<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
----------------------------------------------
State Street Research Securities Trust
------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
One Financial Center, Boston, MA 02111
------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Terrence J. Cullen, Senior Vice President and Counsel
State Street Research
One Financial Center, Boston, MA 02111
------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-357-1200
------------------
Date of fiscal year end: 10/31/04
-----------------
Date of reporting period: 11/1/03 - 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 Semi-annual Report is attached.
[LOGO] STATE STREET RESEARCH
Legacy Fund
April 30, 2004
Semiannual Report to Shareholders
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[LOGO] STATE STREET RESEARCH
Legacy Fund
April 30, 2004
Semiannual Report to Shareholders
<Page>
Table of Contents
3 Performance Discussion
4 Portfolio Holdings
6 Financial Statements
10 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 November 1, 2003, to April 30, 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.
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. Consumer confidence
slipped in March. However, strong job growth in March and April suggested that
the economic recovery was on solid ground. 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, delivering returns that exceeded those of
the broad stock market. However, they also stalled along with the stock market
late in the period. Most other segments of the bond market reported low
single-digit returns. Mortgage bonds bounced back as prepayment activity slowed.
Investment-grade and municipal bonds earned solid but modest returns. Government
bonds were the period's weakest performers; they were hurt the most when
interest rates rose late in the period.
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
<Page>
PERFORMANCE
Discussion as of April 30, 2004
How State Street Research Legacy Fund Performed
State Street Research Legacy Fund returned 2.18% for the six-month period ended
April 30, 2004.(1) That was less than the Russell 1000[RegTM] Growth Index,
which returned 4.14% over the same period.(2) The fund also slightly
underperformed the Lipper Large-Cap Growth Funds Average, which returned 2.45%
for the six-month period.(2)
Reasons for the Fund's Performance
Poor stock selection in the technology, producer durables and automobiles &
transportation sectors was the primary reason for the fund's weak performance
relative to both its benchmark and peer group. In technology, semiconductor
holdings Linear Technology and PMC-Sierra detracted from returns as investors
expressed doubt about the strength and duration of growth in the semiconductor
industry. These same concerns also hurt semiconductor-processing equipment
manufacturers Lam Research and Applied Materials in the producer durables
sector. Ryanair, a European airline operator, also disappointed.
The fund's health care and consumer discretionary holdings made positive
contributions to performance. In health care, our emphasis on biotechnology
companies with strong product pipelines--such as Genentech and Biogen
Idec--produced positive results. Within consumer discretionary, International
Game Technology was buoyed by legislation that allows further gaming expansion
in several states. Career Education, which offers private, postsecondary
education to students worldwide, benefited from increased enrollment and market
share. Yahoo! and Walt Disney also delivered solid returns.
Looking Ahead
Going forward, we will continue to focus on companies that exhibit stable or
accelerating growth. With that goal in mind, we recently increased our exposure
to consumer discretionary companies, adding to our existing position in Career
Education and initiating positions in casino operator Caesar's Entertainment
and retailers Target and Nordstrom's. We also initiated a position in Tyco and
increased our exposure to General Electric. Both conglomerates stand to benefit
from increased industrial spending. In the health care sector, we continue to
favor companies with new product potential. As a result, we are overweight in
biotechnology and underweight in pharmaceuticals. The fund is also overweight
in financial services as a result of the additions of Federal National Mortgage
Association and Providian to the portfolio, as well as an increase in our
investment in AIG, one of the world's largest insurance groups. In addition, we
remain optimistic about the prospects for the energy sector. However, we
reshuffled our positions during the period to take advantage of the
opportunities for coal in a supply-constrained environment.
A Word about Risk
The major risks of stock investing include sudden and unpredictable drops in
value and periods of lackluster performance. The fund's emphasis on keeping
portfolio turnover low means that the fund may continue to hold various stocks
through adverse markets, which may cause it to experience deeper losses than
other funds. To the extent the fund does sell securities during times of
volatility, portfolio turnover and capital gains are likely to increase. The
fund's buy-and-hold approach is designed to allow it to capture long-term
gains; prices of some stocks may not return to their previous highs. By
continuing to hold these stocks, the fund may miss opportunities to realize
gains, and long-term performance may be reduced.
Top 10 Holdings
- --------------------------------------------------------------------------------
<Table>
Issuer/Security % of Fund Net Assets
1 Pfizer 5.3%
------------------------------------------
2 Cisco Systems 3.3%
------------------------------------------
3 Microsoft 3.2%
------------------------------------------
4 General Electric 3.0%
------------------------------------------
5 News Corp. 2.7%
------------------------------------------
6 Procter & Gamble 2.6%
------------------------------------------
7 Novartis 2.5%
------------------------------------------
8 InterActiveCorp 2.4%
------------------------------------------
9 Intel 2.4%
------------------------------------------
10 Coca-Cola 2.4%
------------------------------------------
Total 29.8%
</Table>
Performance: Class A
- ---------------------------------------------------------------
Fund average annual total return as of 4/30/04(3,4)
(does not reflect sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ---------------------------------------------------------------
Return Before Taxes 20.26% -3.34% 3.16%
- ---------------------------------------------------------------
Return After Taxes
on Distributions 20.26% -3.33% 3.15%
- ---------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 13.17% -2.80% 2.71%
- ---------------------------------------------------------------
</Table>
Fund average annual total return as of 3/31/04(3,4,5)
(at maximum applicable sales charge)
<Table>
<Caption>
Life of Fund
1 Year 5 Years (12/31/97)
- ---------------------------------------------------------------
Return Before Taxes 24.44% -3.21% 2.65%
- ---------------------------------------------------------------
Return After Taxes
on Distributions 24.44% -3.21% 2.65%
- ---------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 15.88% -2.70% 2.27%
- ---------------------------------------------------------------
</Table>
See page 12 for remaining 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 Growth Index contains those stocks within the complete
Russell 1000[RegTM] Index (a large-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 an index. The Lipper
Large-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 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.
4 After-tax returns are calculated using the highest historical individual
federal marginal income tax rates and do not reflect the impact of state and
local taxes. Actual after-tax returns depend on an investor's tax situation
and may differ from those shown, and after-tax returns shown are not relevant
to investors who hold their fund shares through tax-deferred arrangements,
such as 401(k) plans or individual retirement accounts (IRAs). Return After
Taxes on Distributions and Sale of Fund Shares for a period may be greater
than or equal to Return After Taxes on Distributions for the same period
because of losses realized on the sale of fund shares.
