), Class B
and Class C shares, respectively, during the same period.
10
Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest at $0.001 per value per share.
These transactions break down by share class as follows:
Six months ended
March 31, 2004 Year ended
(unaudited) September 30, 2003
-------------------------------------------------------------
Class A Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 13,102,745 $ 498,306,087 16,899,496 $ 469,042,922
Issued upon reinvestment of distributions from capital gains 25,322 954,113 213,191 5,489,579
Shares redeemed (10,593,780) (402,517,558) (24,341,722) (651,666,848)
----------- ------------- ----------- -------------
Net increase (decrease) 2,534,287 $ 96,742,642 (7,229,035) $(177,134,347)
=========== ============= =========== =============
Class B(1) Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 1,021,114 $ 36,162,013 1,403,726 $ 36,779,208
Issued upon reinvestment of distributions from capital gains 6,315 222,274 64,891 1,576,445
Shares redeemed (1,109,423) (39,273,149) (2,979,708) (74,229,578)
----------- ------------- ----------- -------------
Net decrease (81,994) $ (2,888,862) (1,511,091) $ (35,873,925)
=========== ============= =========== =============
Class B Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 48,198 $ 1,734,875 131,669 $ 3,441,001
Issued upon reinvestment of distributions from capital gains 2,849 102,399 31,392 769,318
Shares redeemed (758,792) (27,754,004) (1,847,125) (46,449,514)
----------- ------------- ----------- -------------
Net decrease (707,745) $ (25,916,730) (1,684,064) $ (42,239,195)
=========== ============= =========== =============
Class C Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 1,584,447 $ 56,453,998 1,051,716 $ 28,486,342
Issued upon reinvestment of distributions from capital gains 6,440 226,622 58,514 1,420,934
Shares redeemed (1,383,575) (48,994,295) (5,026,706) (124,996,244)
----------- ------------- ----------- -------------
Net increase (decrease) 207,312 $ 7,686,325 (3,916,476) $ (95,088,968)
=========== ============= =========== =============
Class S Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 1,637,106 $ 63,643,129 1,772,631 $ 51,725,495
Issued upon reinvestment of distributions from capital gains 2,027 78,602 21,069 558,168
Shares redeemed (886,380) (34,019,431) (1,205,014) (33,950,780)
----------- ------------- ----------- -------------
Net increase 752,753 $ 29,702,300 588,686 $ 18,332,883
=========== ============= =========== =============
State Street Research Aurora Fund 11
- ---------
FINANCIAL
- ---------
Highlights
For a share outstanding throughout each period
Class A
--------------------------------
Years ended
Six months ended September 30
March 31, 2004 -------------
(unaudited)(a) 2003(a)
- --------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 32.28 24.43
------ ------
Net investment income (loss) ($) (0.11) (0.19)
Net realized and unrealized gain (loss) on investments ($) 8.14 8.19
------ ------
Total from investment operations ($) 8.03 8.00
------ ------
Distributions from capital gains ($) (0.02) (0.15)
------ ------
Total distributions ($) (0.02) (0.15)
------ ------
Net asset value, end of period ($) 40.29 32.28
====== ======
Total return (%)(b) 24.87(d) 32.90
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 2,202,310 1,682,504
Expense ratio (%) 1.44(e) 1.55
Expense ratio after expense reductions (%) 1.44(e) 1.55
Ratio of net investment income (loss) to average net assets (%) (0.60)(e) (0.69)
Portfolio turnover rate (%) 17.75 48.43
Class A
----------------------------------------------------
Years ended September 30
----------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 26.51 29.17 19.02 15.47
------ ------ ------ ------
Net investment income (loss) ($) (0.23) 0.02 0.10 0.05
Net realized and unrealized gain (loss) on investments ($) (1.85) (0.37) 10.05 3.50
------ ------ ------ ------
Total from investment operations ($) (2.08) (0.35) 10.15 3.55
------ ------ ------ ------
Distributions from capital gains ($) -- (2.31) -- --
------ ------ ------ ------
Total distributions ($) -- (2.31) -- --
------ ------ ------ ------
Net asset value, end of period ($) 24.43 26.51 29.17 19.02
====== ====== ====== ======
Total return (%)(b) (7.85) (0.98) 53.45 22.88
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 1,449,869 1,334,548 552,365 146,295
Expense ratio (%) 1.48 1.44 1.40 1.46
Expense ratio after expense reductions (%) 1.47 1.43 1.40 1.45
Ratio of net investment income (loss) to average net assets (%) (0.73) 0.08 0.42 0.30
Portfolio turnover rate (%) 42.18 26.40 76.95 65.13
Class B(1)
------------------------------------------
Six months ended Years ended September 30
March 31, 2004 ------------------------
(unaudited)(a) 2003(a) 2002(a)(f)
- ---------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 30.19 23.02 25.16
------ ------ ------
Net investment loss ($) (0.23) (0.36) (0.42)
Net realized and unrealized gain (loss) on investments ($) 7.61 7.68 (1.72)
------ ------ ------
Total from investment operations ($) 7.38 7.32 (2.14)
------ ------ ------
Distributions from capital gains ($) (0.02) (0.15) --
------ ------ ------
Total distributions ($) (0.02) (0.15) --
------ ------ ------
Net asset value, end of period ($) 37.55 30.19 23.02
====== ====== ======
Total return (%)(b) 24.44(d) 31.96 (8.51)
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 495,743 401,016 340,529
Expense ratio (%) 2.14(e) 2.25 2.18
Expense ratio after expense reductions (%) 2.14(e) 2.25 2.17
Ratio of net investment loss to average net assets (%) (1.30)(e) (1.39) (1.43)
Portfolio turnover rate (%) 17.75 48.43 42.18
Class B(1)
------------------------------------------
Years ended September 30
------------------------------------------
2001(a)(f) 2000(a)(f) 1999(a)(c)(f)
- ---------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 27.99 18.38 16.17
------ ------ ------
Net investment loss ($) (0.18) (0.07) (0.03)
Net realized and unrealized gain (loss) on investments ($) (0.34) 9.68 2.24
------ ------ ------
Total from investment operations ($) (0.52) 9.61 2.21
------ ------ ------
Distributions from capital gains ($) (2.31) -- --
------ ------ ------
Total distributions ($) (2.31) -- --
------ ------ ------
Net asset value, end of period ($) 25.16 27.99 18.38
====== ====== ======
Total return (%)(b) (1.67) 52.37 13.61(d)
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 299,062 110,743 20,419
Expense ratio (%) 2.14 2.13 2.10(e)
Expense ratio after expense reductions (%) 2.13 2.13 2.09(e)
Ratio of net investment loss to average net assets (%) (0.63) (0.29) (0.24)(e)
Portfolio turnover rate (%) 26.40 76.95 65.13
Class B
-----------------------------
Years ended
Six months ended September 30
March 31, 2004 -----------
(unaudited)(a) 2003(a)
- -----------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 30.70 23.17
------ ------
Net investment income (loss) ($) 0.01 (0.10)
Net realized and unrealized gain (loss) on investments ($) 7.76 7.78
------ ------
Total from investment operations ($) 7.77 7.68
------ ------
Distributions from capital gains ($) (0.02) (0.15)
------ ------
Total distributions ($) (0.02) (0.15)
------ ------
Net asset value, end of period ($) 38.45 30.70
====== ======
Total return (%)(b) 25.31(d) 33.31
Ratios/Supplemental Data
- -----------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 213,332 192,055
Expense ratio (%) 1.14(e) 1.25
Expense ratio after expense reductions (%) 1.14(e) 1.25
Ratio of net investment income (loss) to average net assets (%) 0.07(e) (0.39)
Portfolio turnover rate (%) 17.75 48.43
Class B
--------------------------------------------------
Years ended September 30
--------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
------------ ------------ ------------ -----------
Net asset value, beginning of period ($) 25.16 27.99 18.38 15.07
------ ------ ------ ------
Net investment income (loss) ($) (0.23) (0.15) (0.07) (0.08)
Net realized and unrealized gain (loss) on investments ($) (1.76) (0.37) 9.68 3.39
------ ------ ------ ------
Total from investment operations ($) (1.99) (0.52) 9.61 3.31
------ ------ ------ ------
Distributions from capital gains ($) -- (2.31) -- --
------ ------ ------ ------
Total distributions ($) -- (2.31) -- --
------ ------ ------ ------
Net asset value, end of period ($) 23.17 25.16 27.99 18.38
====== ====== ====== ======
Total return (%)(b) (7.91) (1.67) 52.37 21.90
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 183,973 234,168 268,557 198,783
Expense ratio (%) 1.51 2.14 2.13 2.21
Expense ratio after expense reductions (%) 1.50 2.13 2.13 2.20
Ratio of net investment income (loss) to average net assets (%) (0.76) (0.54) (0.31) (0.46)
Portfolio turnover rate (%) 42.18 26.40 76.95 65.13
12
Class C
-----------------------------
Years ended
Six months ended September 30
March 31, 2004 -----------
(unaudited)(a) 2003(a)
- -----------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 30.18 23.01
------ ------
Net investment loss ($) (0.23) (0.35)
Net realized and unrealized gain (loss) on investments ($) 7.62 7.67
------ ------
Total from investment operations ($) 7.39 7.32
------ ------
Distributions from capital gains ($) (0.02) (0.15)
------ ------
Total distributions ($) (0.02) (0.15)
------ ------
Net asset value, end of period ($) 37.55 30.18
====== ======
Total return (%)(b) 24.48(d) 31.97
Ratios/Supplemental Data
- -----------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 516,637 409,076
Expense ratio (%) 2.14(e) 2.25
Expense ratio after expense reductions (%) 2.14(e) 2.25
Ratio of net investment income (loss) to average net assets (%) (1.30)(e) (1.39)
Portfolio turnover rate (%) 17.75 48.43
Class C
--------------------------------------------------
Years ended September 30
--------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 25.16 27.99 18.38 15.06
------ ------ ------ ------
Net investment loss ($) (0.42) (0.18) (0.07) (0.08)
Net realized and unrealized gain (loss) on investments ($) (1.73) (0.34) 9.68 3.40
------ ------ ------ ------
Total from investment operations ($) (2.15) (0.52) 9.61 3.32
------ ------ ------ ------
Distributions from capital gains ($) -- (2.31) -- --
------ ------ ------ ------
Total distributions ($) -- (2.31) -- --
------ ------ ------ ------
Net asset value, end of period ($) 23.01 25.16 27.99 18.38
====== ====== ====== ======
Total return (%)(b) (8.55) (1.67) 52.37 21.98
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 402,010 378,733 180,877 67,816
Expense ratio (%) 2.18 2.14 2.13 2.21
Expense ratio after expense reductions (%) 2.17 2.13 2.13 2.20
Ratio of net investment income (loss) to average net assets (%) (1.43) (0.62) (0.30) (0.45)
Portfolio turnover rate (%) 42.18 26.40 76.95 65.13
Class S
-----------------------------
Years ended
Six months ended September 30
March 31, 2004 -----------
(unaudited)(a) 2003(a)
----------------- -----------
Net asset value, beginning of period ($) 33.18 25.05
----- -----
Net investment income (loss) ($) (0.06) (0.11)
Net realized and unrealized gain (loss) on investments ($) 8.38 8.39
------ ------
Total from investment operations ($) 8.32 8.28
------ ------
Dividends from net investment income ($) -- --
Distributions from capital gains ($) (0.02) (0.15)
------ ------
Total distributions ($) (0.02) (0.15)
------ ------
Net asset value, end of period ($) 41.48 33.18
====== ======
Total return (%)(b) 25.07(d) 33.21
Ratios/Supplemental Data
- -----------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 209,324 142,460
Expense ratio (%) 1.14(e) 1.25
Expense ratio after expense reductions (%) 1.14(e) 1.25
Ratio of net investment income (loss) to average net assets (%) (0.30)(e) (0.38)
Portfolio turnover rate (%) 17.75 48.43
Class S
--------------------------------------------------
Years ended September 30
--------------------------------------------------
2002(a)(f) 2001(a)(f) 2000(a)(f) 1999(a)(f)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 27.06 29.66 19.23 15.60
------ ------ ------ -----
Net investment income (loss) ($) (0.14) 0.13 0.12 0.10
Net realized and unrealized gain (loss) on investments ($) (1.87) (0.39) 10.31 3.53
------ ------ ------ -----
Total from investment operations ($) (2.01) (0.26) 10.43 3.63
------ ------ ------ -----
Dividends from net investment income ($) -- (0.03) -- --
Distributions from capital gains ($) -- (2.31) -- --
------ ------ ------ -----
Total distributions ($) -- (2.34) -- --
------ ------ ------ -----
Net asset value, end of period ($) 25.05 27.06 29.66 19.23
====== ====== ====== =====
Total return (%)(b) (7.43) (0.64) 54.32 23.21
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 92,789 76,711 20,298 1,177
Expense ratio (%) 1.18 1.14 1.13 1.21
Expense ratio after expense reductions (%) 1.17 1.13 1.13 1.20
Ratio of net investment income (loss) to average net assets (%) (0.43) 0.36 0.63 0.54
Portfolio turnover rate (%) 42.18 26.40 76.95 65.13
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999
(d) Not annualized
(e) Annualized
(f) Audited by other auditors
State Street Research Aurora Fund 13
- ---------------------
TRUSTEES AND OFFICERS
- ---------------------
State Street Research Capital 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 Corporation
(58) 1999 Chief Executive Officer and President,
PictureTel Corporation (video conferencing
systems)
- ------------------------------------------------------------------------------------------------------------------------------------
Peter S. Drotch Trustee Since Retired; formerly Partner, 19 The First Marblehead Corp.
(62) 2004 PricewaterhouseCoopers LLP
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Garban Trustee Since Retired; formerly Senior Vice President for 53 Metropolitan Series Fund,
(66) 1997 Finance and Operations and Treasurer, The Inc.; and Metropolitan
Pennsylvania State University 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. 53 A.P. Pharma, Inc.;
(65) 1995 (investments); President, Pacific Four Metropolitan Series Fund,
Investments (investments); formerly Inc.; and Metropolitan
President, The Glen Ellen Company (private Series Fund II
investment firm)
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Trustee Since Jay W. Forrester Professor of Management, 53 Metropolitan Series Fund,
Scott Morton (66) 1987 Sloan School of Management, Massachusetts Inc.; and Metropolitan
Institute of Technology Series Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Interested Trustees
Richard S. Davis(+) Trustee Since Chairman of the Board, President and Chief 19 None
(58) 2000 Executive Officer of State Street Research
& Management Company; formerly Senior Vice
President, Fixed Income Investments,
Metropolitan Life Insurance Company
- ------------------------------------------------------------------------------------------------------------------------------------
Officers
Caroline Evascu Vice Since Vice President of State Street Research & 3 None
(29) President 2003 Management Company; formerly Vice President
and senior analyst at SG Cowen Asset
Management; and research associate at
Donaldson, Lufkin & Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Goodwin Vice Since Managing Director and Chief Investment 18 None
(45) President 2002 Officer - Equities of State Street Research
& Management Company; formerly Chief
Investment Officer - U.S. Growth Equities,
American Century
- ------------------------------------------------------------------------------------------------------------------------------------
Paul Haagensen Vice Since Managing Director of State Street Research 3 None
(58) President 2003 & Management Company; formerly Senior Vice
President of State Street Research &
Management Company and Portfolio Manager
and senior analyst at Putnam Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Eileen M. Leary Vice Since Managing Director of State Street Research 3 None
(41) President 2002 & Management Company; formerly Senior Vice
President and Vice President of State
Street Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Vice Since Managing Director, Chief Financial Officer 19 None
(49) President 2001 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
- ------------------------------------------------------------------------------------------------------------------------------------
Andrew Morey Vice Since Senior Vice President of State Street 3 None
(34) President 2003 Research & Management Company; formerly
Vice President, State Street Research &
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Tucker Walsh Vice Since Managing Director of State Street Research 3 None
(34) President 1999 & Management Company; formerly Vice
President and analyst, State Street
Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------------
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 has served 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.
14
----------------
[LOGO] STATE STREET RESEARCH | FIRST STD |
One Financial Center | U.S. POSTAGE |
Boston, MA 02111-2690 | PAID |
| PERMIT #6 |
| HUDSON, MA |
----------------
- ------------------------------------------------------------------------------------------------------------------------------
New accounts, mutual fund purchases, ------------------------------------------------
exchanges and account information
Did You Know?
