<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-8322
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State Street Research Securities Trust
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(Exact name of registrant as specified in charter)
One Financial Center, Boston, MA 02111
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(Address of principal executive offices) (Zip code)
Terrence J. Cullen, Senior Vice President and Counsel
State Street Research & Management Company
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: 4/30/04
-----------------
Date of reporting period: 5/1/03 - 4/30/04
----------------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
ITEM 1 (REPORT TO SHAREHOLDERS): The Annual Report is attached.
[BACKGROUND GRAPHIC]
[STATE STREET LOGO]
[PHOTO]
Large-Cap Analyst Fund
April 30, 2004
Annual Report to Shareholders
Table of Contents
3 Performance Discussion
6 Portfolio Holdings
8 Financial Statements
12 Financial Highlights
14 Report of Independent
Registered Public
Accounting Firm
15 Trustees and Officers
FROM THE CHAIRMAN
State Street Research
From the uncertainties of war to a rebound in investor enthusiasm, from sluggish
recovery to robust growth--the ground covered by both the financial markets and
the U.S. economy over the past twelve months was nothing short of remarkable.
When the 12-month reporting period began last May, economic growth was coming
off a sluggish quarter, manufacturing activity was declining and unemployment
was edging higher. However, once formal military action in Iraq came to a halt,
the clouds of uncertainty lifted and better times followed. Economic growth
picked up. Consumer confidence strengthened. A combination of accelerated tax
cuts, tax rebates and the lowest mortgage rates in a generation 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. Late in the period, a surge in
job growth put aside lingering fears about the economy.
Yet, the period was not without its disappointments. Rising oil prices were
creating an uptick in inflation. And with the economy on solid ground, there
were widespread expectations that the Federal Reserve Board would raise
short-term interest rates sooner rather than later this year.
Stock and Bond Markets Moved Higher
Stocks staged an impressive rally early in the period, with the riskiest sectors
of the stock market leading the way--technology, small-caps and companies that
had been beaten down in the bear market. However, index returns for the period
as a whole masked the sideways movement that developed in the final months of
the period as investors grew more cautious about interest rates and corporate
profit comparisons going forward.
Confidence in the economy also translated into gains for high-yield bonds that
were in line with the stock market. However, high-yield bonds underperformed
late in the period as investors came to view the sector as fully valued. Both
investment-grade corporate and government bonds earned solid but modest returns
for the year. The municipal market was a standout among investment-grade
sectors, but mortgage bonds lagged as more homeowners took advantage 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
April 30, 2004
2
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PERFORMANCE
- ----------------
Discussion as of April 30, 2004
How State Street Research Large-Cap Analyst Fund Performed
For the 12 months ended April 30, 2004, State Street Research Large-Cap Analyst
Fund returned 23.90%.(1) This performance was in line with the Russell
1000[RegTM] Index, which also returned 23.90%.(2) The fund outpaced the Lipper
Large-Cap Core Funds Average, which returned 19.51% over the same one-year
period.(2)
Reasons for the Fund's Performance
Strong stock selection, particularly in the health care, consumer discretionary
and technology sectors, drove returns. Within health care, the fund benefited
from our decision to downplay large-cap pharmaceutical stocks, which struggled
as competition from generics increased and new product development activity was
disappointing. Overseas drug companies, such as Altana and Elan, also helped
performance, buoyed by their new product prospects. Because we continue to
believe in health care's long-term prospects, we recently added to our position
in Pfizer, which has a promising new lung-treatment drug awaiting approval.
Among consumer-oriented stocks, top gainers included International Game
Technology, the world's leading slot machine manufacturer; Cendant, a
conglomerate that owns a mix of hotel, real estate, rental car and travel
business; and Starbucks. Technology stocks also rallied nicely as the economy
improved. Semiconductor stocks benefited from strong demand as sales increased
for personal computers and also for consumer electronic devices that use
semiconductor chips, such as cell phones and digital cameras. In the technology
sector, the fund benefited from owning Intel and National Semiconductor.
In the utilities sector, our investment in Comcast hurt performance. Worries
about the company's bid for The Walt Disney Company caused the stock price to
fall. Our relatively light exposure to AT&T Wireless also undermined returns as
the stock price doubled following Cingular's acquisition announcement. The
fund's investments in American Power Conversion and Applied Materials in the
producer durables sector hindered performance. Both stocks sustained
double-digit losses over the year.
Looking Ahead
We believe the market volatility that ensued late in the period could continue
due to uncertainties surrounding the presidential election and the conflict in
Iraq. However, we would view further market volatility as a buying opportunity.
A Word about Risk
The major risks of stock investing include sudden and unpredictable drops in
value and period of lackluster performance. The fund invests in larger, more
established companies, which may be unable to respond quickly to new
competitive challenges, such as changes in technology and consumer trends. Many
larger companies also cannot sustain the higher growth rates of successful
smaller companies during periods of extended economic expansion. The fund may
underperform other stock funds during periods when large-company stocks in
general are out of favor. The fund's policy of remaining invested in all
sectors of the Russell 1000 Index means that its performance may be affected by
sector-wide downturns.
Top 10 Holdings
- --------------------------------------------------------------
Issuer/Security % of Fund Net Assets
(1) Exxon Mobil 3.3%
----------------------------------------------
(2) Pfizer 3.1%
----------------------------------------------
(3) Citigroup 3.1%
----------------------------------------------
(4) General Electric 2.9%
----------------------------------------------
(5) Intel 2.4%
----------------------------------------------
(6) InterActiveCorp 2.2%
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(7) Novartis 2.1%
----------------------------------------------
(8) American International Group 2.1%
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(9) Microsoft 1.7%
----------------------------------------------
(10) Cisco Systems 1.7%
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Total 24.6%
Performance: Class A
- -------------------------------------------------------------
Fund average annual total return as of 4/30/04(3,5)
(does not reflect sales charge)
Life of Fund
1 Year 5 Years (3/11/98)
23.90% -0.39% 3.08%
- -------------------------------------------------------------
Fund average annual total return as of 3/31/04(3,4,5)
(at maximum applicable sales charge)
Life of Fund
1 Year 5 Years (3/11/98)
29.61% -0.26% 2.47%
- -------------------------------------------------------------
Russell 1000 Index as of 4/30/04(2)
Life of Fund
1 Year 5 Years (3/11/98)
23.90% -1.73% 2.36%
- -------------------------------------------------------------
See pages 4 and 5 for additional performance data for Class A shares and for
performance data on other share classes.
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) Class A shares; does not reflect sales charge.
(2) The Russell 1000 Index measures the performance of the 1,000 largest
securities in the Russell 3000[RegTM] Index (an unmanaged index of the
3,000 largest publicly traded U.S. companies). The index is unmanaged and
does not take transaction charges into consideration. It is not possible
to invest directly in an index. The Lipper Large-Cap Core Funds Average
shows the performance of a category of mutual funds with similar goals.
The Lipper average shows you how well the fund has done compared to
competing funds.