5 Performance reflects a maximum 5.75% Class A share front-end sales charge.
State Street Research Legacy Fund 3
<Page>
PORTFOLIO
Holdings
April 30, 2004 (unaudited)
<Table>
<Caption>
Issuer Shares Value
- ------------------------------------------------------------------------ ------------------- -----------
Common Stocks 99.7%
Automobiles & Transportation 0.5%
Air Transport 0.5%
Expeditors International of
Washington Inc. ....................................................... 42,400 $1,704,056
----------
Total Automobiles & Transportation ........................................................... 1,704,056
----------
Consumer Discretionary 26.8%
Casinos/Gambling, Hotel/Motel 2.9%
Caesar's Entertainment Inc.* ........................................... 305,000 4,041,250
International Game Technology Inc. ..................................... 156,300 5,898,762
----------
9,940,012
----------
Commercial Services 3.7%
InterActiveCorp* ....................................................... 263,003 8,381,906
Manpower Inc. .......................................................... 93,100 4,366,390
----------
12,748,296
----------
Communications, Media & Entertainment 2.9%
Univision Communications Inc. Cl. A* ................................... 129,000 4,366,650
Walt Disney Co. ........................................................ 248,200 5,716,046
----------
10,082,696
----------
Consumer Electronics 2.8%
Harman International Inc. .............................................. 38,900 2,950,565
Yahoo!, Inc.* .......................................................... 131,500 6,635,490
----------
9,586,055
----------
Consumer Services 1.6%
Career Education Corp.* ................................................ 84,200 5,388,800
----------
Printing & Publishing 2.7%
News Corp. Ltd. ADR .................................................... 249,800 9,132,688
----------
Restaurants 0.8%
Starbucks Corp.* ....................................................... 69,200 2,689,112
----------
Retail 6.7%
Bed Bath & Beyond Inc.* ................................................ 93,100 3,455,872
Dollar General Corp. ................................................... 124,800 2,341,248
Lowes Companies Inc. ................................................... 82,100 4,274,126
Nordstrom's Inc. ....................................................... 92,100 3,281,523
Staples Inc.* .......................................................... 128,100 3,299,856
Target Corp. ........................................................... 143,300 6,214,921
----------
22,867,546
----------
Shoes 1.1%
Nike Inc. Cl. B ........................................................ 51,600 3,712,620
----------
Textile Apparel Manufacturers 1.6%
Coach Inc.* ............................................................ 70,800 3,016,080
Polo Ralph Lauren Corp.* ............................................... 76,000 2,629,600
----------
5,645,680
----------
Total Consumer Discretionary ................................................................. 91,793,505
----------
</Table>
<Table>
<Caption>
Issuer Shares Value
- ------------------------------------------------------------------------ ------------------- -----------
Consumer Staples 6.3%
Beverages 2.4%
Coca-Cola Co. .......................................................... 162,500 $8,217,625
----------
Household Products 3.9%
Clorox Co. ............................................................. 87,400 4,525,572
Procter & Gamble Co. ................................................... 83,600 8,840,700
----------
13,366,272
----------
Total Consumer Staples ....................................................................... 21,583,897
----------
Financial Services 11.4%
Banks & Savings & Loan 1.0%
Goldman Sachs Group Inc. ............................................... 34,500 3,329,250
----------
Insurance 2.2%
American International Group Inc. ...................................... 105,200 7,537,580
----------
Miscellaneous Financial 7.6%
American Express Co. ................................................... 116,050 5,680,647
Citigroup Inc. ......................................................... 146,106 7,026,238
Federal National Mortgage
Association ........................................................... 35,100 2,412,072
MBNA Corp. ............................................................. 166,500 4,059,270
Providian Financial Corp.* ............................................. 212,700 2,580,051
SLM Corp. .............................................................. 111,400 4,267,734
----------
26,026,012
----------
Securities Brokerage & Services 0.6%
Ameritrade Holding Corp. ............................................... 180,500 2,209,320
----------
Total Financial Services .....................................................................
39,102,162
----------
Health Care 21.5%
Drugs & Biotechnology 17.5%
Allergan Inc. .......................................................... 29,500 2,597,475
Amgen Inc.* ............................................................ 80,650 4,538,175
Biogen Idec Inc.* ...................................................... 71,200 4,200,800
Charles River Laboratories
International Inc.* .................................................. 82,600 3,799,600
Chiron Corp. ........................................................... 64,100 2,974,240
Elan Corp. ADR* ........................................................ 89,400 1,931,040
Genentech, Inc.* ....................................................... 33,200 4,076,960
Gilead Sciences, Inc.* ................................................. 26,100 1,587,663
Johnson & Johnson Ltd. ................................................. 75,020 4,053,331
Millennium Pharmaceuticals Inc.* ....................................... 104,400 1,564,956
Millipore Corp.* ....................................................... 35,300 1,850,779
Novartis AG ADR ........................................................ 190,800 8,547,840
Pfizer Inc. ............................................................ 504,454 18,039,275
----------
59,762,134
----------
Hospital Supply 4.0%
Alcon Inc. ............................................................. 48,800 3,623,400
Guidant Corp. .......................................................... 80,400 5,066,004
Medtronic Inc. ......................................................... 98,590 4,974,852
----------
13,664,256
----------
Total Health Care ............................................................................ 73,426,390
----------
Other 5.0%
Multi-Sector 5.0%
General Electric Co. ................................................... 343,930 10,300,703
Tyco International Ltd. ................................................ 250,700 6,881,715
----------
Total Other .................................................................................. 17,182,418