Internet www.ssrfunds.com
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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
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Fax 1-617-737-9722 (request confirmation number
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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
eastern time, to learn more.
- ------------------------------------------------------------------------------------------------------------------------------
Investors should carefully consider the fund's investment objective, risks,
charges and expenses before investing. The fund's prospectus contains more
complete information on these and other matters. A prospectus for Aurora Fund
is available through your financial professional, by calling toll-free
1-87-SSR-FUNDS (1-877-773-8637) or by visiting our website at www.ssrfunds.com. [LOGO]
Please read the prospectus carefully before investing. for Excellence in
Shareholder Communications
OverView
For more information on the products and services we offer, refer to OverView, [LOGO]
our quarterly shareholder newsletter. For Excellence in Service
Webcasts
For a professional perspective on the markets, the economy and timely investment
topics, tune in to a State Street Research webcast by visiting our website at
www.ssrfunds.com.
Complete Fund Listing
For a list of our funds, visit our website at www.ssrfunds.com under Research
Our Funds.
This report must be accompanied or preceded by a current prospectus. When used
as sales material after June 30, 2004, this report must be accompanied by a
current Quarterly Performance Update.
"State Street Research Proxy Voting Policies and Procedures"--which describes
how we vote proxies relating to portfolio securities--is available upon request,
free of charge, by calling the State Street Research Service Center toll-free at
1-87-SSR-FUNDS (1-877-773-8637) or by accessing the U.S. Securities and Exchange
Commission website at www.sec.gov.
The DALBAR awards recognize quality shareholder service 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:(exp0505)SSR-LD AR-3635-0504
[LOGO] STATE STREET RESEARCH
Emerging Growth Fund
March 31, 2004
Semiannual Report to Shareholders
Table of Contents
3 Performance Discussion
4 Portfolio Holdings
6 Financial Statements
10 Financial Highlights
12 Trustees and Officers
FROM THE CHAIRMAN
State Street Research
After putting on a spectacular show of strength in the second quarter of 2003,
the U.S. economy settled down to a slower, but nevertheless solid, pace of
growth during the six-month period from October 1, 2003, to March 31, 2004.
Gross Domestic Product (GDP), a common measure of economic growth, rose 4.1% in
the fourth quarter of 2003 and 4.2% for the first quarter of 2004. Consumer
confidence was generally strong throughout the period as a combination of
accelerated tax cuts and tax rebates fueled higher disposable income for most
working Americans. The housing market was strong, and consumer spending
continued to rise. Better yet, business spending began to recover after a long
period of stagnation. Corporate profits staged a solid rebound, making it easier
for companies to increase outlays, especially on information technology and
electronic equipment.
However, the economic news was slightly less upbeat as the first quarter of 2004
began. Durable goods orders declined and the number of new jobs added to the
labor market in January and February fell short of expectations. And consumer
confidence slipped in March. However, a strong March jobs report suggested that
the economic recovery was on solid ground on all fronts. The period ended with
the expectation that the Federal Reserve Board would likely raise short-term
interest rates sooner rather than later in the year.
Stock and Bond Markets Moved Higher
The stock market moved sharply higher through early February as economic growth
firmed up and corporate profits rose 20% or more for the reporting period, as
reported by Thomson First Call. However, a host of worries stopped the major
indexes in their tracks in the final six weeks of the period. Investors grew
more cautious about interest rates, the threat of terrorist attacks and
corporate profit comparisons going forward.
High-Yield bonds continued to rally, then stalled along with the stock market.
Although High-Yield was the strongest performing bond sector for the period,
they gave up their lead to U.S. Treasury bonds as interest rates came down. Both
Investment-Grade corporate and government bonds earned solid but modest returns.
The municipal market was a standout among Investment-Grade sectors, but mortgage
bonds lagged as homeowners took advantage of another round of low rates and
refinanced their mortgages.
Looking Ahead
The recent bear and bull cycles serve as a reminder that markets can be
unpredictable, which underscores the importance of having an asset allocation
plan in place. If you have a plan in place, stay with it, invest regularly and
talk to your investment professional before you make a significant move outside
your plan.
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
March 31, 2004
2
- -------------
PERFORMANCE
- -------------
Discussion as of March 31, 2004
How State Street Research Emerging Growth Fund Performed
State Street Research Emerging Growth Fund returned 24.33% for the six-month
period ended March 31, 2004.1 That was higher than the returns of the Russell
2000(TM) Growth Index and the Lipper Small-Cap Growth Funds Average, which
were 18.97% and 17.02%, respectively, over the same period.2 Favorable stock
selection in a variety of sectors helped the fund outperform with a strong,
double-digit return.
Reasons for the Fund's Performance
The fund's investments in Consumer Discretionary stocks provided its highest
returns during the past six months. Increased gaming activity and positive news
on legislation drove gains for gaming stocks Alliance Gaming, Boyd Gaming and
Station Casinos. We believe that these firms are particularly well positioned
to capitalize on industry growth as states look to expand gaming availability
and gaming capabilities are enhanced. All three were among the fund's top
performers.
The fund's technology selections also yielded positive results, especially
electronic and semiconductor stocks Aeroflex, Integrated Silicon Solution and
Silicon Storage Technology. In the Producer Durables sector, ESCO Technologies,
Lam Research, Brooks Automation and SpectraLink detracted from relative returns
during the six-month period.
During the period we added to our positions in Materials & Processing, Energy
and Technology stocks, which accounted for their higher weights in the
portfolio as the period ended. We also reduced the fund's exposure to Autos &
Transportation and Consumer Discretionary stocks.
Looking Ahead
Even though small-cap stocks performed strongly over the past year, we continue
to find ample opportunities across sectors. We believe that stock selection
will remain the key to generating excess returns for the fund.
A Word about Risk
The major risks of stock investing include sudden and unpredictable drops in
value and periods of lackluster performance. Emerging growth stocks of any size
company often have an above-average sensitivity to market fluctuations as their
market prices tend to reflect future expectations. Small-company stocks may be
particularly sensitive, because they may be thinly traded. The fund may
underperform other stock funds during periods when small-cap stocks or emerging
growth stocks are out of favor.
Top 10 Holdings
- --------------------------------------------------------------------------------
Issuer/Security % of Fund Net Assets
1 Alliance Gaming 3.7%
----------------------------------------------------
2 Career Education 2.6%
----------------------------------------------------
3 Corinthian Colleges 2.5%
----------------------------------------------------
4 Sylvan Learning Systems 2.1%
----------------------------------------------------
5 Lam Research 1.8%
----------------------------------------------------
6 Integrated Silicon Solution 1.8%
----------------------------------------------------
7 ESCO Technologies 1.7%
----------------------------------------------------
8 Aeroflex 1.7%
----------------------------------------------------
9 Ask Jeeves 1.6%
----------------------------------------------------
10 United Surgical Partners International 1.6%
----------------------------------------------------
Total 21.1%
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 3/31/04(3,5,6,7)
(does not reflect sales charge)
1 Year 5 Years 10 Years
Class A 68.73% 11.27% 10.30%
- ---------------------------------------------------
Class B(1) 67.64% 10.51% 9.55%
- ---------------------------------------------------
Class B 67.68% 10.57% 9.56%
- ---------------------------------------------------
Class C 67.60% 10.56% 9.56%
- ---------------------------------------------------
Class R 68.26% 11.21% 10.27%
- ---------------------------------------------------
Class S 69.14% 11.60% 10.62%
- ---------------------------------------------------
Fund average annual total return as of 3/31/04(3,4,5,6,7)
(at maximum applicable sales charge)
1 Year 5 Years 10 Years
Class A 59.03% 9.96% 9.65%
- ---------------------------------------------------
Class B(1) 62.64% 10.24% 9.55%
- ---------------------------------------------------
Class B 62.68% 10.30% 9.56%
- ---------------------------------------------------
Class C 66.60% 10.56% 9.56%
- ---------------------------------------------------
Class R 68.26% 11.21% 10.27%
- ---------------------------------------------------
Class S 69.14% 11.60% 10.62%
- ---------------------------------------------------
(1) Class A shares; does not reflect sales charge.
(2) The Russell 2000 Growth Index contains those stocks within the complete
Russell 2000(TM) Index (a small-company index) that show above-average
growth. The index is unmanaged and does not take transaction charges into
consideration. It is not possible to invest directly in the index. The
Lipper Small-Cap Growth 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.
(3) Keep in mind that the performance data quoted represents past performance
and is no guarantee of future results. Current performance may be lower or
higher than the performance data quoted herein. For the most recent
month-end performance results, visit our website at www.ssrfunds.com. 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.
(4) Performance reflects a maximum 5.75% Class A share front-end sales charge,
or a 5% Class B or Class B(1), or 1% Class C share contingent deferred
sales charge, where applicable.
(5) Performance for Class B(1) shares reflects Class B share performance
through December 31, 1998, and Class B(1) share performance thereafter.
Performance for Class R shares reflects Class A share performance through
April 2, 2003, and Class R share performance thereafter. If the returns for
Class B(1) and Class R shares had reflected their current
service/distribution (Rule 12b-1) fees for the entire period, these returns
would have been lower.
(6) Class R and Class S shares, offered without sales charge, are available
through certain employee benefit plans and special programs.
(7) Performance results for the fund are increased by the voluntary reduction
of fund fees and expenses; without subsidization, performance would have
been lower.
State Street Research Emerging Growth Fund 3
- -----------
PORTFOLIO
- -----------
Holdings
March 31, 2004 (unaudited)
Issuer Shares Value
- ----------------------------------------------------------------------------------------------------------------
Common Stocks 97.9%
Consumer Discretionary 27.5%
Casinos/Gambling, Hotel/Motel 6.6%
Boyd Gaming Corp. ........................................................ 195,000 $ 4,463,550
Mandalay Resort Group Inc. ............................................... 77,800 4,454,828
Pinnacle Entertainment Inc.* ............................................. 322,400 4,449,120
Shuffle Master Inc.* ..................................................... 102,700 4,774,523
Station Casinos Inc. ..................................................... 111,700 4,933,789
WMS Industries Inc.* ..................................................... 74,224 2,300,944
-------------
25,376,754
-------------
Commercial Services 3.3%
Ask Jeeves Inc.* ......................................................... 175,400 6,267,042
Autobytel.com Inc.* ...................................................... 148,942 1,966,034
Kroll Inc.* .............................................................. 75,200 2,019,120
Orbitz Inc.* ............................................................. 105,700 2,516,717
-------------
12,768,913
-------------
Communications, Media & Entertainment 4.2%
Alliance Gaming Corp.* ................................................... 445,605 14,317,289
Entravision Communications Corp.* ........................................ 219,300 1,967,121
-------------
16,284,410
-------------
Consumer Electronics 1.0%
Harman International Inc. ................................................ 47,900 3,812,840
-------------
Consumer Services 8.1%
Career Education Corp.* .................................................. 179,000 10,138,560
Corinthian Colleges Inc.* ................................................ 292,800 9,679,968
SkillSoft plc ADR* ....................................................... 263,800 3,403,020
Sylvan Learning Systems Inc.* ............................................ 226,400 7,948,904
-------------
31,170,452
-------------
Household Furnishings 0.6%
Kirklands Inc.* .......................................................... 141,165 2,305,225
-------------
Leisure Time 0.5%
West Marine Inc.* ........................................................ 59,800 1,904,630
-------------
Restaurants 1.7%
Krispy Kreme Doughnuts Inc.* ............................................. 78,400 2,692,256
PF Chang's China Bistro Inc.* ............................................ 81,600 4,105,296
-------------
6,797,552
-------------
Retail 1.5%
Linens 'n Things Inc.* ................................................... 73,100 2,588,471
Pier 1 Imports Inc. ...................................................... 136,600 3,237,420
-------------
5,825,891
-------------
Total Consumer Discretionary ................................................................... 106,246,667
-------------
Financial Services 11.5%
Banks & Savings & Loan 5.3%
East West Bancorp Inc. ................................................... 68,800 3,852,800
Greater Bay Bancorp ...................................................... 95,600 2,796,300
New York Community Bancorp Inc. .......................................... 147,333 5,050,575
South Financial Group Inc.* .............................................. 113,700 3,364,383
Southwest Bancorp of Texas Inc. .......................................... 62,800 2,369,444
Texas Capital Bancshares Inc.* ........................................... 197,800 3,208,316
-------------
20,641,818
-------------
Issuer Shares Value
- ----------------------------------------------------------------------------------------------------------------
Insurance 0.7%
Bristol West Holdings Inc.* .............................................. 137,900 $ 2,813,160
-------------
Miscellaneous Financial 2.2%
CapitalSource Inc.* ...................................................... 208,100 4,671,845
Nelnet Inc. .............................................................. 148,900 3,782,060
-------------
8,453,905
-------------
Securities Brokerage & Services 3.3%
Affiliated Managers Group Inc.* .......................................... 43,000 2,346,940
Jeffries Group Inc. ...................................................... 157,700 5,571,541
Knight Trading Group Inc.* ............................................... 367,400 4,651,284
-------------
12,569,765
-------------
Total Financial Services .................................................................. 44,478,648
-------------
Health Care 16.8%
Drugs & Biotechnology 8.1%
Alexion Pharmaceuticals Inc.* ............................................ 119,100 2,829,816
Alkermes Inc.* ........................................................... 295,300 4,721,847
Dyax Corp.* .............................................................. 278,900 2,869,881
Eon Labs Inc.* ........................................................... 35,300 2,367,924
Eyetech Pharmaceuticals Inc.* ............................................ 80,100 2,659,320
Hi-Tech Pharmacal Company Inc.* .......................................... 109,700 2,144,635
Medicines Co.* ........................................................... 135,800 4,374,118
MGI PHARMA Inc.* ......................................................... 60,300 3,693,978
Nektar Therapeutics Systems Inc.* ........................................ 250,400 5,403,632
-------------
31,065,151
-------------
Health Care Facilities 2.3%
Psychiatric Solutions Inc.* .............................................. 147,500 2,765,625
United Surgical Partners International Inc.*.............................. 184,300 6,255,142
-------------
9,020,767
-------------
Health Care Services 4.2%
Amedisys Inc.* ........................................................... 98,800 2,427,516
AMERIGROUP Corp.* ........................................................ 91,700 4,190,690
Cerner Corp.* ............................................................ 123,800 5,594,522
Inveresk Research Group Inc.* ............................................ 63,500 1,701,800
Molina Healthcare Inc.* .................................................. 81,941 2,402,510
-------------
16,317,038
-------------
Hospital Supply 2.2%
Respironics Inc.* ........................................................ 91,200 4,926,624
Zoll Medical Corp.* ...................................................... 89,400 3,574,212
-------------
8,500,836
-------------
Total Health Care .......................................................................... 64,903,792
-------------
Materials & Processing 1.8%
Building & Construction 1.1%
Trex Company Inc.* ....................................................... 128,600 4,386,546
-------------
Miscellaneous Materials & Processing 0.7%
Maverick Tube Corp.* ..................................................... 110,700 2,606,985
-------------
Total Materials & Processing ............................................................... 6,993,531
-------------
Other Energy 4.2%
Miscellaneous Energy 0.9%
Arch Coal Inc. ........................................................... 118,000 3,704,020
-------------
Oil & Gas Producers 0.5%
Newfield Exploration Co.* ................................................ 40,100 1,921,993
-------------
Oil Well Equipment & Services 2.8%
Cal Dive International Inc.* ............................................. 116,600 3,011,778
Grant Prideco Inc.* ...................................................... 123,900 1,920,450
NewPark Resources Inc.* .................................................. 434,000 2,256,800
Patterson-UTI Energy Inc.* ............................................... 36,200 1,281,842
W-H Energy Services Inc.* ................................................ 160,100 2,316,647
-------------
10,787,517
-------------
Total Other Energy ......................................................................... 16,413,530