(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.
(5) Performance results for the fund are increased by the voluntary reduction
of fund fees and expenses; without subsidization, performance would have
been lower.
State Street Research Large-Cap Analyst Fund 3
- ----------------
PERFORMANCE
- ----------------
Discussion as of April 30, 2004
These two pages focus on the fund's long-term track record. While a mutual
fund's past performance is not a guarantee of future results, long-term returns
can serve as an important context for evaluating recent performance. There are
three ways of measuring long-term performance: cumulative total returns,
average annual total returns and the change in dollar value over time of a
given investment. Information about these measures follows, while the share
class boxes contain the results of these measures for each share class.
Cumulative Total Return
Represents the total percentage you would have earned or lost if you had
invested a lump sum in the fund and left it there until the end of the period
indicated.
Average Annual Total Return
Represents the rate you would have had to earn during each year of a given time
period in order to end up with the fund's actual cumulative return for those
years. In reality, of course, fund performance varies from year to year.
Because of this, a fund's actual performance for a given year may be higher or
lower than an average annual performance figure.
$10,000 Over Life of Fund
Similar to cumulative total return, but uses dollars rather than percentages,
and assumes that the lump sum you invested was $10,000 (less the applicable
maximum sales charge, if any) and compares fund performance to the performance
of a market index.
- ------------------------------------------------------------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class A
[DATA BELOW IS REPRESENTED BY A LINE CHART
IN THE ORIGINAL REPORT]
Life of Fund
1 Year 5 Years (3/11/98) Russell 1000
- ------------------------------------------------------------------------------- Class A Index
Cumulative Total Return 3/'98 9425 10000
(does not reflect sales charge) 23.90% -1.96% 20.46% 4/'98 9790 10464
- ------------------------------------------------------------------------------- '99 11580 12590
Cumulative Total Return '00 13730 14157
(at maximum applicable sales charge) 16.77% -7.59% 13.53% '01 12405 12223
- ------------------------------------------------------------------------------- '02 10622 10759
Average Annual Total Return '03 9163 9311
(at maximum applicable sales charge) 16.77% -1.57% 2.09% '04 11353 11536
- -------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class B(1)
[DATA BELOW IS REPRESENTED BY A LINE CHART
IN THE ORIGINAL REPORT]
Life of Fund
1 Year 5 Years (3/11/98) Russell 1000
- ------------------------------------------------------------------------------- Class B(1) Index
Cumulative Total Return 3/'98 10000 10000
(does not reflect sales charge) 23.10% -5.53% 15.09% 4/'98 10366 10464
- ------------------------------------------------------------------------------- '99 12182 12590
Cumulative Total Return '00 14317 14157
(at maximum applicable sales charge) 18.10% -7.25% 15.09% '01 12853 12223
- ------------------------------------------------------------------------------- '02 10935 10759
Average Annual Total Return '03 9350 9311
(at maximum applicable sales charge) 18.10% -1.49% 2.17% '04 11509 11536
- -------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
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
- ------------------------------------------------------------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class B (only available through exchanges from another Class B account)
[DATA BELOW IS REPRESENTED BY A LINE CHART
IN THE ORIGINAL REPORT]
Life of Fund
1 Year 5 Years (3/11/98) Russell 1000
- -------------------------------------------------------------------------------- Class B Index
Cumulative Total Return 3/'98 10000 10000
(does not reflect sales charge) 26.01% -2.70% 18.51% 4/'98 10366 10464
- -------------------------------------------------------------------------------- '99 12180 12590
Cumulative Total Return '00 14325 14157
(at maximum applicable sales charge) 21.01% -4.48% 18.51% '01 12850 12223
- -------------------------------------------------------------------------------- '02 10933 10759
Average Annual Total Return '03 9405 9311
(at maximum applicable sales charge) 21.01% -0.91% 2.80% '04 11851 11536
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class C
[DATA BELOW IS REPRESENTED BY A LINE CHART
IN THE ORIGINAL REPORT]
Life of Fund
1 Year 5 Years (3/11/98) Russell 1000
- -------------------------------------------------------------------------------- Class C Index
Cumulative Total Return 3/'98 10000 10000
(does not reflect sales charge) 23.19% -5.34% 15.28% 4/'98 10377 10464
- -------------------------------------------------------------------------------- '99 12179 12590
Cumulative Total Return '00 14334 14157
(at maximum applicable sales charge) 22.19% -5.34% 15.28% '01 12860 12223
- -------------------------------------------------------------------------------- '02 10942 10759
Average Annual Total Return '03 9358 9311
(at maximum applicable sales charge) 22.19% -1.09% 2.34% '04 11528 11536
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
$10,000 Over Life of Fund
(reflects maximum applicable sales charge)
Class S
[DATA BELOW IS REPRESENTED BY A LINE CHART
IN THE ORIGINAL REPORT]
Life of Fund
1 Year 5 Years (3/11/98) Russell 1000
- -------------------------------------------------------------------------------- Class S Index
Cumulative Total Return 3/'98 10000 10000
(does not reflect sales charge) 24.36% -0.74% 22.27% 4/'98 10387 10464
- -------------------------------------------------------------------------------- '99 12318 12590
Cumulative Total Return '00 14643 14157
(at maximum applicable sales charge) 24.36% -0.74% 22.27% '01 13270 12223
- -------------------------------------------------------------------------------- '02 11402 10759
Average Annual Total Return '03 9832 9311
(at maximum applicable sales charge) 24.36% -0.15% 3.33% '04 12227 11536
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Performance reflects a maximum 5.75% Class A share front-end sales charge, or 5%
Class B(1) or Class B share or 1% Class C share contingent deferred sales
charge, where applicable. 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, returns would
have been lower. Class S shares, offered without sales charge, are available
through certain retirement plans and special programs.
Performance results for the fund are increased by the voluntary reduction of
fund fees and expenses; without subsidization, performance would have been
lower.
The Russell 1000 Index measures the performance of the 1,000 largest securities
in the Russell 3000 Index (an unmanaged index of the 3,000 largest publicly
traded U.S. companies). The index is unmanaged and does not take transaction
charges into consideration. It is not possible to invest directly in an index.