----------
</Table>
4 The notes are an integral part of the financial statements.
<Page>
<Table>
<Caption>
Issuer Shares Value
- ------------------------------------------------------------------------ ------------------- ------------
Other Energy 4.7%
Gas Pipelines 1.6%
EOG Resources Inc. ....................................................... 108,300 $ 5,333,775
------------
Miscellaneous Energy 0.9%
Consol Energy Inc. ....................................................... 112,800 3,229,464
------------
Oil & Gas Producers 1.5%
Burlington Resources Inc. ................................................ 28,000 1,883,560
Newfield Exploration Co.* ................................................ 61,700 3,250,356
------------
5,133,916
------------
Oil Well Equipment & Services 0.7%
Nabors Industries Ltd* ................................................... 56,800 2,519,648
------------
Total Other Energy ............................................................................. 16,216,803
------------
Producer Durables 0.8%
Industrial Products 0.8%
American Power Conversion Corp. .......................................... 152,800 2,851,248
------------
Total Producer Durables ........................................................................ 2,851,248
------------
Technology 21.9%
Communications Technology 6.2%
Cisco Systems Inc.* ...................................................... 543,580 11,344,515
Juniper Networks Inc.* ................................................... 146,200 3,198,856
QUALCOMM Inc. ............................................................ 109,000 6,808,140
------------
21,351,511
------------
Computer Software 7.4%
Microsoft Corp. .......................................................... 417,440 10,840,917
Oracle Systems Corp.* .................................................... 453,300 5,086,026
Red Hat Inc.* ............................................................ 90,800 2,062,068
SAP AG ADR ............................................................... 196,970 7,343,041
------------
25,332,052
------------
Computer Technology 0.8%
Dell Inc.* ............................................................... 73,500 2,551,185
------------
Electronics: 1.9%
Flextronics International Ltd.* .......................................... 189,300 3,047,730
General Dynamics Corp. ................................................... 38,300 3,585,646
------------
6,633,376
------------
Electronics: Semiconductors/Components 5.6%
Fairchild Semiconductor
International Inc.* .................................................... 160,700 3,128,829
Intel Corp. .............................................................. 321,460 8,271,166
Linear Technology Corp. .................................................. 164,200 5,850,446
PMC-Sierra Inc.* ......................................................... 144,300 1,753,245
------------
19,003,686
------------
Total Technology ............................................................................... 74,871,810
------------
Utilities 0.8%
Cable Television & Radio 0.8%
Comcast Corp.* ........................................................... 89,090 2,582,719
------------
Total Utilities ................................................................................ 2,582,719
------------
Total Common Stocks (Cost $306,320,780) ........................................................ 341,315,008
------------
</Table>
<Table>
<Caption>
Issuer Shares Value
- -------------------------------------------------------------------------- ------------------- --------------
Short-Term Investments 8.1%
State Street Navigator Securities Lending
Prime Portfolio ........................................................ 27,724,442 $ 27,724,442
------------
Total Short-Term Investments (Cost $27,724,442) .............................................. 27,724,442
------------
</Table>
<Table>
<Caption>
Maturity Amount of
Issuer Date Principal Value
- ------------------------------ ----------- ---------------------------
Commercial Paper 1.3%
Citigroup Inc. 1.01% ......... 5/03/2004 $1,995,000 1,994,888
Goldman Sachs Group
Inc. 1.01% ................. 5/03/2004 2,510,000 2,509,859
-----------
Total Commercial Paper (Cost $4,504,747) ............. 4,504,747
-----------
</Table>
<Table>
<Caption>
% of
Net Assets
------------
Summary of Portfolio Assets
Investments (Cost $338,549,969) .......... 109.1% 373,544,197
Cash and Other Assets, Less Liabilities .. (9.1%) (31,080,433)
------------ ------------
Net Assets ............................... 100.0% $342,463,764
============ ============
</Table>
KEY TO SYMBOLS
* Denotes a security which has not paid a dividend during the last year.
ADR Stands for American Depositary Receipt.
<Table>
Federal Income Tax Information
At April 30, 2004, the net unrealized appreciation of
investments based on cost for federal income tax
purposes of $338,612,829 was as follows:
Aggregate gross unrealized appreciation for all
investments in which there is an excess of value over
tax cost $ 44,569,500
Aggregate gross unrealized depreciation for all
investments in which there is an excess of tax cost
over value (9,638,132)
------------
$ 34,931,368
============
</Table>
The notes are an integral part of the
financial statements. State Street Research Legacy Fund 5
<Page>
FINANCIAL
Statements
Statement of Assets and Liabilities
- --------------------------------------------------------------------------------
April 30, 2004 (unaudited)
<Table>
<Caption>
Assets
Investments, at value (Cost $338,549,969) (Note 1) ........... $373,544,197
Cash ......................................................... 59,896
Receivable for securities sold ............................... 1,308,735
Receivable for fund shares sold .............................. 375,787
Dividends receivable ......................................... 236,308
Other assets ................................................. 148,489
------------
375,673,412
------------
Liabilities
Payable for collateral received on securities loaned ......... 27,724,442
Payable for securities purchased ............................. 4,598,237
Accrued transfer agent and shareholder services .............. 241,684
Payable for fund shares redeemed ............................. 231,424
Accrued management fee ....................................... 188,552
Accrued distribution and service fees ........................ 148,493
Accrued administration fee ................................... 19,339
Accrued trustees' fees ....................................... 4,680
Other accrued expenses ....................................... 52,797
------------
33,209,648
------------
Net Assets $342,463,764
============
Net Assets consist of:
Unrealized appreciation of investments ..................... $ 34,994,228
Accumulated net realized loss .............................. (138,063,385)
Paid-in capital ............................................ 445,532,921
------------
$342,463,764
============
</Table>
Net Asset Value (NAV) of Each Share Class
Except where noted, the NAV is the offering and the redemption price for each
class.
<Table>
<Caption>
Class Net Assets [divided by] Number of Shares = NAV
A $113,583,650 9,336,056 $ 12.17*
B(1) $104,545,282 9,000,989 $ 11.61**
B $ 41,001,254 3,440,162 $ 11.92**
C $ 26,570,137 2,287,074 $ 11.62**
R $ 257,153 21,186 $ 12.14
S $ 56,506,288 4,538,241 $ 12.45
</Table>
* Maximum offering price per share = $12.91 ($12.17 [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 April 30, 2004 (unaudited)
<Table>
<Caption>
Investment Income
Dividends, net of foreign taxes of $23,854 (Note 1) .......... $ 1,307,851
Interest (Note 1) ............................................ 67,193
-----------
1,375,044
-----------
Expenses
Management fee (Note 2) ...................................... 1,120,090
Transfer agent and shareholder services (Note 2) ............. 596,997
Distribution and service fees - Class A (Note 4) ............. 153,468
Distribution and service fees - Class B(1) (Note 4) .......... 542,241
Distribution and service fees - Class C (Note 4) ............. 145,824
Distribution and service fees - Class R (Note 4) ............. 442
Administration fee (Note 2) .................................. 58,012
Custodian fee ................................................ 56,544
Audit fee .................................................... 31,384
Registration fees ............................................ 30,628
Reports to shareholders ...................................... 29,512
Trustees' fees (Note 2) ...................................... 9,052
Legal fees ................................................... 8,432
Miscellaneous ................................................ 12,400
-----------
2,795,026
Fees paid indirectly (Note 2) ................................ (7,189)
-----------
2,787,837
-----------
Net investment loss .......................................... (1,412,793)
-----------
Realized and Unrealized Gain (Loss)
on Investments
Net increase from payment by affiliate (Note 2) .............. 15,707
-----------
Net realized gain on investments (Notes 1 and 3) ............. 38,621,994
Change in unrealized depreciation of investments ............. (30,235,785)