-------------
4 The notes are an integral part of the financial statements.
Issuer Shares Value
- ---------------------------------------------------------------------------------------------------------
Producer Durables 14.6%
Electrical Equipment & Components 1.6%
MKS Instruments Inc.* .................................................... 248,500 $ 5,966,485
------------
Industrial Products 3.2%
Asyst Technologies Inc.* ................................................. 436,900 3,595,687
C&D Technologies Inc. .................................................... 121,100 2,023,581
ESCO Technologies Inc.* .................................................. 145,200 6,696,624
------------
12,315,892
------------
Machinery 1.2%
Helix Technology Corp. ................................................... 195,800 4,748,150
------------
Production Technology Equipment 6.1%
August Technology Corp.* ................................................. 180,580 2,708,700
Brooks Automation Inc.* .................................................. 223,600 4,691,128
Kulicke & Soffa Industries, Inc.* ........................................ 312,000 3,656,640
Lam Research Corp.* ...................................................... 282,500 7,121,825
Varian Semiconductor Equipment Inc.* ..................................... 132,100 5,548,200
------------
23,726,493
------------
Telecommunications Equipment 2.5%
American Tower Corp. Cl. A* .............................................. 379,200 4,303,920
Polycom Inc.* ............................................................ 135,800 2,883,034
SpectraLink Corp.* ....................................................... 139,200 2,370,576
------------
9,557,530
------------
Total Producer Durables .................................................................. 56,314,550
------------
Technology 20.9%
Communications Technology 5.0%
Anaren Microwave Inc.* ................................................... 326,900 5,158,482
Avocent Corp.* ........................................................... 138,400 5,091,736
Carrier Access Corp.* .................................................... 283,300 3,456,260
REMEC Inc.* .............................................................. 410,800 3,122,080
Secure Computing Corp.* .................................................. 144,000 2,354,400
------------
19,182,958
------------
Computer Software 4.4%
eCollege Inc.* ........................................................... 200,000 4,176,000
Embarcadero Technologies Inc.* ........................................... 180,600 2,318,904
Epicor Software Corp.* ................................................... 196,000 2,600,920
Loudeye Corp.*++@ ........................................................ 709,800 1,130,002
Loudeye Technologies Inc. ................................................ 175,200 322,368
Opsware Inc.* ............................................................ 404,200 3,055,752
Quest Software Inc.* ..................................................... 219,800 3,593,730
------------
17,197,676
------------
Computer Technology 1.0%
Mobility Electronics Inc.* ............................................... 449,500 4,090,000
------------
Electronics 2.8%
Aeroflex Inc.* ........................................................... 490,700 6,604,822
Kemet Corp.* ............................................................. 286,600 4,109,844
------------
10,714,666
------------
Electronics: Semiconductors/Components 7.7%
Cypress Semiconductor Corp.* ............................................. 291,800 5,973,146
Integrated Silicon Solution Inc.* ........................................ 399,200 7,081,808
International Rectifier Corp.* ........................................... 127,900 5,882,121
ON Semiconductor Corp.* .................................................. 767,800 5,789,212
Sigmatel Inc.* ........................................................... 140,200 3,147,490
Silicon Storage Technology Inc.* ......................................... 148,700 1,924,178
------------
29,797,955
------------
Total Technology ......................................................................... 80,983,255
------------
Issuer Shares Value
- ---------------------------------------------------------------------------------------------------------
Utilities 0.6%
Telecommunications 0.6%
Western Wireless Corp.* .................................................. 94,500 $ 2,208,465
------------
Total Utilities ........................................................................ 2,208,465
------------
Total Common Stocks (Cost $342,176,830) ................................................ 378,542,438
------------
Short-Term Investments 18.8%
State Street Navigator Securities Lending
Prime Portfolio ........................................................ 72,578,242 72,578,242
------------
Total Short-Term Investments (Cost $72,578,242)......................................... 72,578,242
------------
Principal
Amount
- ---------------------------------------------------------------------------------------------------------
Commercial Paper 9.0%
American Express Credit
Corp., 0.97% .............................................. 4/01/2004 $16,028,000 16,028,000
Morgan Stanley Dean Witter
& Co., 1.05% .............................................. 4/01/2004 18,893,000 18,893,000
----------
Total Commercial Paper (Cost $34,921,000) ................... 34,921,000
----------
% of
Net Assets
- ---------------------------------------------------------------------------------------------------------
Summary of Portfolio Assets
Investments (Cost $449,676,072) ........................................... 125.7% 486,041,680
Cash and Other Assets, Less Liabilities ................................... (25.7% (99,491,371)
----- ------------
Net Assets ................................................................ 100.0% $386,550,309
===== ============
KEY TO SYMBOLS
* Denotes a security which has not paid a dividend during the last year.
@ Security valued under consistently applied procedures established by the
Trustees.
++ Security restricted as to public resale. As of the report date, the fund
had 0.29% of net assets in restricted securities.
Federal Income Tax Information
At March 31, 2004, the net unrealized appreciation of
investments based on cost for federal income tax purposes
of $449,816,793 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $ 44,471,834
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (8,246,947)
------------
$ 36,224,887
============
The notes are an integral part of the financial statements.
State Street Research Emerging Growth Fund 5
- -----------
FINANCIAL
- -----------
Statements
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
March 31, 2004 (unaudited)
Assets
Investments, at value (cost $449,676,072) (Note 1) ........... $486,041,680
Cash ......................................................... 1,753,411
Receivable for securities sold ............................... 22,876,653
Receivable for fund shares sold .............................. 4,484,656
Receivable from distributor .................................. 208,268
Other assets ................................................. 67,585
------------
515,432,253
------------
Liabilities
Payable for collateral received on securities loaned ......... 72,578,242
Payable for securities purchased ............................. 55,339,929
Payable for fund shares redeemed ............................. 420,868
Accrued management fee ....................................... 229,437
Accrued distribution and service fees ........................ 127,123
Accrued transfer agent and shareholder services .............. 67,770
Accrued administration fee ................................... 8,151
Accrued trustees' fees ....................................... 5,910
Other accrued expenses ....................................... 104,514
------------
128,881,944
------------
Net Assets ................................................... $386,550,309
============
Net Assets consist of:
Unrealized appreciation of investments ..................... $ 36,365,608
Accumulated net realized gain .............................. 24,631,806
Paid-in capital ............................................ 325,552,895
------------
$386,550,309
============
Net Asset Value (NAV) of Each Share Class
Except where noted, the NAV is the offering and the redemption price for each
class.
Class Net Assets [divided by] Number of Shares = NAV
A $249,807,577 17,269,490 $14.47*
B(1) $ 29,402,111 2,233,719 $13.16**
B $ 23,337,134 1,770,092 $13.18**
C $ 28,311,277 2,146,178 $13.19**
R $ 1,869,519 129,595 $14.43
S $ 53,822,691 3,568,680 $15.08
* Maximum offering price per share = $15.35 ($14.47 [divided by] 0.9425)
** When you sell Class B(1), Class B or Class C shares, you receive the net
asset value minus deferred sales charge, if any.
Statement of Operations
- --------------------------------------------------------------------------------
For the six months ended March 31, 2004 (unaudited)
Investment Income
Interest ..................................................... $ 100,272
Dividends (Note 1) ........................................... 277,004
-----------
377,276
-----------
Expenses
Management fee (Note 2) ...................................... 991,974
Transfer agent and shareholder services (Note 2) ............. 394,861
Distribution and service fees - Class A (Note 5) ............. 271,238
Distribution and service fees - Class B(1) (Note 5) .......... 125,841
Distribution and service fees - Class B (Note 5) ............. 108,458
Distribution and service fees - Class C (Note 5) ............. 104,218
Distribution and service fees - Class R (Note 5) ............. 1,629
Custodian fee ................................................ 212,210
Administration fee (Note 2) .................................. 48,414
Registration fees ............................................ 26,208
Trustees' fees (Note 2) ...................................... 19,004
Audit fee .................................................... 14,490
Reports to shareholders ...................................... 5,074
Miscellaneous ................................................ 3,104
-----------
2,326,723
Expenses borne by the distributor (Note 3) ................... (260,023)
Fees paid indirectly (Note 2) ................................ (14,947)
-----------
2,051,753
-----------
Net investment loss .......................................... (1,674,477)
-----------
Realized and Unrealized Gain
on Investments
Net increase from payment by affiliate (Note 2) .............. 200,956
Net realized gain on investments (Notes 1 and 4) ............. 43,576,222
Change in unrealized appreciation of investments ............. 10,365,101
-----------
Net gain on investments ...................................... 54,142,279
-----------
Net increase in net assets resulting from operations ......... $52,467,802
===========
6 The notes are an integral part of the financial statements.
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Six months ended
March 31, 2004 Year ended
(unaudited) September 30, 2003
----------------- -------------------
Increase (Decrease) In Net Assets
Operations:
Net investment loss ............... $ (1,674,477) $ (1,529,802)
Net increase from payment
by affiliate .................... 200,956 --
Net realized gain on investments... 43,576,222 2,300,598
Change in unrealized
appreciation of investments ..... 10,365,101 31,784,757
------------ ------------
Net increase resulting from
operations ...................... 52,467,802 32,555,553
------------ ------------
Net increase from fund share
transactions (Note 6) ........... 153,624,472 58,870,609
------------ ------------
Total increase in net assets ...... 206,092,274 91,426,162
Net Assets
Beginning of period ............... 180,458,035 89,031,873
------------ ------------
End of period ..................... $386,550,309 $180,458,035
============ ============
Notes to Unaudited Financial Statements
- --------------------------------------------------------------------------------
March 31, 2004
Note 1
State Street Research Emerging Growth Fund is a series of State Street Research
Capital 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 investment objective of the fund is to provide growth of capital. In
seeking to achieve its investment objective, the fund invests at least 65% of
its total assets in emerging companies, with an emphasis on small-cap
companies.
The fund offers six classes of shares. Class A shares are subject to an initial
sales charge of up to 5.75% and pay annual service and distribution fees equal
to 0.30% of average daily net assets. Class B(1) shares pay annual service and
distribution fees of 1.00% and automatically convert into Class A shares (which
pay lower ongoing expenses) at the end of eight years. Class B(1) and Class B
shares are subject to a contingent deferred sales charge on certain redemptions
made within six years of purchase and five years of purchase, respectively.
Class B shares are offered only to current shareholders through reinvestment of
dividends and distributions or through exchanges from existing Class B accounts
of State Street Research funds. From April 1, 2003 to March 18, 2004, Class B
shares paid annual service and distribution fees of 1.00%. Effective March 19,
2004, the annual service and distribution fees paid by Class B shares were
voluntarily reduced to 0.00%. Class B shares automatically convert into Class A
shares at the end of eight years. Class C shares are subject to a contingent
deferred sales charge of 1.00% on any shares redeemed within one year of their
purchase. Class C shares also pay annual service and distribution fees equal to
1.00%. Class R shares are offered to retirement plans participating in certain
platforms sponsored by broker-dealers, which may involve multiple fund
families. Class R shares pay annual service and distribution fees of 0.50%.
Class S shares are only offered through certain retirement accounts, advisory
accounts of State Street Research & Management Company (the "Adviser"), an
investment management subsidiary of MetLife, Inc. ("MetLife"), and special
programs. No sales charge is imposed at the time of purchase or redemption of
Class S shares. Class S shares do not pay any service or distribution fees. The
fund's expenses are borne prorata by each class, except that each class bears
expenses, and has exclusive voting rights with respect to provisions of the
plans of distribution, related specifically to that class. The Trustees declare
separate dividends on each class of shares.
The following significant accounting policies are consistently followed by the
fund in preparing its financial statements, and such policies are in conformity
with accounting principles generally accepted in the United States of America.
A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Short-term securities maturing within sixty days are valued
at amortized cost. Other securities, if any, are valued at their fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Trustees. If trading or events occurring in
other markets after the close of the principal market in which foreign
securities are traded, and before the close of business of the fund, are
expected to materially affect the value of these securities, then they are
valued at their fair value taking this trading or these events into account.
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
C. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of the
fund. Interest income is accrued daily as earned. Dividend income is accrued on
the ex-dividend date. The fund is charged for expenses directly attributable to
it, while indirect expenses are allocated among all funds in the Trust.
The notes are an integral part of the financial statements.
State Street Research Emerging Growth Fund 7
Notes (continued)
- --------------------------------------------------------------------------------
D. Dividends
Dividends from net investment income, if any, are declared and paid or
reinvested annually. Net realized capital gains, if any, are distributed
annually, unless additional distributions are required for compliance with
applicable tax regulations.
Income dividends and capital gains distributions are determined in accordance
with federal income tax regulations which may differ from accounting principles
generally accepted in the United States of America. The difference is primarily
due to differing treatments for foreign currency transactions and wash sale
deferrals.
E. Federal Income Taxes
No provision for federal income taxes is necessary because the fund has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods.
At September 30, 2003, the fund had a capital loss carryforward of $16,878,454
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $3,427,141, $13,297,422, and $153,891 expire on
September 30, 2009, 2010, and 2011, respectively.
In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the fund is required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the fund is
permitted to defer into its next fiscal year any net capital losses incurred
between each November 1 and the end of its fiscal year. From November 1, 2002,
through September 30, 2003, the fund incurred net capital losses of $1,297,187
and has deferred and treated such losses as arising in the fiscal year ended
September 30, 2004.
F. Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from these
estimates.
G. Securities Lending
The fund may seek additional income by lending portfolio securities to
qualified institutions. The fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the fund will bear the
loss. At March 31, 2004, the value of the securities loaned and the value of
collateral were $69,524,516 and $72,578,242 (consisting entirely of cash
collateral invested in State Street Navigator Securities Lending Prime
Portfolio), respectively. During the six months ended March 31, 2004, income
from securities lending amounted to $38,295 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 0.75% of fund net assets. In
consideration of these fees, the Adviser furnishes the fund with management,
investment advisory, statistical and research facilities and services. The
Adviser also pays all salaries, rent and certain other expenses of management.
During the six months ended March 31, 2004, the fees pursuant to such agreement
amounted to $991,974.
State Street Research Service Center, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), provides certain shareholder services to the fund such as
responding to inquiries and instructions from investors with respect to the
purchase and redemption of shares of the fund. In addition, MetLife receives a
fee for maintenance of the accounts of certain shareholders who are
participants in sponsored arrangements, such as employee benefit plans,
through or under which shares of the fund may be purchased. Total shareholder
service costs are allocated to each fund in the same ratios as the transfer
agent costs. During the six months ended March 31, 2004, the amount of such
expenses allocated to the fund was $224,597.
The fund has entered into an arrangement with its transfer agent whereby
credits realized as a result of uninvested cash balances were used to reduce a
portion of the fund's expenses. During the six months ended March 31, 2004, the
fund's transfer agent fees were reduced by $14,947 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$19,004 during the six months ended March 31, 2004.
The fund has agreed to pay the Adviser for certain administrative costs
incurred in providing other assistance and services to the fund. The fee was
based on a fixed amount that has been allocated equally among State Street
Research funds. During the six months ended March 31, 2004, the amount of such
expenses was $48,414.
On February 19, 2004, the Distributor entered into an agreement with the NASD
resolving all outstanding issues relating to an investigation by the NASD of
the Distributor's e-mail retention practices and supervision of trading
activity in shares of the State Street Research funds. The Distributor, without
admitting or denying the allegations or the findings set forth in the
agreement, and solely for the purpose of the settlement, agreed to the entry of
certain findings by the NASD relating to the Distributor's compliance with
document retention requirements and the Distributor's supervision of and
enforcement of shareholder exchange limitations set forth in the funds'
prospectuses. The agreement contains no allegations or findings of fraudulent
conduct by the Distributor. As part of this agreement, the Distributor made a
payment to the fund to compensate the fund for losses relating to the exchange
of fund shares beyond the annual limit set forth in the fund's prospectus. The
payment was allocated among the fund's share classes as follows: $143,922 to
Class A; $17,116 to Class B(1); $13,661 to Class B; $16,147 to Class C; and
$10,110 to Class S . These amounts are shown in the total amount of $200,956 as
"Net increase from payment by affiliate" in the Statement of Operations.
Note 3
The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees or expenses relating to the fund.
During the six months ended March 31, 2004, the amount of such expenses assumed
by the Distributor and its affiliates was $260,023.
Note 4
For the six months ended March 31, 2004, purchases and sales of securities,
exclusive of short-term obligations, aggregated $376,692,865, and $228,841,701,
respectively.