State Street Research Large-Cap Analyst Fund 5
- ----------------
PORTFOLIO
- ----------------
Holdings
April 30, 2004
Issuer Shares Value
- --------------------------------------------------------------------------------
Common Stocks 99.7%
Automobiles & Transportation 0.5%
Automotive Parts 0.5%
Navistar International Corp.* ........................ 5,400 $ 243,810
----------
Total Automobiles & Transportation ................................ 243,810
----------
Consumer Discretionary 14.6%
Casinos/Gambling, Hotel/Motel 0.9%
International Game Technology Inc. ................... 11,700 441,558
----------
Commercial Services 2.8%
Cendant Corp. ........................................ 14,600 345,728
InterActiveCorp* ..................................... 35,000 1,115,450
----------
1,461,178
----------
Communications, Media & Entertainment 1.7%
Univision Communications Inc. Cl. A* ................. 6,800 230,180
Walt Disney Co. ...................................... 28,900 665,567
----------
895,747
----------
Consumer Electronics 1.4%
Yahoo! Inc.* ......................................... 14,600 736,716
----------
Printing & Publishing 1.2%
News Corp. Ltd. ADR .................................. 17,500 639,800
----------
Restaurants 1.2%
McDonald's Corp. ..................................... 12,000 326,760
Starbucks Corp.* ..................................... 8,000 310,880
----------
637,640
----------
Retail 4.8%
Bed Bath & Beyond Inc.* .............................. 12,600 467,712
Best Buy Company Inc. ................................ 8,400 455,700
Federated Department Stores Inc. ..................... 7,500 367,500
Gap Inc. ............................................. 13,300 292,733
Home Depot Inc. ...................................... 18,500 651,015
Nordstrom Inc. ....................................... 6,800 242,284
----------
2,476,944
----------
Textile Apparel Manufacturers 0.6%
Coach Inc.* .......................................... 7,100 302,460
----------
Total Consumer Discretionary ...................................... 7,592,043
----------
Consumer Staples 7.3%
Beverages 3.2%
Coca-Cola Co. ........................................ 15,800 799,006
PepsiCo Inc. ......................................... 15,710 856,038
----------
1,655,044
----------
Drug & Grocery Store Chains 1.7%
CVS Corp. ............................................ 22,000 849,860
----------
Household Products 1.8%
Clorox Co. ........................................... 5,500 284,790
Procter & Gamble Co. ................................. 6,300 666,225
----------
951,015
----------
Issuer Shares Value
- --------------------------------------------------------------------------------
Tobacco 0.6%
Altria Group Inc. .................................... 5,900 $ 326,742
----------
Total Consumer Staples ............................................ 3,782,661
----------
Financial Services 22.0%
Banks & Savings & Loan 6.1%
Bank of America Corp. ................................ 9,900 796,851
Bank of New York Co. Inc. ............................ 17,100 498,294
Fifth Third Bancorp .................................. 7,000 375,620
J.P. Morgan Chase & Co. .............................. 19,470 732,072
Wells Fargo & Co. .................................... 13,000 733,980
----------
3,136,817
----------
Financial Data Processing Services & Systems 1.1%
First Data Corp. ..................................... 13,000 590,070
----------
Insurance 4.6%
AFLAC Inc. ........................................... 8,000 337,840
Allstate Corp. ....................................... 6,000 275,400
American International Group Inc. .................... 15,000 1,074,750
Hartford Financial Services Group Inc. ............... 11,800 720,744
----------
2,408,734
----------
Miscellaneous Financial 8.8%
Ambac Financial Group Inc. ........................... 7,100 489,900
American Express Co. ................................. 15,000 734,250
Citigroup Inc. ....................................... 33,200 1,596,588
Federal Home Loan Mortgage Corp. ..................... 6,900 402,960
Federal National Mortgage Association ................ 7,600 522,272
MBNA Corp. ........................................... 11,500 280,370
Willis Group Holdings Ltd. ........................... 14,700 533,757
----------
4,560,097
----------
Securities Brokerage & Services 1.4%
Lehman Brothers Holdings Inc. ........................ 3,500 256,900
Morgan Stanley Inc. .................................. 9,100 467,649
----------
724,549
----------
Total Financial Services .......................................... 11,420,267
----------
Health Care 14.0%
Drugs & Biotechnology 9.8%
Amgen Inc.* .......................................... 5,300 298,231
Biogen Idec Inc.* .................................... 6,050 356,950
Charles River Laboratories
International Inc.* ................................ 9,400 432,400
Chiron Corp.* ........................................ 8,400 389,760
Elan Corp.* ADR ...................................... 23,500 507,600
Gilead Sciences Inc.* ................................ 7,000 425,810
Novartis AG ADR ...................................... 24,300 1,088,640
Pfizer Inc. .......................................... 44,885 1,605,087
----------
5,104,478
----------
Health Care Services 2.5%
Aetna Inc. ........................................... 3,100 256,525
Caremark Rx Inc.* .................................... 12,700 429,895
Medco Health Solutions Inc.* ......................... 9,300 329,220
WellPoint Health Networks Inc. Cl. A* ................ 2,700 301,563
----------
1,317,203
----------
Hospital Supply 1.7%
Guidant Corp. ........................................ 3,900 245,739
Medtronic Inc. ....................................... 12,100 610,566
----------
856,305
----------
Total Health Care ................................................. 7,277,986
----------
Integrated Oils 4.2%
Integrated International 4.2%
Exxon Mobil Corp. .................................... 40,400 1,719,020
Total Fina SA ADR .................................... 5,000 460,600
----------
Total Integrated Oils ............................................. 2,179,620
----------
6 The notes are an integral part of the financial statements.
Issuer Shares Value
- --------------------------------------------------------------------------------
Materials & Processing 3.5%
Chemicals 2.3%
Air Products & Chemicals Inc. ...................... 4,800 $ 239,088
Dow Chemical Co. ................................... 15,800 627,102
Sherwin Williams Co. ............................... 8,000 304,400
----------
1,170,590
----------
Containers & Packaging 0.5%
Sealed Air Corp.* .................................. 5,500 269,940
----------
Paper & Forest Products 0.7%
International Paper Co. ............................ 9,400 379,008
----------
Total Materials & Processing ..................................... 1,819,538
----------
Diversified Manufacturing 5.6%
Multi-Sector 5.6%
General Electric Co. ............................... 50,900 1,524,455
Honeywell International Inc. ....................... 23,200 802,256
ITT Industries Inc. ................................ 7,300 578,817
----------
Total Other ...................................................... 2,905,528
----------
Other Energy 3.5%
Gas Pipelines 1.7%
EOG Resources Inc. ................................. 17,300 852,025
----------
Miscellaneous Energy 0.7%
Consol Energy Inc. ................................. 6,800 194,684
Peabody Energy Corp. ............................... 3,700 173,493
----------
368,177
----------
Oil Well Equipment & Services 1.1%
BJ Services Co.* ................................... 6,600 293,700
Patterson-UTI Energy Inc.* ......................... 7,500 271,425
----------
565,125
----------
Total Other Energy ............................................... 1,785,327
----------
Producer Durables 5.3%
Industrial Products 1.2%
American Power Conversion Corp. .................... 32,500 606,450
----------
Machinery 1.6%
AGCO Corp.* ........................................ 28,600 550,550
Illinois Tool Works Inc. ........................... 3,300 284,493
----------
835,043
----------
Miscellaneous Equipment 0.5%
Pentair Inc. ....................................... 4,400 262,196
----------
Production Technology Equipment 2.0%
Applied Materials Inc.* ............................ 28,000 510,440
Lam Research Corp.* ................................ 25,000 553,500
----------
1,063,940
----------
Total Producer Durables .......................................... 2,767,629
----------
Technology 12.7%
Communications Technology 2.3%
Cisco Systems Inc.* ................................ 41,800 872,366
QUALCOMM Inc. ...................................... 5,300 331,038
----------
1,203,404
----------
Computer Software 2.9%
Microsoft Corp. .................................... 33,600 872,592