-----------
Net gain on investments ...................................... 8,401,916
-----------
Net increase in net assets resulting from operations ......... $ 6,989,123
===========
</Table>
6 The notes are an integral part of the financial statements.
<Page>
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<Table>
<Caption>
Six months ended
April 30, 2004 Year ended
(unaudited) October 31, 2003
----------------- -----------------
Increase (Decrease) In Net Assets
Operations:
Net investment loss ......... $ (1,412,793) $ (1,952,085)
Net increase from payment
by affiliate .............. 15,707 --
Net realized gain (loss) on
investments ............... 38,621,994 (16,699,994)
Change in unrealized
appreciation (depreciation)
of investments ............ (30,235,785) 80,572,206
------------- -------------
Net increase resulting from
operations ................ 6,989,123 61,920,127
------------- -------------
Net increase (decrease) from
fund share transactions
(Note 5) .................. (14,448,013) 46,837,642
------------- -------------
Total increase (decrease)
in net assets ............. (7,458,890) 108,757,769
Net Assets
Beginning of period ......... 349,922,654 241,164,885
------------- -------------
End of period ............... $ 342,463,764 $ 349,922,654
============= =============
</Table>
Notes to Unaudited Financial Statements
- --------------------------------------------------------------------------------
April 30, 2004
Note 1
State Street Research Legacy 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 65% of total assets in
stocks and convertible securities of mid- and large-size companies. The fund
employs a tax-managed strategy, generally seeking to identify stocks with
long-term growth potential and holding them for extended periods.
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 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) 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
purchase. Class C shares also pay annual service and distribution fees equal to
1.00% of average daily net assets. 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 a service and distribution
fee of 0.50%. No sales charge is imposed at the time of purchase or redemption
of Class R shares. Class S shares are only offered through certain retirement
accounts, advisory accounts of State Street Research & Management Company (the
"Adviser"), an investment management subsidiary of MetLife, Inc. ("MetLife"),
and special programs. No sales charge is imposed at the time of purchase or
redemption of Class S shares. Class S shares do not pay any service or
distribution fees. The fund's expenses are borne prorata by each class, except
that each class bears expenses, and has exclusive voting rights with respect to
provisions of the plans of distribution, related specifically to that class.
The Trustees declare separate dividends on each class of shares.
The following significant accounting policies are consistently followed by the
fund in preparing its financial statements, and such policies are in conformity
with accounting principles generally accepted in the United States of America.
A. Investment Valuation
Values for listed equity securities reflect final sales on national securities
exchanges quoted prior to the close of the New York Stock Exchange.
Over-the-counter securities quoted on the National Association of Securities
Dealers Automated Quotation ("Nasdaq") system are valued at closing prices
supplied through such system. If not quoted on the Nasdaq system, such
securities are valued at prices obtained from independent brokers. In the
absence of recorded sales, valuations are at the mean of the closing bid and
asked quotations. Short-term securities maturing within sixty days are valued
at amortized cost. Other securities, if any, are valued at their fair value as
determined in good faith under consistently applied procedures established by
and under the supervision of the Trustees. If trading or events occurring in
other markets after the close of the principal market in which foreign
securities are traded, and before the close of business of the fund, are
expected to materially affect the value of these securities, then they are
valued at their fair value taking this trading or these events into account.
B. Security Transactions
Security transactions are accounted for on the trade date (date the order to
buy or sell is executed). Realized gains or losses are reported on the basis of
identified cost of securities delivered.
The notes are an integral part of the financial statements.
State Street Research Legacy Fund 7
<Page>
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 October 31, 2003, the fund had a capital loss carryforward of $176,299,939
available, to the extent provided in regulations, to offset future capital
gains, if any, of which $353,559, $2,301,316, $15,859,209, $63,108,010,
$76,300,059 and $18,377,786 expire on October 31, 2006, 2007, 2008, 2009, 2010
and 2011, respectively. A portion of the losses expiring in 2009, 2010 and
2011, which amounted to $34,309,485, $30,166,954 and $2,078,939, respectively,
were acquired in connection with the merger of the State Street Research
Large-Cap Growth Fund. Future utilization of these losses may be limited under
current tax laws.
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 $26,808,137 and $27,724,442 (consisting entirely of cash
collateral invested in State Street Navigator Securities Lending Prime
Portfolio), respectively. During the six months ended April 30, 2004, income
from securities lending amounted to $47,254 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 the fund's average net
assets. In consideration of these fees, the Adviser furnishes the fund with
management, investment advisory, statistical and research facilities and
services. The Adviser also pays all salaries, rent and certain other expenses
of management. During the six months ended April 30, 2004, the fees pursuant to
such agreement amounted to $1,120,090.
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 April 30, 2004, the amount of such expenses
allocated to the fund was $141,306.
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 April 30, 2004, the
fund's transfer agent fees were reduced by $7,189 under this arrangement.
The fees of the Trustees not currently affiliated with the Adviser amounted to
$9,052 during the six months 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 six months ended April 30, 2004, the amount of such
expenses was $58,012.
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 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: $4,676 to
Class A; $4,979 to Class B(1); $1,991 to Class B; $1,298 to Class C and $2,763
to Class S. These amounts are shown in the total amount of $15,707 as "Net
increase from payment by affiliate" in the Statement of Operations.
Note 3
For the six months ended April 30, 2004, purchases and sales of securities,
exclusive of short-term obligations, aggregated $178,401,002, and $191,016,660,
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, 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. The fund pays annual distribution fees of 0.75% of average daily net
assets for Class B(1), Class B and Class C shares and 0.25% of average net
assets for Class R 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
April 30, 2004, fees pursuant to such plans amounted to $153,468, $542,241,
$145,824, and $442 for Class A, Class B(1), 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 April 30, 2004, there
were $2,177,779, $298,074, and $2,880,905 for Class A, B 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) 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.
The fund has been informed that the Distributor and MetLife Securities, Inc., a
wholly owned subsidiary of MetLife, earned initial sales charges aggregating
$83,950 and $356,591, respectively, on sales of Class A shares of the fund
during the six months ended April 30, 2004, and that MetLife Securities, Inc.
earned commissions aggregating $540,833 and $2,508 on sales of Class B(1) and
Class C shares, and the Distributor collected contingent deferred sales charges
aggregating $132,426, $14 and $1,618 on redemptions of Class B(1), Class B and
Class C shares, respectively, during the same period.