Note 5
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940. Under the plans, the fund pays annual service
fees to the Distributor at a rate of 0.25% of average daily net assets for
Class A, Class B(1), Class C and Class R shares. In addition, the fund pays
annual distribution fees of 0.05% of average daily net assets for Class A
shares, 0.75% of average daily net assets for Class B(1) and Class C shares,
and 0.25% of average daily net assets for Class R shares. The Distributor uses
such payments for personal services and/or the maintenance of shareholder
accounts, to reimburse securities dealers for distribution and marketing
services, to furnish ongoing assistance to investors and to defray a portion of
its distribution and marketing expenses. For the six months ended March 31,
2004, fees pursuant to such plans amounted to $271,238, $125,841, $108,458,
$104,218 and $1,629 for Class A, Class B(1), Class B, Class C and Class R
shares, respectively. For Class A, Class B and Class C shares, the payments are
intended to reimburse the distributor for expenditures incurred under the plan,
and any unused payments are returnable to the fund. As of March 31, 2004, there
were $1,884,405 and $1,388,834 for Class A and Class C, respectively, of
unreimbursed distribution and shareholder servicing related expenses to be
carried forward to future plan years. For Class B(1) and Class R shares, the
payments compensate the distributor for services and expenditures incurred
under the plan, and none of the payments are returnable to the fund.
8
The fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of MetLife, earned initial sales charges aggregating
$199,330 and $285,383, respectively, on sales of Class A shares of the fund
during the six months ended March 31, 2004, and that MetLife Securities, Inc.
earned commissions aggregating $373,672 and $1,943 on sales of Class B(1) and
Class C shares, and the Distributor collected contingent deferred sales charges
aggregating $29,583, $152 and $2,134 on redemptions of Class B(1), Class B and
Class C shares, respectively, during the same period.
Note 6
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest at $0.001 per value per share. At March 31, 2004, the
Adviser held 11,338 Class R shares.
These transactions break down by share class as follows:
Six months ended
March 31, 2004 Year ended
(unaudited) September 30, 2003
-----------------------------------------------------------
Class A Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------
Shares sold 9,366,838 $127,298,020 12,559,523 $126,927,170
Shares redeemed (2,209,742) (29,759,697) (7,197,443) (69,515,792)
---------- ------------ ---------- ------------
Net increase 7,157,096 $ 97,538,323 5,362,080 $ 57,411,378
========== ============ ========== ============
Class B(1) Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------
Shares sold 564,518 $ 6,959,664 683,689 $ 6,402,427
Shares redeemed (195,760) (2,429,856) (473,546) (4,009,539)
---------- ------------ -------- ------------
Net increase 368,758 $ 4,529,808 210,143 $ 2,392,888
========== ============ ======== ============
Class B Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------
Shares sold 33,617 $ 411,485 93,323 $ 904,460
Shares redeemed (297,565) (3,696,964) (848,937) (7,249,730)
---------- ------------ -------- ------------
Net decrease (263,948) $ (3,285,479) (755,614) $ (6,345,270)
========== ============ ======== ============
Class C Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------
Shares sold 1,004,670 $ 12,398,108 761,479 $ 7,223,469
Shares redeemed (130,399) (1,605,912) (209,540) (1,831,112)
---------- ------------ -------- ------------
Net increase 874,271 $ 10,792,196 551,939 $ 5,392,357
========== ============ ======== ============
Class R Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------
Shares sold 130,603 $ 1,806,738 11,346 $ 100,075
Shares redeemed (12,354) (170,278) -- --
---------- ------------ -------- ------------
Net increase 118,249 $ 1,636,460 11,346 $ 100,075
========== ============ ======== ============
Class S Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------
Shares sold 3,060,353 $ 44,371,953 497,551 $ 5,435,719
Shares redeemed (136,752) (1,958,789) (520,322) (5,516,538)
---------- ------------ -------- ------------
Net increase (decrease) 2,923,601 $ 42,413,164 (22,771) $ (80,819)
========== ============ ======== ============
State Street Research Emerging Growth Fund 9
- ------------
FINANCIAL
- ------------
Highlights
These provide a summary of each share class's financial performance for the
past five fiscal years.
Class A
----------------------------------------------
Six months ended Years ended September 30
March 31, 2004 ------------------------
Per-Share Data (unaudited)(a) 2003(a)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.63 8.73
------- --------
Net investment loss ($)* (0.07) (0.11)
Net realized and unrealized gain (loss) on investments ($) 2.91 3.01
------- --------
Total from investment operations ($) 2.84 2.90
------- --------
Distributions from capital gains ($) -- --
------- --------
Total distributions ($) -- --
------- --------
Net asset value, end of period ($) 14.47 11.63
======= ========
Total return (%)(b) 24.33 (d) 33.22
Ratios/Supplemental Data:
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 249,808 117,571
Expense ratio (%)* 1.41 (e) 1.40
Expense ratio after expense reductions (%)* 1.40 (e) 1.40
Ratio of net investment loss to average net assets (%)* (0.55)(e) (1.10)
Portfolio turnover rate (%) 88.25 166.71
*Reflects voluntary reduction of expenses of these amounts (%) 0.19 (e) 0.38
Class A
-------------------------------------------------
Years ended September 30
-------------------------------------------------
Per-Share Data 2002(a)(g) 2001(a)(g) 2000(a)(g) 1999(a)(g)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 9.27 16.08 11.01 8.86
------ ------ ------ -----
Net investment loss ($)* (0.09) (0.08) (0.14) (0.08)
Net realized and unrealized gain (loss) on investments ($) (0.45) (4.45) 5.21 2.60
------ ------ ------ -----
Total from investment operations ($) (0.54) (4.53) 5.07 2.52
------ ------ ------ -----
Distributions from capital gains ($) -- (2.28) -- (0.37)
------ ------ ------ -----
Total distributions ($) -- (2.28) -- (0.37)
------ ------ ------ -----
Net asset value, end of period ($) 8.73 9.27 16.08 11.01
====== ====== ====== ======
Total return (%)(b) (5.93) (30.22) 46.05 29.10
Ratios/Supplemental Data:
- --------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 41,474 39,522 53,600 31,384
Expense ratio (%)* 1.42 1.44 1.38 1.37
Expense ratio after expense reductions (%)* 1.40 1.40 1.37 1.35
Ratio of net investment loss to average net assets (%)* (0.90) (0.69) (0.90) (0.75)
Portfolio turnover rate (%) 167.69 281.64 218.99 93.38
*Reflects voluntary reduction of expenses of these amounts (%) 0.56 0.63 0.22 0.50
Class B(1)
-----------------------------------------
Six months ended Years ended September 30
March 31, 2004 ------------------------
Per-Share Data (unaudited)(a) 2003(a) 2002(a)(g)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 10.62 8.03 8.60
------ ------ ------
Net investment loss ($)* (0.11) (0.16) (0.15)
Net realized and unrealized gain (loss) on investments ($) 2.65 2.75 (0.42)
------ ------ ------
Total from investment operations ($) 2.54 2.59 (0.57)
------ ------ ------
Distributions from capital gains ($) -- -- --
------ ------ ------
Total distribution ($) -- -- --
------ ------ ------
Net asset value, end of period ($) 13.16 10.62 8.03
====== ====== ======
Total return (%)(b) 23.92 (d) 32.25 (6.63)
Ratios/Supplemental Data:
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 29,402 19,797 13,288
Expense ratio (%)* 2.11 (e) 2.10 2.12
Expense ratio after expense reductions (%)* 2.10 (e) 2.10 2.10
Ratio of net investment loss to average net assets (%)* (0.91)(e) (1.78) (1.60)
Portfolio turnover rate (%) 88.25 166.71 167.69
*Reflects voluntary reduction of expenses of these amounts (%) 0.17 (e) 0.44 0.56
Class B(1)
----------------------------------------------
Years ended September 30
----------------------------------------------
Per-Share Data 2001(a)(g) 2000(a)(g) 1999(a)(c)(g)
- ----------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 15.17 10.46 10.22
------ ------ -----
Net investment loss ($)* (0.15) (0.24) (0.12)
Net realized and unrealized gain (loss) on investments ($) (4.14) 4.95 0.36
------ ------ -----
Total from investment operations ($) (4.29) 4.71 0.24
------ ------ -----
Distributions from capital gains ($) (2.28) -- --
------ ------ -----
Total distribution ($) (2.28) -- --
------ ------ -----
Net asset value, end of period ($) 8.60 15.17 10.46
====== ====== =====
Total return (%)(b) (30.48) 45.03 2.35 (d)
Ratios/Supplemental Data:
- ----------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 12,749 16,554 3,767
Expense ratio (%)* 2.14 2.11 2.12 (e)
Expense ratio after expense reductions (%)* 2.10 2.10 2.10 (e)
Ratio of net investment loss to average net assets (%)* (1.39) (1.59) (1.59)(e)
Portfolio turnover rate (%) 281.64 218.99 93.38
*Reflects voluntary reduction of expenses of these amounts (%) 0.63 0.22 0.50 (e)
Class B
----------------------------
Six months ended Years ended September 30
March 31, 2004 ------------------------
Per-Share Data (unaudited)(a) 2003(a)
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 10.63 8.04
------ -------
Net investment loss ($)* (0.11) (0.16)
Net realized and unrealized gain (loss) on investments ($) 2.66 2.75
------ -------
Total from investment operations ($) 2.55 2.59
------ -------
Distributions from capital gains ($) -- --
------ -------
Total distributions ($) -- --
------ -------
Net asset value, end of period ($) 13.18 10.63
====== =======
Total return (%)(b) 23.99 (d) 32.21
Ratios/Supplemental Data:
- --------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 23,337 21,618
Expense ratio (%)* 2.11 (e) 2.10
Expense ratio after expense reductions (%)* 2.10 (e) 2.10
Ratio of net investment loss to average net assets (%)* (0.88)(e) (1.77)
Portfolio turnover rate (%) 88.25 166.71
*Reflects voluntary reduction of expenses of these amounts (%) 0.16 (e) 0.47
Class B
--------------------------------------------------
Years ended September 30
--------------------------------------------------
Per-Share Data 2002(a)(g) 2001(a)(g) 2000(a)(g) 1999(a)(g)
- -------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 8.60 15.16 10.46 8.48
------ ------ ------ ------
Net investment loss ($)* (0.16) (0.15) (0.24) (0.15)
Net realized and unrealized gain (loss) on investments ($) (0.40) (4.13) 4.94 2.50
------ ------ ------ ------
Total from investment operations ($) (0.56) (4.28) 4.70 2.35
------ ------ ------ ------
Distributions from capital gains ($) -- (2.28) -- (0.37)
------ ------ ------ ------
Total distributions ($) -- (2.28) -- (0.37)
------ ------ ------ ------
Net asset value, end of period ($) 8.04 8.60 15.16 10.46
====== ====== ====== ======
Total return (%)(b) (6.51) (30.42) 44.93 28.37
Ratios/Supplemental Data:
- -------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 22,422 36,531 65,496 44,377
Expense ratio (%)* 2.12 2.14 2.11 2.12
Expense ratio after expense reductions (%)* 2.10 2.10 2.10 2.10
Ratio of net investment loss to average net assets (%)* (1.61) (1.39) (1.64) (1.50)
Portfolio turnover rate (%) 167.69 281.64 218.99 93.38
*Reflects voluntary reduction of expenses of these amounts (%) 0.58 0.63 0.22 0.50
10
For a share outstanding throughout each period:
Class C
--------------------------------------------
Six months ended Years ended September 30
March 31, 2004 ------------------------
Per-Share Data (unaudited)(a) 2003(a)
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 10.64 8.05
------ ------
Net investment loss ($)* (0.11) (0.16)
Net realized and unrealized gain (loss) on investments ($) 2.66 2.75
------ ------
Total from investment operations ($) 2.55 2.59
------ ------
Distributions from capital gains ($) -- --
------ ------
Total distributions ($) -- --
------ ------
Net asset value, end of period ($) 13.19 10.64
====== ======
Total return (%)(b) 23.97 (d) 32.17
Ratios/Supplemental Data:
- --------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 28,311 13,530
Expense ratio (%)* 2.11 (e) 2.10
Expense ratio after expense reductions (%)* 2.10 (e) 2.10
Ratio of net investment loss to average net assets (%)* (0.89)(e) (1.79)
Portfolio turnover rate (%) 88.25 166.71
*Reflects voluntary reduction of expenses of these amounts (%) 0.19 (e) 0.41
Class C
--------------------------------------------------
Years ended September 30
--------------------------------------------------
Per-Share Data 2002(a)(g) 2001(a)(g) 2000(a)(g) 1999(a)(g)
- -------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 8.61 15.17 10.46 8.49
------ ------ ------ -----
Net investment loss ($)* (0.15) (0.15) (0.24) (0.15)
Net realized and unrealized gain (loss) on investments ($) (0.41) (4.13) 4.95 2.49
------ ------ ------ -----
Total from investment operations ($) (0.56) (4.28) 4.71 2.34
------ ------ ------ -----
Distributions from capital gains ($) -- (2.28) -- (0.37)
------ ------ ------ -----
Total distributions ($) -- (2.28) -- (0.37)
------ ------ ------ -----
Net asset value, end of period ($) 8.05 8.61 15.17 10.46
====== ====== ====== =====
Total return (%)(b) (6.50) (30.40) 45.03 28.21
Ratios/Supplemental Data:
- -------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 5,794 5,332 9,082 6,545
Expense ratio (%)* 2.12 2.14 2.11 2.12
Expense ratio after expense reductions (%)* 2.10 2.10 2.10 2.10
Ratio of net investment loss to average net assets (%)* (1.60) (1.39) (1.63) (1.50)
Portfolio turnover rate (%) 167.69 281.64 218.99 93.38
*Reflects voluntary reduction of expenses of these amounts (%) 0.56 0.63 0.22 0.50
Class R
----------------------------------
Six months ended Period ended
March 31, 2004 September 30,
Per-Share Data (unaudited)(a) 2003 (a)(f)
- ----------------------------------------------------------------------------------------------------
11.61 8.82
Net asset value, beginning of period ($) ----- ------
Net investment loss ($)* (0.10) (0.07)
Net realized and unrealized gain on investments ($) 2.92 2.86
----- ------
Total from investment operations ($) 2.82 2.79
----- ------
Total distributions ($) -- --
----- ------
Net asset value, end of period ($) 14.43 11.61
===== ======
Total return (%)(b) 24.20 (d) 31.63 (d)
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 1,870 132
Expense ratio (%)* 1.61 (e) 1.60 (e)
Expense ratio after expense reductions (%)* 1.60 (e) 1.60 (e)
Ratio of net investment loss to average net assets (%)* (1.48)(e) (1.34)(e)
Portfolio turnover rate (%) 88.25 166.71
*Reflects voluntary reduction of expenses of these amounts (%) 0.32 (e) 0.24 (e)
Class S
--------------------------------------------
Six months ended Years ended September 30
March 31, 2004 ------------------------
Per-Share Data (unaudited)(a) 2003(a)
- --------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 12.11 9.06
------ ------
Net investment loss ($)* (0.05) (0.08)
Net realized and unrealized gain (loss) on investments ($) 3.02 3.13
------ ------
Total from investment operations ($) 2.97 3.05
------ ------
Distributions from capital gains ($) -- --
------ ------
Total distributions ($) -- --
------ ------
Net asset value, end of period ($) 15.08 12.11
====== ======
Total return (%)(b) 24.44 (d) 33.66
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 53,823 7,809
Expense ratio (%)* 1.11 (e) 1.10
Expense ratio after expense reductions (%)* 1.10 (e) 1.10
Ratio of net investment loss to average net assets (%)* (0.42)(e) (0.78)
Portfolio turnover rate (%) 88.25 166.71
*Reflects voluntary reduction of expenses of these amounts (%) 0.44 (e) 0.45
Class S
-------------------------------------------------
Years ended September 30
-------------------------------------------------
Per-Share Data 2002(a)(g) 2001(a)(g) 2000(a)(g) 1999(a)(g)
- -------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 9.62 16.48 11.26 9.02
------ ------ ------ -----
Net investment loss ($)* (0.06) (0.04) (0.10) (0.05)
Net realized and unrealized gain (loss) on investments ($) (0.50) (4.54) 5.32 2.66
------ ------ ------ -----
Total from investment operations ($) (0.56) (4.58) 5.22 2.61
------ ------ ------ -----
Distributions from capital gains ($) -- (2.28) -- (0.37)
------ ------ ------ -----
Total distributions ($) (2.28) (2.28) (0.37) (0.37)
------ ------ ------ -----
Net asset value, end of period ($) 9.06 9.62 16.48 11.26
====== ====== ====== ======
Total return (%)(b) (5.82) 29.73 46.36 29.59
Ratios/Supplemental Data
- -------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 6,054 5,810 8,744 6,432
Expense ratio (%)* 1.12 1.14 1.11 1.12
Expense ratio after expense reductions (%)* 1.10 1.10 1.10 1.10
Ratio of net investment loss to average net assets (%)* (0.60) (0.39) (0.64) (0.51)
Portfolio turnover rate (%) 167.69 281.64 218.99 93.38
*Reflects voluntary reduction of expenses of these amounts (%) 0.57 0.63 0.22 0.50
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the distributor and its affiliates had not
voluntarliy assumed a portion of the fund's expenses.