Oracle Corp.* ...................................... 56,800 637,296
----------
1,509,888
----------
Computer Technology 1.7%
EMC Corp.* ......................................... 48,400 540,144
Hewlett-Packard Co. ................................ 16,100 317,170
----------
857,314
----------
Issuer Shares Value
- --------------------------------------------------------------------------------
Electronics 0.7%
Flextronics International Ltd.* .................... 22,100 $ 355,810
----------
Electronics: Semiconductors/Components 5.1%
Cypress Semiconductor Corp.* ....................... 19,700 275,209
Intel Corp. ........................................ 48,700 1,253,051
Linear Technology Corp. ............................ 15,900 566,517
Maxim Integrated Products Inc. ..................... 7,000 321,930
PerkinElmer Inc. ................................... 13,000 250,250
----------
2,666,957
----------
Total Technology ................................................. 6,593,373
----------
Utilities 6.5%
Cable Television & Radio 2.2%
Comcast Corp.* ..................................... 22,500 677,250
Cox Communications Inc. Cl. A* ..................... 14,700 480,543
----------
1,157,793
----------
Electrical 0.9%
Exelon Corp.* ...................................... 6,500 435,110
----------
Telecommunications 3.4%
Nextel Communications Inc. Cl. A* .................. 10,800 257,688
Qwest Communications
International Inc.* .............................. 58,800 236,376
SBC Communications Inc. ............................ 18,500 460,650
Verizon Communications Inc. ........................ 21,500 811,410
----------
1,766,124
----------
Total Utilities .................................................. 3,359,027
----------
Total Common Stocks (Cost $47,764,802) ........................... 51,726,809
----------
Short-Term Investments 2.8%
State Street Navigator Securities
Lending Prime Portfolio .......................... 1,480,975 1,480,975
----------
Total Short-Term Investments (Cost $1,480,975) ................... 1,480,975
----------
Principal
Amount
- --------------------------------------------------------------------------------
Commercial Paper 0.9%
American Express
Credit Corp., 1.00% 5/04/2004 $450,000 449,962
-------
Total Commercial Paper (Cost $449,962) ........................... 449,962
-------
% of
Net Assets
- --------------------------------------------------------------------------------
Summary of Portfolio Assets
Investments (Cost $49,695,739) ..................... 103.4% 53,657,746
Cash and Other Assets, Less Liabilities ............ (3.4%) (1,789,011)
--------- ------------
Net Assets ......................................... 100.0% $ 51,868,735
========= ============
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 April 30, 2004, the net unrealized appreciation of
investments based on cost for federal income tax
purposes of $49,921,043 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $ 5,587,680
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (1,850,977)
------------
$ 3,736,703
============
The notes are an integral part of the financial statements.
State Street Research Large-Cap Analyst Fund 7
- -----------
FINANCIAL
- -----------
Statements
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
April 30, 2004
Assets
Investments, at value (cost $49,695,739) .................... $53,657,746
Cash ........................................................ 27,904
Receivable for securities sold .............................. 880,235
Dividends receivable ........................................ 47,802
Receivable from distributor ................................. 37,709
Receivable for fund shares sold ............................. 31,584
Other assets ................................................ 19,773
-----------
54,702,753
-----------
Liabilities
Payable for collateral received on securities loaned ........ 1,480,975
Payable for securities purchased ............................ 1,118,633
Accrued transfer agent and shareholder services ............. 77,489
Accrued management fee ...................................... 27,880
Payable for fund shares redeemed ............................ 19,536
Accrued distribution and service fees ....................... 15,816
Accrued trustees' fees ...................................... 10,225
Accrued administration fee .................................. 3,884
Other accrued expenses ...................................... 79,580
-----------
2,834,018
-----------
Net Assets .................................................. $51,868,735
===========
Net Assets consist of:
Undistributed net investment income ....................... $ 154,918
Unrealized appreciation of investments .................... 3,962,007
Accumulated net realized loss ............................. (7,742,123)
Paid-in capital ........................................... 55,493,933
-----------
$51,868,735
===========
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 $32,726,344 3,119,811 $10.49*
B(1) $7,600,574 758,856 $10.02**
B $8,502,245 823,516 $10.32**
C $1,161,394 115,707 $10.04**
S $1,878,178 176,714 $10.63
* Maximum offering price per share = $11.13 ($10.49 [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 year ended April 30, 2004
Investment Income
Interest (Note 1) ............................................ $ 34,815
Dividends, net of foreign taxes of $5,623 (Note 1) ........... 621,210
----------
656,025
----------
Expenses
Management fee (Note 2) ...................................... 295,776
Transfer agent and shareholder services ...................... 230,045
Administration fee (Note 2) .................................. 96,131
Custodian fee ................................................ 89,208
Distribution and service fees - Class A (Note 5) ............. 83,021
Distribution and service fees - Class B(1) (Note 5) .......... 65,002
Distribution and service fees - Class C (Note 5) ............. 9,940
Registration fees ............................................ 56,925
Reports to shareholders ...................................... 47,334
Audit fee .................................................... 25,117
Trustees' fees (Note 2) ...................................... 16,445
Legal fees ................................................... 4,301
Miscellaneous ................................................ 18,011
----------
1,037,256
Expenses borne by the distributor (Note 3) ................... (421,574)
Fees paid indirectly (Note 2) ................................ (2,685)
----------
612,997
----------
43,028
Reimbursement of distribution fees (Note 5) .................. 121,362
----------
Net investment income ........................................ 164,390
----------
Realized and Unrealized Gain on
Investments
Net realized gain on investments and options
(Notes 1 and 4) ............................................ 7,053,307
Change in unrealized appreciation of investments ............. 2,029,732
----------
Net gain on investments ...................................... 9,083,039
----------
Net increase in net assets resulting from operations ......... $9,247,429
==========
8 The notes are an integral part of the financial statements.
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
Years ended April 30
--------------------------------
2004 2003
------------ ------------
Increase (Decrease) In Net Assets
Operations:
Net investment income .................... $ 164,390 $ 38,187
Net realized gain (loss)
on investments ......................... 7,053,307 (9,130,490)
Change in unrealized
appreciation (depreciation)
on investments ......................... 2,029,732 (462,346)
------------ ------------
Net increase (decrease) in
net assets resulting from
operations ............................. 9,247,429 (9,554,649)
------------ ------------
Dividend from net investment
income:
Class A ................................ (50,020) --
Class S ................................ (6,414) --
------------ ------------
(56,434) --
------------ ------------
Net increase (decrease) from fund
share transactions (Note 6) ............ 6,699,133 (13,457,435)
------------ ------------
Total increase (decrease) in
net assets ............................. 15,890,128 (23,012,084)
Net Assets
Beginning of year ........................ 35,978,607 58,990,691
------------ ------------
End of year (includes
undistributed net investment
income of $154,918 and
$50,679, respectively) ................. $ 51,868,735 $ 35,978,607
============ ============
Notes to Financial Statements
- --------------------------------------------------------------------------------
April 30, 2004
Note 1
State Street Research Large-Cap Analyst Fund is a series of State Street
Research Securities Trust (the "Trust"), which is organized as a Massachusetts
business trust, and is registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company.