8
<Page>
Note 5
The Trustees have the authority to issue an unlimited number of shares of
beneficial interest at $0.001 par value per share. At April 30, 2004, the
Adviser held 10,215 Class R shares. These transactions break down by share
class as follows:
<Table>
<Caption>
Six months ended
April 30, 2004
(unaudited)
------------------------------------
Class A Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 2,366,934 $29,512,091
Issued in connection with acquisition of Large-Cap Growth Fund -- --
Shares redeemed (1,699,663) (20,784,870)
---------- -----------
Net increase 667,271 $ 8,727,221
========== ===========
</Table>
<Table>
<Caption>
Year ended
October 31, 2003
------------------------------------
Class A Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 2,808,906 $29,638,800
Issued in connection with acquisition of Large-Cap Growth Fund 1,381,114 12,873,626
Shares redeemed (3,231,893) (32,827,334)
---------- -----------
Net increase 958,127 $ 9,685,092
========== ===========
</Table>
<Table>
<Caption>
Six months ended
April 30, 2004
(unaudited)
------------------------------------
Class B(1) Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 331,853 $ 3,922,831
Issued in connection with acquisition of Large-Cap Growth Fund -- --
Shares redeemed (806,522) (9,548,146)
---------- ------------
Net increase (decrease) (474,669) $ (5,625,315)
========== ============
</Table>
<Table>
<Caption>
Year ended
October 31, 2003
------------------------------------
Class B(1) Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 915,478 $ 9,067,543
Issued in connection with acquisition of Large-Cap Growth Fund 1,052,996 9,449,657
Shares redeemed (1,917,706) (18,595,910)
---------- -----------
Net increase (decrease) 50,768 $ (78,710)
========== ===========
</Table>
<Table>
<Caption>
Six months ended
April 30, 2004
(unaudited)
------------------------------------
Class B Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 29,230 $ 355,582
Issued in connection with acquisition of Large-Cap Growth Fund -- --
Shares redeemed (625,877) (7,610,430)
---------- ------------
Net increase (decrease) (596,647) $ (7,254,848)
========== ============
</Table>
<Table>
<Caption>
Year ended
October 31, 2003
------------------------------------
Class B Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 147,808 $ 1,489,996
Issued in connection with acquisition of Large-Cap Growth Fund 1,177,017 10,711,357
Shares redeemed (1,237,332) (12,313,930)
---------- -----------
Net increase (decrease) 87,493 $ (112,577)
========== ===========
</Table>
<Table>
<Caption>
Six months ended
April 30, 2004
(unaudited)
------------------------------------
Class C Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 190,413 $ 2,261,912
Issued in connection with acquisition of Large-Cap Growth Fund -- --
Shares redeemed (577,165) (6,851,492)
---------- ------------
Net decrease (386,752) $ (4,589,580)
========== ============
</Table>
<Table>
<Caption>
Year ended
October 31, 2003
------------------------------------
Class C Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 539,004 $ 5,333,886
Issued in connection with acquisition of Large-Cap Growth Fund 189,286 1,699,127
Shares redeemed (1,308,159) (12,850,337)
---------- -----------
Net decrease (579,869) $(5,817,324)
========== ===========
</Table>
<Table>
<Caption>
Six ,onths ended
April 30, 2004 Year ended
(unaudited) October 31, 2003
Class R Shares Amount Shares Amount
- ----------------------------------------------------------------------------
Shares sold 12,836 $ 163,438 10,222 $ 100,075
Shares redeemed (1,872) (23,959) -- --
---------- ------------ ---------- ------------
Net increase 10,964 $ 139,479 10,222 $ 100,075
========== ============ ========== ============
</Table>
<Table>
<Caption>
Six months ended
April 30, 2004
(unaudited)
------------------------------------
Class S Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 15,172 $ 194,579
Issued in connection with acquisition of Large-Cap Growth Fund -- --
Shares redeemed (478,544) (6,039,549)
---------- ------------
Net increase (decrease) (463,372) $ (5,844,970)
========== ============
</Table>
<Table>
<Caption>
Year ended
October 31, 2003
------------------------------------
Class S Shares Amount
- -----------------------------------------------------------------------------------------------------
Shares sold 15,143 $ 150,862
Issued in connection with acquisition of Large-Cap Growth Fund 5,164,031 49,094,754
Shares redeemed (587,753) (6,184,530)
---------- ------------
Net increase (decrease) 4,591,421 $ 43,061,086
========== ============
</Table>
State Street Research Legacy Fund 9
<Page>
FINANCIAL
Highlights
For a share outstanding throughout each period:
<Table>
<Caption>
Class A
-------------------------------------------------------------
Six months ended Years ended October 31
April 30, 2004 -----------------------------------------
(unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.91 9.96 11.56 16.39
------ ------- ------- -------
Net investment loss ($)* (0.04) (0.05) (0.03) (0.05)
Net realized and unrealized gain (loss) on investments ($) 0.30 2.00 (1.57) (4.78)
------ ------- ------- -------
Total from investment operations ($) 0.26 1.95 (1.60) (4.83)
------ ------- ------- -------
Distribution from capital gains ($) -- -- -- --
------ ------- ------- -------
Total distribution ($) -- -- -- --
------ ------- ------- -------
Net asset value, end of period ($) 12.17 11.91 9.96 11.56
====== ======= ======= =======
Total return (%)(b) 2.18(d) 19.58 (13.84) (29.47)
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 113,582 103,247 76,798 103,774
Expense ratio (%)* 1.43(e) 1.38 1.39 1.35
Expense ratio after expense reductions (%)* 1.43(e) 1.38 1.38 1.33
Ratio of net investment loss to average net assets (%)* (0.63)(e) (0.47) (0.28) (0.39)
Portfolio turnover rate (%) 51.60 112.57 30.87 21.61
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- --
<Caption>
Class A
-------------------------------------------------------------
Years ended April 30
Six months ended --------------------------------