(c) January 1, 1999 (commencement of share class) to September 30, 1999
(d) Not annualized
(e) Annualized
(f) April 3, 2003 (commencement of share class) to September 30, 2003
(g) Audited by other auditors
State Street Research Emerging Growth Fund 11
- ----------------------------
TRUSTEES AND OFFICERS
- ----------------------------
State Street Research Capital 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 19 Avaya Corporation
(58) 1999 the Board, Chief Executive
Officer and President,
PictureTel Corporation (video
conferencing systems)
- ------------------------------------------------------------------------------------------------------------------------------------
Peter S. Drotch Trustee Since Retired; formerly Partner, 19 The First Marblehead
(62) 2004 PricewaterhouseCoopers LLP Corp.
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Garban Trustee Since Retired; formerly Senior Vice 53 Metropolitan Series
(66) 1997 President for Finance and Fund, Inc.; and
Operations and Treasurer, The Metropolitan Series
Pennsylvania State University Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Susan M. Phillips Trustee Since Dean, School of Business and 19 The Kroger Co.
(59) 1998 Public Management, George
Washington University;
formerly a member of the Board
of Governors of the Federal
Reserve System; and Chairman
and Commissioner of the
Commodity Futures Trading
Commission
- ------------------------------------------------------------------------------------------------------------------------------------
Toby Rosenblatt Trustee Since President, Founders 53 A.P. Pharma, Inc.;
(65) 1995 Investments Ltd. Metropolitan Series
(investments); President, Fund, Inc.; and
Pacific Four Investments Metropolitan Series
(investments); formerly Fund II
President, The Glen Ellen
Company (private investment
firm)
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Trustee Since Jay W. Forrester Professor of 53 Metropolitan Series
Scott Morton (66) 1987 Management, Sloan School of Fund, Inc.; and
Management, Massachusetts Metropolitan Series
Institute of Technology Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Interested Trustees
Richard S. Davis(+) Trustee Since Chairman of the Board, 19 None
(58) 2000 President and Chief Executive
Officer of State Street
Research & Management Company;
formerly Senior Vice
President, Fixed Income
Investments, Metropolitan Life
Insurance Company
- ------------------------------------------------------------------------------------------------------------------------------------
Officers
Caroline Evascu Vice Since Vice President of State Street 3 None
(29) President 2003 Research & Management Company;
formerly Vice President and
senior analyst, SG Cowen Asset
Management; and research
associate, Donaldson, Lufkin &
Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Goodwin Vice Since Managing Director and Chief 18 None
(45) President 2002 Investment Officer - Equities
of State Street Research &
Management Company; formerly
Chief Investment Officer -
U.S. Growth Equities, American
Century
- ------------------------------------------------------------------------------------------------------------------------------------
Paul Haagensen Vice Since Managing Director of State 3 None
(58) President 2003 Street Research & Management
Company; formerly Senior Vice
President, State Street
Research & Management Company;
and Portfolio Manager and
senior analyst, Putnam
Investments
- ------------------------------------------------------------------------------------------------------------------------------------
Eileen M. Leary Vice Since Managing Director of State 3 None
(41) President 2002 Street Research & Management
Company; formerly Senior Vice
President and Vice President,
State Street Research &
Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Vice Since Managing Director, Chief 19 None
(49) President 2001 Financial Officer and Director
of State Street Research &
Management Company; formerly
Executive Vice President,
State Street Research &
Management Company; and Senior
Vice President, Product and
Financial Management, MetLife
Auto & Home
- ------------------------------------------------------------------------------------------------------------------------------------
Andrew Morey Vice Since Senior Vice President of State 3 None
(34) President 2003 Street Research & Management
Company; formerly Vice
President, State Street
Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------------------
Tucker Walsh Vice Since Managing Director of State 3 None
(34) President 1999 Street Research & Management
Company; formerly Vice
President and analyst, State
Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since Senior Vice President and 19 None
(47) 2001 Treasurer of State Street
Research & Management Company;
formerly Vice President and
Assistant Treasurer, 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 has served 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.
12
------------------
| PRSRT STD |
[STATE STREET RESEARCH LOGO] | U.S. POSTAGE |
One Financial Center | PAID |
Boston, MA 02111-2690 | PERMIT #6 |
| HUDSON, MA |
------------------
- -------------------------------------------------------------------------------------------------------------------------
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exchanges and account information State Street Research offers electronic
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Internet www.ssrfunds.com reports and fund prospectuses. If you elect
this option, we will send these materials to
E-mail info@ssrfunds.com you via e-mail. To learn more, visit us on
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Fax 1-617-737-9722 (request confirmation number service center representative at
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through Friday, 8am-6pm eastern time, to
Mail State Street Research Service Center learn more.
P.O. Box 8408, Boston, MA 02266-8408
- -------------------------------------------------------------------------------------------------------------------------
Investors should carefully consider the fund's investment
objective, risks, charges and expenses before investing. The
fund's prospectus contains more complete information on
these and other matters. A prospectus for Emerging Growth
Fund is available through your financial professional, by
calling toll-free 1-87-SSR-FUNDS (1-877-773-8637) or by
visiting our website at www.ssrfunds.com. Please read the [graphic]
prospectus carefully before investing. for Excellence in
Shareholder Communications
OverView
For more information on the products and services we offer, [graphic]
refer to OverView, our quarterly shareholder newsletter. for Excellence in Service
Webcasts
For a professional perspective on the markets, the economy
and timely investment topics, tune in to a State Street
Research webcast by visiting our website at
www.ssrfunds.com.
Complete Fund Listing
For a list of our funds, visit our website at
www.ssrfunds.com under Research Our Funds.
This report must be accompanied or preceded by a current prospectus. When used as sales material after June 30, 2004, this report
must be accompanied by a current Quarterly Performance Update.
"State Street Research Proxy Voting Policies and Procedures"-which
describes how we vote proxies relating to portfolio securities-is available upon request, free of charge, by calling the State
Street Research Service Center toll-free at 1-87-SSR-FUNDS (1-877-773-8637) or by accessing the U.S. Securities and Exchange
Commission website at www.sec.gov.
The DALBAR awards recognize quality shareholder service 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:(exp0505)SSR-LD EG-3633-0504
[LOGO] STATE STREET RESEARCH
Mid-Cap Growth Fund
March 31, 2004
Semiannual Report to Shareholders
Table of Contents
3 Performance Discussion
5 Portfolio Holdings
7 Financial Statements
11 Financial Highlights
13 Trustees and Officers
FROM THE CHAIRMAN
State Street Research
After putting on a spectacular show of strength in the second quarter of 2003,
the U.S. economy settled down to a slower, but nevertheless solid, pace of
growth during the six-month period from October 1, 2003, to March 31, 2004.
Gross Domestic Product (GDP), a common measure of economic growth, rose 4.1% in
the fourth quarter of 2003 and 4.2% for the first quarter of 2004. Consumer
confidence was generally strong throughout the period as a combination of
accelerated tax cuts and tax rebates fueled higher disposable income for most
working Americans. The housing market was strong, and consumer spending
continued to rise. Better yet, business spending began to recover after a long
period of stagnation. Corporate profits staged a solid rebound, making it easier
for companies to increase outlays, especially on information technology and
electronic equipment.
However, the economic news was slightly less upbeat as the first quarter of 2004
began. Durable goods orders declined and the number of new jobs added to the
labor market in January and February fell short of expectations. And consumer
confidence slipped in March. However, a strong March jobs report suggested that
the economic recovery was on solid ground on all fronts. The period ended with
the expectation that the Federal Reserve Board would likely raise short-term
interest rates sooner rather than later in the year.
Stock and Bond Markets Moved Higher
The stock market moved sharply higher through early February as economic growth
firmed up and corporate profits rose 20% or more for the reporting period, as
reported by Thomson First Call. However, a host of worries stopped the major
indexes in their tracks in the final six weeks of the period. Investors grew
more cautious about interest rates, the threat of terrorist attacks and
corporate profit comparisons going forward.
High-Yield bonds continued to rally, then stalled along with the stock market.
Although High-Yield was the strongest performing bond sector for the period,
they gave up their lead to U.S. Treasury bonds as interest rates came down. Both
Investment-Grade corporate and government bonds earned solid but modest returns.
The municipal market was a standout among Investment-Grade sectors, but mortgage
bonds lagged as homeowners took advantage of another round of low rates and
refinanced their mortgages.
Looking Ahead
The recent bear and bull cycles serve as a reminder that markets can be
unpredictable, which underscores the importance of having an asset allocation
plan in place. If you have a plan in place, stay with it, invest regularly and
talk to your investment professional before you make a significant move outside
your plan.
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
March 31, 2004
2
- -----------
PERFORMANCE
- -----------
Discussion as of March 31, 2004
How State Street Research Mid-Cap Growth Fund Performed
State Street Research Mid-Cap Growth Fund returned 15.14% for the six-month
period ended March 31, 2004.(1) That was less than the returns of the Russell
Midcap[RegTM] Growth Index and the Lipper Mid-Cap Growth Funds Average, which
returned 17.58% and 15.36%, respectively, over the same period.(2)
Reasons for the Fund's Performance
The fund benefited from a generally favorable environment for stocks. Stock
selection in the Producer Durables, Health Care and Consumer Discretionary
sectors helped the fund generate a double-digit return. Its shortfall relative
to its benchmark and peer group was the result of stock selection in
Technology; an overweight in Producer Durables stocks, which underperformed;
and an underweight in Utilities, which outperformed during the period.
Health Care holdings Caremark Rx, Forest Laboratories and Aetna were all top
performers for the fund. Caremark Rx, a leading pharmaceutical benefits
manager, gained as a result of increased earnings and revenues estimates. It
was designated as the primary prescription-benefit manager for federal
employees, and also completed the acquisition of AdvancePCS, which had been a
main competitor. Results from Consumer Discretionary stocks, which constitute
approximately 25% of the fund's assets, were mixed. Top performers included
retailer Chico's FAS and Yahoo!. Conversely, InterActiveCorp and CarMax were
the two largest detractors from relative returns. InterActiveCorp fell as
investors became concerned about the firm's plans to boost advertising to
promote its online travel business and the related impact on profitability.
Still, the firm is generating cash and we continue to believe it has the
potential to do better. In Technology, our investments in Ceridian and Mercury
Interactive detracted from returns.
Looking Ahead
In general, we continue to focus on bottom-up stock selection in an effort to
identify companies with solid business prospects. With that in mind, the fund's
exposure to Automobiles & Transportation, Materials & Processing and Producer
Durables stocks declined, although we remain overweight relative to our
benchmark in all three sectors. We added to the fund's Consumer Discretionary
holdings. And in the Energy sector, we have focused on stocks that we expect to
benefit from rising commodity prices.
A Word about Risk
The major risks of stock investing include sudden and unpredictable drops in
value and periods of lackluster performance. Growth stocks of any size company
often have an above-average sensitivity to market fluctuations as their market
prices tend to reflect future expectations. At times when it appears that these
expectations may not be met, growth stock prices typically fall. Mid-cap
companies entail greater risk and are usually more volatile than larger
companies. Growth stocks can be volatile, as they usually reinvest a high
proportion of their earnings in their own business and lack the dividends
associated with value stocks.
1 Class A shares, does not reflect sales charge.
2 The Russell Midcap Growth Index contains those stocks within the complete
Russell Midcap[RegTM] Index (800 of the smallest securities in the Russell
1000[RegTM] Index) that show above-average growth. The index is unmanaged
and does not take transaction charges into consideration. It is not
possible to invest directly in the index. The Lipper Mid-Cap Growth 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.
State Street Research Mid-Cap Growth Fund 3
- -----------
PERFORMANCE
- -----------
Discussion as of March 31, 2004 (continued)
Top 10 Holdings
- --------------------------------------------------------------------------------
Issuer/Security % of Fund Net Assets
1 Caremark Rx 2.4%
---------------------------------------------
2 International Game Technology 2.0%
---------------------------------------------
3 Biogen 1.9%
---------------------------------------------
4 EOG Resources 1.8%
---------------------------------------------
5 Cypress Semiconductor 1.7%
---------------------------------------------
6 Aetna 1.6%
---------------------------------------------
7 Alliance Gaming 1.6%
---------------------------------------------
8 InterActiveCorp 1.6%
---------------------------------------------
9 Lam Research 1.5%
---------------------------------------------
10 CDW 1.5%
---------------------------------------------
Total 17.6%
Performance
- --------------------------------------------------------------------------------
Fund average annual total return as of 3/31/04(1,3,4)
(does not reflect sales charge)
1 Year 5 Years 10 Years
Class A 45.63% -0.73% 5.21%
- ---------------------------------------------------
Class B(1) 44.63% -1.40% 4.47%
- ---------------------------------------------------
Class B 46.45% -0.97% 4.69%
- ---------------------------------------------------
Class C 44.78% -1.43% 4.46%
- ---------------------------------------------------
Class S 45.88% -0.45% 5.51%
- ---------------------------------------------------
Fund average annual total return as of 3/31/04(1,2,3,4)
(at maximum applicable sales charge)
1 Year 5 Years 10 Years
Class A 37.25% -1.90% 4.59%
- ---------------------------------------------------
Class B(1) 39.63% -1.57% 4.47%
- ---------------------------------------------------
Class B 41.45% -1.15% 4.69%
- ---------------------------------------------------
Class C 43.78% -1.43% 4.46%
- ---------------------------------------------------
Class S 45.88% -0.45% 5.51%
- ---------------------------------------------------
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.
1 Keep in mind that the performance data quoted represents past performance
and is no guarantee of future results. Current performance may be lower or
higher than the performance data quoted herein. For the most recent
month-end performance results, visit our website at www.ssrfunds.com. 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.
2 Performance reflects a maximum 5.75% Class A share front-end sales charge,
or a 5% Class B or Class B(1), or 1% Class C share contingent deferred
sales charge, where applicable.
3 Performance for Class B(1) shares reflects Class B share performance
through December 31, 1998 and Class B(1) performance thereafter. If the
returns for Class B(1) shares had reflected their current
service/distribution (Rule 12b-1) fees for the entire period, these returns
would have been lower.
4 Class S shares, offered without sales charge, are available through certain
employee benefit plans and special programs.