The fund seeks to provide long-term growth of capital. In seeking to achieve
its investment objective, the fund invests at least 80% of net asset in
large-cap stocks and convertible securities of U.S. and foreign companies. The
fund considers large-cap companies to be those with market capitalizations
within the range of the Russell 1000 Index (an index of the 1,000 largest
publicly traded U.S. companies) and of other U.S. and foreign companies of
comparable size.
The fund offers five classes of shares. Class A shares are subject to an
initial sales charge of up to 5.75% and pay annual service and distribution
fees equal to 0.30% of average daily net assets. Class B(1) shares pay annual
service and distribution fees of 1.00% and automatically convert into Class A
shares (which pay lower ongoing expenses) at the end of eight years. Class B(1)
shares are subject to a contingent deferred sales charge on certain redemptions
made within six years of purchase. 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 B shares automatically convert into
Class A shares at the end of eight years. Class B shares are subject to a
contingent deferred sales charge on certain redemptions made within five years
of purchase. Class C shares are subject to a contingent deferred sales charge
of 1.00% on any shares redeemed within one year of their purchase, and also pay
annual service and distribution fees of 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.
The notes are an integral part of the financial statements.
State Street Research Large-Cap Analyst Fund 9
Notes (continued)
- --------------------------------------------------------------------------------
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
C. Net Investment Income
Net investment income is determined daily and consists of interest and
dividends accrued and discount earned, less the estimated daily expenses of the
fund. Interest income is accrued daily as earned. Dividend income is accrued on
the ex-dividend date.
D. Dividends
Dividends from net investment income are declared and paid or reinvested
annually. Net realized capital gains, if any, are distributed annually, unless
additional distributions are required for compliance with applicable tax
regulations. The fund has designated $56,434 as ordinary income dividends and
$0 as long-term capital gains distributions.
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 April 30, 2004, the fund had a capital loss carryforward of $7,516,820
available, to the extent provided in regulations, to offset future capital
gains, if any, all of which expires on April 30, 2011.
In order to meet certain excise tax distribution requirements under Section
4982 of the Internal Revenue Code, the fund is required to measure and
distribute annually, if necessary, net capital gains realized during a
twelve-month period ending October 31. In this connection, the fund is
permitted to defer into its next fiscal year any net capital losses incurred
between each November 1 and the end of its fiscal year. From November 1, 2002,
through April 30, 2003, the fund incurred net capital losses of $2,627,722 and
has deferred and treated such losses as arising in the fiscal year ended April
30, 2004.
To the extent book/tax differences are permanent in nature, such amounts are
reclassified within the capital accounts based on federal tax basis treatment.
The fund reclassified for book purposes amounts arising from permanent book/tax
differences primarily relating to non-deductible excise taxes. At April 30,
2004, the components of distributable earnings on a tax basis differ from the
amounts reflected in the Statement of Assets and Liabilities by temporary
book/tax differences largely arising from wash sales and capital loss
carryforwards. At April 30, 2004, the tax basis distributable earnings were
$154,918 in undistributed ordinary income and $0 in undistributed long-term
gains.
F. Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of income and
expenses during the reporting period. Actual results could differ from these
estimates.
G. Securities Lending
The fund may seek additional income by lending portfolio securities to
qualified institutions. The fund will receive cash or securities as collateral
in an amount equal to at least 100% of the current market value of any loaned
securities plus accrued interest. By reinvesting any cash collateral it
receives in these transactions, the fund could realize additional gains and
losses. If the borrower fails to return the securities and the value of the
collateral has declined during the term of the loan, the fund will bear the
loss. At April 30, 2004, the value of the securities loaned and the value of
collateral were $1,426,116 and $1,480,975 (consisting entirely of cash
collateral invested in State Street Navigator Securities Lending Prime
Portfolio), respectively. During the year ended April 30, 2004, income from
securities lending amounted to $1,827 and is included in interest income.
Note 2
The Trust and the Adviser have entered into an agreement under which the
Adviser earns monthly fees at an annual rate of 0.65% of fund net assets. In
consideration of these fees, the Adviser furnishes the fund with management,
investment advisory, statistical and research facilities and services. The
Adviser also pays all salaries, rent and certain other expenses of management.
During the year ended April 30, 2004, the fees pursuant to such agreement
amounted to $295,776.
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 year ended April 30, 2004, the amount of such expenses
allocated to the fund was $66,736.
The fund has entered into an arrangement with its transfer agent whereby
credits realized as a result of uninvested cash balances and directed brokerage
commissions, respectively, were used to reduce a portion of the fund's
expenses. During the year ended April 30, 2004, the fund's transfer agent fees
were reduced by $2,685 under these arrangements.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$16,445 during the year ended April 30, 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 year ended April 30, 2004, the amount of such
expenses was $96,131.
Note 3
The Distributor and its affiliates may from time to time and in varying amounts
voluntarily assume some portion of fees and expenses relating to the fund. For
the year ended April 30, 2004, the amount of such expenses assumed by the
Distributor and its affiliates was $421,574.
Note 4
For the year ended April 30, 2004, purchases and sales of securities, exclusive
of short-term obligations, aggregated $56,144,406, and $48,470,978,
respectively.
Note 5
The Trust has adopted plans of distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940. Under the plans, the fund pays annual service
fees to the Distributor at a rate of 0.25% of average daily net assets for
Class A, Class B(1), Class B and Class C shares. In addition, the fund pays
annual distribution fees of 0.05% of average daily net assets for Class A
shares and 0.75% of average daily net assets for Class B(1), Class B and Class
C shares. Currently, the annual service and distribution fees paid by Class B
shares have been voluntarily 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 year ended
10
April 30, 2004, the Distributor reimbursed a total of $121,362 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. For the year ended April 30,
2004, fees pursuant to such plans amounted to $83,021, $65,002, and $9,940 for
Class A, Class B(1) and Class C shares, respectively. As of April 30, 2004,
there were $571,363, $390,898, and $419,478 for Class A, Class B(1) and Class C
shares, respectively, of unreimbursed distribution and shareholder servicing
related expenses to be carried forward to future plan years.
The fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of MetLife, earned initial sales charges aggregating
$61,508 and $336,679, respectively, on sales of Class A shares of the fund
during the year ended April 30, 2004, and that MetLife Securities, Inc. earned
commissions aggregating $202,645 and $3,926 on sales of Class B(1) and Class C
shares, respectively, and the Distributor collected contingent deferred sales
charges aggregating $16,256, $2,612 and $55 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 par value per share. These transactions break
down by share class as follows:
Years ended April 30
------------------------------------------------------------
2004 2003
------------------------------------------------------------
Class A Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 1,460,047 $ 14,326,166 942,130 $ 7,966,395
Issued upon reinvestment of dividends from net investment income 4,820 49,361 -- --
Shares redeemed (788,343) (7,783,284) (1,591,554) (13,018,192)
------------ ------------ ------------ ------------
Net increase (decrease) 676,524 $ 6,592,243 (649,424) $ (5,051,797)
============ ============ ============ ============
Class B(1) Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 243,721 $ 2,331,099 194,805 $ 1,557,170
Shares redeemed (144,904) (1,102,824) (349,924) (2,709,281)
------------ ------------ ------------ ------------
Net increase (decrease) 98,817 $ 1,228,275 (155,119) $ (1,152,111)
============ ============ ============ ============
Class B Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 35,528 $ 331,885 65,423 $ 518,080
Shares redeemed (199,372) (1,922,441) (399,002) (3,127,283)
------------ ------------ ------------ ------------
Net decrease (163,844) $ (1,590,556) (333,579) $ (2,609,203)
============ ============ ============ ============
Class C Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 31,883 $ 310,024 61,660 $ 485,458
Shares redeemed (21,414) (200,459) (173,362) (1,317,372)
------------ ------------ ------------ ------------
Net increase (decrease) 10,469 $ 109,565 (111,702) $ (831,914)
============ ============ ============ ============
Class S Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------------
Shares sold 129,850 $ 1,254,196 134,514 $ 1,117,726
Issued upon reinvestment of dividends from net investment income 619 6,414 -- --
Shares redeemed (92,976) (901,004) (646,384) (4,930,136)
------------ ------------ ------------ ------------
Net increase (decrease) 37,493 $ 359,606 (511,870) $ (3,812,410)
============ ============ ============ ============
State Street Research Large-Cap Analyst Fund 11
- -----------
FINANCIAL
- -----------
Highlights
For a share outstanding throughout each year:
Class A
-------------------------------------------------------------
Years ended April 30
-------------------------------------------------------------
2004(a) 2003(a) 2002(a)(c) 2001(a)(c) 2000(a)(c)
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 8.48 9.83 11.48 13.70 11.73
--------- --------- --------- --------- ---------
Net investment income (loss) ($)* 0.01 0.02 (0.01) (0.04) (0.04)
Net realized and unrealized gain (loss) on investments ($) 2.02 (1.37) (1.64) (1.22) 2.20
--------- --------- --------- --------- ---------
Total from investment operations ($) 2.03 (1.35) (1.65) (1.26) 2.16
--------- --------- --------- --------- ---------
Dividend from net investment income ($) (0.02) -- -- -- --
Distributions from capital gains ($) -- -- -- (0.96) (0.19)
--------- --------- --------- --------- ---------
Total distributions ($) (0.02) -- -- (0.96) (0.19)
--------- --------- --------- --------- ---------
Net asset value, end of year ($) 10.49 8.48 9.83 11.48 13.70
========= ========= ========= ========= =========
Total return (%)(b) 23.90 (13.73) (14.37) (9.65) 18.57
Ratios/Supplemental Data:
- --------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 32,726 20,711 30,401 24,452 26,704
Expense ratio (%)* 1.31 1.30 1.32 1.34 1.27
Expense ratio after expense reductions (%)* 1.30 1.30 1.30 1.30 1.25
Ratio of net investment income (loss) to average net assets (%)* 0.14 0.18 (0.11) (0.29) (0.29)
Portfolio turnover rate (%) 109.07 101.21 87.28 84.75 106.12
*Reflects voluntary reduction of expenses of these amounts (%) 0.92 1.02 (0.84) 0.67 0.61
Class B(1)
-----------------------------------------------------------
Years ended April 30
-----------------------------------------------------------
2004(a) 2003(a) 2002(a)(c) 2001(a)(c) 2000(a)(c)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 8.14 9.52 11.19 13.46 11.63
-------- -------- -------- -------- --------
Net investment loss ($)* (0.05) (0.04) (0.08) (0.12) (0.13)
Net realized and unrealized gain (loss) on investments ($) 1.93 (1.34) (1.59) (1.19) 2.15
-------- -------- -------- -------- --------
Total from investment operations ($) 1.88 (1.38) (1.67) (1.31) 2.02
-------- -------- -------- -------- --------
Distributions from capital gains ($) -- -- -- (0.96) (0.19)
-------- -------- -------- -------- --------
Total distributions ($) -- -- -- (0.96) (0.19)
-------- -------- -------- -------- --------
Net asset value, end of year ($) 10.02 8.14 9.52 11.19 13.46
======== ======== ======== ======== ========
Total return (%)(b) 23.10 (14.50) (14.92) (10.23) 17.52
Ratios/Supplemental Data:
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 7,601 5,126 7,471 8,113 6,847
Expense ratio (%)* 2.01 2.00 2.02 2.04 2.02
Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00 2.00
Ratio of net investment loss to average net assets (%)* (0.56) (0.52) (0.80) (0.99) (1.05)
Portfolio turnover rate (%) 109.07 101.21 87.28 84.75 106.12
*Reflects voluntary reduction of expenses of these amounts (%) 0.93 1.03 0.87 0.67 0.61
Class B
---------------------------------------------------------------
Years ended April 30
---------------------------------------------------------------
2004(a)(d) 2003(a) 2002(a)(c) 2001(a)(c) 2000(a)(c)
- ----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 8.19 9.52 11.19 13.47 11.63
--------- --------- --------- --------- ---------
Net investment income (loss) ($)* 0.18 0.01 (0.08) (0.12) (0.13)
Net realized and unrealized gain (loss) on investments ($) 1.95 (1.34) (1.59) (1.20) 2.16
--------- --------- --------- --------- ---------
Total from investment operations ($) 2.13 (1.33) (1.67) (1.32) 2.03
--------- --------- --------- --------- ---------
Distributions from capital gains ($) -- -- -- (0.96) (0.19)
--------- --------- --------- --------- ---------
Total distributions ($) -- -- -- (0.96) (0.19)
--------- --------- --------- --------- ---------
Net asset value, end of year ($) 10.32 8.19 9.52 11.19 13.47
========= ========= ========= ========= =========
Total return (%)(b) 26.01 (13.97) (14.92) (10.30) 17.61
Ratios/Supplemental Data:
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 8,502 8,089 12,576 17,054 21,267