October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 15.99 14.42 11.66
------ ------ ------
Net investment loss ($)* (0.04) (0.05) (0.02)
Net realized and unrealized gain (loss) on investments ($) 0.44 1.62 2.79
------ ------ ------
Total from investment operations ($) 0.40 1.57 2.77
------ ------ ------
Distribution from capital gains ($) -- -- (0.01)
------ ------ ------
Total distribution ($) -- -- (0.01)
------ ------ ------
Net asset value, end of period ($) 16.39 15.99 14.42
====== ====== ======
Total return (%)(b) 2.50(d) 10.89 23.73
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 151,920 143,037 58,642
Expense ratio (%)* 1.34(e) 1.22 1.20
Expense ratio after expense reductions (%)* 1.34(e) 1.21 1.19
Ratio of net investment loss to average net assets (%)* (0.54)(e) (0.34) (0.14)
Portfolio turnover rate (%) 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03
</Table>
<Table>
<Caption>
Class B(1)
-------------------------------------------------------------
Six months ended Years ended October 31
April 30, 2004 -----------------------------------------
(unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.41 9.61 11.23 16.04
------ ------- ------- -------
Net investment loss ($)* (0.08) (0.12) (0.11) (0.15)
Net realized and unrealized gain (loss) on investments ($) 0.28 1.92 (1.51) (4.66)
------ ------- ------- -------
Total from investment operations ($) 0.20 1.80 (1.62) (4.81)
------ ------- ------- -------
Net asset value, end of period ($) 11.61 11.41 9.61 11.23
====== ======= ======= =======
Total return (%)(b) 1.75(d) 18.73 (14.43) (29.99)
Ratios/Supplemental Data
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 104,547 108,125 90,564 129,464
Expense ratio (%)* 2.13(e) 2.08 2.09 2.05
Expense ratio after expense reductions (%)* 2.13(e) 2.08 2.08 2.03
Ratio of net investment loss to average net assets (%)* (1.33)(e) (1.17) (0.98) (1.09)
Portfolio turnover rate (%) 51.60 112.57 30.87 21.61
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- --
<Caption>
Class B(1)
-------------------------------------------------------------
Years ended April 30
Six months ended --------------------------------
October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(c)(g)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 15.71 14.28 13.08
------ ------ --------
Net investment loss ($)* (0.10) (0.17) (0.04)
Net realized and unrealized gain (loss) on investments ($) 0.43 1.60 (1.24)
------ ------ --------
Total from investment operations ($) 0.33 1.43 1.20
------ ------ --------
Net asset value, end of period ($) 16.04 15.71 14.28
====== ====== ========
Total return (%)(b) 2.10(d) 10.01 9.17(d)
Ratios/Supplemental Data:
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 184,818 153,359 24,454
Expense ratio (%)* 2.04(e) 1.97 1.88(e)
Expense ratio after expense reductions (%)* 2.04(e) 1.96 1.87(e)
Ratio of net investment loss to average net assets (%)* (1.25)(e) (1.13) (1.00)(e)
Portfolio turnover rate (%) 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03(e)
</Table>
<Table>
<Caption>
Class B
-------------------------------------------------------------
Six months ended Years ended October 31
April 30, 2004 -----------------------------------------
(unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.65 9.72 11.31 16.11
------ -------- ------- -------
Net investment loss ($)* (0.02) (0.01) (0.07) (0.11)
Net realized and unrealized gain (loss) on investments ($) 0.29 1.94 (1.52) (4.69)
------ -------- ------- -------
Total from investment operations ($) 0.27 1.93 (1.59) (4.80)
------ -------- ------- -------
Distribution from capital gains ($) -- -- -- --
------ -------- ------- -------
Total distribution ($) -- -- -- --
------ -------- ------- -------
Net asset value, end of period ($) 11.92 11.65 9.72 11.31
====== ======== ======= =======
Total return (%)(b) 2.32(d) 19.86 (14.06) (29.80)
Ratios/Supplemental Data:
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 41,001 47,034 38,368 62,244
Expense ratio (%)* 1.13(e) 1.08 1.74 1.76
Expense ratio after expense reductions (%)* 1.13(e) 1.08 1.73 1.74
Ratio of net investment loss to average net assets (%)* (0.33)(e) (0.13) (0.66) ( 0.80)
Portfolio turnover rate (%) 51.60 112.57 30.87 21.61
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- --
<Caption>
Class B
----------------------------------------------------------
Years ended April 30
Six months ended -----------------------------
October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g)
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 15.74 14.28 11.64
------ ------ ------
Net investment loss ($)* (0.07) (0.12) (0.11)
Net realized and unrealized gain (loss) on investments ($) 0.44 1.58 2.76
------ ------ ------
Total from investment operations ($) 0.37 1.46 2.65
------ ------ ------
Distribution from capital gains ($) -- -- (0.01)
------ ------ ------
Total distribution ($) -- -- (0.01)
------ ------ ------
Net asset value, end of period ($) 16.11 15.74 14.28
====== ====== ======
Total return (%)(b) 2.35(d) 10.22 22.74
Ratios/Supplemental Data:
- ---------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 106,027 109,135 88,383
Expense ratio (%)* 1.69(e) 1.77 1.95
Expense ratio after expense reductions (%)* 1.69(e) 1.76 1.94
Ratio of net investment loss to average net assets (%)* (0.89)(e) (0.87) (0.89)
Portfolio turnover rate (%) 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03
</Table>
10
<Page>
<Table>
<Caption>
Class C
--------------------------------------------------------------
Six months ended Years ended October 31
April 30, 2004 ------------------------------------------
(unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.41 9.61 11.23 16.05
------ -------- ------- -------
Net investment loss ($)* (0.08) (0.11) (0.11) (0.15)
Net realized and unrealized gain (loss) on investments ($) 0.29 1.91 (1.51) (4.67)
------ -------- ------- -------
Total from investment operations ($) 0.21 1.80 (1.62) (4.82)
------ -------- ------- -------
Distribution from capital gains ($) -- -- -- --
------ -------- ------- -------