4
- ---------
PORTFOLIO
- ---------
Holdings
March 31, 2004 (unaudited)
Issuer Shares Value
- --------------------------------------------------------------------------------------------------------------
Common Stocks 99.1%
Automobiles & Transportation 0.7%
Air Transport 0.7%
Expeditors International of Washington Inc. ............................ 71,200 $ 2,811,688
-----------
Total Automobiles & Transportation ........................................................ 2,811,688
-----------
Consumer Discretionary 27.6%
Advertising Agencies 1.1%
Lamar Advertising Co. Cl. A* ........................................... 103,800 4,174,836
-----------
Casinos/Gambling, Hotel/Motel 2.7%
Caesar's Entertainment Inc. ............................................ 209,500 2,731,880
International Game Technology Inc. ..................................... 178,400 8,020,864
-----------
10,752,744
-----------
Commercial Services 4.3%
ChoicePoint Inc.* ...................................................... 91,166 3,467,043
Corporate Executive Board Co.* ......................................... 40,000 1,880,000
InterActiveCorp* ....................................................... 191,682 6,055,235
Manpower Inc. .......................................................... 115,700 5,380,050
-----------
16,782,328
-----------
Communications, Media & Entertainment 3.8%
Alliance Gaming Corp.* ................................................. 192,900 6,197,877
DirecTV Group Inc* ..................................................... 235,500 3,621,990
Univision Communications Inc. Cl. A* ................................... 153,000 5,050,530
-----------
14,870,397
-----------
Consumer Electronics 1.4%
Harman International Inc. .............................................. 41,200 3,279,520
Yahoo! Inc.* ........................................................... 41,300 2,006,767
-----------
5,286,287
-----------
Consumer Products 0.9%
Yankee Candle Company Inc. ............................................. 133,500 3,681,930
-----------
Consumer Services 1.1%
Career Education Corp.* ................................................ 75,900 4,298,976
-----------
Restaurants 1.0%
Starbucks Corp.* ....................................................... 106,800 4,031,700
-----------
Retail 10.5%
Bed Bath & Beyond Inc.* ................................................ 88,626 3,701,022
CarMax Inc.* ........................................................... 120,679 3,523,827
CDW Corp. .............................................................. 88,700 5,997,007
Chico's FAS Inc.* ...................................................... 115,600 5,363,840
Family Dollar Stores Inc. .............................................. 74,700 2,685,465
Linens 'n Things Inc.* ................................................. 94,300 3,339,163
MSC Industrial Direct Inc. Cl. A ....................................... 140,600 4,210,970
Staples Inc.* .......................................................... 234,548 5,955,173
Tiffany & Co. .......................................................... 58,400 2,229,128
Williams-Sonoma Inc.* .................................................. 121,500 4,155,300
-----------
41,160,895
-----------
Textile Apparel Manufacturers 0.8%
Coach Inc.* ............................................................ 74,500 3,053,755
-----------
Total Consumer Discretionary ................................................................ 108,093,848
-----------
Issuer Shares Value
- --------------------------------------------------------------------------------------------------------------
Consumer Staples 2.5%
Beverages 1.5%
Pepsi Bottling Group Inc. .............................................. 191,600 $ 5,700,100
-----------
Household Products 1.0%
Clorox Co. ............................................................. 80,500 3,937,255
-----------
Total Consumer Staples ...................................................................... 9,637,355
-----------
Financial Services 10.0%
Banks & Savings & Loan 2.0%
Investors Financial Services Co. ....................................... 139,200 5,751,744
TCF Financial Corp. .................................................... 40,300 2,058,121
-----------
7,809,865
-----------
Financial Data Processing Services & Systems 0.6%
Fair, Issac & Company Inc. ............................................. 68,550 2,473,284
-----------
Insurance 0.7%
RenaissanceRe Holdings Ltd. ............................................ 48,200 2,506,400
-----------
Miscellaneous Financial 2.5%
Dow Jones & Company Inc. ............................................... 72,500 3,473,475
Providian Financial Corp.* ............................................. 254,100 3,328,710
Willis Group Holdings Ltd. ............................................. 83,500 3,106,200
-----------
9,908,385
-----------
Securities Brokerage & Services 4.2%
Ameritrade Holding Corp.* .............................................. 337,100 5,191,340
Lehman Brothers Holdings Inc. .......................................... 67,400 5,585,438
T. Rowe Price Group Inc. ............................................... 104,200 5,609,086
-----------
16,385,864
-----------
Total Financial Services ................................................................ 39,083,798
-----------
Health Care 19.0%
Drugs & Biotechnology 11.8%
Allergan Inc. .......................................................... 43,600 3,669,376
Biogen Inc.* ........................................................... 133,165 7,403,974
Charles River Laboratories
International Co. ..................................................... 116,100 4,974,885
Chiron Corp.* .......................................................... 78,800 3,467,988
Cytyc Corp.* ........................................................... 94,100 2,093,725
Elan Corp. plc ADR* .................................................... 202,800 4,181,736
Forest Laboratories Inc.* .............................................. 53,000 3,795,860
Gilead Sciences Inc.* .................................................. 49,900 2,782,923
Invitrogen Corp.* ...................................................... 30,800 2,208,052
Medicis Pharmaceutical Corp. ........................................... 107,300 4,292,000
Millennium Pharmaceuticals Inc.* ....................................... 197,900 3,344,510
Millipore Corp.* ....................................................... 77,500 3,981,950
-----------
46,196,979
-----------
Health Care Facilities 0.9%
Health Management Associates Inc. Cl. A* ............................... 141,100 3,274,931
-----------
Health Care Services 4.9%
Aetna Inc. ............................................................. 71,500 6,414,980
Caremark Rx Inc.* ...................................................... 277,200 9,216,900
Community Health Systems Inc.* ......................................... 130,700 3,637,381
-----------
19,269,261
-----------
Hospital Supply 1.4%
Guidant Corp. .......................................................... 61,100 3,871,907
Kinetic Concepts Inc.* ................................................. 36,000 1,614,600
-----------
5,486,507
-----------
Total Health Care ......................................................................... 74,227,678
-----------
The notes are an integral part of the financial statements.
State Street Research Mid-Cap Growth Fund 5
Issuer Shares Value
- --------------------------------------------------------------------------------------------------------------
Materials & Processing 2.0%
Chemicals 1.4%
EcoLab Inc. ............................................................ 195,400 $ 5,574,762
-----------
Gold & Precious Metals 0.6%
Newmont Mining Corp. ................................................... 46,400 2,163,632
-----------
Total Materials & Processing .............................................................. 7,738,394
-----------
Other 1.1%
Multi-Sector 1.1%
iShares Trust .......................................................... 58,000 4,477,600
-----------
Total Other ............................................................................... 4,477,600
-----------
Other Energy 7.2%
Gas Pipelines 1.8%
EOG Resources Inc. ..................................................... 150,400 6,901,856
-----------
Miscellaneous Energy 1.1%
Consol Energy Inc. ..................................................... 87,600 2,347,680
Peabody Energy Corp. ................................................... 42,700 1,985,977
-----------
4,333,657
-----------
Oil & Gas Producers 1.8%
Newfield Exploration Co.* .............................................. 104,900 5,027,857
XTO Energy Inc. ........................................................ 86,125 2,173,795
-----------
7,201,652
-----------
Oil Well Equipment & Services 2.5%
BJ Services Co.* ....................................................... 61,500 2,661,105
Nabors Industries Ltd.* ................................................ 69,500 3,179,625
Patterson-UTI Energy Inc.* ............................................. 114,500 4,054,445
-----------
9,895,175
-----------
Total Other Energy ........................................................................ 28,332,340
-----------
Producer Durables 9.0%
Industrial Products 1.4%
American Power Conversion Corp. ........................................ 235,500 5,418,855
-----------
Machinery 0.9%
ASM Lithography Holdings Inc.* ......................................... 194,400 3,563,352
-----------
Miscellaneous Equipment 1.4%
Pentair Inc. ........................................................... 90,400 5,333,600
-----------
Office Furniture & Business Equipment 1.8%
Diebold Inc. ........................................................... 52,600 2,531,112
Lexmark International Group Inc. Cl. A* ................................ 50,900 4,682,800
-----------
7,213,912
-----------
Production Technology Equipment 1.5%
Lam Research Corp.* .................................................... 238,900 6,022,669
-----------
Telecommunications Equipment 2.0%
American Tower Corp. Cl. A* ............................................ 179,300 2,035,055
Andrew Corp.* .......................................................... 334,300 5,850,250
-----------
7,885,305
-----------
Total Producer Durables ................................................................... 35,437,693
-----------
Technology 20.0%
Communications Technology 1.5%
Foundry Networks Inc.* ................................................. 140,800 2,417,536
Juniper Networks Inc.* ................................................. 135,800 3,532,158
-----------
5,949,694
-----------
Computer Software 6.8%
Amdocs Ltd.* ........................................................... 152,400 4,235,196
Ceridian Corp.* ........................................................ 269,800 5,317,758
Mercury Interactive Corp.* ............................................. 125,400 5,617,920
Red Hat Inc.* .......................................................... 101,800 2,327,148
Issuer Shares Value
- --------------------------------------------------------------------------------------------------------------
Siebel Systems Inc.* ................................................... 373,200 $ 4,295,532
Symantec Corp.* ........................................................ 101,000 4,676,300
-----------
26,469,854
-----------
Computer Technology 0.7%
Sandisk Corp.* ......................................................... 102,400 2,905,088
-----------
Electronics 1.9%
Amphenol Corp. Cl. A* .................................................. 107,000 3,177,900
Vishay Intertechnology Inc.* ........................................... 191,800 4,093,012
-----------
7,270,912
-----------
Electronics: Semiconductors/Components 9.1%
ATI Technologies Inc.* ................................................. 198,600 3,237,180
Broadcom Corp. Cl. A* .................................................. 68,200 2,671,394
Cypress Semiconductor Corp.* ........................................... 322,200 6,595,434
Fairchild Semiconductor International Corp.*............................ 162,100 3,895,263
Jabil Circuit Inc.* .................................................... 136,400 4,014,252
Linear Technology Corp. ................................................ 72,700 2,691,354
National Semiconductor Corp.* .......................................... 106,800 4,745,124
PerkinElmer Inc. ....................................................... 237,500 4,913,875
PMC Sierra Inc.* ....................................................... 174,800 2,966,356
-----------
35,730,232
-----------
Total Technology .......................................................................... 78,325,780
-----------
Total Common Stocks (Cost $313,548,243).................................................... 388,166,174
-----------
Short-Term Investments 13.7%
State Street Navigator Securities Lending
Prime Portfolio ....................................................... 53,712,323 53,712,323
-----------
Total Short-Term Investments (Cost $53,712,323) ........................................... 53,712,323
-----------
Maturity Principal
Date Amount
----------- -------------
Commercial Paper 1.1%
Morgan Stanley Dean
Witter & Co., 1.05% ..... 4/01/2004 $4,189,000 4,189,000
-------------
Total Commercial Paper (Cost $4,189,000)............ 4,189,000
-------------
% of
Net Assets
------------
Summary of Portfolio Assets
Investments (Cost $371,449,566) .......................................... 113.9% 446,067,497
Cash and Other Assets, Less Liabilities .................................. (13.9%) (54,353,748)
----- ------------
Net Assets ............................................................... 100.0% $391,713,749
===== ============
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 March 31, 2004, the net unrealized appreciation
of investments based on cost for federal income tax
purposes of $371,641,516 was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $ 80,089,310
------------
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (5,663,329)
------------
$ 74,425,981
============
6 The notes are an integral part of the financial statements.
FINANCIAL
Statements
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
March 31, 2004 (unaudited)
Assets
Investments, at value (Cost $371,449,566) (Note 1) ........... $446,067,497
Cash ......................................................... 490
Receivable for securities sold ............................... 5,337,917
Receivable for fund shares sold .............................. 116,143
Dividends receivable ......................................... 66,519
Other assets ................................................. 77,331
------------
451,665,897
------------
Liabilities
Payable for collateral received on securities loaned ......... 53,712,323
Payable for securities purchased ............................. 4,661,022
Payable for fund shares redeemed ............................. 504,799
Accrued transfer agent and shareholder services .............. 420,019
Accrued management fee ....................................... 306,950
Accrued distribution and service fees ........................ 107,484
Accrued trustees' fees ....................................... 20,348
Accrued administration fee ................................... 6,669
Other accrued expenses ....................................... 212,534
------------
59,952,148
------------
Net Assets ................................................... $391,713,749
============
Net Assets consist of:
Unrealized appreciation of investments ....................... $ 74,617,931
Accumulated net realized loss ................................ (317,247,768)
Paid-in capital .............................................. 634,343,586
------------
$391,713,749
============
Net Asset Value (NAV) of Each Share Class
Except where noted, the NAV is the offering and the redemption price for each
class.
Class Net Assets [divided by] Number of Shares = NAV
A $243,765,694 39,576,625 $6.16*
B(1) $ 33,695,056 6,421,094 $5.25**
B $ 61,980,391 11,570,245 $5.36**
C $ 13,171,398 2,501,323 $5.27**
S $ 39,101,210 5,970,284 $6.55
* Maximum offering price per share = $6.54 ($6.16 [divided by] 0.9425)
** When you sell Class B(1), Class B or Class C shares, you receive the net
asset value minus deferred sales charge, if any.
Statement of Operations
- --------------------------------------------------------------------------------
For the six months ended March 31, 2004 (unaudited)
Investment Income
Dividends, net of foreign taxes of $2,710 (Note 1)............ $ 526,402
Interest (Note 1) ............................................ 91,949
-----------
618,351
-----------
Expenses
Management fee (Note 2) ...................................... 1,435,439
Transfer agent and shareholder services (Note 2) ............. 944,767
Distribution and service fees - Class A (Note 4) ............. 314,850
Distribution and service fees - Class B(1) (Note 4) .......... 161,133
Distribution and service fees - Class C (Note 4) ............. 65,281
Custodian fee ................................................ 52,048
Reports to shareholders ...................................... 50,148
Administration fee ........................................... 48,944
Registration fees ............................................ 31,500
Audit fee .................................................... 13,430
Trustees' fees (Note 2) ...................................... 10,962
Legal fees ................................................... 2,646
Miscellaneous ................................................ 13,201
-----------
3,144,349
Fees paid indirectly (Note 2) ................................ (8,421)
-----------
3,135,928
-----------
(2,517,577)
Reimbursement of distribution fees (Note 4) .................. 200,000
-----------
Net investment loss .......................................... (2,317,577)
-----------
Realized and Unrealized Gain on Investments
Net increase from payment by affiliate (Note 2) .............. 9,526
Net realized gain on investments (Notes 1 and 3) ............. 39,017,708
Change in unrealized appreciation of investments ............. 16,118,574
-----------
Net gain on investments ...................................... 55,145,808
-----------
Net increase in net assets resulting from operations ......... $52,828,231
===========
The notes are an integral part of the financial statements.
State Street Research Mid-Cap Growth Fund 7
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Six months ended
March 31, 2004 Year ended
(unaudited) September 30, 2003
---------------------------------------
Increase (Decrease) In Net Assets
Operations:
Net investment loss .................... $ (2,317,577) $ (3,959,087)
Net increase from payment by
affiliate ........................... 9,526 --
Net realized gain (loss) on
investments ......................... 39,017,708 (2,516,067)
Change in unrealized
appreciation of investments ......... 16,118,574 96,745,512
-------------------------------------
Net increase resulting from
operations .......................... 52,828,231 90,270,358
-------------------------------------
Net decrease from fund share
transactions (Note 5) ............... (10,709,082) (43,134,681)
-------------------------------------
Total increase in net assets ........... 42,119,149 47,135,677
Net Assets
Beginning of period .................... 349,594,600 302,458,923
-------------------------------------
End of period .......................... $391,713,749 $349,594,600
=====================================
Notes to Unaudited Financial Statements
- --------------------------------------------------------------------------------
March 31, 2004
Note 1
State Street Research Mid-Cap Growth Fund is a series of State Street Research
Capital Trust (the "Trust"), which is a Massachusetts business trust registered
under the Investment Company Act of 1940, as amended, as an open-end management
investment company.
The investment objective of the fund is to provide long-term growth of capital.
Under normal market conditions, the fund invests at least 80% of its net assets
in mid-cap stocks. These may include common and preferred stocks, convertible
securities and warrants.
The fund offers five classes of shares. Class A shares are subject to an
initial sales charge of up to 5.75% and pay annual service and distribution
fees equal to 0.30% of average daily net assets. Class B(1) shares pay annual
service and distribution fees equal to 1.00% of average daily net assets and
automatically convert into Class A shares (which pay lower ongoing expenses) at
the end of eight years. Class B(1) and Class B shares are subject to a
contingent deferred sales charge on certain redemptions made within six years
and five years of purchase, respectively. Class B shares are offered only to
current shareholders through reinvestment of dividends and distributions or
through exchanges from existing Class B accounts of State Street Research funds
and also automatically convert to Class A shares at the end of eight years.