Expense ratio (%)* 1.01 1.33 2.02 2.04 2.02
Expense ratio after expense reductions (%)* 1.00 1.33 2.00 2.00 2.00
Ratio of net investment income (loss) to average net assets (%)* 1.85 0.08 (0.79) (1.00) (1.04)
Portfolio turnover rate (%) 109.07 101.21 87.28 84.75 106.12
*Reflects voluntary reduction of expenses of these amounts (%) 0.94 1.02 0.89 0.67 0.61
12
Class C
--------------------------------------------------------------
Years ended April 30
--------------------------------------------------------------
2004(a) 2003(a) 2002(a)(c) 2001(a)(c) 2000(a)(c)
- ---------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 8.15 9.53 11.20 13.48 11.63
-------- -------- -------- -------- --------
Net investment loss ($)* (0.05) (0.04) (0.08) (0.12) (0.13)
Net realized and unrealized gain (loss) on investments ($) 1.94 (1.34) (1.59) (1.20) 2.17
-------- -------- -------- -------- --------
Total from investment operations ($) 1.89 (1.38) (1.67) (1.32) 2.04
-------- -------- -------- -------- --------
Distributions from capital gains ($) -- -- -- (0.96) (0.19)
-------- -------- -------- -------- --------
Total distributions ($) -- -- -- (0.96) (0.19)
-------- -------- -------- -------- --------
Net asset value, end of year ($) 10.04 8.15 9.53 11.20 13.48
======== ======== ======== ======== ========
Total return (%)(b) 23.19 (14.48) (14.91) (10.28) 17.70
Ratios/Supplemental Data:
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 1,161 858 2,068 2,576 5,393
Expense ratio (%)* 2.01 2.00 2.02 2.04 2.02
Expense ratio after expense reductions (%)* 2.00 2.00 2.00 2.00 2.00
Ratio of net investment loss to average net assets (%)* (0.56) (0.51) (0.79) (1.00) (1.08)
Portfolio turnover rate (%) 109.07 101.21 87.28 84.75 106.12
*Reflects voluntary reduction of expenses of these amounts (%) 0.93 1.00 0.88 0.67 0.61
Class S
------------------------------------------------------------------
Years ended April 30
------------------------------------------------------------------
2004(a) 2003(a) 2002(a)(c) 2001(a)(c) 2000(a)(c)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of year ($) 8.58 9.95 11.58 13.77 11.76
-------- -------- -------- -------- --------
Net investment income (loss) ($)* 0.04 0.04 0.02 0.00 (0.00)
Net realized and unrealized gain (loss) on investments ($) 2.05 (1.41) (1.65) (1.23) 2.20
-------- -------- -------- -------- --------
Total from investment operations ($) 2.09 (1.37) (1.63) (1.23) 2.20
-------- -------- -------- -------- --------
Dividend from net investment income ($) (0.04) -- -- -- --
Distributions from capital gains ($) -- -- -- (0.96) (0.19)
-------- -------- -------- -------- --------
Total distributions ($) (0.04) -- -- (0.96) (0.19)
-------- -------- -------- -------- --------
Net asset value, end of year ($) 10.63 8.58 9.95 11.58 13.77
======== ======== ======== ======== ========
Total return (%)(b) 24.36 (13.77) (14.08) (9.38) 18.87
Ratios/Supplemental Data:
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets at end of year ($ thousands) 1,878 1,195 6,476 6,980 6,895
Expense ratio (%)* 1.01 1.00 1.02 1.04 1.02
Expense ratio after expense reductions (%)* 1.00 1.00 1.00 1.00 1.00
Ratio of net investment income (loss) to average net assets (%)* 0.44 0.52 0.20 0.01 (0.04)
Portfolio turnover rate (%) 109.07 101.21 87.28 84.75 106.12
*Reflects voluntary reduction of expenses of these amounts (%) 0.93 0.99 0.87 0.67 0.61
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges. Total
return would be lower if the distributor and its affiliates had not
voluntarily assumed a portion of the fund's expenses.
(c) Audited by other auditors
(d) During the year ended April 30, 2004, the Distributor reimbursed Class B
shares of the fund the estimated excess of payments received over costs
incurred under the 12B-1 plan. The effect of this reimbursement was to
increase net investment income per share $0.14, increase the total return
1.40% and increase the ratio of net investment income to average net assets
1.40%.
State Street Research Large-Cap Analyst Fund 13
- -----------
REPORT OF
- -----------
Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders
of State Street Research Large-Cap Analyst Fund
We have audited the accompanying statement of assets and liabilities, including
the portfolio holdings, of State Street Research Large-Cap Analyst Fund (the
"Fund"), a series of State Street Research Securities Trust, as of April 30,
2004, and the related statement of operations for the year then ended, the
statement of changes in net assets, and the financial highlights for each of
the two years in the period then ended. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights for each of
the years in the three-year period ended April 30, 2002, were audited by other
auditors whose report dated June 14, 2002, expressed an unqualified opinion on
such statement and financial highlights.
We conducted our audits in accordance with Standards of the Public Company
Accounting Oversight Board (United States).Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of April 30, 2004, by
correspondence with the custodian and brokers; where replies were not received
from brokers, we performed other auditing procedures. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Fund as of April 30, 2004, the results of its operations for the year then
ended, the changes in its net assets, and the financial highlights for each of
the two years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 11, 2004
14
- --------------------------
TRUSTEES AND OFFICERS
- --------------------------
State Street Research Securities 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 Corp.
(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
(62) 2004 PricewaterhouseCoopers LLP Marblehead Corp.
- ------------------------------------------------------------------------------------------------------------------------------------
Steve A. Garban Trustee Since Retired; formerly Senior 53 Metropolitan
(66) 1997 Vice President for Finance and Series Fund, Inc.
Operations and Treasurer, and Metropolitan
The Pennsylvania State University Series Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Susan M. Phillips Trustee Since Dean, School of Business and Public 19 The Kroger Co.
(59) 1999 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) 1994 (investments); President, Pacific Four Metropolitan
Investments (investments); formerly Series Fund, Inc.
President, The Glen Ellen Company and Metropolitan
(private investment firm) Series Fund II
- ------------------------------------------------------------------------------------------------------------------------------------
Michael S. Trustee Since Jay W. Forrester Professor of 53 Metropolitan
Scott Morton (66) 1994 Management, Sloan School of Management, Series Fund, Inc.