Total distribution ($) -- -- -- --
------ -------- ------- -------
Net asset value, end of period ($) 11.62 11.41 9.61 11.23
====== ======== ======= =======
Total return (%)(b) 1.84(d) 18.73 (14.43) (30.03)
Ratios/Supplemental Data:
- -------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 26,570 30,516 31,274 46,809
Expense ratio (%)* 2.13(e) 2.08 2.09 2.05
Expense ratio after expense reductions (%)* 2.13(e) 2.08 2.08 2.03
Ratio of net investment loss to average net assets (%)* (1.31)(e) (1.15) (0.99) (1.08)
Portfolio turnover rate (%) 51.60 112.57 30.87 21.61
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- --
<Caption>
Class C
----------------------------------------------------------
Years ended April 30
Six months ended -----------------------------
October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g)
- ---------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 15.71 14.28 11.63
------ ------ ------
Net investment loss ($)* (0.10) (0.16) (0.11)
Net realized and unrealized gain (loss) on investments ($) 0.44 1.59 2.77
------ ------ ------
Total from investment operations ($) 0.34 1.43 2.66
------ ------ ------
Distribution from capital gains ($) -- -- (0.01)
------ ------ ------
Total distribution ($) -- -- (0.01)
------ ------ ------
Net asset value, end of period ($) 16.05 15.71 14.28
====== ====== ======
Total return (%)(b) 2.16(d) 10.01 22.85
Ratios/Supplemental Data:
- ---------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 76,137 69,061 26,399
Expense ratio (%)* 2.04(e) 1.97 1.95
Expense ratio after expense reductions (%)* 2.04(e) 1.96 1.94
Ratio of net investment loss to average net assets (%)* (1.24)(e) (1.10) (0.90)
Portfolio turnover rate (%) 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03
</Table>
<Table>
<Caption>
Class R
------------------------------------
Six months ended
April 30, 2004
(unaudited)(a)(i) 2003(a)(h)
- ----------------------------------------------------------------------------------------------
Net asset value, beginning of period ($) 11.90 9.79
------ ------
Net investment loss ($)* (0.05) (0.05)
Net realized and unrealized gain on investments ($) 0.29 2.16
------ ------
Total from investment operations ($) 0.24 2.11
------ ------
Net asset value, end of period ($) 12.14 11.90
====== ======
Total return (%)(b) 2.02(d) 21.55(d)
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 257 122
Expense ratio (%)* 1.63(e) 1.58(e)
Expense ratio after expense reductions (%)* 1.63(e) 1.58(e)
Ratio of net investment loss to average net assets (%)* (0.84)(e) (0.79)(e)
Portfolio turnover rate (%) 51.60 112.57
</Table>
<Table>
<Caption>
Class S
------------------------------------------------------------
Six months ended Years ended October 31
April 30, 2004 ----------------------------------------
(unaudited)(a)(i) 2003(a) 2002(a)(g) 2001(a)(g)
------------------- ---------- -------------- --------------
Net asset value, beginning of period ($) 12.17 10.14 11.74 16.61
------ -------- ------- -------
Net investment income (loss) ($)* (0.02) (0.02) 0.00 (0.01)
Net realized and unrealized gain (loss) on investments ($) 0.30 2.05 (1.60) (4.86)
------ -------- ------- -------
Total from investment operations ($) 0.28 2.03 (1.60) (4.87)
------ -------- ------- -------
Distribution from capital gains ($) -- -- -- --
------ -------- ------- -------
Total distribution ($) -- -- -- --
------ -------- ------- -------
Net asset value, end of period ($) 12.45 12.17 10.14 11.74
====== ======== ======= =======
Total return (%)(b) 2.30(d) 20.02 (13.63) (29.32)
Ratios/Supplemental Data
- -------------------------------------------------------------------------------------------------------------------------------
Net assets at end of period ($ thousands) 56,506 60,878 4,161 5,077
Expense ratio (%)* 1.13(e) 1.08 1.09 1.05
Expense ratio after expense reductions (%)* 1.13(e) 1.08 1.08 1.03
Ratio of net investment income (loss) to average net assets (%)* (0.33)(e) (0.19) 0.03 (0.09)
Portfolio turnover rate (%) 51.60 112.57 30.87 21.61
*Reflects voluntary reduction of expenses of these amounts (%) -- -- -- --
<Caption>
Class S
--------------------------------------------------------
Years ended April 30
Six months ended ----------------------------
October 31, 2000(a)(f)(g) 2000(a)(g) 1999(a)(g)
--------------------------- -------------- -------------
Net asset value, beginning of period ($) 16.09 14.48 11.68
------ ------ -----
Net investment income (loss) ($)* (0.02) (0.00) 0.02
Net realized and unrealized gain (loss) on investments ($) 0.54 1.61 2.79
------ ------ -----
Total from investment operations ($) 0.52 1.61 2.81
------ ------ -----
Distribution from capital gains ($) -- -- (0.01)
------ ------ ------
Total distribution ($) -- -- (0.01)
------ ------ ------
Net asset value, end of period ($) 16.61 16.09 14.48
====== ====== ======
Total return (%)(b) 3.23(d) 11.12 24.04
Ratios/Supplemental Data
- ----------------------------------------------------------------------------------------------------------------------------- --
Net assets at end of period ($ thousands) 7,126 8,097 6,367
Expense ratio (%)* 1.04(e) 0.97 0.95
Expense ratio after expense reductions (%)* 1.04(e) 0.96 0.94
Ratio of net investment income (loss) to average net assets (%)* (0.24)(e) (0.06) 0.16
Portfolio turnover rate (%) 11.07 33.23 42.09
*Reflects voluntary reduction of expenses of these amounts (%) -- -- 0.03
</Table>
(a) Per-share figures have been calculated using the average shares method.
(b) Does not reflect any front-end or contingent deferred sales charges.
(c) January 1, 1999 (commencement of share class) to April 30, 1999
(d) Not annualized
(e) Annualized
(f) Effective August 2, 2000, the fiscal year-end of the fund changed from
April 30 to October 31.
(g) Audited by other auditors
(h) April 3, 2003 (commencement of share class) to October 31, 2003
(i) During the six months ended April 30, 2004, the Distributor made
restitution payments to the fund as part of a settlement with NASD. These
payments had no effect on net realized gain on investments per share.