Class B shares may also be subject to annual service and distribution fees
equal to 1.00% of average daily net assets. However, these fees are currently
waived under the terms of the distribution plan. Class C shares are subject to
a contingent deferred sales charge of 1.00% on any shares redeemed within one
year of their purchase. Class C shares also pay annual service and distribution
fees equal to 1.00% of average daily net assets. Class S shares are only
offered through certain retirement accounts, advisory accounts of State Street
Research & Management Company (the "Adviser"), an investment management
subsidiary of MetLife, Inc. ("MetLife"), and special programs. No sales charge
is imposed at the time of purchase or redemption of Class S shares. Class S
shares do not pay any service or distribution fees. The fund's expenses are
borne prorata by each class, except that each class bears expenses, and has
exclusive voting rights with respect to provisions of the plans of
distribution, related specifically to that class. The Trustees declare separate
dividends on each class of shares.
The following significant accounting policies are consistently followed by the
fund in preparing its financial statements, and such policies are in conformity
with accounting principles generally accepted in the United States of America.
A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Short-term securities maturing within sixty days are valued
at amortized cost. Other securities, if any, are valued at their fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Trustees. If trading or events occurring in
other markets after the close of the principal market in which foreign
securities are traded, and before the close of business of the fund, are
expected to materially affect the value of these securities, then they are
valued at their fair value taking this trading or these events into account.
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
8 The notes are an integral part of the financial statements.
Notes (continued)
- --------------------------------------------------------------------------------
C. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of the
fund. Interest income is accrued daily as earned. Dividend income is accrued on
the ex-dividend date. The fund is charged for expenses directly attributable to
it, while indirect expenses are allocated among all funds in the Trust.
D. Dividends
Dividends from net investment income are declared and paid or reinvested
annually. Net realized capital gains, if any, are distributed annually, unless
additional distributions are required for compliance with applicable tax
regulations.
Income dividends and capital gains distributions are determined in accordance
with federal income tax regulations which may differ from accounting principles
generally accepted in the United States of America. The difference is primarily
due to differing treatments for wash sale deferrals.
E. Federal Income Taxes
No provision for federal income taxes is necessary because the fund has elected
to qualify under Subchapter M of the Internal Revenue Code and its policy is to
distribute all of its taxable income, including net realized capital gains,
within the prescribed time periods.
At September 30, 2003, the fund had a capital loss carryforward of $355,799,217
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $21,447,854, $247,124,039, and $87,227,324 expire on
September 30, 2009, 2010 and 2011, respectively.
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 March 31, 2004, the value of the securities loaned and the value of
collateral were $52,663,695 and $53,712,323 (consisting entirely of cash
collateral invested in State Street Navigator Securities Lending Prime
Portfolio), respectively. The collateral was marked to market the next business
day and made equal to at least 100% of the current market value of the loaned
securities and accrued interest. During the six months ended March 31, 2004,
income from securities lending amounted to $45,682 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 0.75% of the first $500 million
of average net assets, 0.70% of the next $500 million, and 0.65% of any amount
over $1 billion of 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 six months ended March 31,
2004, the fees pursuant to such agreement amounted to $1,435,439.
State Street Research Service Center, a division of State Street Research
Investment Services, Inc., the Trust's principal underwriter (the
"Distributor"), provides certain shareholder services to the fund such as
responding to inquiries and instructions from investors with respect to the
purchase and redemption of shares of the fund. In addition, MetLife receives a
fee for maintenance of the accounts of certain shareholders who are
participants in sponsored arrangements, such as employee benefit plans, through
or under which shares of the fund may be purchased. Total shareholder service
costs are allocated to each fund in the same ratios as the transfer agent
costs. During the six months ended March 31, 2004, the amount of such expenses
allocated to the fund was $307,369.
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 six months ended March 31, 2004, the
fund's transfer agent fees were reduced by $8,421 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$10,962 during the six months ended March 31, 2004.
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 six months ended March 31, 2004, the amount of such
expenses was $48,944.
On February 19, 2004, the Distributor entered into an agreement with the NASD
resolving all outstanding issues relating to an investigation by the NASD of
the Distributor's email retention practices and supervision of trading activity
in shares of the State Street Research funds. The Distributor, without
admitting or denying the allegations or the findings set forth in the
agreement, and solely for the purposes of the settlement, agreed to the entry
of certain findings by the NASD relating to the Distributor's compliance with
document retention requirements and the Distributor's supervision of
enforcement of shareholder exchange limitations set forth in the funds'
prospectuses. The agreement contains no allegations or findings of fraudulent
conduct by the Distributor. As part of the agreement the Distributor made a
payment to the fund to compensate the fund for losses relating to the exchange
of fund shares beyond the annual limit set forth in the fund's prospectus. The
payment was allocated among the fund's share classes as follows: $5,845 to
Class A; $813 to Class B(1); $1,587 to Class B; $323 to Class C; and $958 to
Class S. These amounts are shown in the total amount of $9,526 as "Net increase
form payment by affiliate" in the Statement of Operations.
Note 3
For the six months ended March 31, 2004, purchases and sales of securities,
exclusive of short-term obligations, aggregated $193,041,254, and $199,534,695,
respectively.
Note 4
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940. Under the plans, the fund pays annual service
fees to the Distributor at a rate of 0.25% of average daily net assets for
Class A, Class B(1), Class B and Class C shares. In addition, the fund pays
annual distribution fees of 0.05% of average daily net assets for Class A
shares. The fund pays annual distribution fees of 0.75% of average daily net
assets for Class B(1) and Class C shares. Currently, the annual service and
distribution fees paid by Class B shares have been voluntarily waived to 0.00%.
The fund expects this waiver to continue, although there is no guarantee that
it will. The Distributor uses such payments for personal services and/or the
maintenance of shareholder accounts, to reimburse securities dealers for
distribution and marketing services, to furnish ongoing assistance to investors
and to defray a portion of its distribution and marketing expenses. For the six
months ended March 31, 2004, fees pursuant to such plans amounted to $314,850,
$161,133 and $65,281 for Class A, Class B(1) and Class C shares, respectively.
For Class A, Class B and Class C shares, the payments are intended to reimburse
the distributor for expenditures incurred under the plan, and any unused
payments are returnable to the fund. As of March 31, 2004, there were
$2,252,531 and $1,742,177 for Class A and Class C shares, respectively, of
unreimbursed distribution and shareholder servicing related expenses to be
carried forward to future plan years. For Class B(1) shares, the payments
compensate the distributor for services and expenditures incurred under the
plan, and none of the payments are returnable to the fund. During the six
months ended March 31, 2004, the Distributor reimbursed a total of $200,000 to
Class B shares of the fund reflecting the estimated excess of payments received
over costs incurred under the plan. This amount is shown as "Reimbursement of
distribution fees" in the Statement of Operations.
The fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of MetLife, earned initial sales charges aggregating
$97,617 and $425,497, respectively, on sales of Class A shares of the fund
during the six months ended March 31, 2004, and that MetLife Securities, Inc.
earned commissions aggregating $351,431 and $5,833 on sales of Class B(1) and
Class C shares, and the Distributor collected contingent deferred sales charges
aggregating $31,411, $200 and $329 on redemptions of Class B(1), Class B and
Class C shares, respectively, during the same period.
State Street Research Mid-Cap Growth Fund 9
Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest at $0.001 par value per share.
These transactions break down by share class as follows:
Sixmonths ended
March 31, 2004 Year ended
(unaudited) September 30, 2003
------------------------------------------------------------------
Class A Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------
Shares sold 8,483,278 $ 51,848,281 10,362,428 $ 47,693,729
Shares redeemed (2,462,416) (14,657,062) (12,783,402) (57,272,190)
------------ ------------- ------------- -------------
Net increase (decrease) 6,020,862 $ 37,191,219 (2,420,974) $ (9,578,461)
============ ============= ============= =============
Class B(1) Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------
Shares sold 635,347 $ 3,217,353 1,604,810 $ 6,518,156
Shares redeemed (448,592) (2,288,480) (1,808,414) (6,879,464)
------------ ------------- ------------- -------------
Net increase (decrease) 186,755 $ 928,873) (203,604) $ (361,308)
============ ============= ============= =============
Class B Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------
Shares sold 79,700 $ 407,608 416,179 $ 1,648,440
Shares redeemed (9,055,120) (48,132,559) (6,915,765) (27,246,929)
------------ ------------- ------------- -------------
Net decrease (8,975,420) $ (47,724,951) (6,499,586) $ (25,598,489)
============ ============= ============= =============
Class C Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------
Shares sold 151,346 $ 770,691 316,274 $ 1,309,387
Shares redeemed (273,790) (1,393,235) (799,177) (3,109,189)
------------ ------------- ------------- -------------
Net decrease (122,444) $ (622,544) (482,903) $ (1,799,802)
============ ============= ============= =============
Class S Shares Amount Shares Amount
- --------------------------------------------------------------------------------------------
Shares sold 469,813 $ 2,951,332 1,519,064 $ 7,703,821
Shares redeemed (536,986) (3,433,011) (2,637,590) (13,500,442)
---------- ------------- ----------- -------------
Net decrease (67,173) $ (481,679) (1,118,526) $ (5,796,621)
========== ============= =========== =============
10 The notes are an integral part of the financial statements.
- ---------
FINANCIAL
- ---------
Highlights
For a share outstanding throughout each period:
Class A
----------------------------------------
Years ended
Six months ended September 30
March 31, 2004 ------------------
(unaudited)(a) 2003(a)
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 5.35 4.03
----- ------
Net investment loss ($) (0.04) (0.06)
Net realized and unrealized gain (loss) on investments ($) 0.85 1.38
----- ------
Total from investment operations ($) 0.81 1.32
----- ------
Distributions from capital gains ($) -- --
------ -------
Total distributions ($) -- --
------ -------
Net asset value, end of period ($) 6.16 5.35
===== ======
Total return (%)(b) 15.14(d) 32.75
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 243,766 179,519
Expense ratio (%) 1.66 (e) 1.75
Expense ratio after expense reductions (%) 1.66 (e) 1.74
Ratio of net investment loss to average net assets (%) (1.33)(e) (1.36)
Portfolio turnover rate (%) 51.56 104.91
Class A
------------------------------------------------
Years ended September 30
------------------------------------------------
2002(a)(f) 2001(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 5.04 20.10
------ ------
Net investment loss ($) (0.07) (0.06)
Net realized and unrealized gain (loss) on investments ($) (0.94) (6.47)
------ ------
Total from investment operations ($) (1.01) (6.53)
------ ------
Distributions from capital gains ($) -- (8.53)
------- ------
Total distributions ($) -- (8.53)
------- ------
Net asset value, end of period ($) 4.03 5.04
====== ======
Total return (%)(b) (20.04) (49.83)
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 144,814 201,936
Expense ratio (%) 1.78 1.56
Expense ratio after expense reductions (%) 1.76 1.54
Ratio of net investment loss to average net assets (%) (1.33) (0.73)
Portfolio turnover rate (%) 136.30 123.50
Class A
------------------------------------------------
Years ended September 30
------------------------------------------------
2000(a)(f) 1999(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 13.64 11.95
------ -----
Net investment loss ($) (0.15) (0.14)
Net realized and unrealized gain (loss) on investments ($) 7.44 3.15
------ -----
Total from investment operations ($) 7.29 3.01
------ -----
Distributions from capital gains ($) (0.83) (1.32)
------ -----
Total distributions ($) (0.83) (1.32)
------ -----
Net asset value, end of period ($) 20.10 13.64
====== =====
Total return (%)(b) 54.91 26.75
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 450,521 321,667
Expense ratio (%) 1.38 1.40
Expense ratio after expense reductions (%) 1.37 1.38
Ratio of net investment loss to average net assets (%) (0.85) (1.03)
Portfolio turnover rate (%) 171.87 68.03
Class B(1)
----------------------------------------
Years ended
Six months ended September 30
March 31, 2004 ------------------
(unaudited)(a) 2003(a)
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 4.57 3.47
------ -----
Net investment loss ($) (0.05) (0.09)
Net realized and unrealized gain (loss) on investments ($) 0.73 1.19
------ -----
Total from investment operations ($) 0.68 1.10
------ -----
Distributions from capital gains ($) -- --
------ -----
Total distributions ($) -- --
------ -----
Net asset value, end of period ($) 5.25 4.57
====== =====
Total return (%)(b) 14.88(d) 31.70
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 33,695 28,518
Expense ratio (%) 2.36(e) 2.45
Expense ratio after expense reductions (%) 2.36(e) 2.44
Ratio of net investment loss to average net assets (%) (2.03)(e) (2.17)
Portfolio turnover rate (%) 51.56 104.91
Class B(1)
------------------------------------------------
Years ended September 30
------------------------------------------------
2002(a)(f) 2001(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 4.36 18.83
------- -------
Net investment loss ($) (0.09) (0.09)
Net realized and unrealized gain (loss) on investments ($) (0.80) (5.85)
------- -------
Total from investment operations ($) (0.89) (5.94)
------- -------
Distributions from capital gains ($) -- (8.53)
------- -------
Total distributions ($) -- (8.53)
------- -------
Net asset value, end of period ($) 3.47 4.36
======= =======
Total return (%)(b) (20.41) (50.25)
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 22,314 26,083
Expense ratio (%) 2.48 2.26
Expense ratio after expense reductions (%) 2.46 2.24
Ratio of net investment loss to average net assets (%) (2.02) (1.43)
Portfolio turnover rate (%) 136.30 123.50
Class B(1)
------------------------------------------------
Years ended September 30
------------------------------------------------
2000(a)(f) 1999(a)(c)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 12.90 13.17
------- -------
Net investment loss ($) (0.26) (0.17)
Net realized and unrealized gain (loss) on investments ($) 7.02 (0.10)
------- -------
Total from investment operations ($) 6.76 (0.27)
------- -------
Distributions from capital gains ($) (0.83) --
------- --------
Total distributions ($) (0.83) --
------- --------
Net asset value, end of period ($) 18.83 12.90
======= =======
Total return (%)(b) 53.90 (2.05)(d)
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 37,063 8,730
Expense ratio (%) 2.11 2.15 (e)
Expense ratio after expense reductions (%) 2.10 2.13 (e)
Ratio of net investment loss to average net assets (%) (1.52) (1.81)(e)
Portfolio turnover rate (%) 171.87 68.03
Class B
----------------------------------------
Years ended
Six months ended September 30
March 31, 2004 ------------------
(unaudited)(a) 2003(a)
- --------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 4.63 3.48
------- -------
Net investment loss ($) (0.01) (0.03)
Net realized and unrealized gain (loss) on investments ($) 0.74 1.18
------- -------
Total from investment operations ($) 0.73 1.15
------- -------
Distributions from capital gains ($) -- --
------- -------
Total distributions ($) -- --
------- -------
Net asset value, end of period ($) 5.36 4.63
======= =======
Total return (%)(b) 15.77(d) 33.05
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 61,980 95,216
Expense ratio (%) 1.36 (e) 1.45
Expense ratio after expense reductions (%) 1.36 (e) 1.44
Ratio of net investment loss to average net assets (%) (0.58)(e) (0.83)
Portfolio turnover rate (%) 51.56 104.91
Class B
------------------------------------------------
Years ended September 30
------------------------------------------------
2002(a)(f) 2001(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 4.36 18.82
------- -------
Net investment loss ($) (0.07) (0.10)
Net realized and unrealized gain (loss) on investments ($) (0.81) (5.83)
------- -------
Total from investment operations ($) (0.88) (5.93)
------- -------
Distributions from capital gains ($) -- (8.53)
------- -------
Total distributions ($) -- (8.53)
------- -------
Net asset value, end of period ($) 3.48 4.36
======= =======
Total return (%)(b) (20.18) (50.18)
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 94,029 157,788
Expense ratio (%) 1.88 2.26
Expense ratio after expense reductions (%) 1.86 2.24
Ratio of net investment loss to average net assets (%) (1.46) (1.44)
Portfolio turnover rate (%) 136.30 123.50
Class B
------------------------------------------------
Years ended September 30
------------------------------------------------
2000(a)(f) 1999(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 12.90 11.45
------- -------
Net investment loss ($) (0.26) (0.22)
Net realized and unrealized gain (loss) on investments ($) 7.01 2.99
------- -------
Total from investment operations ($) 6.75 2.77
------- -------
Distributions from capital gains ($) (0.83) (1.32)
------- -------
Total distributions ($) (0.83) (1.32)
------- -------
Net asset value, end of period ($) 18.82 12.90
======= =======
Total return (%)(b) 53.83 25.74
Ratios/Supplemental Data
- --------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 411,584 318,695