Massachusetts Institute of Technology and Metropolitan
Series Fund II
====================================================================================================================================
Interested Trustees
Richard S. Davis(+) Trustee Since Chairman of the Board, President 19 None
(58) 2000 and Chief Executive Officer
of State Street Research & Management
Company; formerly Senior Vice
President, Fixed Income Investments,
Metropolitan Life Insurance Company
====================================================================================================================================
Officers
Edward Dowd Vice Since Vice President of State Street Research 7 None
(37) President 2003 & Management Company, formerly Vice
President, Independence Investment LLC
and equity research associate,
Donaldson, Lufkin and Jenrette
- ------------------------------------------------------------------------------------------------------------------------------------
C. Kim Goodwin Vice Since Managing Director and Chief Investment 18 None
(45) President 2002 Officer - Equities of State Street
Research & Management Company;
formerly Chief Investment Officer
- U.S. Growth Equities, American Century
- ------------------------------------------------------------------------------------------------------------------------------------
Jeffrey Lindsey Vice Since Managing Director of State Street 7 None
(41) President 2003 Research & Management Company,
formerly Managing Director and
Senior Vice President,
Putnam Investments
- ------------------------------------------------------------------------------------------------------------------------------------
John S. Lombardo Vice Since Managing Director, Chief Financial 19 None
(49) President 2001 Officer and Director of State Street
Research & Management Company;
formerly Executive Vice President, State
Street Research & Management Company;
and Senior Vice President,
Product and Financial Management,
MetLife Auto & Home
- ------------------------------------------------------------------------------------------------------------------------------------
Ajay Mehra Vice Since Managing Director of State Street 4 None
(39) President 2003 Research & Management Company;
formerly Senior Vice President
and Portfolio Manager,
Columbia Management Group
- ------------------------------------------------------------------------------------------------------------------------------------
Denis J. Walsh III Vice Since Managing Director of State Street 2 None
(43) President 2003 Research & Management Company;
formerly Senior Research Analyst,
Fleet Investment Advisors
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since Senior Vice President and Treasurer 19 None
(47) 2001 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 serves as sole investment adviser and all
series of Metropolitan Series Fund, Inc. and Metropolitan Series Fund II.
The primary adviser to Metropolitan Series Fund, Inc. and Metropolitan
Series Fund II is MetLife Advisers, LLC, which has retained State Street
Research & Management Company as sub-adviser to certain series of
Metropolitan Series Fund, Inc.
(+) Mr. Davis is an "interested person" of the Trust under the Investment
Company Act of 1940 by reason of his affiliation with the Trust's
Investment Manager, State Street Research & Management Company, as noted.
State Street Research Large-Cap Analyst Fund 15
----------------
[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 Did You Know?
E-mail info@ssrfunds.com State Street Research offers electronic delivery
of quarterly statements, shareholder reports and
Phone 1-87-SSR-FUNDS (1-877-773-8637), fund prospectuses. If you elect this option, we
toll-free, 7 days a week, 24 hours a day will send these materials to you via e-mail. To
Hearing-impaired: 1-800-676-7876 learn more, visit us on the Web at
Chinese- and Spanish-speaking: 1-888-638-3193 www.ssrfunds.com and click on "Go to Your Account"
or call us at 1-87-SSR-FUNDS (1-877-773-8637).
Fax 1-617-737-9722 (request confirmation number
first from the Service Center by calling 1-877-773-8637) Did you know that you can give a State Street
Research mutual fund as a gift?
Mail State Street Research Service Center Call a service center representative at
P.O. Box 8408, Boston, MA 02266-8408 1-87-SSR-FUNDS (1-877-773-8637), Monday through
Friday, 8am-6pm 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 any State
Street Research 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 [GRAPHIC]
topics, tune in to a State Street Research webcast by visiting our website at for Excellence in
www.ssrfunds.com. Shareholder Communications
Complete Fund Listing [GRAPHIC]
For a list of our funds, visit our website at www.ssrfunds.com under Research for Excellence in Service
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 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:(exp0605)SSR-LD LCA-1891-0604
<Page>
FORM N-CSR(2 OF 3)
ITEM 2: CODE OF ETHICS
(a) The Registrant has, as of the end of the period covered by this
report, adopted a code of ethics pursuant to Section 406 of the
Sarbanes-Oxley Act and as defined in the instructions to Form N-CSR
that applies to the Registrant's principal executive officer,
principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of
whether these individuals are employed by the Registrant or a third
party.
(b) Omitted
(c) During the period covered by this report, there were not any amendments
to the provisions of the code of ethics adopted in 2(a) above.
(d) During the period covered by this report, there were not any waivers or
implicit waivers to a provision of the code of ethics adopted in 2(a)
above.
(e) Not applicable.
(f) Not applicable.
ITEM 3: AUDIT COMMITTEE FINANCIAL EXPERT
The Registrant's Board of Trustees has determined that Steve A. Garban,
a member of the Registrant's Board of Trustees and Audit Committee,
qualifies as an "audit committee financial expert" as such term is
defined in the instructions to Form N-CSR. Mr. Garban is "independent",
as defined in the instructions to Form N-CSR.
ITEM 4: PRINCIPAL ACCOUNTANT FEES AND SERVICES
<Table>
<Caption>
(a) Audit Fee
Fiscal year ended April 30, 2003 $22,000
Fiscal year ended April 30, 2004 $24,000
(b) Audit-Related Fees - Represents fees for assurance and related services
related to the audit of the registrant's financial statements.
Fiscal year ended April 30, 2003 $0
Fiscal year ended April 30, 2004 $0
(c) Tax Fees - Represents fees for professional services rendered by the
principal accountant for tax compliance, tax provision review, and the
tax return preparation.
Fiscal year ended April 30, 2003 $3,500
Fiscal year ended April 30, 2004 $3,750
(d) All other fees - Represents fees paid to Deloitte & Touche LLP to provide a
special review of late trading, market timing and related issues concerning
the Registrant.
Fiscal year ended April 30, 2003 $0
Fiscal year ended April 30, 2004 $14,000
</Table>
The Registrant's independent accountants, Deloitte & Touche LLP, and their
predecessor, PricewaterhouseCoopers LLP, did not bill fees for
audit-related, tax, or other non-audit services that required pre-approval by
the Audit Committee pursuant to paragraph (c)(7)(ii) of Rule 2-01 of
Regulation S-X during the Registrant's last two fiscal years.
(e)(1) The Audit Committee has determined that all work performed for the
Registrant by Deloitte & Touche LLP will be pre-approved by the full Audit
Committee and, therefore, has not adopted pre-approval procedures.
(2) None.
(f) Not applicable.
(g) Non-Audit Fees - Represents fees for audit-related, tax and other non-audit
services rendered by the principal accountant to the Registrant, the
Registrant's investment adviser and any entity controlling, controlled by, or
under common control with the investment adviser that provides ongoing
services to the Registrant.
Fiscal Year Ended April 30, 2003 $3,500
Fiscal Year Ended April 30, 2004 $63,500
(h) The Audit Committee of the Registrant has considered whether the
non-audit services that were rendered by the Registrant's principal
accountant to the Registrant's investment adviser (not including any
subadviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser) and any
entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the Registrant and
that were not pre-approved by the Audit Committee are compatible with
maintaining the principal accountant's independence.
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 SECURITIY HOLDERS
The Governance Committee will consider nominees recommended by
shareholders. Shareholders may submit recommendations to the
attention of the Secretary of the Trust, State Street Research
& Management Company, One Financial Center, 30th Floor, Boston
MA 02111.
ITEM 10: CONTROLS AND PROCEDURES
(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 Securities Trust
By: /s/ Richard S. Davis
------------------------------------------------------
Richard S. Davis, President, Chairman and
Chief Executive Officer
Principal Executive Officer
Date June 30, 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 June 30, 2004
------------------------
By: /s/ Douglas A. Romich
------------------------------------------------------
Douglas A. Romich, Treasurer
Principal Financial Officer
Date June 30, 2004
------------------------