State Street Research Legacy Fund 11
<Page>
PERFORMANCE
Discussion as of April 30, 2004
(continued from page 3)
Performance: Class B(1)
- --------------------------------------------------------------------------------
Fund average annual total return as of 4/30/04(1,3)
(does not reflect sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 19.20% -4.06% 2.39%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 19.20% -4.05% 2.39%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 12.48% -3.40% 2.05%
- ----------------------------------------------------------------
</Table>
Fund average annual total return as of 3/31/04(1,2,3)
(at maximum applicable sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 26.10% -3.16% 2.87%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 26.10% -3.16% 2.87%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 16.96% -2.66% 2.46%
- ----------------------------------------------------------------
</Table>
Performance: Class C
- --------------------------------------------------------------------------------
Fund average annual total return as of 4/30/04(1,3)
(does not reflect sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 19.30% -4.04% 2.41%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 19.30% -4.03% 2.40%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 12.55% -3.39% 2.06%
- ----------------------------------------------------------------
</Table>
Fund average annual total return as of 3/31/04(1,2,3)
(at maximum applicable sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 30.10% -2.77% 2.87%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 30.10% -2.77% 2.87%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 19.56% -2.33% 2.46%
- ----------------------------------------------------------------
</Table>
Performance: Class S
- --------------------------------------------------------------------------------
Fund average annual total return as of 4/30/04(1,3,4)
(does not reflect sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 20.52% -2.98% 3.53%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 20.52% -2.97% 3.53%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 13.34% -2.50% 3.04%
- ----------------------------------------------------------------
</Table>
Fund average annual total return as of 3/31/04(1,2,3,4)
(at maximum applicable sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 32.44% -1.67% 4.01%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 32.44% -1.66% 4.01%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 21.08% -1.41% 3.46%
- ----------------------------------------------------------------
</Table>
Performance: Class B
- --------------------------------------------------------------------------------
Fund average annual total return as of 4/30/04(1,3)
(does not reflect sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 20.53% -3.55% 2.82%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 20.53% -3.54% 2.82%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 13.34% -2.98% 2.42%
- ----------------------------------------------------------------
</Table>
Fund average annual total return as of 3/31/04(1,2,3)
(at maximum applicable sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 27.36% -2.68% 3.28%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 27.36% -2.68% 3.28%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 17.78% -2.26% 2.82%
- ----------------------------------------------------------------
</Table>
Performance: Class R
- --------------------------------------------------------------------------------
Fund average annual total return as of 4/30/04(1,3,4)
(does not reflect sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 19.96% -3.38% 3.12%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 19.96% -3.38% 3.11%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 12.97% -2.84% 2.68%
- ----------------------------------------------------------------
</Table>
Fund average annual total return as of 3/31/04(1,2,3,4)
(at maximum applicable sales charge)
<Table>
Life of Fund
1 Year 5 Years (12/31/97)
- ----------------------------------------------------------------
Return Before Taxes 31.71% -2.11% 3.59%
- ----------------------------------------------------------------
Return After Taxes
on Distributions 31.71% -2.10% 3.59%
- ----------------------------------------------------------------
Return After Taxes on
Distributions and Sale of
Fund Shares 20.61% -1.78% 3.09%
- ----------------------------------------------------------------
</Table>
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.
Performance for Class B(1) shares reflects Class B share performance
through December 31, 1998, and Class B(1) 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.
2 Performance reflects a maximum 5.75% Class A front-end sales charge, or 5%
Class B or Class B(1) share or 1% Class C share contingent deferred sales
charge, where applicable.
3 Ater-tax returns are calculated using the highest historical federal marginal
income tax rates and do not reflect the impact of state and local taxes.
Actual after-tax returns depend on an investor's tax situation and may
differ from those shown, and after-tax returns shown are not relevant to
investors who hold their fund shares through tax-deferred arrangement, such
as 401(k) plans or individual retirement accounts (IRAs). Return After
Distributions and Sales of Fund Shares for a period may be greater than or
equal to Returns After Taxes on Distributions for the same period because
of losses realized on the sale of fund shares.
4 Class R and Class S shares, offered without sales charge, are only available
through retirement plans and through special programs.
12
<Page>
TRUSTEES AND OFFICERS
State Street Research Securities Trust
<Table>
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) 1999
- --------------------------------------------------------------------------------
Toby Rosenblatt Trustee Since
(65) 1994
- --------------------------------------------------------------------------------
Michael S. Trustee Since
Scott Morton (66) 1994
- --------------------------------------------------------------------------------
Interested Trustees
Richard S. Davis(+) Trustee Since
(58) 2000
- --------------------------------------------------------------------------------
Officers
Edward Dowd Vice Since
(37) President 2003
- --------------------------------------------------------------------------------
C. Kim Goodwin Vice Since
(45) President 2002
- --------------------------------------------------------------------------------
Jeffrey Lindsey Vice Since
(41) President 2003
- --------------------------------------------------------------------------------
John S. Lombardo Vice Since
(49) President 2001
- --------------------------------------------------------------------------------
Ajay Mehra Vice Since
(39) President 2003
- --------------------------------------------------------------------------------
Denis J. Walsh III Vice Since
(43) President 2003
- --------------------------------------------------------------------------------
Douglas A. Romich Treasurer Since
(47) 2001
<Caption>
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 Street 19
(58) Research & Management Company; formerly Senior Vice President, Fixed
Income Investments, Metropolitan Life Insurance Company
- -------------------------------------------------------------------------------------------------------------------------
Officers
Edward Dowd Vice President of State Street Research & Management Company, formerly 7
(37) Vice President, Independence Investment LLC and equity research associate,
Donaldson, Lufkin and 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
- -------------------------------------------------------------------------------------------------------------------------
Jeffrey Lindsey Managing Director of State Street Research & Management Company, 7
(41) formerly Managing Director and Senior Vice President, Putnam Investments
- -------------------------------------------------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------------------------------------------------
Ajay Mehra Managing Director of State Street Research & Management Company; 4
(39) formerly Senior Vice President and Portfolio Manager, Columbia
Management Group
- -------------------------------------------------------------------------------------------------------------------------
Denis J. Walsh III Managing Director of State Street Research & Management Company; 2
(43) formerly Senior Research Analyst, Fleet Investment Advisors
- -------------------------------------------------------------------------------------------------------------------------
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
<Caption>
Name, Other
Address Directorships Held
and Age(a) by Trustee/Officer
- --------------------------------------------------------------------------------
Independent Trustees
Bruce R. Bond Avaya Corp.
(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
Edward Dowd None
(37)
- --------------------------------------------------------------------------------
C. Kim Goodwin None
(45)
- --------------------------------------------------------------------------------
Jeffrey Lindsey None
(41)
- --------------------------------------------------------------------------------
John S. Lombardo None
(49)
- --------------------------------------------------------------------------------
Ajay Mehra None
(39)
- --------------------------------------------------------------------------------
Denis J. Walsh III None
(43)
- --------------------------------------------------------------------------------
Douglas A. Romich None
(47)
</Table>
The fund's Statement of Additional Information includes additional information
about the fund's trustees, and is available without charge by contacting State
Street Research, One Financial Center, Boston, Massachusetts 02111-2690, or by
calling toll-free 1-87-SSR-FUNDS (1-877-773-8637).
(a) The address of each person is c/o State Street Research & Management
Company, One Financial Center, Boston, MA 02111-2690.
(b) A Trustee serves until he or she retires, resigns or is removed as provided
in the master trust agreement of the respective Trust. Each Trust has
adopted a mandatory retirement age of 72. Each officer holds office until he
or she resigns, is removed or a successor is elected.
(c) Includes all series of 9 investment companies for which State Street
Research & Management Company serves as sole investment adviser and all
series of Metropolitan Series Fund, Inc. 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 Legacy Fund 13
<Page>
[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 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.
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:(exp0605)SSR-LD LF-1882-0604
<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 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
------------------------