Expense ratio (%) 2.11 2.15
Expense ratio after expense reductions (%) 2.10 2.13
Ratio of net investment loss to average net assets (%) (1.58) (1.77)
Portfolio turnover rate (%) 171.87 68.03
State Street Research Mid-Cap Growth Fund 11
Class C
-----------------------------------------
Years ended
Six months ended September 30
March 31, 2004 ------------------
(unaudited)(a) 2003(a)
- ---------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 4.59 3.48
------ ------
Net investment loss ($) (0.05) (0.08)
Net realized and unrealized gain (loss) on investments ($) 0.73 1.19
------ ------
Total from investment operations ($) 0.68 1.11
------ ------
Distributions from capital gains ($) -- --
------ ------
Total distributions ($) -- --
------ ------
Net asset value, end of period ($) 5.27 4.59
====== ======
Total return (%)(b) 14.81 (d) 31.90
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 13,171 12,044
Expense ratio (%) 2.36 (e) 2.45
Expense ratio after expense reductions (%) 2.36 (e) 2.45
Ratio of net investment loss to average net assets (%) (2.03)(e) (2.00)
Portfolio turnover rate (%) 51.56 104.91
Class C
------------------------------------------------
Years ended September 30
------------------------------------------------
2002(a)(f) 2001(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 4.39 18.87
------ ------
Net investment loss ($) (0.09) (0.10)
Net realized and unrealized gain (loss) on investments ($) (0.82) (5.85)
------ ------
Total from investment operations ($) (0.91) (5.95)
------ ------
Distributions from capital gains ($) -- (8.53)
------ ------
Total distributions ($) -- (8.53)
------ ------
Net asset value, end of period ($) 3.48 4.39
====== ======
Total return (%)(b) (20.73) (50.15)
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 10,805 17,362
Expense ratio (%) 2.48 2.26
Expense ratio after expense reductions (%) 2.46 2.24
Ratio of net investment loss to average net assets (%) (2.05) (1.44)
Portfolio turnover rate (%) 136.30 123.50
Class C
-----------------------------------------------
Years ended September 30
-----------------------------------------------
2000(a)(f) 1999(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 12.93 11.47
------ -----
Net investment loss ($) (0.27) (0.22)
Net realized and unrealized gain (loss) on investments ($) 7.04 3.00
------ -----
Total from investment operations ($) 6.77 2.78
------ -----
Distributions from capital gains ($) (0.83) (1.32)
------ -----
Total distributions ($) (0.83) (1.32)
------ -----
Net asset value, end of period ($) 18.87 12.93
====== =====
Total return (%)(b) 53.86 25.77
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 51,721 41,235
Expense ratio (%) 2.11 2.15
Expense ratio after expense reductions (%) 2.10 2.13
Ratio of net investment loss to average net assets (%) (1.58) (1.77)
Portfolio turnover rate (%) 171.87 68.03
Class S
-----------------------------------------
Years ended
Six months ended September 30
March 31, 2004 ------------------
(unaudited)(a) 2003(a)
- ---------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 5.68 4.26
------ -----
Net investment loss ($) (0.03) (0.04)
Net realized and unrealized gain (loss) on investments ($) 0.90 1.46
------ -----
Total from investment operations ($) 0.87 1.42
------ -----
Distributions from capital gains ($) -- --
------ -----
Total distributions ($) -- --
------ -----
Net asset value, end of period ($) 6.55 5.68
====== =====
Total return (%)(b) 15.32(d) 33.33
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 39,101 34,298
Expense ratio (%) 1.36(e) 1.45
Expense ratio after expense reductions (%) 1.36(e) 1.44
Ratio of net investment loss to average net assets (%) (1.03)(e) (0.87)
Portfolio turnover rate (%) 51.56 104.91
Class S
------------------------------------------------
Years ended September 30
------------------------------------------------
2002(a)(f) 2001(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 5.32 20.62
------ ------
Net investment loss ($) (0.06) (0.04)
Net realized and unrealized gain (loss) on investments ($) (1.00) (6.73)
------ ------
Total from investment operations ($) (1.06) (6.77)
------ ------
Distributions from capital gains ($) -- (8.53)
------ ------
Total distributions ($) -- (8.53)
------ ------
Net asset value, end of period ($) 4.26 5.32
====== ======
Total return (%)(b) (19.92) (49.68)
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 30,497 46,751
Expense ratio (%) 1.48 1.26
Expense ratio after expense reductions (%) 1.46 1.24
Ratio of net investment loss to average net assets (%) (1.05) (0.43)
Portfolio turnover rate (%) 136.30 123.50
Class S
-----------------------------------------------
Years ended September 30
-----------------------------------------------
2000(a)(f) 1999(a)(f)
- ---------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 13.94 12.16
------ ------
Net investment loss ($) (0.11) (0.10)
Net realized and unrealized gain (loss) on investments ($) 7.62 3.20
------ ------
Total from investment operations ($) 7.51 3.10
------ ------
Distributions from capital gains ($) (0.83) (1.32)
------ ------
Total distributions ($) (0.83) (1.32)
------ ------
Net asset value, end of period ($) 20.62 13.94
====== ======
Total return (%)(b) 55.32 27.06
Ratios/Supplemental Data
- ---------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 121,727 90,751
Expense ratio (%) 1.11 1.15
Expense ratio after expense reductions (%) 1.10 1.13
Ratio of net investment loss to average net assets (%) (0.58) (0.77)
Portfolio turnover rate (%) 171.87 68.03
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to September 30, 1999
(d) Not annualized
(e) Annualized
(f) Audited by other auditors
12 The notes are an integral part of the financial statements.
- ---------------------
TRUSTEES AND OFFICERS
- ---------------------
State Street Research Capital Trust
Name, Position(s) Term of Office
Address Held with and Length of
and Age(a) Fund Time Served(b)
================================================================================
Independent Trustees
Bruce R. Bond Trustee Since
(58) 1999
- --------------------------------------------------------------------------------
Peter S. Drotch Trustee Since
(62) 2004
- --------------------------------------------------------------------------------
Steve A. Garban Trustee Since
(66) 1997
- --------------------------------------------------------------------------------
Susan M. Phillips Trustee Since
(59) 1998
- --------------------------------------------------------------------------------
Toby Rosenblatt Trustee Since
(65) 1995
- --------------------------------------------------------------------------------
Michael S. Trustee Since
Scott Morton (66) 1987
================================================================================
Interested Trustees
Richard S. Davis(+) Trustee Since
(58) 2000
================================================================================
Officers
Caroline Evascu Vice Since
(29) President 2003
- --------------------------------------------------------------------------------
C. Kim Goodwin Vice Since
(45) President 2002
- --------------------------------------------------------------------------------
Paul Haagensen Vice Since
(58) President 2003
- --------------------------------------------------------------------------------
Eileen M. Leary Vice Since
(41) President 2002
- --------------------------------------------------------------------------------
John S. Lombardo Vice Since
(49) President 2001
- --------------------------------------------------------------------------------
Andrew Morey Vice Since
(34) President 2003
- --------------------------------------------------------------------------------
Tucker Walsh Vice Since
(34) President 1999
- --------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since
(47) 2001
- --------------------------------------------------------------------------------
Number of Funds
Name, in Fund Complex
Address Principal Occupations Overseen by
and Age(a) During Past 5 Years Trustee/Officer(c)
========================================================================================================================
Independent Trustees
Bruce R. Bond Retired; formerly Chairman of the Board, Chief Executive Officer and 19
(58) President, PictureTel Corporation (video conferencing systems)
- ------------------------------------------------------------------------------------------------------------------------
Peter S. Drotch Retired; formerly Partner, PricewaterhouseCoopers LLP 19
(62)
- ------------------------------------------------------------------------------------------------------------------------
Steve A. Garban Retired; formerly Senior Vice President for Finance and Operations and 53
(66) Treasurer, The Pennsylvania State University
- ------------------------------------------------------------------------------------------------------------------------
Susan M. Phillips Dean, School of Business and Public Management, George Washington 19
(59) 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 President, Founders Investments Ltd. (investments); President, Pacific Four 53
(65) Investments (investments); formerly President, The Glen Ellen Company
(private investment firm)
- ------------------------------------------------------------------------------------------------------------------------
Michael S. Jay W. Forrester Professor of Management, Sloan School of Management, 53
Scott Morton (66) Massachusetts Institute of Technology
========================================================================================================================
Interested Trustees
Richard S. Davis(+) Chairman of the Board, President and Chief Executive Officer of State 19
(58) Street Research & Management Company; formerly Senior Vice President,
Fixed Income Investments, Metropolitan Life Insurance Company
========================================================================================================================
Officers
Caroline Evascu Vice President of State Street Research & Management Company; formerly 3
(29) Vice President and senior analyst, SG Cowen Asset Management; and
research associate, Donaldson, Lufkin & Jenrette
- ------------------------------------------------------------------------------------------------------------------------
C. Kim Goodwin Managing Director and Chief Investment Officer - Equities of State Street 18
(45) Research & Management Company; formerly Chief Investment Officer -
U.S. Growth Equities, American Century
- ------------------------------------------------------------------------------------------------------------------------
Paul Haagensen Managing Director of State Street Research & Management Company; 3
(58) formerly Senior Vice President, State Street Research & Management
Company; and Portfolio Manager and senior analyst, Putnam Investments
- ------------------------------------------------------------------------------------------------------------------------
Eileen M. Leary Managing Director of State Street Research & Management Company; 3
(41) formerly Senior Vice President and Vice President, State Street Research &
Management Company
- ------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Managing Director, Chief Financial Officer and Director of State Street 19
(49) Research & Management Company; formerly Executive Vice President,
State Street Research & Management Company; and Senior Vice President,
Product and Financial Management, MetLife Auto & Home
- ------------------------------------------------------------------------------------------------------------------------
Andrew Morey Senior Vice President of State Street Research & Management Company; 3
(34) formerly Vice President, State Street Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------
Tucker Walsh Managing Director of State Street Research & Management Company; 3
(34) formerly Vice President and analyst, State Street Research & Management
Company
- ------------------------------------------------------------------------------------------------------------------------
Douglas A. Romich Senior Vice President and Treasurer of State Street Research & Management 19
(47) Company; formerly Vice President and Assistant Treasurer, State Street
Research & Management Company
- ------------------------------------------------------------------------------------------------------------------------
Name, Other
Address Directorships Held
and Age(a) by Trustee/Officer
================================================================================
Independent Trustees
Bruce R. Bond Avaya Corporation
(58)
- --------------------------------------------------------------------------------
Peter S. Drotch The First Marblehead Corp.
(62)
- --------------------------------------------------------------------------------
Steve A. Garban Metropolitan Series Fund, Inc.; and
(66) Metropolitan Series Fund II
- --------------------------------------------------------------------------------
Susan M. Phillips The Kroger Co.
(59)
- --------------------------------------------------------------------------------
Toby Rosenblatt A.P. Pharma, Inc.; Metropolitan Series
(65) Fund, Inc.; and Metropolitan Series
Fund II
- --------------------------------------------------------------------------------
Michael S. Metropolitan Series Fund, Inc.; and
Scott Morton (66) Metropolitan Series Fund II
================================================================================
Interested Trustees
Richard S. Davis(+) None
(58)
================================================================================
Officers
Caroline Evascu None
(29)
- --------------------------------------------------------------------------------
C. Kim Goodwin None
(45)
- --------------------------------------------------------------------------------
Paul Haagensen None
(58)
- --------------------------------------------------------------------------------
Eileen M. Leary None
(41)
- --------------------------------------------------------------------------------
John S. Lombardo None
(49)
- --------------------------------------------------------------------------------
Andrew Morey None
(34)
- --------------------------------------------------------------------------------
Tucker Walsh None
(34)
- --------------------------------------------------------------------------------
Douglas A. Romich None
(47)
- --------------------------------------------------------------------------------
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 has served 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.
State Street Research Mid-Cap Growth Fund 13
[LOGO] STATE STREET RESEARCH ------------
PRSRT STD
One Financial Center U.S. POSTAGE
Boston, MA 02111-2690 PAID
PERMIT #6
HUDSON, MA
------------
New accounts, mutual fund purchases, exchanges and account information
Internet www.ssrfunds.com
E-mail info@ssrfunds.com
Phone 1-87-SSR-FUNDS (1-877-773-8637),
toll-free, 7 days a week, 24 hours a day
Hearing-impaired: 1-800-676-7876
Chinese- and Spanish-speaking: 1-888-638-3193
Fax 1-617-737-9722 (request confirmation number
first from the Service Center by calling 1-877-773-8637)
Mail State Street Research Service Center
P.O. Box 8408, Boston, MA 02266-8408
- --------------------------------------------------------------------------------
Did You Know?
State Street Research offers electronic delivery of quarterly statements,
shareholder reports and fund prospectuses. If you elect this option, we will
send these materials to you via e-mail. To learn more, visit us on the Web at
www.ssrfunds.com and click on "Go to Your Account" or call us at 1-87-SSR-FUNDS
(1-877-773-8637).
Did you know that you can give a State Street Research mutual fund as a gift?
Call a service center representative at 1-87-SSR-FUNDS (1-877-773-8637), Monday
through Friday, 8am-6pm eastern time, to learn more.
- --------------------------------------------------------------------------------
Investors should carefully consider the fund's investment objective, risks,
charges and expenses before investing. The fund's prospectus contains more
complete information on these and other matters. A prospectus for Mid-Cap
Growth Fund is available through your financial professional, by calling
toll-free 1-87-SSR-FUNDS (1-877-773-8637) or by visiting our website at
www.ssrfunds.com. Please read the prospectus carefully before investing.
OverView
For more information on the products and services we offer, refer to
OverView, our quarterly shareholder newsletter.
Webcasts
For a professional perspective on the markets, the economy and timely
investment topics, tune in to a State Street Research webcast by visiting
our website at www.ssrfunds.com.
Complete Fund Listing
For a list of our funds, visit our website at www.ssrfunds.com under
Research Our Funds.
[GRAPHIC]
for Excellence in
Shareholder Communications
[GRAPHIC]
for Excellence in Service
This report must be accompanied or preceded by a current prospectus. When used
as sales material after June 30, 2004, this report must be accompanied by a
current Quarterly Performance Update.
"State Street Research Proxy Voting Policies and Procedures"-which describes how
we vote proxies relating to portfolio securities-is available upon request, free
of charge, by calling the State Street Research Service Center toll-free at
1-87-SSR-FUNDS (1-877-773-8637) or by accessing the U.S.
Securities and Exchange Commission website at www.sec.gov.
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:(exp0505)SSR-LD MG-2653-0504
<Page>
FORM N-CSR(2 OF 3)
ITEM 2: CODE OF ETHICS
Not applicable for the reporting period.
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable for the reporting period.
ITEM 4: (PRINCIPAL ACCOUNTANT FEES AND SERVICES)
Not applicable for the reporting period.
ITEM 5: AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6: SCHEDULE OF INVESTMENTS
Not applicable.
ITEM 7: DISCLOSURE OF PROXY VOTING POLICIES & PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES:
Not applicable.
ITEM 8: PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 9: SUBMISSION OF MATTERS TO A VOTE OF SECURITY 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
(a) The Registrant's principal executive and principal financial officers
have concluded, based on their evaluation of the Registrant's disclosure
controls and procedures as of a date within 90 days of the filing date
of this report, that the Registrant's disclosure controls and procedures
are reasonably designed to ensure that information required to be
disclosed by the Registrant on Form N-CSR is recorded, processed,
summarized and reported within the required time periods and that
information required to be disclosed by the Registrant in the reports
that it files or submits on Form N-CSR is accumulated and communicated
to the Registrant's management, including its principal executive and
principal financial officers, as appropriate to allow timely decisions
regarding required disclosure.
(b) There were no changes in the Registrant's internal control over financial
reporting during the Registrant's second fiscal half-year that have
materially affected, or are reasonably likely to materially affect, the
internal control over financial reporting.
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 Capital Trust
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date May 28, 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 May 28, 2004
------------------------
By: /s/ Douglas A. Romich
------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer
Date May 28, 2004
------------------------